Definition

The reference interest rates and yield curve types defined in Customizing are stored in interest rate tables. The maintenance of the reference interest rates also belongs to the area of interest rate tables. The function currency replacement for yield curve type is also part of the interest rate tables.

Use

The reference interest rates serve to save money market and capital market rates or internal financing or refinancing rates. The values maintained in the reference interest rate table form the basis for calculations in the application component Market Risk Management and also for the structure-congruent determination of the opportunity interest rates in Profitability Analysis in SAP Banking. A yield curve is generated for every currency by means of a yield curve type and the assignment of reference interest rates. The function currency replacement for yield curve type enables you to substitute, from a particular date, one currency for another. For example, you can replace one of the currencies participating in the euro with the euro itself.

Structure

In the reference interest rate table you enter the interest rates as par rates or zero coupon rates, depending on the yield category you selected when creating the reference interest rate.

From the par rates the system calculates zero coupon rates and zero bond discounting factors for the dependent yield curves. From the zero coupon rates it calculates zero bond discounting factors.

These yield curve values are stored on the database in the form of an extended interest rate table .