1/5/2020 SAP Library - Hedge Accounting for Positions (P-HA)

SAP Documentation
Hypothetical Derivative
Hedge Accounting
for Positions (P-HA)
Hedge Accounting The “hypothetical derivative” is available for hedging
Rules relationships that use the hedging scenarios “710”
Overview: “Security Hedged with Interest Swap” or “720” “Loan
Customizing (P-HA) Hedged with Interest Swap”. The hypothetical derivative
Manage Hedging is required for performing the effectiveness tests (except
Relationships for the critical term match method). During the
Creating Notes on effectiveness test, the hypothetical derivative represents
a Hedging Relationship the hedged item.
Documentation of During designation of the hedging relationship, the
a Hedging Relationship system automatically generates the hypothetical
Designation of a derivative by creating a corresponding hypothetical
Hedging Relationship interest swap for the variable security position / loan.
Effectiveness The interest swap applies the dates and the variable cash
Tests flow of the security position/loan. The system calculates
Hypothetical the fixed side of the hypothetical derivative so that, at
Derivative the time of the designation, the net present value of the
interest swap is zero or corresponds to the negative net
Dollar Offset present value of the hedging instrument. If there is
Method alternative market data for the designation, the system
Schleifer Noise applies it in the creation of the hypothetical derivative.
Method
Linear Prerequisites
Regression
C ii lT

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