This turns your SAP CML into a first-class present value calculator. Correct. Cost-efficient. Comfortable.
Together with an international insurance company, we have developed a solution that guarantees SAP CML users the highest precision in calculating present values and clean prices: The COMPIRICUS Loan Valuation Tool for SAP CML. It fills a gap in the standard and makes it the "single source of truth" for generating market-compliant valuations through seamless integration. You no longer need external or sub-solutions.
What does this mean in detail?
The Gap: Incomplete present value calculation in the SAP standard
When calculating present values and clean prices for loans:
- the option price for the BGB right of termination is not taken into account,
- the option price for unscheduled repayments is missing,
- the valuation curve does not correspond to the curve from which the interest rate on the loan is derived,
- sensitivity ratios are not calculated correctly,
a subsystem or functionality outside SAP is required to generate valuations in line with the market. This is cumbersome, error-prone, and costly.
Highest precision in the calculation of present values and clean values in SAP CML
The "COMPIRICUS Loan Valuation Tool for SAP CML", which has been tested and validated in corporate practice, extends the present value calculation from the Market Risk Analyzer to include loan-specific features such as the:
- Calculation of a spread to the valuation curve for the purpose of calibrating the present value and avoiding reserves and encumbrances in the case of loan commitments and extensions, and use of this spread in all present value calculations during the term of the loan,
- Consideration of the statutory right of termination (§ 489 BGB) in the present value calculation. Failure to take the right of termination into account may result in the loan portfolio being reported at too high a market value,
- Inclusion of unscheduled repayment rights in the valuation of loans,
- Calculation of convexity and duration for loan portfolios as part of the present value calculation.
Many advantages that significantly facilitate the daily work routine
- Correct and audit-proof recorded present values for loans, taking optionalities into account
- Compliance with audit requirements (e.g. IFRS 13 compliant calculation of loans)
- Avoidance of excessive hidden reserves
- Subsystems become obsolete
- A "single source of truth”
Contact us if you would like a personal meeting or would like more information about SAP CML or our loan evaluation tool. We will be happy to answer your questions. Please contact Stefanie Tiemann by phone or email.
Phone: +49 211 64949-301 | Email: firstname.lastname@example.org