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Changes to the Margin Management Functions ( RELNCFM_1_MARGIN )

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Changes to the Margin Management Functions

Use

You now use the same transaction to process the class master data for listed options and futures as you use for processing class data in the Securities area [transaction FWZZ]. You go to this function by choosing 'Master Data → Listed Derivatives → Class' from the Derivatives application menu.

The securities account as a unit of position management for listed derivatives has been replaced by the futures account. (However, the Securities area still continues to use securities accounts). To go to the processing functions for the futures account, choose 'Master Data → Listed Derivatives → Futures Account' from the application menu for the Derivatives area.Following the upgrade to CFM 1.0, you must start report program 'Generate Futures Accounts' [TPM_POSITION_ACCOUNT_CONVERT], which generates futures accounts for the securities accounts of listed derivatives and copies the existing positions to the new futures accounts. You can call up this report in Customizing for the Transaction Manager by choosing 'General Settings → Tools → Conversion Programs for Release CFM 1.0'.

You define information for margin calculation for each class position in a futures account. There, you also assign the exchange and the rate type for margin calculation. This means that you no longer need to enter this data in the posting report. You go to this function by choosing 'Master Data → Listed Derivatives → Class Position in Futures Account' from the Derivatives application menu.

To ensure that the margin is calculated for a position, you have to select 'Future style' as the settlement method in Customizing for the product types. If you choose 'Option style', no margin is calculated.

When you perform posting in margin management, you have to distinguish between the variation margin and the close margin. In the case of a close transaction, the margin flow is stored as a planned flow and updated automatically when changes are made in the closing. To fix the flows, you have to post the margin flows using report program 'Post Close Margin' [transaction TPM25]. You use this report purely for posting close margin flows. In order to use it, however, all the business transactions (open, close) must already be posted.

To post the variation margin, execute report program 'Post Variation Margin' daily (transaction PMVM). This report program allows you the option of posting close margins that have not yet been posted.

If incorrect postings are made, you can reverse both the close margin flows and the variation margin flows using report program 'Reverse Margin Flows' [transaction PMSV].

You go to these functions by choosing 'Accounting → Posting → Margin Management' from the Derivatives application menu.

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