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FIN_TRM_LR_FI_AN_2: TRM, Hedge and Exposure Management, New Financial Product (new) ( RELNTRM_604_LR_FI_AN_2_M )

FIN_TRM_LR_FI_AN_2: TRM, Hedge and Exposure Management, New Financial Product (new) ( RELNTRM_604_LR_FI_AN_2_M )

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FIN_TRM_LR_FI_AN_2: TRM, Hedge and Exposure Management, New Financial Product (new)

Use

As of SAP Enhancement Package 4 for SAP ERP 6.0(EA-FINSERV 604), you can use the business function TRM, Hedge and Exposure Management, New Financial Product.

This business function provides you with various enhanced functions in SAP Treasury and Risk Management. The new Exposure Management 2.0 enables you to manage exposure items for open commodity items and open currency items. In the Hedge Accounting for Exposures, you can map the hedging of commodity price risks using the corresponding hedging transactions in the Transaction Manager.

The complete integration with the analyzers also enables you to run NPV and VaR analyses for the exposure items. To meet the accounting requirements of IAS39 and FAS133 with regard to measuring the effectiveness of hedging relationships, the Hedge Accounting for Exposures now provides you with the option of running retrospective and prospective effectiveness tests based on linear regression analyses for exposures, hedged items, and hedging instruments. You can calculate the following parameters to check the effectiveness:

  • Gradient of the regression lines
  • Intercept of the regression lines
  • Coefficient of determination R²
  • t-test
  • F-test

There is now also a new product category available; the forward securities transaction. You can map the life cycle of forward securities transactions from rollover, advance maturity, delivery at maturity, and dividend adjustment through cash settlement and physical delivery. You can create forward securities transactions for the following product categories:

  • Stocks (010)
  • Investment certificates (020)
  • Bonds (040)
  • Shareholding (160)

To fulfill the P-GAAP requirements for group accounting when making an investment exceeding 50% in a company, the following position components have been integrated in position management: 1025 Value Adjustment of Gains, 1026 Value Adjustment of Losses, and 1027 Original Value Adjustment.

To meet the disclosure requirements of IFRS 7 (as of 01/01/2007), you can receive a risk statement that includes all the financial transactions and objects in SAP Treasury and Risk Management and exposure items which are then evaluated with regard to market risk.

Effects on Existing Data

By activating the business function, the following changes become visible in the area menu and application interfaces.

New Functions in the TRM Area Menu

  • Exposure Management 2.0
  • The following functions in Exposure Management 2.0 are available in the area menu of the Transaction Manager under Hedge Accounting for Exposures:

See also:FIN_TRM_LR_FI_AN_2: Exposure Management 2.0 (new)
  • Under Treasury and Risk Management → Market Risk Analyzer → Master Data → Derive Rule Values → Operative Exposures, you can use the function Derive Analysis Parameters from Operative Exposures (transaction AFO_FOI_RULE_EXP).

  • Forward Securities Transactions
The function Forward Securities Transactions: Collective Processing(TFCP) is available under Securities → Back Office → Collective Processing → Forward Securities Transactions.
The transactions Create Financial Transaction (FTR_CREATE) and Edit Financial Transaction (FTR_EDIT) have been revised and now also provide the new transactions for creating and editing forward securities transactions.
  • Create Forward Securities Transaction (TF01)

  • Change Forward Securities Transaction (TF02)

  • Display Forward Securities Transaction (TF03)

  • Settle Forward Securities Transaction (TF04)

  • Deliver Forward Securities Transaction (TF05)

  • Reverse Forward Securities Transaction(TF06)

  • Roll Over Forward Securities Transaction (TF07)

  • History for Forward Securities Transaction(TF08)

  • Forward Securities Transaction: Advance Maturity (TF09)

  • Forward Securities Transaction: Dividend Adjustment (TF11)

  • To meet the disclosure requirements for financial instruments in accordance with IFRS 7, the following reports are provided under Transaction Manager → Information System → Reports → Reporting → ISFRS 7:
  • Currency Risk (TIS_IFRS7_1)

  • Interest Rate Risk (TIS_IFRS7_2)

  • Interest Sensitivities(TIS_IFRS7_3)

  • Market Values(TIS_IFRS7_4)

  • Market Values (with Sensitivities) (TIS_IFRS7_5)

  • Market Value Changes (TIS_IFRS7_6)

  • Yield Risk Analysis(TIS_IFRS7_7)

  • Detailed reports

- Currency Risk (Detail) (TIS_IFRS7_D1)
- Interest Rate Risk (Detail) (TIS_IFRS7_D2)
- Interest Sensitivities (Detail) (TIS_IFRS7_D3)
- Market Values (Detail)(TIS_IFRS7_D4)
- Market Values (with Sensitivities) (Detail) (TIS_IFRS7_D5)
- Market Value Changes (Detail) (TIS_IFRS7_D6)
- Yield Risk Analysis (Detail) (TIS_IFRS7_D7)

Changed Functions in the TRM Area Menu

As part of the developments for this business function, changes have been made to the UIs for the following functions:

  • Edit Financial Object (JBDO)
  • Define and Set Up Evaluation Type (JBREVAL)
  • Scenario Management (TV21)
  • Edit Financial Transactions(FTR_CREATE, FTR_EDIT)
  • Effectiveness Test(THM80)
  • Subledger Positions(TPM12)
  • Alert Monitor (FTR_ALERT)
  • Hedge Plan List (THMEX)

Renaming

The previous Exposure Management area has been renamed Exposure Management 1.0, since as of this enhancement package, the additional Exposure Management 2.0 exists.

Effects on Customizing

When you activate the business function, you will be able to see some Customizing changes in Treasury and Risk Management:

New IMG Activities

  • The Settings for Exposure Management 2.0 are under Transaction Manager → General Settings → Hedge Accounting for Exposures (E-HA).
See also: FIN_TRM_LR_FI_AN_2: Exposure Management 2.0 (new)
  • You can find the following new IMG activities under Treasury and Risk Management → Basic Analyzer Settings → Automatic Integration of Financial Objects in Transaction Master Data → Operative Exposures:
  • Activate/Deactivate Financial Object Integration

  • Define Derivation Strategy for Exposures

  • BAdI: Exposure

  • There is a new BAdI available; Class, Convert ID Number (TPM_SEC_CONV_SEC_ID) which can be found under Listed Derivatives/Securities → Master Data → Conversions: Internal IDs <→ External IDs

Other Changes

  • The Exposure ManagementIMG structure under Transaction Manager → General Settings → Hedge Accounting for Exposures has been renamed Exposure Management 1.0.
  • The IMG activity Assign Update Types for Derived Business Transactions now includes the new Value Adjustment tab page to assign the update types required for mapping Purchase-GAAP Accounting.
  • New settings are available for the regression analysis under:
  • Treasury and Risk Management → Transaction Manager → General Settings → Hedge Accounting for Exposures (E-HA) → Effectiveness Test → Define Calculation Types. You can now use the fields Effectiveness Method (offset method or regression analysis) and Significance Level.

  • Treasury and Risk Management → Transaction Manager → General Settings → Hedge Accounting for Exposures (E-HA) → Effectiveness Test → Define Assessment Types. The Regression Analysis area is now provided in which you can define intervals and parameters that can be used to determine the effectiveness of a hedging relationship. You can also define the values to be calculated.

  • Treasury and Risk Management → Transaction Manager → General Settings → Hedge Accounting for Exposures (E-HA) → Effectiveness Test → Define Hedge Strategies. Various new fields are now provided to define a hedge strategy that uses the regression analysis. Among other things, the number of data points to be determined is entered and the data points are specified.

Further Information

  • See also the documentation for the new functions in the SAP Library under SAP ERP Central Component → Accounting → SAP Financial Supply Chain Management (FIN-FSCM) → SAP Treasury and Risk Management (TRM).





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