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FIN_TRM_LR_FI_AN_3: Clearing Threshold Reporting (New) ( RELNTRM_605_LR_FI_AN_14 )

FIN_TRM_LR_FI_AN_3: Clearing Threshold Reporting (New) ( RELNTRM_605_LR_FI_AN_14 )

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FIN_TRM_LR_FI_AN_3: Clearing Threshold Reporting (New)

Use

As of SAP Enhancement Package 5 (SP11) for SAP ERP 6.0, SAP Enhancement Package 6 (SP07) for SAP ERP 6.0, and SAP enhancement package 6 for SAP ERP 6.0, version for SAP HANA, Support Package 01 the clearing threshold reporting is available with business function TRM, New Instruments, Accounting Enhancements, Reporting (FIN_TRM_LR_FI_AN_3).

Non-financial counterparties (NFCs) of derivative financial instruments are not generally required to use a central clearing partner to process these financial transactions. However, NFCs are required to perform clearing only in cases when they have not concluded these financial transactions for risk mitigation and when the rolling average position of these transactions for a period of 30 days exceeds the specified clearing threshold values. Clearing Threshold Reporting (CTR) for Treasury and Risk Management supports NFCs in monitoring their derivative financial transactions that were not concluded for risk mitigation.

The CTR determines the rolling average position for a key date and calculates utilization from this position. If you define a warning level, the system issues a warning message once utilization reaches the warning level.

Effects on Existing Data

New Transactions

In the application menu under Treasury and Risk Management -> Transaction Manager -> Information System -> Reports -> Regulatory Reporting -> Clearing Threshold Reporting (CTR)you find the following new functions:

  • Calculate Key Figures for Clearing Threshold Report (transction FTR_THRESHOLD_CALC)
  • Clearing Threshold Report (transaction FTR_THRESHOLD_DISP)
  • Define Default Values for Risk Mitigation Indicator (transaction FTR_THRESHOLD_RM_DER), you make settings to automatically determine the default value for the "Risk Mitigation" indicator in a financial transaction.
  • You can use the function Set Risk Mitigation Indicator (transaction FTR_THRESHOLD_RM) to set the indicator for existing financial transactions in accordance with the settings that you have made in the function Defining Default Values for Risk Mitigation Indicator.

Effects on Data Transfer

Effects on System Administration

Effects on Customizing

New Customizing

In Customizing for Treasury and Risk Management under Transaction Manager -> General Settings -> Information System you find the following new activities:

Regulations and laws govern, for example, what companies need to report to authorities. In the SAP system, "legal basis" is used to refer to the regulations or laws that form the basis for reporting for companies.
Examples
  • EMIR

  • Dodd-Frank Act

  • Under the new node Clearing Threshold Reporting, you find the following activities:

You perform clearing threshold reporting at the entity level. You assign a legal basis and the related company codes to the clearing threshold entity.
At this level, the system determines the key figures for clearing threshold reporting.

You make the settings in this Customizing activity for each legal basis.
For the system to be able to calculate the rolling average position and the position on the key date, you need to make some settings to determine the notional values and to translate foreign currency amounts into the clearing threshold currency. Further, you define instrument groups and assign your financial transactions to them. You specify the clearing threshold values and the warning level.

Further Information

TRM, New Instruments, Accounting Enhancements, Reporting






BAL_S_LOG - Application Log: Log header data   Vendor Master (General Section)  
This documentation is copyright by SAP AG.

Length: 5629 Date: 20240523 Time: 075856     sap01-206 ( 92 ms )