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TRM, Yield Curve Framework (New) ( RELNTRM_605_YCF_M )

TRM, Yield Curve Framework (New) ( RELNTRM_605_YCF_M )

General Data in Customer Master   TXBHW - Original Tax Base Amount in Local Currency  
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TRM, Yield Curve Framework (New)

Use

The business function TRM, Yield Curve Framework (FIN_TRM_YCF) provides a powerful yield curve framework that enables you to do the following:

  • Define reference interest rates with independent payment and compounding frequencies of less than one year. This makes it possible to have different payment and compounding frequencies for the same reference interest rate.
  • Define basis spreads (tenor or currency spreads) and basis spread curves in market data management.
  • Add basis spread curves to yield curves and account for them in net present value and mark-to-market calculations, including dynamic derivation of the appropriate spread curves from the financial transaction/position attributes at runtime.

Note:

  • The business function is part of SAP enhancement package 5, Support Package 12, for SAP ERP 6.0 (EA-FINSERV 605), SAP enhancement package 6, Support Package 08, for SAP ERP 6.0 (EA-FINSERV 606), SAP enhancement package 6 for SAP ERP 6.0, version for SAP HANA 1.0, Support Package 03 (EA-FINSERV 616), and SAP enhancement package 7, Support Package 01, for SAP ERP 6.0 (EA-FINSERV 617).

  • See SAP Note Relationship of Licenses and Business Functions (1524246) to establish whether you need additional licenses for activating the business function TRM, Yield Curve Framework (FIN_TRM_YCF).

Effects on Existing Data

New Functions in the Area Menu

  • Under Treasury and Risk Management -> Basic Functions -> Market Data Management -> Manual Market Data Entry -> Basis Spreads, you find the new function Enter Basis Spreads (transaction RMBSM)
  • Under Treasury and Risk Management -> Basic Functions -> Market Data Management -> Datafeed -> Current Datafeed Settings, you find the new function Translation Table: Maintain Basis Spreads (transaction S_EIS_72000058)

Changed Functions in the Area Menu

  • The Scenario Administration(transaction TV21) under Market Risk Analyzer -> Information System -> Simulation has been changed:
  • Now you can shift a yield curve only by a manually entered basis point value.

  • If an interest rate would be made negative by a shift, the value of this interest rate is set to zero.

  • In the graphical display, the cubic spline interpolation is no longer supported.

  • On the print list, you can see the reference interest rates grouped by the yield curve.

  • The function graphical display called from the print list has no effect.

Replaced Functions in the Area Menu

  • Under Treasury and Risk Management -> Basic Functions -> Market Data Management -> Manual Market Data Entry, the function Enter and Evaluate Yield Curves (transaction JBYC) has been replaced by transaction JBYCN of the same name.

Removed Functions in the Area Menu

  • Under Treasury and Risk Management -> Market Risk Analyzer -> Tools -> Price Calculator, the function Interest Calculator (transaction TXZI) has been removed from the area menu.

Obsolete Functions

Transactions JB68 and JB69 are obsolete because table JBD11 is obsolete.

Effects on System Administration

  • This business function is not compatible with the analysis part of the component SEM Banking. When you activate the business function, the system checks the following:
  • The existing analysis structures. You must not use analysis structures with Segment-Level Characteristic Category in Analysis Structures 0 [flexible segment-level characteristics (views)].

  • The settings for financial objects. You must not activate financial objects integration for the component STFO Profitibility Analysis.

  • After activating the business function, you have to activate the yield curve framework in Customizing for Treasury and Risk Management under Basic Functions -> Market Data Management -> Master Data -> Settings for Ref. Interest Rates and Yield Curves -> Activate Yield Curve Framework. Otherwise, you cannot use the yield curve framework.
When you activate the yield curve framework, the system offers you the option of migrating your existing settings for reference interest rates and yield curve types to the yield curve framework. For more information, see the program documentation Migration Program.
In the new yield curve framework, statistical data such as volatilites and correlations are alway saved on the basis of the ID of the yield curve type. If you have had yield curve types with yield category Zero Bond Yield, you have to calculate the statistical data again for new VaR calculations.

Effects on Customizing

Replaced Customizing Activities

  • Under Treasury and Risk Management -> Basic Functions -> Market Data Management -> Master Data -> Settings for Ref. Interest Rates and Yield Curves, the following Customizing activities have been replaced:

  • Define Yield Curve Types has been replaced by a Customizing activity with the same name. See also Define Yield Curve Types

  • Under Treasury and Risk Management -> Basic Functions -> Market Data Management -> Manual Market Data Entry -> Interests, the Customizing activity Enter and Evaluate Yield Curves has been replaced by a Customizing activity with the same name. See also Enter and Evaluate Yield Curves.

New Customizing Activities

  • Under Treasury and Risk Management -> Basic Functions -> Market Data Management -> Master Data -> Settings for Ref. Interest Rates and Yield Curves, you find the following new Customizing activity:

And under the new node Basis Spreads, the following new Customizing activity:

  • Under Treasury and Risk Management -> Basic Functions -> Market Data Management -> Manual Market Data Entry, you can find under the new node Basis Spreads the Customizing activity Enter Basis Spreads.
  • Under Treasury and Risk Management -> Basic Functions -> Market Data Management -> Master Data -> File Interface, you find the new node Basis Spreads with the Customizing activity Convert Codes for Quotation Types.
  • Under Treasury and Risk Management -> Basic Functions -> Market Data Management -> Master Data -> Datafeed -> Translation Table, you find the following new Customizing activities:

  • Under Treasury and Risk Management -> Basic Analyzer Settings -> Valuation, you find the following new Customizing activities:

  • Spread Curve Derivation

- BAdI: Derive Basis Spread Curves for Forward Calculation
- BAdI: Derive Basis Spread Curves for Evaluation Purposes

Changed Customizing Activities

  • The Customizing activity Define and Set Up Evaluation Types now allows you to assign basis spread curve types to evaluation types or a valuation rule on the Market Data Categories tab page. On the Evaluation Control tab page, you assign basis spread derivation IDs for forward curves and for evaluation curves. The setting 1001 in the Calculation Routines field is not supported for valuation rules.
  • The activity BAdI: Modify Risk Object is now also available under Treasury and Risk Management -> Basic Analyzer Settings -> Valuation.

Further Information

For more information, see SAP Library under Business Function Sets and Business Functions -> Enterprise Business Functions -> Accounting -> Financial Supply Chain Management -> Treasury and Risk Management -> TRM, Yield Curve Framework.






PERFORM Short Reference   SUBST_MERGE_LIST - merge external lists to one complete list with #if... logic for R3up  
This documentation is copyright by SAP AG.

Length: 12479 Date: 20240523 Time: 041532     sap01-206 ( 176 ms )