Changes to Sample Customizing

Scope of Functions

The sample Customizing settings for Treasury have been revised. Important changes were made in the following areas:

Basic Functions

• The following valuation principles were renamed:

One-step valuation principles:

	Old name	New name
	001		101	1-step, strict LVP
	002		103	1-step, diluted LVP
	TR1		102	1-step, market value

Two-step valuation principles:

	Old name	New name
	003		201	2-step, sec., FC strict LVP
	004		202	2-step, FC, sec. strict LVP

• The following new valuation classes were defined:

	Name		Val.cat.	Val.principle
	SEC FA	20		103	(Securities: Fixed assets)
	SEC CA	20		101	(Securities: Current assets)

• In the IMG step 'Define Traders' the entries Trader 01 - Trader 04 were created.

• In the IMG step 'Assign Calendar' the currency EUR was assigned to the factory calendar EU. The factory calendar EU (European Currency Union) was defined with the public holiday calendar EU (public holidays: Christmas Day, New Year) in the SAP Reference IMG under ' General Settings -> Maintain Calendar'.

Money Market and Foreign Exchange

• The name of the product type 'Deposit at notice' was changed to 'Call money'.

• Product 60A is now called 'Foreign exchange (FX)'.

Derivative Financial Instruments

The following changes were made in the IMG step 'Define Product Type':

• The product type currency interest rate swap was deleted.

• The supplement 'IRS' has been added to the product type for the interest rate swap.

• The supplement 'CCS' has been added to the product type for the currency swap.

• The former product type 'OTC bond option' has been replaced by the following product types:

• 76H OTC security option long call

• 76I OTC security option short put

• 76J OTC security option long put

• 76K OTC security option short call

Product type 71B 'Security as underlying' was assigned as the underlying.

• 76L Compound FX option long call

• 76M Compound FX option short put

• 76N Compound FX option long put

• 76O Compound FX option short call

• 76P IRG long call

• 76Q IRG short put

• 76R IRG long put

• 76S IRG short call

Only transaction type 100 'Purchase' was assigned to the product types 'long call' and 'long put ', and only transaction type 200 'Sale' was assigned to the product types 'short call' and 'short put'.

The following four product types were defined to differentiate swaptions according to the underlying and the resulting position ('long' or 'short'):

• 76T Swaption on IRS long

• 76U Swaption on IRS short

• 76V Swaption on CCS long

• 76W Swaption on CCS short

'European-style' exercise is defined as the default for all OTC options.

The supplement 'no release' has been added for listed options.

• In the IMG step 'Define Transaction Types' the following new transaction types were created:

• Transaction types 'Payer', 'Receiver' and 'Basis' for trading with interest rate swaps and currency swaps.

• Transaction type 'fix to fix' for currency swaps.

The transaction type 'swap' was kept as the underlying for a swaption.

• The settings for correspondence activities have been adapted to reflect the changes to the product types and transaction types.

Loans

• The following product types were renamed:

	Old PType	New PType	Text
	33C		33A		General loan given
	331		33B		General loan taken

The names were changed in all the tables dependent on the product type.

• Up to now, the following flow types were used for resetting foreign currency valuations:

8110 A_Unrealized exchange rate loss (write-down)

8120 A_Unrealized exchange rate gain (write-up)

8610 P_Unrealized exchange rate loss (write-up)

8620 P_Unrealized exchange rate gain (write-down)

Each time a valuation was reset, the balances of the accounts for 'unrealized exchange rate gains/losses' increased. The following flow types have now been added, which means that the reset posting is a reverse posting of the original valuation:

8170 A_Reset unrealized exchange rate gain

8180 A_Reset unrealized exchange rate loss

8670 P_Reset unrealized exchange rate gain

8680 P_Reset unrealized exchange rate loss

The Customizing settings for foreign currency loans has also been adapted in other places.

• In the IMG step 'Assign Offsetting Flow' a new relationship has been added (043 TR-LO Overpayment resulting from reversal of advance payment/overpayment reduction). If an incoming payment resulting from an advance payment/overpayment is reversed (which means that the original reduction in the advance payment/overpayment no longer applies), this relationship controls the posting of the incoming payment to the overpayments account.

• In the IMG step 'Define Flow Types', the activity category for incoming payment postprocessing flow types that involve transfer postings of credit items to G/L accounts (for example Post overpayment/advance payment to revenue) has changed:
  

Old activity category New activity category

0006 Take off acct.: Credit 0041 Transfer to G/L account: Credit (IPP)

Market Risk Management

• The currencies EUR and JPY have been added to the yield curves 990 and 991 . The names of the reference interest rates for the currencies DEM and USD have been adapted accordingly.

• The entries in the IMG step 'Define Price/NPV Type for OTC Transactions ' have been reduced to the two following entries:

• 001 Continuous valuation

• 002 Day-end valuation

• The old evaluation type 01 has been replaced by a new evaluation type '0001 MRM standard evaluation'.