Entering content frameBackground documentation Conversion Program for OTC Derivatives Locate the document in its SAP Library structure

Use

The data conversion for OTC derivatives is a series of reports that you run once (when you implement Release CFM 1.0 or a higher release). They affect the cap, floor, swap and FRA product categories, as well as OTC options with these product categories as underlying transactions.

You must run these reports directly after you have upgraded to CFM 1.0, before you work with the product categories mentioned above. This enables you to use the new interest rate adjustment function. (The interest rate adjustment function is a shared function used for interest rate instruments in the Money Market and Interest Rate Derivatives areas). The conversion program also integrates the planned record update function with the existing transaction management functions. (For more information, see Interest Rate Adjustments and Updating Planned Records).

Note 

Once you have executed the reports, the FI function Display Original Document no longer works for documents created before the following support packages:

Procedure

  1. To call the report, enter transaction OTC_CONV. The Conversion to CFM screen appears. Here, you also find the individual steps for the conversion to CFM for the Derivatives and Securities application areas.

    2. In the Steps in conversion to CFM 1.0 (independent of company code) area, you will find steps A1/A2 and B1/B2 for converting the data for OTC derivatives. These steps convert OTC interest rate instruments (product categories 610, 620 and 630) and OTC interest underlyings (underlying transactions for OTC options with product category 620 or 630). The transaction and the underlying transaction are both converted in two single steps:

    1. The system saves the existing data temporarily to the database. This ensures that the second step can be repeated. (A1 saves OTC interest rate instruments / B1 saves OTC interest rate underlying)
    2. The transactions are converted (actual data conversion). (A2 converts OTC interest rate instruments / B2 converts OTC interest rate underlying)

    Note

    If you manage futures as well as OTC derivatives in the system, you also have to perform the Generate futures accounts step.

    If you also use the Securities application, you have to carry out all the steps, both the company code-independent steps and the company code-dependent steps for the conversion to CFM.

    See also the documentation on the steps (Documentation pushbutton on the initial screen).

  2. Carry out the steps in the specified order (A1 -> A2 -> B1 -> B2). Carry out each step in a test run first. Only perform the relevant step when you have successfully completed the test run.

Note

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