Function documentationTotal Return Swap

 

You can calculate the net present value (NPV) of total return swap deals.

Note Note

This function is available with the business function TRM, New Instruments, Accounting Enhancements, Reporting (FIN_TRM_LR_FI_AN_3).

End of the note.

Features

The NPV is calculated by using market data entered into the system (price per leg or overall amount of the TRS).

Activities

To calculate and view the NPV for a total return swap, go to the SAP Easy Access menu, choose Start of the navigation path Transaction Manager Next navigation step Derivatives Next navigation step Accounting Next navigation step Valuation Next navigation step TPM60 – Determine Net Present Values End of the navigation path, and proceed as follows:

  1. Choose OTC Transactions: MM, Forex, OTC Derivatives in the Product Groups section.

  2. Select Product Type 64A for total return swaps.

  3. Make any other selections in this screen, for example, Company Code or Transaction Type.

  4. Select your evaluation parameters.

  5. Choose Execute.

  6. A list of NPVs that meet your selection criteria is displayed.

More Information

For more information, see: