What's New Viewer - SAP S/4HANA

TRM, HM, HACC (FX Risk), Key Figure Calculation Enhanced

With this feature the new column Prorated Amount is added to the table for displaying hedge accounting key figures calculated at designation and at period-end close.

In addition, calculation logs for all key figures are now available.

Further, you can influence the calculation of hedge accounting key figures and the creation of hypothetical derivative by defining the from-currency within the hedge accounting calculation types.

Technical Details

Technical Name of Product Feature

FEAT_158814

Product Feature is

Changed

Country Dependency

Valid for all countries

Application Component

FIN-FSCM-TRM

Availability

SAP S/4HANA 1610 FPS02

Additional Details

  • Prorated Amount

    If a hedging instrument is partially designated in a hedging relationship, the system handles amounts as follows:

    • Prorated amounts correspond to the designated portion.

    • Total amounts correspond to the full nominal.

    The prorated amount is calculated for each market value component and element separately by multiplying the total amount with the percentage representing the designation percentage. Further adaptations to account for rounding effects are not applied. Consequently, the sum of the prorated market value components might not always be exactly equal to the prorated full market value.

  • Calculation Type: Define From-Currency

    You define the hedge accounting calculation types in the Customizing actvity Define Hedge Accounting Calculation Types.

    FX hedge accounting calculations require the two currencies of a hedging instrument to be defined as the from-currency and the to-currency accordingly. In the calculation type, you define the from-currency.

    The setting has two effects:

    • The hedging instrument nominal in the from-currency is taken over into the hypothetical derivative. The hypothetical derivative nominal in the to-currency is then calculated based on the forward rate of the hypothetical derivative.

    • For FX forwards as hedging instruments, the calculation of elements and market value components requires the decomposition of the contract rate F. The result depends on whether the contract rate is used in direct or indirect quotation. This setting has the effect that the rate used satisfies the equation N_t = N_f * F, where N_t and N_f are the hedging instrument nominals in the to-currency and from-currency respectively.

    This setting controls the creation of hypothetical derivatives as well as contract rate decomposition to ensure hedging effectiveness. Allowing different settings for the two use cases would not ensure the same effectiveness.

    In the Customizing activity Define Hedging Profiles, you can assign the hedge accounting calculation types to hedging profiles using the scenarios of the Hedge Management and Accounting of Net Open Exposures (such as scenarios 910 and 920).

Effects on Customizing

The new Customizing activity Define Hedge Accounting Calculation Types is available in the Customizing for Treasury and Risk Management under Start of the navigation pathTransaction Manager Next navigation step General Settings Next navigation step Hedge Accounting for Positions Next navigation step Settings for Automated Designation of Exposure Items (FX Risk)End of the navigation path.

See also

For more information, see http://help.sap.com/s4hana_op_1610_002 under Start of the navigation pathProduct Assistance Next navigation step Enterprise Business Applications Next navigation step Finance Next navigation step Treasury and Financial Risk Management Next navigation step SAP Treasury and Risk ManagementEnd of the navigation path. Search for Hedge Management and Accounting of Net Open Exposures (FX Risk).