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 TRM, New Instruments, Accounting Enhancements, Reporting


With this business function, you can use new functions in SAP Treasury and Risk Management that improve efficiency and fulfill legal requirements in the areas of position management and accounting and include enhancements in reporting and straight-through processing.

You can map the entire lifecycle of the new financial instruments forward loan purchase, fiduciary deposit, and total return swap from beginning to end, including master data management, valuation, postings, and position management, and calculate their net present values using the Market Risk Analyzer.

Technical Data

Technical Name of Business Function


Type of Business Function

Enterprise Business Function

Available As Of

SAP enhancement package 5 for SAP ERP 6.0

Technical Usage

Financial Services

Application Component

SAP Treasury and Risk Management (FIN-FSCM-TRM)

Directly Dependent Business Function Requiring Activation in Addition

TRM, Hedge and Exposure Management, New Financial Product (FIN_TRM_LR_FI_AN_2)



New Financial Instruments

Management of the financial instruments forward loan purchase, fiduciary deposit, and total return swap from start to end within SAP Treasury and Risk Management (including master data, valuation, postings, and position management).

  • Fiduciary Deposit (new product type 570 Fiduciary Deposit)

    Fiduciary deposits are equivalent to asset swaps in that they behave like a credit portfolio with an interest rate swap. The credit portfolio (the pool of assets) is chosen by the depositor who bears all its credit risk.

  • Forward Loan Purchase (new product type 790 Forward Loans)

    A forward loan purchase is an agreement between two counterparties entering into a loan contract. The loan is not paid out directly after the agreement but at a later point in time. All the loan ingredients are fixed at the contract closure. Processing related to the new feature begins in Loans Management and continues in the Transaction Manager of SAP Treasury and Risk Management (TRM). The approach is to build up the derivative (forward contract) in the TRM application and reuse many functions of the product category 740. The loans contract is built up in the Loans Management module using existing functions.

  • Total Return Swap (new product type 640 Total Return Swap)

    With this financial instrument, you can swap the total return of a single asset in exchange for periodic cash flows, or you can swap periodic cash flows for the total return of a single asset. The periodic cash flow is typically a floating rate, such as LIBOR +/- a basis point spread, and a guarantee against any capital losses. With a total return swap, the total return (cash flows plus capital appreciation or depreciation) is exchanged, and not just the cash flows. This new financial instrument allows the counterparties to swap the total return (cash flows plus capital appreciation or depreciation) of an asset or basket of assets in exchange for periodic cash flows.

Accounting Enhancements
  • Enhancements in Single Position Management

    • You can use the portfolio as a new differentiation criterion for single position management.

    • You can use HIFO/LOFO as new consumption sequence procedure.

      • With HIFO (highest in, first out), the position that is sold is the one that has highest acquisition value.

      • With LOFO (lowest in, first out) the position that is sold is the one that has lowest acquisition value.

    • You can avail of different consumption sequences procedures depending on the business transaction category.

  • Manual Posting Considers Differentiation Criteria

    The manual posting function (transaction FWBS) is able to post in securities account management indicating the differentiation criteria that is used for position differentiation.

  • Derivation of Additional Account Assignments

    During the consolidation process subassignments for certain group financial statement items are required. The subassignments must be delivered at the posting point in the general ledger. On behalf of the new derivation tool you can fill the following target fields in the FI document with values:

    • Business Area

    • Trading partner's business area

    • Partner Profit Center

    • Profit Center

    • Partner Segment for Segmental Reporting

    • Segment for Segmental Reporting

    • Movement Type (Inventory Management)

    • Company ID of trading partner

    • Reference key for line item

    This derivation tool is called when documents are being posted to FI. During posting the target fields mentioned above will get updated in the FI document according to the defined derivation steps.

  • Year End Valuation with Reset Flows

    For year end valuation you now can opt to have it reset afterwards.

  • Retrospective SAC Amortization Method for MBS according to FASB91

    This method is based on the cash flows with estimated prepayments embedded in those cash flows. Using the actual prepayments from the date of acquisition to the reporting date and the expected future prepayments from the reporting date onward, a new effective yield is calculated from the date of acquisition. The amortized acquisition value is adjusted to the amount that would have existed had the new effective yield been applied since acquisition. The difference between the new amortized acquisition value and the actual amortized acquisition value is debited or credited to interest income.

  • Separating Posting and Paying

    Simplifies and enhances the process of payments in SAP Treasury and Risk Management by enabling payments without posting the deal. It is possible to post a flow without paying and vice versa. By separating the payment step from the posting step, you can initiate the payment first and the posting later, enabling you to make urgent payments from financial transactions. When you want to see only the flows which are paid, you can use the new payment journal (transaction TPM20A).

  • Rounding Rule for Currency Translation at Valuation

    You can choose to round down the valuation amount in valuation currency after currency translation.

  • You can choose between the book rate and the market rate for the conversion of the amortization amount into valuation currency.

  • Special security valuation is now also possible for one step valuation procedures

Enhancements for Process Optimization
  • Additional Tab Pages in Class Data

    Two additional tab pages in class data (transaction FWZZ) are available:

    • One tab page has been predefined by SAP and you can customize the names and values of the available fields.

    • The other tab page can be created by using the BAdI: Additional Tab Page in Class Data (TPM_SEC_CUST_DATA).

  • New Authorization Check for Security Price Maintenance

    The new check is based on the price types. This allows independent companies in one client, to share common market data with separate price types at the same time.

  • Archiving Raw Exposures and Exposure Positions

    Within Exposure Management 2.0 you can archive raw exposures and exposure positions.

Enhancements in the Transaction Management
  • Flexible Conversion of Foreign Exchange Rates within the Transaction Management

    You can use the rate type for currency conversion to local currency defined for the company code also in financial transactions, in case you don't want to use the exhange rate type M for currency translation within the financial transactions.

  • Variable Rate/Price Calculation

    The functions for variable interest calculation (transactions TI10, TI11, TI12, TI37, TJ05, TJ05_REV, TJ09) have been changed. Now you can adjust interest rates and also security prices. The structure nodes are renamed to Variable Rate/Price Calculation.

  • New Business Application Programming Interface (BAPI) for Security Lending (BUS5770)

    You can use this BAPI to create, change, reverse, rollover and give notice security lending transactions. You also can use the functions Get Detail and Prepare Change Structure.

  • SEPA direct debit in TRM

Reporting Enhancements
  • FAS 157 Reporting

    FAS157 reports is compliance reporting of fair values of financial instruments. The report displays the fair values of financial instruments and the system is able to classify the instruments in 3 levels.

  • Accounting Analyzer

    Positions and subpositions are now integrated as financial objects in the Risk Analyzer. Within the new Accounting Analyzer you can report the position components of financal transactions and positions based on a specific granularity (portfolio hierarchy) with regard to Market Risk Analyzer and accounting key figures. This is possible for all instruments in the area of securities.

  • Clearing Threshold Reporting (CTR)

  • Trade Repository Reporting

Credit Risk Analyzer


For examples, see the test case descriptions for the business function. Call transaction Switch Framework Customizing (SFW5) and then call the test catalog with the same name for the business function TRM, New Instruments, Accounting Enhancements, Reporting (FIN_TRM_LR_FI_AN_3).

More Information

  • For more information, see release note FIN_TRM_LR_FI_AN_3: TRM, New Instruments, Accounting Enhancements, Reporting (New).

  • For more information on the individual functions, see the SAP Library under Start of the navigation path SAP ERP Central Component Next navigation step Accounting Next navigation step SAP Financial Supply Chain Management (FIN-FSCM) Next navigation step SAP Treasury and Risk Management (TRM) End of the navigation path .