TRM: Hedge Management, New Financial Products, New Key Figures 
Technical Name of Business Function |
FIN_TRM_LR_FI_AN |
Type of Business Function |
Enterprise Business Function |
Available As Of |
SAP enhancement package 3 for SAP ERP 6.0 |
Technical Usage |
Financial Services |
Application Component |
Treasury and Risk Management (FIN-FSCM-TRM) |
Directly Dependent Business Function Requiring Activation in Addition |
Financial Services (EA-FS) |
With this business function, you can use various new functions in SAP Treasury and Risk Management (FIN-FSCM-TRM).
In the Hedge Management area, the processes for saving and archiving logs for the effectiveness assessments as well as the hedging relationship documentation have been enhanced. These developments make the process flows more transparent and support auditors with the audit trail.
The new commodities product group has been set up, which, together with the Triple Point front office system, can be used to link the physical side and paper deal side of a commodity futures transaction. The integration with the analyzers enables you to run mark-to-market analyses as well as sensitivity analyses for the commodity paper deals.
You can map the entire life cycle of listed options (normal style) and calculate their net present values using the Market Risk Analyzer.
In the case of money market transactions, you can enter and amortize premiums and discounts.
The determination of relative limits enables you to monitor and adhere to internal as well as external investment guidelines that may be required by insurance controls.
You can calculate the key figure modified duration and the yield to maturity (actual rate of return) in one portfolio, which enables you to analyze interest sensitivity.
The Portfolio Analyzer helps you determine your portfolio risk; the Sharpe ratio and Jensen's alpha help you better assess the quality of your portfolio yield that is calculated for benchmarking purposes.
New accounting functions help you post intragroup transactions and impairments, and simplify your closing operations.
Prerequisites
You have installed the following components as of the version given:
Type of Component |
Component |
Is Needed Only for the Following Features |
|---|---|---|
Software Component |
EA-FINSERV 603 SAP_APPL 603 |
|
Business Intelligence content |
SAP NetWeaver 7.0 BI Content Add-On 3 SP08 |
Only required if you want to use the BI Content delivered with this business function in SAP Business Information Warehouse (BW). |
You have activated the enterprise extension Financial Services (EA-FS).
You have activated the enterprise business function TRM: Hedge Management, New Financial Instruments, New Key Figures (FIN_TRM_LR_FI_AN).
If you are using the Transaction Manager and have activated the business function, you then need to make the necessary conversion steps in Customizing for the Transaction Manager. To do this, choose
Treasury and Risk Management 
Transaction Manager General Settings Tools Conversion Programs 
.See also: For more information, see the release information FIN_TRM_LR_FI_AN: Required and Optional Migration Steps.
For information on activating the individual functions in Customizing, see the release information FIN_TRM_LR_FI_AN: TRM: Hedge, new financial products, new key figures (new) and FIN_TRM_LR_FI_AN: Changes in the Structure of the IMG for TRM.
Features
Enhancements in Hedge Management
To improve the transparency of the process flows in the Hedge Management area, you can save effectiveness test logs in the database.
You can utilize your memory resources by archiving the logs.
To hedge a net investment for a foreign subsidiary, you can now also specify a money market transaction as a hedging instrument.
You can now also assign financial transactions to existing exposures.
Two fields added to the hedge plan (Grouping and Program) enable you to group hedging relationships to suit your requirements.
New Instruments
You can map the following commodity paper deals:
Commodity futures
Options on commodity futures
Commodity forwards
The system supports processing the financial transactions in the back office from the posting stage, to margin management, through to calculating the net present values in the Market Risk Analyzer. The Analyzer can also execute mark-to market analyses and sensitivity analyses (VaR) for commodities. Functions available for analyzing commodity paper deals include the net present value analysis (JBRX), key figure analysis (AISGENKF), and single value analysis (profit and loss) (AISPL).
The agreement with Triple Point, providing a front office system, enables you to link the physical side and paper deal side of a commodity futures transaction.
You can map the entire life cycle of listed options (normal style). You can use the Exercise Rights function to map the exercise with delivery, exercise with cash settlement, or the expiration for the following option categories:
Options on stocks
Options on bonds
Options on securities indexes
You can also calculate the net present values of these option categories using the Market Risk Analyzer.
When you enter a money market transaction (fixed-term deposit, cash flow transaction, interest rate instrument, Commercial Paper), you can now also use the Nominal Amount field. The system uses the difference between the nominal amount and payment amount to generate a premium flow or discount flow. These premium and discount flows can be amortized. This enables you to easily map loans issued to subsidiary companies that have not been completely disbursed, for example. The system then posts the correct amortization amount automatically.
Enhanced Limit Reporting
Enhanced limit reporting in the Portfolio Analyzer enables you to define and monitor relative limits at portfolio level. This means that you can monitor and adhere to internal as well as external investment guidelines that may be required by insurance controls.
Within the enhanced limit reporting function, you can navigate to individual transactions. You can check the book values and net present values of individual transactions and also check limit utilization and limit rates on certain key dates. It is also possible to perform a comparative limit analysis in two portfolios. The results database is used to calculate and save the data.
New Key Figures
In the Market Risk Analyzer, you can use the key figure analysis (AISGENKF) and results database (AFWKF_RA), (the results of which you can view using the Analyzer Information System), to calculate in a portfolio the new key figures modified duration and yield to maturity (actual rate of return) for interest-bearing instruments.
The Portfolio Analyzer helps you determine your portfolio risk by using the following new key figures to help you better calculate the quality of your portfolio yield for benchmarking purposes:
Sharpe ratio
Jensen's alpha
Treynor ratio
Tracking errors
Information ratio
Sortino ratio
The key figures are calculated with the function Determination of Risk-Adjusted Measures (PAEPBM_RATIO).
New Accounting Functions for Financial Transactions and Positions
You can use this new function to view intragroup transactions in the system for financial transactions with the following product categories:
Stocks (010)
Investment certificates (020)
Bonds (040)
Bond with installment repayment (042)
Investment (160)
To ensure that the overall group result is not affected by intragroup transactions, you need to remove the intragroup transactions from the consolidated accounts. The Edit Intragroup Transactions function clears profits and losses from the sales by generating clearing flows for the intragroup purchases according to the profits or losses in the corresponding intragroup sale.
Enhancements Impairments
You can post impairments either with or without the reset function.
You can also record an impairment in foreign currency.
When you post impairment, you can choose to reset the foreign exchange results recorded during the OCI (equity) valuation.
You can convert the security impairment using either the foreign market exchange rate or the book exchange rate.
You can amortize an existing impairment.
In the function Market Values for Special Security Valuation you can now also enter an amount for the net present value in valuation currency.
Enhancements made to the foreign currency valuation of available for sale positions.
You can value monetary items of Available for ale (AfS) positions in a foreign currency so that currency translation differences resulting from changes in amortized costs can be posted to the profit and loss account.
Other changes to the book value are entered in equity.
More Information
In the main release information FIN_TRM_LR_FI_AN: Hedge Management, New Financial Products, New Key Figures and in the detailed release notes, you can refer to a list of the new and changed functions. For more information on the individual functions, see the SAP Library under SAP ERP Central Component Accounting SAP Financial Supply Chain Management (FIN-FSCM) SAP Treasury and Risk Management (TRM) .