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 TRM, Credit Spreads

 

The product feature TRM, Credit Spreads enables you to do the following:

  • Automatically import credit spread market data (for example, using datafeed) or enter it manually.

  • Flexibly process credit spreads for different types of reference entity, such as business partners, security IDs, or company codes.

  • Add credit spread curves to discounting yield curves (supported by the dynamic derivation of corresponding spread curves from financial transaction attributes and position attributes). The price calculator then takes these into consideration when calculating mark-to-market net present values.

  • Consider credit spreads in scenario administration (transaction TV21) and market data shifts (transaction JBR0).

Technical Details

Technical Name of Product Feature

ERP-FIN-TRM-CS-1

Product feature is

new

Country Dependency

Valid for all countries

Software Component Version

EA-FINSERV

Application Component

FIN-FSCM-TRM

Availability

SAP enhancement package 5, Support Package 14, for SAP ERP 6.0

SAP enhancement package 6, Support Package 12, for SAP ERP 6.0

SAP enhancement package 6 for SAP ERP 6.0, version for SAP HANA 1.0, Support Package 07, for SAP ERP 6.0

SAP enhancement package 7, Support Package 04, for SAP ERP 6.0

Required Business Functions

TRM, Credit-Spreads (reversibel) FIN_TRM_CS

Note Note

When you want to use all functions for this product feature, you also have to activate the business function TRM, Zinskurven-Framework (reversibel) (FIN_TRM_YCF).

End of the note.

Existing Data

New Functions in the Area Menu

  • Under Start of the navigation path Treasury and Risk Management Next navigation step Basic Functions Next navigation step Market Data Management Next navigation step Manual Market Data Entry Next navigation step Credit Spread Curves End of the navigation path, you find the following new functions:

    • Create Reference Entities for Business Partners (transaction RMREBP)

    • Maintain Reference Entities (transaction RMRE)

    • Enter Credit Spreads (transaction RMCSM)

  • The new function Assign Reference Entities to Business Partners (transaction RMBPRE_ASSIGN) is available under Start of the navigation path Treasury and Risk Management Next navigation step Market Risk Analyzer / Portfolio Analyzer / Accounting Analyzer / Analyzer for Commodities Next navigation step Evaluation Control Next navigation step Valuation Settings End of the navigation path.

Changed Functions

The function Define and Set Up Evaluation Type (transaction S_KFM_86000118), which is also available in the Customizing has been enhanced with the credit spread curve settings on tab page Evaluation Control for the evaluation type and also for the valuation rule specific settings.

Customizing

New Customizing Activities

  • Under Start of the navigation path Treasury and Risk Management Next navigation step Basic Functions Next navigation step Market Data Management Next navigation step Master Data End of the navigation path, you find the following new Customizing activities under the new node Credit Spread Curves:

    • Define Credit-Spread-IDs

    • Define Credit Spread Curve Structures

  • Under Start of the navigation path Treasury and Risk Management Next navigation step Basic Analyzer Settings Next navigation step Valuation End of the navigation path, you find the following new Customizing activities:

    • Define Reference Entity Derivation IDs

    • Spread Curve Derivation

      • BAdI: Derive Reference Entities for Your Own Companies

      • BAdI: Derive Reference Entities for Business Partners

    • Under Start of the navigation path Treasury and Risk Management Next navigation step Basic Functions Next navigation step Market Data Management Next navigation step Master Data Next navigation step File Interface End of the navigation path you find the new node Credit Spreads and below the new Customizing activity Convert Codes for Quotation Types.

    • Under Start of the navigation path Treasury and Risk Management Next navigation step Basic Functions Next navigation step Market Data Management Next navigation step Master Data Next navigation step Datafeed Next navigation step Translation Table End of the navigation path, you find the following new Customizing activities:

      • Under node Define Datafeed Conversion Codes the new activity Convert Codes for Credit Spread Quotation Types

      • Define Credit Spreads

See also:

Customizing for Credit Spreads