DCS-Based Prices for Commodity Forwards

The system now supports the DCS-based entries based on commodity forward indexes and by pricing functions for average price commodity forwards.

For the price determination of commodity forward indexes, the Timing field has been added to the entry screen for DCS-based commodity forwards with average prices (manual entry or by using the BAPI). When entering a DCS-based commodity swap by using a commodity forward index, you can enter one of the following entries in the Timing field: Daily, Weekly, Monthly, Quarterly, Half-Yearly, Yearly.

(Comment: The Time to Maturity field is provided for the DCS-based derivative category Commodity Futures.) If no entry is selected in the Timing field, the system automatically determines the nearest available Timing. If, for example, monthly or quarterly settlement prices are available, then the monthly prices are applied during price determination.

Note: For a selected combination of DCS ID, MIC, physical commodity, and timing, commodity prices must be available in the system (see transaction FDCS17).

Technical Details

Technical Name of Product Feature	COMMRM_DCS_CFI_FWD
Product feature is	New
Country Dependency	Valid for all countries
Software Component Version	EA-FINSERV 617
Application Component	FIN-FSCM-TRM (Treasury and Risk Management) FIN-FSCM-TRM-BF (Basic Functions) FIN-FSCM-TRM-TM (Transaction Manager) FIN-FSCM-TRM-CRM (Commodity Risk Management)
Availability	SAP Enhancement Package 7 (SP04) for SAP ERP 6.0
Required Business Function(s)	FIN_TRM_COMM_RM_4

Customizing

For the commodity swap price determination (forecast prices or price fixation) based on the commodity forward index, a DCS with the derivative category 201 - Commodity Forward Index is defined in the Customizing activity Specify Derivative Contract Specification (FDCS01). You can find this setting under Start of the navigation path Treasury and Risk Management Next navigation step Basic Functions Market Data Management Master Data Market Data Based on Derivative Contract Specifications Derivative Contract Specifications End of the navigation path .

The setting for the period determination you can find under Start of the navigation path Derivative Contract Specification Next navigation step Period Determination Commodity Forward Index Specify Period Determination for Commodity Forward Index End of the navigation path .