TRM, New Instruments,

Accounting Enhancements,
Reporting
Use
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.

Table 42: Technical Data

Technical Name of Business Function FIN_TRM_LR_FI_AN_3

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

Prerequisites
 You have installed the following components as of the version mentioned:

Type of Component Component Is Needed Only for the Following Features

Software Component EA-FINSERV 605

SAP_APPL 605

 You have activated the following business functions:

o Financial Services (EA-FS)

o TRM: Hedge Accounting, New Financial Instruments, New Key Figures

(FIN_TRM_LR_FI_AN)

o TRM, Hedge and Exposure Management, new financial product

(FIN_TRM_LR_FI_AN_2)

o TRM, New Instruments, Accounting Enhancements, Reporting

(FIN_TRM_LR_FI_AN_3)

(this business function)

 For information on activating the individual functions in Customizing, see the

release note FIN_TRM_LR_FI_AN_3: New Instruments, Accounting Enhancements,
Reporting (new).

Features
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

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

o 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.

o 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:

o Business Area

o Trading partner's business area

o Partner Profit Center

o Profit Center
o Partner Segment for Segmental Reporting

o Segment for Segmental Reporting

o Movement Type (Inventory Management)

o Company ID of trading partner

o 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:

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

o 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

 Enhancement in End-of-Day Processing

Within the Credit Risk Analyzer it is now possible to run the End-of-Day
Processing (transaction KLNACHT) per company code.

 TRM, CRA, Negative Attributable Amounts

 TRM, CRA, Calculation Method for Calculation Base of the NG

Example
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 SAP
ERP Central Component Accounting SAP Financial Supply Chain
Management (FIN-FSCM) SAP Treasury and Risk Management (TRM) .