Customizing for Hedge
Management
Hedging Classification
Define hedging classifications
You define your hedging classifications in Customizing of Treasury and Risk
Management, under Transaction Manager General Settings Hedge
Management Define Hedging Classifications.
Make the hedging classification available in transaction management
The hedging classification is available in the financial transaction data on
the Administration tab for the following product categories:
o Foreign Exchange (600)
o OTC Options (760)
You control how the fields appear on the tab page in Customizing for Treasury and Risk
Management, under Transaction Manager General Settings Transaction
Management Define Field Selection using the field group 158 Hedging
Classification.
Customize Values for Assignment, Characteristics, and Internal
Reference Fields
You can use the Assignment, Characteristics, and Internal Reference fields available
on Administration tab of financial transaction data for the automatic derivation of the hedging
classifications. In this case, you can define the possible values for the fields in Customizing. To
ensure the correct derivation of the hedging classification, you can activate the check for product
types which are allowed as hedging instruments within the process. The check compares the
entered field value with the values defined in Customizing. If a user enters a value in the specific
field in the financial transaction data which is not available in the Customizing the system raises
a message:
If the financial transaction has been created before the valid-from date of the check, the
systems displays a warning message.
If the financial transaction has been created after the valid-from date of the check, the
system raises an error message and you cannot save the financial transaction.
1. Define field values
You define the values for the Assignment, Characteristics, and Internal
Reference field in the Define Values for Assignment Field, Define Values for
Characteristics Field, and Define Values for Internal Reference Field Customizing
activities under Transaction Manager General Settings Transaction
Management Values for Fields on Administration Tab. These values are available in
the input help of the fields on the Administration tab of financial transaction data. But it
is still possible to enter other texts in this fields.
2. Activate check
In Customizing under Transaction Manager General Settings Transaction
Management Values for Fields on Administration Tab Activate Check of Entered
Values for Product Types/Fields, you can activate a check that does not allow the entry
of other texts than the customized values for financial transactions of product types that
are available as hedging instruments in the Hedge Management and Accounting of
Exposure Items process.
Automatic Derivation of Hedging Classification
You can define rules for the automatic derivation of the hedging classifications during the
creation of financial transactions used as hedging instruments within the Hedge Management
and Accounting of Net Open Exposure (FX Risk) process.
In Customizing of Transaction Manager under General Settings Transaction
Management Derivation of Hedging Classification, the following Customizing activities are
available:
Define Derivation Rules for Hedging Classifications
You can define derivation Rules, Moves, and/or Clears to derive the hedging
classification, dependent on the values of the following source fields:
o ASSIGNMENT Assignment
o BEHALF_OF_COMPANY On Behalf of Company Code
o BUSINESS_AREA Business Area
o CHARACTERISTICS Characteristics
o COMPANY_CODE Company Code
o COST_CENTER Cost Center
o COUNTRY Country Key
o CURRENCY_IN Currency of Incoming Side
o CURRENCY_OUT Currency of Outgoing Side
o HEDGE_CLASS Hedging Classification
o HEDGE_REQUEST_ID Hedge Request ID
o PORTFOLIO Portfolio
o INTERNAL_REFERENCE Internal Reference
o PROFIT_CENTER Profit Center
o SEGMENT Segment for Segmental Reporting
o WBS_ELEMENT WBS Element
o DEAL_TYPE Financial Transaction Type
o DEAL_CATEGORY Transaction Category
o PRODUCT_CATEGORY Product Category
o PRODUCT_TYPE Product Type
You can also define an Enhancement. In case of Enhancement, you provide the
business logic in the BAdI: Derivation of Hedging Classification provided by SAP to
specify how the target fields are derived from the source fields.You can make the use of
an enhancement dependent on the fulfillment of a condition.
The automatic derivation is called during the creation of the financial transactions at the
latest point in time before the financial transaction is saved.
Additional Hints
o If the derivation result is a hedging classification that does not exist, it will be
cleared and a warning message is issued. It is not possible to enter an invalid
hedging classification.
In this case, the correct hedging classification needs to be entered manually.
o If a hedge request ID is entered in the financial transaction, and the derivation
result is a hedging classification that differs from the hedging classification
entered in the hedge request, the system raises a warning message, but the
derived value is not cleared. So, it is possible to enter a deviating hedging
classification.
o After the financial transaction is created by the Treasury Specialist - Front Office
and the derivation of the hedging classification is finished, the Treasury Specialist
- Back Office or another person authorized to change financial transaction data
can manually change the automatically-derived hedging classification.
BAdI: Derivation of Hedging Classification
You can use the Business Add-In (BAdI) BADI_TPM_DERIVE_HCLASS to derive the
hedging classification for your financial transactions.
This BAdI is called when a financial transaction is saved and you defined an
enhancement step under Define Derivation Rules for Hedging Classification.
Additional Fields
The following fields are available in transaction management on the Administration tab in the
financial transaction data:
Portfolio
Profit Center
Cost Center
WBS element
Business Area
Segment
On Behalf of Company
Country
If you want to use one or more of these fields as differentiation criteria in the hedging area, you
have to do the following:
1. Make the additional fields available in transaction management
You control how the fields appear on the tab page in Customizing for Treasury and Risk
Management, under Transaction Manager General Settings Transaction
Management Define Field Selection using the following field groups:
o 115 Portfolio
o 159 Profit Center
o 160 Cost Center
o 161 WBS Element
o 162 Business Area
o 163 Country
o 164 Segment
o 165 On Behalf of Company
Note
Ensure that the fields that you want to use as differentiation criteria are filled in the data
of the financial transactions.
2. Use the additional fields as differentiation criteria in Exposure Management 2.0
The fields are available as additional differentiation criteria for your exposure positions
types in Customizing for Treasury and Risk Management, under Transaction
Manager General Settings Exposure Management 2.0 Define Exposure Position
Types.
NoteEnsure that the fields that are used as differentiation criteria are filled in the data of
your raw exposures.
Hedge Request ID
In addition, you have to make the Hedge Request ID field available on the Administration tab in
the financial transaction data, which will be shown in the Position Assignment area.
You control how the fields appear on the tab in Customizing for Treasury and Risk
Management, under Transaction Manager General Settings Transaction
Management Define Field Selection using the following field groups:
166 Hedge Request ID
Target Quotas
If you want to define target quotas for the hedge quotas in the hedging area master data, you
first have to create one or more target quota types in Customizing for Treasury and Risk
Management, under Transaction Manager General Settings Hedge Management Define
Target Quota Types.
You have to enter a name and a description as well as a target quota category.
The target quota category defines the kind of target quota. The target quota can be one of the
following:
Limit
One limit in percentage
Band
A lower limit (first Limit) and an upper limit (second limit) define the target quota zone.
Secondly, you have to define a time pattern for the master data target quota under Defining
Time Patterns for Target Quotas (transaction TOE_TIME_PATTERN).
Authorization Groups
In this Customizing activity, Define Authorization Groups for Hedging Areas, you define
authorization groups for your hedging areas.
You must assign the authorization groups in the hedging area master data.
The authorization objects Hedging Area (T_TOE_HA), Hedge Management: Snapshot
(T_TOESNP), Hedge Management Cockpit (T_TOE_HMC), and the Authorization Object for
Hedge Requests (T_TOE_HR) use the authorization group for hedging areas as an authorization
field.
1. Choose New Entries.
2. Enter a 5-digit name for the authorization group and a description.
3. When you have entered all necessary authorization groups, save your entries.
Define Rounding Rules
You define rounding rules in Customizing for Treasury and Risk Management,
under Transaction Manager General Settings Transaction
Management Currencies Define Rounding Rules.
In this Customizing activity, you create rounding rules.
Assign Rounding Rules and Tolerances
You assign the rounding rules and tolerances in Customizing for Treasury and Risk
Management, under Transaction Manager General Settings Transaction
Management Currencies Assign Rounding Rules and Tolerances.
In this Customizing activity, you assign special rounding rules and tolerances to currencies
relevant for the calculation of the opposite amount in FX transactions.
1. Choose New Entries.
2. Enter the company code.
3. Enter the currency.
4. Choose the rounding rule.
5. Enter the tolerance in percent for manual changes to the calculated opposite amounts of
an FX transaction.
Note
o You can enter a tolerance for a currency without assigning a rounding rule.
o If you do not enter a tolerance, you cannot change the calculated opposite
amounts.
Define Hedge Request Reasons
In this Customizing activity, you define reasons for hedge requests.
Hedge Accounting
If you would like to make hedge accounting and use the automated designation process, you
have to make the necessary Settings for Hedge Accounting for Exposure Items.
Settings for Hedge Accounting for Exposure
Items
Customizing Use Activities
Activity
Number Ranges Here you first define number ranges 1. Determine the company code for which
for the following objects: you wish to enter the number range
Customizing Use Activities
Activity
Hedging Relationships interval.
Hedged Items
Note
Hedging Instruments
Only required for some of these
Hypothetical Derivative
Customizing activities. Otherwise start
Exposure Subitems
with step 2.
Under Assign Number Ranges, define
2. Choose Change Intervals.
for each company code and valuation
3. Enter a number for the new interval.
area which of the number ranges
4. Determine the year for which you wish
defined above is used.
to enter the number range interval.
You find these activities in
Customizing for Treasury and Risk Note
Management under Transaction You do not need to enter a year for all
Manager General Settings Hedge objects, such as exposure subitems.
Accounting for Positions Number 5. Enter the number range.
Ranges 6. You can set the External indicator. For
internal number ranges, the number is
assigned automatically.
7. Save your changes.
Settings for Automated Exposure Item Hedging (FX Risk)
Define In this activity, you define designation 1. Choose New Entries.
Designation Types types for the automated designation 2. In the Designation Type field, specify a
process. The designation type is designation type.
assigned on the Hedge Accounting 3. In the Designation Category field,
II tab in the Hedging Area for a specify a designation category for this
combination of differentiation criteria. designation type.
These include: For example, choose One
Company code Instrument from the dropdown list.
Valuation area 4. In the Description field, enter a
On Behalf of Company description for this designation type.
Code For example, enter FX Forward.
The company code on 5. Save your entries.
behalf of which you
perform a transaction.
Hedging classification
You find these activities in
Customizing for Treasury and Risk
Management under Transaction
Manager General Settings Hedge
Accounting for Positions Settings for
Automated Exposure Item Hedging
(FX Risk)
Define Product You use this Customizing activity to 1. Choose New Entries.
Types for define which product types are 2. Specify the following values:
Exposure considered for exposure subitems in o Product Type
Subitems your installation. Enter the product
A new product category Exposure type 91A.
Item was introduced for position o Name of Product Type
Customizing Use Activities
Activity
management and accounting Enter a description for
purposes on the exposure your product type.
subitem level. o Product Category
As a product type is defined for the Select the product
respective product category, you need category 991 - Exposure
to make these settings here. Item.
You find this activity in Customizing
for Treasury and Risk
Management under Transaction
Manager General Settings Hedge
Accounting for Positions Settings for
Automated Exposure Item Hedging
(FX Risk)
Assign Update You use this Customizing activity to 1. Choose New Entries
Types to Product assign update types to product types 2. Specify the following:
Types for the creation of open and closed o Product Type
business transactions. This enables Select the product
position management and accounting type 91A.
processes for exposure subitems. o Update Type Open
The Update Type Open is created Select the open exposure
with the hedging relationship on the item transaction ESI001.
end date of the exposure subitem. o Update Type Close
The Update Type Close is created Select the close exposure
with the hedging relationship on the item transaction ESI002.
end date of the exposure subitem.
You find this activity in Customizing
for Treasury and Risk
Management under Transaction
Manager General Settings Hedge
Accounting for Positions Settings for
Automated Exposure Item Hedging
(FX Risk)
Assign General You use this Customizing activity to 1. Choose New Entries
Valuation Class to define a general valuation class that is 2. Product Type
Product Type used as a default value for product Select the product type 91A.
types for exposure subitems. 3. General Valuation Class
The general valuation class is then Use the dropdown menu and
automatically determined for position select Hedge Accounting - Exposure
management purposes. Items.
The general valuation class is needed 4. Setting per Company Code
to determine the position Make any company code-specific
management procedure for exposure settings, as required.
subitems. It can be defaulted on the
product type, company code, or
product type level.
As a prerequisite, you need to define
the general valuation classes in
Customizing Use Activities
Activity
Customizing under Treasury and
Risk Management Transaction
Manager General Settings
Accounting Settings for Position
Management Define and Assign
Valuation Classes .
You find this activity in Customizing
for Treasury and Risk
Management under Transaction
Manager General Settings Hedge
Accounting for Positions Settings for
Automated Exposure Item Hedging
(FX Risk)
Link to Other Accounting Components
Define Account You use this Customizing activity to 1. In the maintenance view, you can enter
Assignment define rules for the automatic rules for determining the account
Reference determination of account assignment assignment reference for the respective
Determination references for parallel valuation product group.
(Exposure Item) areas. You define the rules for each The rule can involve various steps.
product group, in this case Exposure A step can consist of a derivation rule
Item. or an assignment.
You find this activity in Customizing 2. Define a derivation rule
for Treasury and Risk 1. Choose Create Step. In
Management under Transaction the dialog box,
Manager General Settings select Derivation Rule and
Accounting Link to Other confirm your entry.
Accounting Components 2. Enter a text for the
derivation rule.
3. On the Definition tab,
enter the fields that you
want to use to control the
account assignment
reference allocation in
the Source Fields section.
In the Target
fields section, specify the
account assignment
reference in
the AA_REF field.
4. You can enter conditions
for applying the derivation
rule on the Conditions tab.
5. The settings on
the Attributes tab are not
supported.
6. You now have to assign
the account assignment
Customizing Use Activities
Activity
references to the values of
the source fields. To do
this, choose Maintain Rule
Values.
In the table that follows,
you can assign account
assignment references to
combinations of source
field values. The first
column contains the first
source field that you have
selected, the second
column the second source
field, and so on. The last
column contains the target
field Account Assignment
Reference. You can then
select the relevant values
from input help.
3. Example
o Source field: Product Type
o Target field: Account
Assignment Reference
The table then appears as follows:
Source Field Target Field
Product Type Acct Assignment Ref.
91A Exposure Item / Exposure Subitem
4. Define Assignment
1. Choose the Create
Step pushbutton.
Select Assignment in the
dialog box and confirm
your entry.
2. Enter a text for the
assignment.
3. On the Definition tab, you
have two options: You can
either choose a source
field, the value of which is
then written to the target
field Account
Assignment (in this case,
all the values of the source
field must correspond to
short keys for account
assignment references), or
Customizing Use Activities
Activity
enter the short key for the
account assignment
reference directly in
the Constant field.
4. On the Condition tab, you
can make the assignment
dependent on the
fulfillment of a condition.
5. Select AA_REF (Account
Assignment Reference) as
the target field.
