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Cross Currency Swap and Dual Curve Stripping

March 22, 2012, 7:13 pm
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Hi,

We have recently created a EUR/USD cross currency swap in the CFM module under OTC derivatives. The valuation of this instrument is undertaken by discounting the future cash flows of each one of the legs. To to this the system uses the yield curve assigned in the valuation in both currencies USD and EUR. We are able to value it at month end without a problem using TPM60.

However, we have also performed the valuation on our Bloomber terminal. Bloomberg uses a more complex valuation algorithm. They use a process called dual curve stripping. This process takes the standard euro yield curve (bloomberg curve 201) and combines it with the euro swap baisis curve (curve 92) by re-bootstrapping it. The results of valuing the swap with the SAP curve and the Bloomberg curve are substantially different.

Bloomberg starting doing this because of the volatility experienced in the money markets as a result of the 2008 financial crisis. It seems that other institutions are also doing it as our counter party's valuation agrees to that of Bloomberg.

Until SAP provides a solution our approach will be to use the Bloomberg valuation to update the NPV table directly without running TPM60.

I was wondering if anybody else ran into this issue and how they are dealing with it.

Thanks

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Update Type DBT_B008: Forex Loss (planned outflow)

June 25, 2013, 7:28 pm
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Hi Treasury experts.

 

My client has recently upgraded from 4.6C to ECC6. They used a Treasury consultant for the upgrade, but he is now unavailable, so they have asked me (FI-CO consultant, with no treasury background) to look at some issues they are having with paostings from treasury. I've managed to fix some account assignment issues but I am a bit stuck on the following one:

 

The client has a loan in a foreign currency, which has been in place for a number of years. It moves up and down regularly. Each month, they run transaction TBB1. A Forex Loss (in Local Currency) is regularly posted, via Update Type DBT_B008. I imagine that, given different exchange rate movements, DBT_B006 would also post a gain, if appropriate, but that has not occurred since the upgrade.

 

A typical example is that a Borrowing Decrease (update type MM1110) of NZD2,000,000 gave rise to a Forex Loss (DBT_B008) of AUD73,000. I am trying to understand a couple of things:


1. What is the purpose of the DBT_B008 posting and how is the loss calculated? I imagine that it is based on the current exchange rate, at the time of the transaction, compared with the average exchange rate embodied in the account balance, that has accumulated over a number of years. Is this correct? I have attempted to verify this calculation externally but have not been successful.


2. The G/L account for the Loan is an open-item-managed account. Each time there is a movement up or down in the G/L account (representing a borrowing increase or decrease), that movement is manually cleared against the balance in the account, leaving a residual. This clearing transaction also creates exchange gain/loss postings in the Local currency. If we already have G/L transactions flowing from DBT_B008/DBT_B006 update types, is this double-counting?

 

Thanks in advance for your advice,

 

Marc Huggins

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Amortization of discount/premium in Securities

July 18, 2011, 6:11 am
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Hi SAP Gurus

 

I have created a fixed interest bond (04I) product type in our system with a class that starts 07/11/2011 & expires 12/31/2020.  I am investing 2 million in a bond & I am paying 2.2 million to buy it with a 200,000 premium. 

 

I am using the position management procedure 9984 'IAS/HTM: Amort. SAC Net / FX Val. Only (P/L)' to generate my position flows for valuation using the 'Derived business transactions' node. 

 

When I try to display the 'Position cash flowws' in change mode in FTR_EDIT, it shows me 4 flows relevant to the derived business transaction piece on maturity date (01/01/2021).

 

DBT_C004

DBT_E001

DBT_E018

DBT_B004

 

I need to amortize the premium over the period the bond is active. I do not want any valuation to be done.  I only want amortization of the discount/premium.  I only see the amortization happen on maturity -why does it not happen every month?

 

Will it show up properly if I ran TPM1 every month?  I only need to see DBT_C004 & hence should I disable step 2 for the position management procedure?

 

Thanks

Regards

Morgan

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How different btw Loan managment and Transaction Manager function?

August 3, 2009, 12:02 am
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Dear expert,.

 

I wondering how different between implement loans management and transaction manager (Treasury Module)?

For my last project, SAP 4.6C, I implement TR-TRM , product type 55A to handle investment and debt. But now, I will implement Ecc6 and wondering, how do I know whether I should implement Loan mgt or TRM?

 

Any suggestion?

 

Thanks

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Amortization

July 26, 2013, 2:52 am
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Hello all,

 

I would like to ask if we can use amortization procedures with interest rate istrument products.

 

Thank you in advance,

Dimitris

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SAP Treasury Table Relationships / SQL Joins

July 25, 2013, 4:07 am
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Hi Guys

 

We are implementing SSRS reporting solution in SQL Server against data dumped from SAP Treasury Source where all the table/field names are replicated as in SAP Treasury environment.

Its being very difficult to find out key relationships between the tables/fields and thus querying it.

Can anybody help us out in understanding the Key relationships or joining conditions in SAP Treasury Module to implement the solution.

Need your help SAP Masterminds.....

 

Below are the important tables we are refering to :

 

 

ATMA
BP000
FDD1
FDES
FDSB
FDSR
FDT1
FDW1
FDZA
FEBCL
FEBEP
FEBKO
FEBMS
FEBPI
FEBRE
FEBVW
PAYRQ
T035
T036
TD01
TD02
TD03
TD07
TD09
TD10
TD16
TD17
TD18
TD21
TDA5
TDDG1
TDDG2
TDDG3
TDDG4
TDS1
TP06
TW18
TWPOB
TWX1
TZB0A
TZC37
TZPA
TZPAB
TZPAT
TZV05
VDARL
VTBFHA
VTBFHAPO
VTBFHAZU
VTBMA
VWPANLA
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FI-BL - Electronic Bank Statement

August 28, 2010, 7:49 am
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Hi,

 

I have configured the Electronic Bank statement for uploading the current day bank statement and creating Memo records.

But I have not configured all the BAI codes which the bank lists in their documents. So in future the bank may report some BAI codes which have not been configured. IN order to capture these transactions in a 'common' bucket what should I do? I tried to configure a BAI code  '+++' (similar to the 'masking' or 'wildcard') but it does not work.

Is there some way we can configure and capture such unknown/unreported BAI codes and create a Memo record for them using FPS3?

Any suggestion/help is highly appreciated.

Kalyan

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Message no. TPM_TRAC1022

December 20, 2011, 11:11 pm
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Hi

When i am trying to run tbb1 transaction that time i m getting the following error Message no. TPM_TRAC1022

 

Can any one help me with a solution for this.

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IHC - Incoming Bank Statement

December 17, 2010, 2:55 pm
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Hi Gurus,

 

When you import a Electronic Bank statement and you want some of the bank statement items  to post to a current account in In-House cash, how will you instruct the system to do so? Is there any Algorithm which should be assigned to the Posting rule or is there  any configuration setting in IHC?

I am familiar with EBS but new to In-House cash module. Please advise.

 

Thanks

Kalyan.

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Missing Standing Instructions Tab

October 26, 2009, 3:06 am
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Hi,

 

I'm trying to assign role TR0151 - Counterparty to my newly created business parter but the standing instructions tab are missing. I've already checked the field groupings customization but these tabs still do not appear. Are there any customization settings that I need to consider?

 

Thanks,

Chaikaru

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SAP TRM : how to assign default VAT Code in Business partner (TR0151)

October 19, 2012, 10:26 pm
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Hi SAP guru

 

 

We are using TRM with Business Partner (BP role: TR0151 counter party) with the customer integration activated, so TRM trigger various types of Accounting document in Financial accounting and some account expects VAT exempt code.

 

Would any of you be able to advise me how to assign default VAT codes within Business partner for this BP role or how to enable such assignment?

 

Thanks in advance

 

Kind regards

 

Taro

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FD creation Problem.

July 30, 2013, 2:13 am
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Dear Expert,

When i am trying to create Fixed Deposit by T code FTR_CREATE i am geeting an error whose screen shot has been attacehd.

Kindly guide me to solve the Issue as i am new in treasury module.

 

 

Thanks in Advance

 

Vincent

 

FD.PNG

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Currency Futures

July 18, 2013, 12:34 am
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Hi,

 

We are currently running on ECC 5.0

 

I have configured Currency Futures through the Listed Derivatives Option. Entries with respect to Open Positions and MTM are happening correctly.

 

When a futures contract is closed, system generates Gain / Loss entries. The calculation for this is being done on FIFO basis. Our client requires this calculation to be done on Weighted Average Method basis. We have two valuation areas -- 001 for WAM Method and 003 for FIFO method.

 

My accounting entries are getting posted in Valuation Area 001 only but still the Gain / Loss calculation is happening on the basis of FIFO method.

 

Any help in this regard will be sincerely appreciated.

 

Warm regards,

Akhil Poddar

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Posting for Hedge Ratio Not Equal to 100

July 22, 2013, 6:24 pm
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Hi,

 

If hedge ratio is within 82-125 then it's still considered effective and we want the posting of valuation (TPM1) to be just in OCI- Balance Sheet account. Posting to P&L should only happen if the hedge ratio is below or above the set range. Is the posting requirement configurable? If yes, kindly provide the specific settings to be maintained.

 

 

Thanks!

 

Chaikaru

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TRM -"Recording Position Mgmt:Error during distribution 5161

July 29, 2013, 8:08 am
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Dear Experts,

 

I am creating 'FD' and when I try to save below error is appearing and same error is for TBB1 Execution also after creation of FD.

 

Error Occured in derivation rule :See long text message No k/101.

 

Diagnosis:

 

-> Determination of account assignmrnt:

-> No Entry in a derivation rule was found for the special source fields:

-> The determinitation rule was set up so that an error message appears when this happens:

 

 

The Required derivation rule would need the following source fields:

 

Product category/Valuation Class 510/1

 

 

Can you please help on this.

 

Appreciate your help!

 

Regards,

Yuvaraj

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Position error

July 25, 2013, 3:41 am
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Hello Expert,

 

I'm trying to create a deal with T.code: FTR_CREATE for the PT(01A or 02A) securities account and getting error as

 

No position exists for the selected criteria

 

Diagnosis

This is the position that is characterized by the following details:

CC=3300;PT=MMF;SA=MUTUALDIVI;SE=MUTUAL0002

Explanation of the abbreviations used:

ACAccounting code
PTProduct type
VAValuation area
VCSpecial valuation class
CVGeneral valuation class
CCCompany code
SESecurity ID number
SASecurities account
AGSecurities account group
PFPortfolio
LCLoan contract
PAFutures account

 

I've tried all the best possible way to resolve this issue but no luck yet. Hence required your valuable inputs to resolve this issue.

 

Could anyone, Please suggest me how to resolve this issue, I saw few post but those seems to be while trying to execute TBB1 where as im getting this while trying to create the deal or transaction(FTR_CREATE)

 

In advance thanks to all for looking into this.

 

Regards,

Jain

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SAP amortization methods

August 27, 2012, 9:00 am
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Hi All,

 

I m facing this problem where the Treasury bond prices in our market is calculated using the discount factor calculated by using  periodic compounding { eg (1+r/2)^(fraction+n) }  and the SAP amorization formula is fixed on (1+r)^(actual/365) day count method in calculating the discount factor.

 

This creates a mismatch in my accounted amortized cost.  one anomaly resulting from this is the fact that when i sell a bond at the same ytm that i bought it at i get a gain or a loss coz the amortization is not exactly matching the price calculated using the bond pricing method using the same ytm as purchase. before using sap i used the exel price() formula to calculate the price of my bonds and it exactly matched my market. I used to book the difference in clean price calculated using the same YTM at different spots in time to calculate the amortization for the   period from spot 1 to spot 2.

 

I m told that sap amortization method is fixed on the discount factor based on actual/365.

 

Has anyone faced any similar issues. Doesn't SAP  provide a way in which amortization can equal the bond pricing method so the amortization will exactly match the change in bond value caused by time.

 

 

Thanks in advance

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FF7A / FF7B Cash Mgt configuration

January 4, 2010, 10:26 pm
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Dear All,

 

I am new in Cash Mgt.

In order to make use of standard report FF7A, FF7B to see cash flows at customer , vendor and gl account base.

What min. config I have to do in SAP ?

 

I just know I have to set GL account for Planning Level, Tick on Relevant to cash flow.

How about the other config. Can someone provide me a list of config ?

 

Thanks a lot.

 

Thanks & Regards,

Murphy

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TRM_ Bonds Issue

August 1, 2013, 2:20 am
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Hello Expert,

 

I've requirement which i'm not clear how it work in normal/standard SAP.

 

Requirement is to create the bond for 5 years after the end of 4 years it should move to current account before it get mature.

 

My concern : In a book wee are showing its a long term investment then why we move the same to current account? what is the logic of doing same?

 

Is the normal/best practice? What all customization we shall do ? Like valuation class transfer?

 

Look forward for positive response.

 

Regards,

Jain

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How different btw Loan managment and Transaction Manager function?

August 3, 2009, 12:02 am
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Dear expert,.

 

I wondering how different between implement loans management and transaction manager (Treasury Module)?

For my last project, SAP 4.6C, I implement TR-TRM , product type 55A to handle investment and debt. But now, I will implement Ecc6 and wondering, how do I know whether I should implement Loan mgt or TRM?

 

Any suggestion?

 

Thanks

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