y24 erp606 bb configguide en xx
DESCRIPTION
SAP TRM Market Data ConfigurationTRANSCRIPT
![Page 1: y24 Erp606 Bb Configguide en Xx](https://reader030.vdocuments.net/reader030/viewer/2022020101/545f14fab1af9f29778b4a65/html5/thumbnails/1.jpg)
EHP6 for SAP ERP 6.0
July 2012
English
Market Data(Y24)
SAP AGDietmar-Hopp-Allee 1669190 WalldorfGermany
Building Block Configuration Guide
![Page 2: y24 Erp606 Bb Configguide en Xx](https://reader030.vdocuments.net/reader030/viewer/2022020101/545f14fab1af9f29778b4a65/html5/thumbnails/2.jpg)
SAP Best Practices Market Data (Y24): Configuration Guide
Copyright
© 2012 SAP AG. All rights reserved.
SAP, R/3, SAP NetWeaver, Duet, PartnerEdge, ByDesign, SAP BusinessObjects Explorer, StreamWork, SAP HANA, and other SAP products and services mentioned herein as well as their respective logos are trademarks or registered trademarks of SAP AG in Germany and other countries.
Business Objects and the Business Objects logo, BusinessObjects, Crystal Reports, Crystal Decisions, Web Intelligence, Xcelsius, and other Business Objects products and services mentioned herein as well as their respective logos are trademarks or registered trademarks of Business Objects Software Ltd. Business Objects is an SAP company.
Sybase and Adaptive Server, iAnywhere, Sybase 365, SQL Anywhere, and other Sybase products and services mentioned herein as well as their respective logos are trademarks or registered trademarks of Sybase Inc. Sybase is an SAP company.
Crossgate, m@gic EDDY, B2B 360°, and B2B 360° Services are registered trademarks of Crossgate AG in Germany and other countries. Crossgate is an SAP company.
All other product and service names mentioned are the trademarks of their respective companies. Data contained in this document serves informational purposes only. National product specifications may vary.
These materials are subject to change without notice. These materials are provided by SAP AG and its affiliated companies ("SAP Group") for informational purposes only, without representation or warranty of any kind, and SAP Group shall not be liable for errors or omissions with respect to the materials. The only warranties for SAP Group products and services are those that are set forth in the express warranty statements accompanying such products and services, if any. Nothing herein should be construed as constituting an additional warranty.
© SAP AG Page 2 of 12
![Page 3: y24 Erp606 Bb Configguide en Xx](https://reader030.vdocuments.net/reader030/viewer/2022020101/545f14fab1af9f29778b4a65/html5/thumbnails/3.jpg)
SAP Best Practices Market Data (Y24): Configuration Guide
Icons
Icon Meaning
Caution
Example
Note
Recommendation
Syntax
Typographic Conventions
Type Style Description
Example text Words or characters that appear on the screen. These include field names, screen titles, pushbuttons as well as menu names, paths and options.
Cross-references to other documentation.
Example text Emphasized words or phrases in body text, titles of graphics and tables.
EXAMPLE TEXT Names of elements in the system. These include report names, program names, transaction codes, table names, and individual key words of a programming language, when surrounded by body text, for example, SELECT and INCLUDE.
Example text Screen output. This includes file and directory names and their paths, messages, source code, names of variables and parameters as well as names of installation, upgrade and database tools.
EXAMPLE TEXT Keys on the keyboard, for example, function keys (such as F2) or the ENTER key.
Example text Exact user entry. These are words or characters that you enter in the system exactly as they appear in the documentation.
<Example text> Variable user entry. Pointed brackets indicate that you replace these words and characters with appropriate entries.
© SAP AG Page 3 of 12
![Page 4: y24 Erp606 Bb Configguide en Xx](https://reader030.vdocuments.net/reader030/viewer/2022020101/545f14fab1af9f29778b4a65/html5/thumbnails/4.jpg)
SAP Best Practices Market Data (Y24): Configuration Guide
Content1 Purpose............................................................................................................................. 5
2 Prerequisites...................................................................................................................... 5
3 Configuration.....................................................................................................................5
3.1 Defining Reference Interest Rate.............................................................................5
3.2 Defining Swap Rates.............................................................................................12
© SAP AG Page 4 of 12
![Page 5: y24 Erp606 Bb Configguide en Xx](https://reader030.vdocuments.net/reader030/viewer/2022020101/545f14fab1af9f29778b4a65/html5/thumbnails/5.jpg)
SAP Best Practices Market Data (Y24): Configuration Guide
Market Data: Configuration Guide
1 PurposeThe purpose of this document is to describe the configuration process that needs to be followed to provide market data for reference interest rates and currency rates.
The settings are automatically transferred using BC Sets and eCATTs.
2 PrerequisitesEnhancement package 4 for SAP ERP 6.0 must be installed. The business function for Asset Management must be activated. The following Enterprise Extensions need to be activated:
EA-FIN Financial Extension
EA-FS Financial Services
Also, the following business functions need to be activated:
FIN_TRM_LR_FI_AN TRM: Hedge Management, New Instruments, New Key Figures
FIN_TRM_LR_FI_AN_2 TRM: Hedge and Exposure Management, SWIFT
FIN_TRM_CORR_FW TRM, Correspondence Framework
Before you start installing this scenario, you must install prerequisite building blocks. For more information, see the Building Block Prerequisites Matrix for the SAP Treasury and Risk Management Rapid-Deployment Solution.
3 Configuration
3.1 Defining Reference Interest Rate
UseIn this Customizing activity, you set up reference interest rates by configuring their attributes.
The following Customizing settings must be configured to define reference interest rates so that you can later set up a yield curve.
Procedure1. Access the activity by choosing the following path:
IMG Path Financial Supply Chain Management Treasury and Risk Management Basic Functions Market Data Management Master Data Settings for Ref. Interest Rates and Yield Curves Define Reference Interest Rate
© SAP AG Page 5 of 12
![Page 6: y24 Erp606 Bb Configguide en Xx](https://reader030.vdocuments.net/reader030/viewer/2022020101/545f14fab1af9f29778b4a65/html5/thumbnails/6.jpg)
SAP Best Practices Market Data (Y24): Configuration Guide
2. On the Change View “Reference Interest Rates”: Details screen, for the currency Euro, make the following entries:
Ref. Int. Rate
Yield Cat-egory
Desc.
Long Text
Curr.
Int. calc. method
Quot. type
Term
Unit of Time
For-ward YC Type
Date From
Cal-endar
Fix-ing Per-iod
Work-ing Day Shift
YTEURDE01D
Par rate
EUR Depo 01 D
EUR Deposit 01 Day
EUR
Act/360
Middle
1 Day
9001
01.01.2000
EU European Currency Union (ECU
2 4 Previous Working Day Modified
YTEURDE07D
Par rate
EUR Depo 07 D
EUR Deposit 07 Day
EUR
Act/360
Middle
7 Day
9001
01.01.2000
EU European Currency Union (ECU
2 4 Previous Working Day Modified
YTEURDE14D
Par rate
EUR Depo 14 D
EUR Deposit 14Day
EUR
Act/360
Middle
14 Day
9001
01.01.2000
EU European Currency Union (ECU
2 4 Previous Working Day Modified
YTEURDE21D
Par rate
EUR Depo 21 D
EUR Deposit 21Day
EUR
Act/360
Middle
21 Day
9001
01.01.2000
EU European Currency Union (ECU
2 4 Previous Working Day Modified
YTEURDE01M
Par rate
EUR Depo 01 M
EUR Deposit 01 Month
EUR
Act/360
Middle
1 Month
9001
01.01.2000
EU European Currency Union (ECU
2 4 Previous Working Day Modified
YTEURDE 02M
Par rate
EUR Depo 02
EUR Deposit
EUR
Act/360
Middle
2 Month
9001
01.01.2000
EU European Currency
2 4 Previous Working
© SAP AG Page 6 of 12
![Page 7: y24 Erp606 Bb Configguide en Xx](https://reader030.vdocuments.net/reader030/viewer/2022020101/545f14fab1af9f29778b4a65/html5/thumbnails/7.jpg)
SAP Best Practices Market Data (Y24): Configuration Guide
Ref. Int. Rate
Yield Cat-egory
Desc.
Long Text
Curr.
Int. calc. method
Quot. type
Term
Unit of Time
For-ward YC Type
Date From
Cal-endar
Fix-ing Per-iod
Work-ing Day Shift
M 02 Month
Union (ECU
Day Modified
YTEURDE 03M
Par rate
EUR Depo 03 M
EUR Deposit 03 Month
EUR
Act/360
Middle
3 Month
9001
01.01.2000
EU European Currency Union (ECU
2 4 Previous Working Day Modified
YTEURDE04M
Par rate
EUR Depo 04 M
EUR Deposit 04 Month
EUR
Act/360
Middle
4 Month
9001
01.01.2000
EU European Currency Union (ECU
2 4 Previous Working Day Modified
YTEURDE05M
Par rate
EUR Depo 05 M
EUR Deposit 05 Month
EUR
Act/360
Middle
5 Month
9001
01.01.2000
EU European Currency Union (ECU
2 4 Previous Working Day Modified
YTEURDE06M
Par rate
EUR Depo 06 M
EUR Deposit 06 Month
EUR
Act/360
Middle
6 Month
9001
01.01.2000
EU European Currency Union (ECU
2 4 Previous Working Day Modified
YTEURDE07M
Par rate
EUR Depo 07 M
EUR Deposit 07 Month
EUR
Act/360
Middle
7 Month
9001
01.01.2000
EU European Currency Union (ECU
2 4 Previous Working Day Modified
YTEURDE08M
Par rate
EUR Depo
EUR Depos
EUR
Act/360
Middle
8 Month
9001
01.01.2000
EU European Curre
2 4 Previous Worki
© SAP AG Page 7 of 12
![Page 8: y24 Erp606 Bb Configguide en Xx](https://reader030.vdocuments.net/reader030/viewer/2022020101/545f14fab1af9f29778b4a65/html5/thumbnails/8.jpg)
SAP Best Practices Market Data (Y24): Configuration Guide
Ref. Int. Rate
Yield Cat-egory
Desc.
Long Text
Curr.
Int. calc. method
Quot. type
Term
Unit of Time
For-ward YC Type
Date From
Cal-endar
Fix-ing Per-iod
Work-ing Day Shift
08 M
it 08 Month
ncy Union (ECU
ng Day Modified
YTEURDE09M
Par rate
EUR Depo 09 M
EUR Deposit 09 Month
EUR
Act/360
Middle
9 Month
9001
01.01.2000
EU European Currency Union (ECU
2 4 Previous Working Day Modified
YTEURDE10M
Par rate
EUR Depo 10 M
EUR Deposit 10 Month
EUR
Act/360
Middle
10 Month
9001
01.01.2000
EU European Currency Union (ECU)
2 4 Previous Working Day Modified
YTEURDE11M
Par rate
EUR Depo 11 M
EUR Deposit 11 Month
EUR
Act/360
Middle
11 Month
9001
01.01.2000
EU European Currency Union (ECU)
2 4 Previous Working Day Modified
YTEURDE01Y
Par rate
EUR Depo 01 Y
EUR Deposit 01 Year
EUR
Act/360
Middle
1 Year
9001
01.01.2000
EU European Currency Union (ECU)
2 4 Previous Working Day Modified
YTEURSW02Y
Par rate
EUR Swap 02 Y
EUR Swap 02 Year
EUR
360/360
Middle
2 Year
9001
01.01.2000
EU European Currency Union (ECU
2 4 Previous Working Day Modified
© SAP AG Page 8 of 12
![Page 9: y24 Erp606 Bb Configguide en Xx](https://reader030.vdocuments.net/reader030/viewer/2022020101/545f14fab1af9f29778b4a65/html5/thumbnails/9.jpg)
SAP Best Practices Market Data (Y24): Configuration Guide
Ref. Int. Rate
Yield Cat-egory
Desc.
Long Text
Curr.
Int. calc. method
Quot. type
Term
Unit of Time
For-ward YC Type
Date From
Cal-endar
Fix-ing Per-iod
Work-ing Day Shift
)
YTEURSW03Y
Par rate
EUR Swap 03 Y
EUR Swap 03 Year
EUR
360/360
Middle
3 Year
9001
01.01.2000
EU European Currency Union (ECU)
2 4 Previous Working Day Modified
YTEURSW04Y
Par rate
EUR Swap 04 Y
EUR Swap 04 Year
EUR
360/360
Middle
4 Year
9001
01.01.2000
EU European Currency Union (ECU)
2 4 Previous Working Day Modified
YTEURSW05Y
Par rate
EUR Swap 05 Y
EUR Swap 05 Year
EUR
360/360
Middle
5 Year
9001
01.01.2000
EU European Currency Union (ECU)
2 4 Previous Working Day Modified
YTEURSW06Y
Par rate
EUR Swap 06 Y
EUR Swap 06 Year
EUR
360/360
Middle
6 Year
9001
01.01.2000
EU European Currency Union (ECU)
2 4 Previous Working Day Modified
YTEURSW07Y
Par rate
EUR Swap 07 Y
EUR Swap 07 Year
EUR
360/360
Middle
7 Year
9001
01.01.2000
EU European Currency Union (ECU)
2 4 Previous Working Day Modified
YTE Par EU EU EU 360/ Mid 8 Ye 90 01.01. EU 2 4
© SAP AG Page 9 of 12
![Page 10: y24 Erp606 Bb Configguide en Xx](https://reader030.vdocuments.net/reader030/viewer/2022020101/545f14fab1af9f29778b4a65/html5/thumbnails/10.jpg)
SAP Best Practices Market Data (Y24): Configuration Guide
Ref. Int. Rate
Yield Cat-egory
Desc.
Long Text
Curr.
Int. calc. method
Quot. type
Term
Unit of Time
For-ward YC Type
Date From
Cal-endar
Fix-ing Per-iod
Work-ing Day Shift
URSW08Y
rate R Swap 08 Y
R Swap 08 Year
R 360 dle ar 01 2000 European Currency Union (ECU)
Previous Working Day Modified
YTEURSW09Y
Par rate
EUR Swap 09 Y
EUR Swap 09 Year
EUR
360/360
Middle
9 Year
9001
01.01.2000
EU European Currency Union (ECU)
2 4 Previous Working Day Modified
YTEURSW10Y
Par rate
EUR Swap 10 Y
EUR Swap 10 Year
EUR
360/360
Middle
10 Year
9001
01.01.2000
EU European Currency Union (ECU)
2 4 Previous Working Day Modified
YTEURSW15Y
Par rate
EUR Swap 15 Y
EUR Swap 15 Year
EUR
360/360
Middle
15 Year
9001
01.01.2000
EU European Currency Union (ECU)
2 4 Previous Working Day Modified
YTEURSW20Y
Par rate
EUR Swap 20 Y
EUR Swap 20 Year
EUR
360/360
Middle
20 Year
9001
01.01.2000
EU European Currency Union (ECU)
2 4 Previous Working Day Modified
YTEURSW30
Par rate
EUR Sw
EUR Sw
EUR
360/360
Middle
30 Year
9001
01.01.2000
EU European
2 4 Previous
© SAP AG Page 10 of 12
![Page 11: y24 Erp606 Bb Configguide en Xx](https://reader030.vdocuments.net/reader030/viewer/2022020101/545f14fab1af9f29778b4a65/html5/thumbnails/11.jpg)
SAP Best Practices Market Data (Y24): Configuration Guide
Ref. Int. Rate
Yield Cat-egory
Desc.
Long Text
Curr.
Int. calc. method
Quot. type
Term
Unit of Time
For-ward YC Type
Date From
Cal-endar
Fix-ing Per-iod
Work-ing Day Shift
Y ap 30 Y
ap 30 Year
Currency Union (ECU)
Working Day Modified
The same entries need to be made for all other currencies indicated in the table on the next page. Maintain the columns Reference Interest Rate, Description, Long Text, Currency and Interest Calculation Method corresponding to the relevant currency attributes.
The following table shows the required currencies and specific interest method as well as other potential currencies:
Currency ISO code
Currency text Interest method (≤ 1 year )
Interest method (> 1 year)
AUD AUDAustralian
Dollar
ACT/360 360/360
BRL BRL Brazilian Real
ACT/360 360/360
CAD CADCanadian
Dollar
ACT/360 360/360
CNY CNY Chinese Renminbi
ACT/360 360/360
HKD HKD Hong Kong Dollar
ACT/360 360/360
HUF HUFHungarian Forint
ACT/360 360/360
INR INRIndian Rupee
ACT/360 360/360
KRW KRW South Korean Won
ACT/360 360/360
MXN MXN Mexican Pesos
ACT/360 360/360
NZD NZD New Zealand Dollars
ACT/360 360/360
PLN PLN Polish Zloty (new)
ACT/360 360/360
SGD SGDSingapore
Dollar
ACT/360 360/360
© SAP AG Page 11 of 12
![Page 12: y24 Erp606 Bb Configguide en Xx](https://reader030.vdocuments.net/reader030/viewer/2022020101/545f14fab1af9f29778b4a65/html5/thumbnails/12.jpg)
SAP Best Practices Market Data (Y24): Configuration Guide
Currency ISO code
Currency text Interest method (≤ 1 year )
Interest method (> 1 year)
CHF Swiss Franc ACT/360 360/360
CZK Czech Koruna ACT/360 360/360
DKK Danish Krone ACT/360 360/360
EUR Euro ACT/360 360/360
GBP Pound Sterling ACT/365 360/360
JPY Japanese Yen ACT/360 360/360
NOK Norwegian Krone
ACT/360 360/360
SEK Swedish Krona ACT/360 360/360
USD United States Dollar
ACT/360 360/360
3. Save your entries.
3.2 Defining Swap Rates
Use
In this step you enter swap rates. These entries can be proposed as default values when you enter a forward transaction. In addition, the system uses the swap rates defined here when you carry out a key date valuation for forward transactions in Treasury Management.
Procedure1. Access the activity by choosing the following path:
IMG Path Financial Supply Chain Management Treasury and Risk Management Basic Functions Market Data Management Manual Market Data Entry Currencies Enter Swap Rates
2. On the Display View “View Table AT15 – Swap Rates” screen, make the following entries:
Eff From ERTy From To Term Swap Rate
01.01.2012 M EUR USD 30 1,50000-
01.01.2012 M USD EUR 30 1,40000-
01.04.2012 M EUR USD 30 1,00000
01.04.2012 M USD EUR 30 1,40000
3. Save your entries.
© SAP AG Page 12 of 12