28_cfm_en

CFM Corporate Finance Management

Release Notes

SAP R/3 EnterpriseRelease 4.70

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28 CFM Corporate Finance Management 128.1 SAP R/3 Enterprise Financial Services 1.10 (New) 128.2 Changes to the Customizing Structure in Corporate Finance Management 128.3 Changes to the Area Menu for Corporate Finance Management 228.4 CFM-BF Basic Functions28.4.1 CFM-BF-BP Business Partner28.4.1.1 New Functions for the SAP BP for Fin. Services (Extended) 328.5 CFM-TM Transaction Manager 728.5.1 Linking Products28.5.2 Revenue Classification28.5.3 Automatic creation28.5.4 Key Date Valuation Enhancements 28.5.5 CFM-TM-TR Transaction Management 1028.5.5.1 Compound Swap and EONIA Swap28.5.5.2 Deleting Old Transactions and Old Coding28.5.5.3 Early Repayment28.5.6 CFM-TM-AC Transfer to Financial Accounting 1228.5.6.1 Statistical Reporting According to AWV (Z1 and Z4) 1228.5.6.2 Posting Interface for the Parallel Valuation Areas (Enhanced) 1228.5.6.3 Linking Other Transactions to Parallel Position Management 1428.5.6.4 Valuation28.5.7 CFM-TM-IS Information System 1428.5.7.1 New Features in CFM Reporting28.5.7.2 Customer Drilldown Reporting Enhancements (Modificat.-Free) 1428.6 CFM-PA Portfolio Analyzer 1728.6.1 Reorganization of Single Records in the Area Menu (Changed) 1728.6.2 Activate the Analysis Structure after

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Release Upgrade 1728.6.3 Inclusive Indicator in the Calculation of Accrued Interest (Enhanced) 1728.7 CFM-MR Market Risk Analyzer 1828.7.1 Reorganization of Single Records in the Area Menu (Changed) 1828.7.2 Increased Length of Fields for Volatilities (Changed) 1828.7.3 Activate the Analysis Structure after Release Upgrade 1928.7.4 Inclusive Indicator in the Calculation of Accrued Interest (Enhanced) 1928.7.5 CFM-MR-NPV NPV Analysis28.7.5.1 Creation and Valuation of Eonia Swaps (Enhanced) 2028.7.6 CFM-MR-GAP Gap Analysis28.7.6.1 Creation and Valuation of Eonia Swaps (Enhanced) 2028.7.6.2 Interest Result Evaluation for Forward Exchange Transactions (Changed) 2128.7.6.3 Spreads in the Cash Flow Evaluation (Changed) 2128.8 CFM-CR Credit Risk Analyzer 2128.8.1 Glossary in SAPTerm (New)28.8.2 Mass Data Capability in the Postprocessing Function (Enhanced) 22

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28 CFM Corporate Finance Management

28.1 SAP R/3 Enterprise Financial Services 1.10 (New)

Use

With SAP R/3 Enterprise, Core Banking, SEM Banking; CFM, the SAP Business Partner for FinancialServicesand Investment Management for Insurance Companies will be delivered in the package SAP R/3Enterprise Financial Services 1.10 (EA-FINSERV 110) as a component of the SAP R/3 EnterpriseAdd-On. The encapsulated development of SAP R/3 Enterprise Core on the one hand and the extensionsand packages - such as the Financial Services package - on the other allow for separate support packages:Support Packages for SAP R/3 Enterprise Core and Support Packages for the extensions and packages inSAP R/3 Enterprise Add-On.

In order for you to be able to use the SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV110) package you need to activate the application EA-FS (R/3 Financial Services) in the SAPCustomizing IMG activity Activation Switch for Components of SAP R/3 Enterprise Extension Set.

28.2 Changes to the Customizing Structure in Corporate FinanceManagement

Use

As of SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV 110), the following new IMG activitiesare available.

Transaction Manager

1. General Settings:The Information System for the Transaction Manager is now under the General Settings.

Information System:

- Revenue Classification

- Maintain Profit/Loss Types- Generate Proposals for Profit/Loss Indicator- Assign Profit/Loss Types to Update Type and Valuation Area

- Drilldown Reporting / Extras

2. Securities:

- Sort Sequence of Corporate Actions

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3. Parallel Valuation:

- Product Groups/Categories/Types to be Excluded

Market Risk Analyzer

The market risk functionality is now covered by the CFM Market Risk Analyzer. As a result, thefollowing IMG sections relating to Treasury market risk management are no longer delivered:

o Authorization Management

o Evaluations

o Information System

28.3 Changes to the Area Menu for Corporate Finance Management

Use

Transaction Manager

General Functions

o New functions have been added in the Hedge Management area.

Transaction Management

o Interest rate derivatives: Enhanced to include compound swaps. EONIA swaps can now bemapped in the system as a special form of compound swap.

Position Management

o General: Customizing check function for parallel books

o Position Management

- Management of bond positions for tax purposes (purchase value adjusted to reflect the intrinsicvalue)

- Treatment of investment funds for tax purposes: Reinvestment and interim profit

- Amortization of bonds and loans that are not repaid in full upon maturity

- Parallel position management is now available for OTC options and for accrual/deferral ofmoney market transactions and interest rate derivatives.

o Parallel Posting Interface

- The indicator for the trading partner (VBUND) is transferred.

- A Business Add-In (BAdI) is available for following fields in the posting interface:

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- Document header text- Cost center- Business area- Flow type- Trading partner- Account

- The date of reversals may now differ from the posting date. Corresponding fields have beenadded to the posting journal.

- A new function Post Reversal/Recalculation enables you to separate the transaction reversalfrom the reversal in the parallel valuation areas.

- The account assignment reference transfer has been enhanced with the posting categories"Other G/L Account Postings in Position Currency" and "Other Account Postings in PaymentCurrency".

- If you post to a special ledger you can use a different chart of accounts to the one used for thecompany code.

o Valuation in the Operative Valuation Area

- Currency swaps are supported

- NPV valuation for money market transactions

- Germany: Special write-up/write-down rules for securities to comply with the valuation rulesin §341b of the German Commercial Code (HGB).

o Valuation in the Parallel Valuation Areas

- Germany: Special write-up/write-down rules for securities to comply with the valuation rulesin §341b of the German Commercial Code (HGB).

o Reporting

- New features in CFM Reporting, in particular SAP Query. You can use SAP Query to generateflexible lists geared to your individual requirements.

- Reporting for positions and revenues in the parallel books

Market Risk Analyzer

The area menu for TR-MRM is no longer delivered for SAP R/3 Enterprise Financial Services 1.10.

The market risk functionality is now covered by the CFM Market Risk Analyzer.

28.4 CFM-BF Basic Functions

28.4.1 CFM-BF-BP Business Partner

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28.4.1.1 New Functions for the SAP BP for Fin. Services (Extended)

As of Release SAP R/3 Enterprise Financial Services 1.10 ( EA-FINSERV 110), the following changesand enhancements have been made to the SAP Business Partner for Financial Services. You will findgeneral changes to the SAP Business Partner under application component CA-BP.

1. Changes to the menu for the SAP Business Partner for Financial Services

Use

In conjunction with the changes to the business partner user interface, the menu for the SAP BusinessPartner for Financial Services has also been restructured.

You can access business partner maintenance in the menu under

Accounting -> Corporate Finance Management -> Business Partner -> Maintain Business Partner

and under

Accounting -> Bank Applications -> Business Partner -> Maintain Business Partner.

From here onwards, both Business Partner menu options are identical. You can choose either theMaintain Business Partner function or the Special Functions.

The Maintain Business Partner function contains the following transactions

o Create Business Partner

o Change Business Partner, and

o Display Business Partner

in accordance with the new design for the user interface.

The menu option Special Functions includes both the direct transactions for processing StandingInstructions as well as the customer and vendor links. However, you can also access StandingInstructions via the Maintain Business Partner function.

The BDT Customizing options are no longer included in the SAP Easy Access menu. You make the BDTsettings for the SAP Business Partner using transaction BUPT. In addition, you can implement thespecific, technical settings for the SAP Business Partner for Financial Services using either transactionFTBPT or user role SAP_FS_BP_DEVELOPER_AG.

2. Changes to the user interface for the SAP Business Partner for FinancialServices

Use

With the conversion of the user interface for the SAP Business Partner for Financial Services inaccordance with the new design guidelines, the

o company code-dependent data and the

o differentiation type-dependent data

are no longer integrated in the main screen sequence. This information is summarized in sub-screensequences. You can access it using the corresponding pushbuttons in business partner maintenance.

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3. Changes in the SAP Implementation Guide

Use

In conjunction with the changes to the user interface, the structure of the Implementation Guide (IMG)was also revised. You will now find the settings for the SAP Business Partner for Financial Servicesunder

o Corporate Finance Management -> Basic Functions -> SAP Business Partner for FinancialServices

o SAP Banking -> Customer Accounts -> Basic Settings -> SAP Business Partner for FinancialServices

o SAP Banking -> Loans Management -> Basic Settings -> SAP Business Partner for FinancialServices

4. Changed functions and new functions for the SAP Business Partner forFinancial Services

Business Partner Ratings

Use

External service providers, government agencies or departments within the company rate businesspartners for various business processes. The ratings take account of their payment history, credit standingor other criteria. You can define the corresponding rating results for various rating procedures togetherwith their business validity.

Dun & Bradstreet or Schufa are examples of external service providers; the Federal Banking SupervisoryBoard is an example of a government agency.

Effects on Customizing

The rating procedures and corresponding rating results are defined in the IMG.

You arrive at the respective IMG activity using the following menu paths:

o Corporate Finance Management -> Basic Functions -> SAP Business Partner for FinancialServices -> SAP Business Partner -> General Settings for Financial Services -> Business PartnerRatings

o SAP Banking -> Customer Accounts -> Basic Settings -> SAP Business Partner for FinancialServices -> SAP Business Partner -> General Settings for Financial Services -> Business PartnerRatings

o SAP Banking -> Loans Management -> Basic Settings -> SAP Business Partner for FinancialServices -> SAP Business Partner -> General Settings for Financial Services -> Business PartnerRatings

Additional Information

Use

Additional Information offers you a generic possibility of defining further information for the businesspartner. You can define so-called information categories in Customizing. "Pets" or "vehicles" areexamples of information categories. You then determine which attributes should be made available for

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each information category. Different field types are intended here.


You can define information categories in the IMG. Select the attributes for each information category anddetermine which attribute is used as a required entry or an optional entry field. Furthermore, you can alsodetermine various information types for each information category.


o Corporate Finance Management -> Basic Functions -> SAP Business Partner for FinancialServices -> SAP Business Partner -> General Settings for Financial Services -> AdditionalInformation

o SAP Banking -> Customer Accounts -> Basic Settings -> SAP Business Partner for FinancialServices -> SAP Business Partner -> General Settings for Financial Services -> AdditionalInformation

o SAP Banking -> Loans Management -> Basic Settings -> SAP Business Partner for FinancialServices -> SAP Business Partner -> General Settings for Financial Services -> AdditionalInformation

Partner Grouping Characteristics

Use

You can assign a business partner to a single grouping characteristic. The values of the groupingcharacteristic can be freely defined. For example, you can uniquely assign the business partners for agroup to a group subsidiary using this grouping characteristic, provided they are mapped within a client.

You can also include the grouping characteristic when configuring authorizations.


The grouping characteristics are defined in the IMG.


o Corporate Finance Management -> Basic Functions -> SAP Business Partner for FinancialServices -> SAP Business Partner -> General Settings for Financial Services -> Partner GroupingCharacteristics

o SAP Banking -> Customer Accounts -> Basic Settings -> SAP Business Partner for FinancialServices -> SAP Business Partner -> General Settings for Financial Services -> Partner GroupingCharacteristics

o SAP Banking -> Loans Management -> Basic Settings -> SAP Business Partner for FinancialServices -> SAP Business Partner -> General Settings for Financial Services -> Partner GroupingCharacteristics

Differentiation Type

Use

Each business partner appears once in a client in the System. You can use the differentiation type todistinguish between selected business partner information. For example, you can now definedifferentiation types for different areas of a group. You can then store the rating results for eachdifferentiation type, for example. This means that a different rating result can be made available for each

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area in the company group.

The following information can be defined as dependent on the differentiation type:

o Roles

o Relationships

o Ratings

o Additional Information

There is also a table that you can extend to include differentiation type-dependent attributes.


The differentiation types are defined in the IMG.


o Corporate Finance Management -> Basic Functions -> SAP Business Partner for FinancialServices -> SAP Business Partner -> General Settings for Financial Services -> DifferentiationType: Criterion

o SAP Banking -> Customer Accounts -> Basic Settings -> SAP Business Partner for FinancialServices -> SAP Business Partner -> General Settings for Financial Services -> DifferentiationType: Criterion

o SAP Banking -> Loans Management -> Basic Settings -> SAP Business Partner for FinancialServices -> SAP Business Partner -> General Settings for Financial Services -> Control Table forDifferentiation Type: Criterion

In addition, you must also determine whether or not the roles, relationships, ratings and additionalinformation are used dependent on or independent of the differentiation type.

5. Special note

Deleting/archiving business partners

The (central) SAP business partner already provides the infrastructure for deleting (physical deletion) andarchiving (physical deletion and storing in an archive) business partner data. The specifications for theSAP Business Partner for Financial Services are not integrated in this infrastructure, however.

You cannot guarantee that the business partner data is not being used in an application when you delete orarchive data. Furthermore, you cannot delete or archive the parts that are specific to the SAP BusinessPartner for Financial Services.

For the reasons mentioned above, you should therefore not use the existing infrastructure to delete andarchive data for the SAP Business Partner for Financial Services.

28.5 CFM-TM Transaction Manager

28.5.1 Linking Products

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Use

It is now possible to link products in the parallel valuation area (see IMG -> General Settings ->Accounting -> Parallel Valuation Areas -> Organization -> Product Categories (in Parallel ValuationAreas) to Be Excluded).

If the Exclusion indicator is set at one level, you cannot make further refinements.

28.5.2 Revenue Classification

Use

As of SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV 110) a new entity for profit and lossreporting is available in the form of Revenue Classification by Means of Profit/Loss Types.

This allows profits and losses to be structured in a new way in the position subledger.

Reporting with and on profit/loss types is offered as standard only for position management in parallelbooks. In the operative valuation area (valuation area 001) the reporting entities remain unchanged.


You may choose to maintain your profit/loss types. Having done so, you can assign the record ofprofit/loss types with which you wish to classify and structure your profits and losses to the update typesfor each valuation area.

You can access the characteristic "profit/loss type" in reporting via the logical databases FTI_TR_PL_CFand FTI_TR_PERIODS. You can find the standard reports supplied by SAP for profit and loss reportingunder the SAP Easy Access menu option Profit/Loss -> Integrated View. They are based exclusively onthe use of the profit/loss types supplied by SAP.

28.5.3 Automatic creation

Use

Hedge Management - Automatic creation of exposure, hedge, and hedging relationship uponcreation of an fx forward

With Enterprise Release 1.10, it is possible to create an exposure, hedge, and hedging relationship at thesame time that an fx forward is created. The tab strip Hedge Management in the fx forward contractcreation transaction contains all the data necessary for that functionality. If the hedge management data isto be automatically created out of the fx forward transaction, it can either be inserted into an existinghedge plan, or a new hedge plan can be created. All other necessary data, e.g. hedge category, is entered

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as part of the fx forward transaction.


The checkbox Create Data in the following IMG menu path has to be checked in customizing, indicatingthat automatic creation of hedge management data should be enabled.

-> Corporate Finance Management

-> Transaction Manager

->General Settings

-> Hedge Management

28.5.4 Key Date Valuation Enhancements

Use

Hedge Management

FAS 133 and IAS 39 require all derivatives to be recognized on the balance sheet at their fair value.

If certain conditions are met, a derivative may be designated as hedging an exposure in the sense of FAS133 or IAS 39 (Hedge Accounting). In this case, specific accounting rules apply when it comes tochanges in the fair value of the derivative.

Several requirements have ensued as regards the definition of the relationship between derivatives andexposures and the valuation functions:

The derivative must be linked with the exposure in a hedging relationship and the hedge strategy must bestated at the start of this hedging relationship. On the valuation key date, the user must assess whether thevalue changes in the derivative have in the previous period correlated sufficiently with the value changesof the exposure. This is known as retrospective assessment and can, as the first step of the test, be carriedout using different calculation methods, depending on the nature of the hedge (cash flow, fair valuehedge). As a next step, the results of the prospective effectiveness assessment have to be recorded.

If the hedging relationship proves effective, both retrospectively and prospectively, an effectivenessmeasurement is carried out as the final step of the effectiveness test. The effectiveness measurementdetermines the portion of the value change of the derivative that can be posted to a deferred account -accumulated other comprehensive income - in the cash flow hedge case, or the amount of the underlyingexposure that can be posted to P&L in the fair value hedge case (the derivative's fair value change isposted to P&L anyway in the fair value hedge case, whether the hedge is effective or ineffective and thusconsidered free-standing).

With Enterprise 1.10, SAP is delivering the following enhancement to cover the accounting guidelines forFAS 133 in US GAAP and IAS 39:

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o Cross-currency interest rate swaps can now be used as hedging instruments in fair value, cash flow,and net investment hedges.

o A new selection within the Key Date Valuation and Realized Gains/Losses allows the user to choosethe checkboxes Foreign Exchange, Money Market, and Derivatives. If hedge accounting is active(that is, if the indicator Hedge Accounting is set), both the Money Market and Derivativecheckboxes are set by default to ensure that those instruments cannot be valued seperately, as thiscould result in inconsistent account balances.


For Money Market Instruments it can be decided if a valuation in the title should be done in addition tothe foreign exchange valuation. If so, the flow types for valuation and realization in the title have to becreated and assigned to the relevant transaction type.

28.5.5 CFM-TM-TR Transaction Management

28.5.5.1 Compound Swap and EONIA Swap

Use

A compound swap is characterized by interest capitalization that can be paid out during and/or at the endof term. Whether or not the nominal amounts are swapped in the process is of no significance.

Interest capitalization has been possible in the Money Market, Foreign Exchange and Derivatives areassince Release CFM 1.0.

However, the interest capitalization could only be paid at the end of term, together with payment of thenominal amount (as the final repayment). This creates problems particularly with OTC interest ratederivatives, where the nominal amounts are not necessarily swapped.

For this reason, capitalized interest payment has now been introduced, enabling compound swaps to bemapped in the system.

In a similar manner to standard swaps, the interest rate flows for compound swaps are generatedaccording to the interest terms. In Customizing, however, you must select an interest rate term withcondition category 15 (interest capitalization) in order to create a compound interest effect.

The interest payment is entered as an independent time sequence. A flow is generated for each capitalizedinterest payment to pay the interest accrued to date, irrespective of whether this interest was alreadyadded to the nominal amount or not. Interest payment dates should therefore always coincide with interestcapitalization dates.

In the case of an EONIA swap, fixed interest rates (based on the EURO Over-Night Index Average) areswapped against variable interest rates. A daily interest rate adjustment takes place (the interest rate isprecise to two decimal places). The rate adjustment over the weekend is calculated according to the samebase amount and interest rate as the Friday payment. The interest is capitalized and a single paymentmade at the end of term.

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An interest rate average rounded to 4 decimal places forms the basis for calculating the interest to be paidat the end of term. A difference therefore exists between this method and the precise method ofcalculation at the end of term.

The EONIA swap should be regarded as a special form of compound swap that requires thecorresponding interest condition and interest payment condition entries (see below).

The same interest flows are generated as for compound swaps.

First, the system generates a differential flow with the interest payment. This is an interest flow, andreveals the difference between the rounded and the non-rounded interest rate average. The single interestpayment is then generated in accordance with the rounded interest rate average.

Customizing settings

If they do not already exist, you should create the following flow types (with the corresponding updatetype, condition type, accrual/deferral, valuation, account determination, ...) in addition to the flow typesthat exist for standard swaps and assign them to the transaction type:

- Interest capitalization

- Interest payment

(see also Sample Customizing)

28.5.5.2 Deleting Old Transactions and Old Coding

Use

During the course of the last release the coding was changed in the OTC interest rate derivatives area.New programs / function groups now exist.

The old coding applies to obsolete tables. As new coding existed, corrections were no longer maintained.Consequently, old program fragments exist, which should under no circumstances be used for the reasonsmentioned above. For the new Release SAP Enterprise Financial Services 1.10 (EA_FINSERV 110), thisold coding will be deleted.

At the same time, some transactions will, in due course, be replaced by new transactions. If you call theold transactions, you will be transferred automatically to the new transactions.

These old transactions will likewise be deleted. You should only use the new transactions directly.

The following programs / function groups were deleted:

SAPMF71A RFTBFB00 TB13

SAPMF71B RFTBFL01 TB48

SAPMF72A RFTBZR00 TB4A

SAPMF7CF RESET_INT TB08

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SAPMF71D RFTBXP12

as well as the following transactions:

TI01 TI13 TI25 TI36 TI0A TI10_OLD TJ03 TO01_OLD

TI02 TI14 TI26 TI38 TI0B TI11_OLD TJ05_OLD TO02_OLD

TI03 TI15 TI27 TI41 TI0C TI12_OLD TJ09_OLD TO03_OLD

TI04 TI16 TI28 TI47 TI0E TI37_OLD TO04_OLD

TI05 TI17 TI48 TI0F TO05_OLD

TI06 TI18 TI53 TO06_OLD

TI07 TI19 TO07_OLD

TI08 TO08_OLD

TI09

28.5.5.3 Early Repayment

Use

A reduction in the nominal amount can be defined as an early repayment in money market transactionsand interest rate derivatives. This results in an interest calculation at the due date of the reduction inprincipal - in a similar manner to accrued interest in the securities area.

If you define a flow and assign it to a transaction type, as described in Effects on Customizing, it can beentered in the transaction as an additional main flow or additional nominal amount flow. You can eitherenter a clean price directly as the payment amount or specify a dirty price, which serves as the basis forcalculating the clean price.


If you want to activate Early Repayments, you must create a corresponding flow type (classification:structure) as an early repayment in the flow type Customizing settings for money market and derivatives.You must mark this flow type as relevant for accrued interest calculation. The flow is always a principaldecrease flow type [SBKTYP = 11]

28.5.6 CFM-TM-AC Transfer to Financial Accounting

28.5.6.1 Statistical Reporting According to AWV (Z1 and Z4)

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28.5.6.2 Posting Interface for the Parallel Valuation Areas (Enhanced)

Use

As of SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV 110), the following functions have beenadded to the posting interface for the parallel valuation areas:

o The trading partner (field VBUND) is provided as an additional information field in the FI interface.The trading partner depends on the product group:

- Securities, listed options and futures: Issuer

- Loans: Main loan partner

- OTC transactions: Counterparty

o You can use the BAdI TPM_ACCIF_TRAC for customer-specific enhancements in the parallelposting interface. It enables you to overwrite the document header text, the document segment text,the cost center, the business area, the flow type, the trading partner, and the account. The functionsare described in the documentation for the BAdIs.

o If a parallel valuation area is to be managed in a special ledger (SL), the special ledger is onlyspecified indirectly through an accounting principle. For more information, see the documentationfor the IMG activity Assign Accounting Codes and Valuation Areas and the F1 documentation forthe field Accounting Principle in this IMG activity.

o You can now specify a different posting date and posting period for reversals in the parallelvaluation areas. However, the lock set for the position when you transfer an account assignmentreference still applies for the posting date of the posting documents. If the original posting date of adocument is before the posting date of an account assignment reference, you cannot reverse thedocument by entering a different reversal date. You still have to reverse the account assignmentreference transfer first. In the posting journal you can display three additional fields: the reversaldate, the reversal period, and the fiscal year of the reversal.

o Previously, the system date was entered as the document date of the FI document. This field is nowfilled with the relevant date from the application. You can display the Document Date field in theposting journal. This field will be filled for postings as of this release.

o A new transaction TMPM11 - Post Reversal/Recalculation has been added. This enables you todetach reversals in transaction management from those in the parallel valuation areas. This functionhas already been made available to customers using the Releases Banking 4.62/CFM 1.0 andBanking 4.62/CFM 2.0 in support packages. As of SAP R/3 Enterprise Financial Services 1.10, youcan also specify a different posting date and posting period for reversals with transaction TMPM11.

o If you post to a special ledger, you can use a different chart of accounts to the one used for thecompany code. This special ledger setting has already been made available to customers using theReleases Banking 4.62/CFM 1.0 and Banking 4.63/CFM 2.0 in support packages. As of SAP R/3Enterprise Financial Services 1.10, you can also display the chart of accounts in the posting journal.

o The account assignment reference transfer has been enhanced by the posting categories "Other G/LAccount Posting in Position Currency" and Other G/L Account Posting in Payment Currency". Thismeans that you can now also transfer unrealized gains and losses with account assignment reference

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transfers. This enhancement has already been made available to customers using the ReleasesBanking 4.62/CFM 1.0 and Banking 4.63/CFM 2.0 in support packages.

28.5.6.3 Linking Other Transactions to Parallel Position Management

Use

OTC options (product category 760) and facilities (product type 560) have now also been linked toparallel position management.

28.5.6.4 Valuation

Use

New valuation function:

o Key date valuation for currency swaps in the operative valuation area

Enhanced valuation functions:

o The key date valuation function for money market transactions in the operative valuation area hasbeen enhanced to include NPV valuation.

o Valuation of securities in the operative and parallel valuation areas has been enhanced to includespecial write-ups/write-downs according to the valuation rules in §341b of the German CommercialCode (HGB). This enhancement has already been made available to customers using CFM 1.0 andCFM 2.0 in support packages.

28.5.7 CFM-TM-IS Information System

28.5.7.1 New Features in CFM Reporting

Use

As of Release SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV110), many new features arenow available in the CFM Information System. The central feature is the SAP Query. This allows you togenerate lists flexibly and adapt them individually to your specific requirements.

SAP Query offers a broad range of options for defining reports and creating different report types, such asbasic lists, statistics and ranked lists.

Queries are based on InfoSets. These in turn are special views of data sources. In other words, InfoSetsdescribe the fields in a data source that can be analyzed in queries.

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28.5.7.2 Customer Drilldown Reporting Enhancements (Modificat.-Free)

Use

As of SAP R/3 Enterprise Financials Services 1.10 (EA-FINSERV 110), you can use append structures tomake customer-specific enhancements to the structure of drilldown reports without makingmodifications.

To do this, proceed as follows:

1. Create customer-specific append structures for the data types you want to enhance (transactionSE11, specify data type, Goto -> Append Structure -> Create). The following data types can beenhanced:

Data types for positions:

a) VTVBARW_CFM: CFM Operative/Parallel: For a Given Date

b) VTVBARW_DL: Loans: For a Given Date

c) VTVBARW_DR_BOE: Derivatives (Listed Transactions): For a Given Date

d) VTVBARW_DR_OTC: Derivatives (OTC): For a Given Date

e) VTVBARW_DV: Foreign Exchange: For a Given Date

f) VTVBARW_GH: Money Market: For a Given Date

g) VTVBARW: Market Risk: For a Given Date

h) VTVBARW_TR: Treasury: For a Given Date

i) VTVBARW_TR_EXTENDED: Treasury: For a Given Date (All Fields)

j) VTVBARW_WP: Securities: For a Given Date

Data types for position trends/flows

a) VTVDETA: Market Risk: For a Given Period

b) VTVDETA_CFM: CFM Operative/Parallel: For a Given Period

c) VTVDETA_CFM_PL: CFM Operative/Parallel: Profit/Loss Reporting

d) VTVDETA_DL: Loans: For a Given Period

e) VTVDETA_DR: Derivatives (OTC): For a Given Period

f) VTVDETA_DR_BOE: Derivatives (Listed Transactions): For a Given Period

g) VTVDETA_DV: Foreign Exchange: For a Given Period

h) VTVDETA_GH: Money Market: For a Given Period

i) VTVDETA_TR: Treasury: For a Given Period

j) VTVDETA_TR_EXTENDED: Treasury: For a Given Period (All Fields)

k) VTVDETA_WP: Securities: For a Given Period

Make sure that you enter all the relevant information in the append structure. Pay particularattention to the check table, foreign keys, reference table and reference field.

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2. Maintain the field catalogs for all the new customer fields (contained in the appendstructures):

a) TKAF_USER_APPD_K: Field Catalog for Customer Key Figures

b) TKAF_USER_APPD_M: Field Catalog for Customer Characteristics

c) TKAFD_USER_APPD: Dependencies for Customer Characteristics

You maintain the field catalogs using the following transactions:

d) TRMF_USER_K_MAINTAIN: Maintain Field Catalog: Customer Key Figures

e) TRMF_USER_M_MAINTAIN: Maintain Field Catalog: Customer Characteristics

f) TRMF_USER_D_MAINTAIN: Maintain Dependencies: Customer Characteristics

3. Regenerate the text reader (transaction TRMT_TEXTS_GENERATE).

4. Make the settings for filling the new fields in the customer exits. You do this using transactionCMOD and the enhancement "FTISE001": Derivation of Selected TR-TM Data

The following components are available:

a) EXIT_SAPLFTIS_001: Map Key Figures TR-IS --> CFM-IS

b) EXIT_SAPLFTIS_101: Map Key Figures TR-LO-IS --> TR-IS

c) EXIT_SAPLFTIS_102: Map Key Figures TR-TM-SE-IS --> TR-IS

d) EXIT_SAPLFTIS_104: Map Key Figures TR-TM-FX-IS --> TR-IS

e) EXIT_SAPLFTIS_105: Map Key Figures TR-TR-MM-IS --> TR-IS

f) EXIT_SAPLFTIS_106: Map Key Figures TR-TM-DE-IS --> TR-IS

g) EXIT_SAPLFTIS_002: Customer Fields CFM-IS (Parallel)

h) EXIT_SAPLFTIS_201: Customer Fields TR-LO-IS (Loans)

i) EXIT_SAPLFTIS_202: Customer Fields TR-TM-SE-IS (Securities)

j) EXIT_SAPLFTIS_204: Customer Fields TR-TM-FX-IS (Foreign Exchange)

k) EXIT_SAPLFTIS_205: Customer Fields TR-TM-MM-IS (Money Market)

l) EXIT_SAPLFTIS_206: Customer Fields TR-TM-DE-IS (Derivatives)

The last six components are intended for customer enhancements. You can use the first six components tooverride the rules delivered by SAP for mapping between the various modules, without having to makemodifications.

In addition, you can use the following transactions to structure your system more clearly:

TRMG: Create Characteristic Group

TRMG_KFG_CREATE: Create Key Figure Group

TRMG_KFG_MAINTAIN: Maintain Key Figure Group

TRMS_DEACTIVATE: Deactivate Structures

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TRMS_USER_DEACTIVATE: Deactivate Structures: User-Dependent

TRMF_FLDS_DEACTIVATE: Deactivate Fields

TRMU_FLDS_DEACTIVATE: Deactivate Fields: User-Dependent

28.6 CFM-PA Portfolio Analyzer

28.6.1 Reorganization of Single Records in the Area Menu (Changed)

Use

From Release SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV 110), the function"Reorganization of Single Records" is no longer contained in the IMG. Instead, you can access it from thefollowing places in the area menu and under the following new name:

o SAP Menu -> Accounting -> Bank Applications -> Risk Analysis -> Market Risk Analysis -> Tools-> Results Database -> Delete Non-Archived Single Records

o SAP Menu -> Accounting -> Corporate Finance Management -> Market Risk Analyzer -> Tools ->Results Database -> Delete Non-Archived Single Records

o SAP Menu -> Accounting -> Corporate Finance Management -> Portfolio Analyzer -> Tools -> Results Database -> Delete Non-Archived Single Records

28.6.2 Activate the Analysis Structure after Release Upgrade

Use

Activate the dictionary objects of the analysis structure

For Risk Management, in Customizing choose SAP Banking -> Strategic Enterprise Management(SEM) -> Risk Analysis -> Common Settings for Market Risk and ALM -> Characteristics andCharacteristic Values -> Define Analysis Structure. For CFM choose Corporate FinanceManagement -> Basic Analyzer Settings -> Reporting Characteristics -> Define AnalysisStructure. Enter the name of the analysis structure and choose Analysis Structure -> Change.Messages may appear that refer to regenerating the field catalog and the text read modules. Do not makeany changes to the characteristics. Choose Analysis Structure -> Activate.

Once you have activated the analysis structure exist the processing screen. Messages may appearreferring to the generation of service programs.

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28.6.3 Inclusive Indicator in the Calculation of Accrued Interest (Enhanced)

Use

As of R/3 Enterprise Financial Services 1.10, you can now define in the evaluation type whether accruedinterest is to be calculated up to the horizon date. To do this, you set the Accrued Int. Calc: IncludeHorizon indicator. If you set the indicator, the horizon date is taken into account in the calculation ofaccrued interest. If you do not set the indicator, the date of the horizon is not included.

Up till now, the calculation included the horizon date and you were unable to influence this inCustomizing.

Effects on Existing Data

You do not need to make any changes as regards system administration.


You make the setting in transaction JBREVAL.

28.7 CFM-MR Market Risk Analyzer

28.7.1 Reorganization of Single Records in the Area Menu (Changed)

Use

From Release SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV 110), the function"Reorganization of Single Records" is no longer contained in the IMG. Instead, you can access it from thefollowing places in the area menu and under the following new name:

o SAP Menu -> Accounting -> Bank Applications -> Risk Analysis -> Market Risk Analysis -> Tools-> Results Database -> Delete Non-Archived Single Records

o SAP Menu -> Accounting -> Corporate Finance Management -> Market Risk Analyzer -> Tools ->Results Database -> Delete Non-Archived Single Records

o SAP Menu -> Accounting -> Corporate Finance Management -> Portfolio Analyzer -> Tools -> Results Database -> Delete Non-Archived Single Records

28.7.2 Increased Length of Fields for Volatilities (Changed)

Use

The length of the volatility field (data elements TV_VOLA, T_VOLA) was increased from 10.7 to 11.7,that is to four predecimal places.

Very occasionally, there are market conditions in which volatilities of up to 999 occur. This requirementwas not met previously. From SAP R/3 Enterprise Financial Services 1.10 values for the volatility of up

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to 9 999 are permitted.


You do not need to run any database conversions. Only the format of the data in the database (OLDTABLE) has to be changed. This is done automatically when you upgrade your system to SAP R/3Enterprise Financial Services 1.10.

See also

Statistics calculator

28.7.3 Activate the Analysis Structure after Release Upgrade

Use

Activate the dictionary objects of the analysis structure

For Risk Management, in Customizing choose SAP Banking -> Strategic Enterprise Management(SEM) -> Risk Analysis -> Common Settings for Market Risk and ALM -> Characteristics andCharacteristic Values -> Define Analysis Structure. For CFM choose Corporate FinanceManagement -> Basic Analyzer Settings -> Reporting Characteristics -> Define AnalysisStructure. Enter the name of the analysis structure and choose Analysis Structure -> Change.Messages may appear that refer to regenerating the field catalog and the text read modules. Do not makeany changes to the characteristics. Choose Analysis Structure -> Activate.

Once you have activated the analysis structure exist the processing screen. Messages may appearreferring to the generation of service programs.

28.7.4 Inclusive Indicator in the Calculation of Accrued Interest (Enhanced)

Use

As of R/3 Enterprise Financial Services 1.10, you can now define in the evaluation type whether accruedinterest is to be calculated up to the horizon date. To do this, you set the Accrued Int. Calc: IncludeHorizon indicator. If you set the indicator, the horizon date is taken into account in the calculation ofaccrued interest. If you do not set the indicator, the date of the horizon is not included.

Up till now, the calculation included the horizon date and you were unable to influence this inCustomizing.


You do not need to make any changes as regards system administration.


You make the setting in transaction JBREVAL.

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28.7.5 CFM-MR-NPV NPV Analysis

28.7.5.1 Creation and Valuation of Eonia Swaps (Enhanced)

Use

As of SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV 110) in Risk Management youcan process compound swaps and eonia swaps, for which the payment of capitalized interest does notoccur at the same time as the payment of the nominal amount.

See also Compound Swap and Eonia Swap


To be able to create and value compound swaps and eonia swaps in Risk Management, you have to assignin Customizing the following cash flow indicators to flow types of contract type 6:

o Interest capitalization (sample Customizing 1150) has cash flow indicator 9

o Payment of capitalized interest (sample Customizing 1150) has cash flow indicator 2

To make these settings choose the activity Define Assignment Manually under SAP Banking -> StrategicEnterprise Management (SEM) -> Risk Analysis -> Common Settings for Market risk and ALM ->Valuation -> Cash Flow Indicator and Fictitious Cash Flow Indicator -> Transactions with Flow Types:Assign CF Indicator and Fictitious CF Indicator or Corporate Finance Management -> Market RiskAnalyzer-> Assign Cash Flow Indicator to Flow Types.

28.7.6 CFM-MR-GAP Gap Analysis

28.7.6.1 Creation and Valuation of Eonia Swaps (Enhanced)

Use

As of SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV 110) in Risk Management youcan process compound swaps and eonia swaps, for which the payment of capitalized interest does notoccur at the same time as the payment of the nominal amount.

See also Compound Swap and Eonia Swap


To be able to create and value compound swaps and eonia swaps in Risk Management, you have to assignin Customizing the following cash flow indicators to flow types of contract type 6:

o Interest capitalization (sample Customizing 1150) has cash flow indicator 9

o Payment of capitalized interest (sample Customizing 1150) has cash flow indicator 2

To make these settings choose the activity Define Assignment Manually under SAP Banking -> Strategic

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Enterprise Management (SEM) -> Risk Analysis -> Common Settings for Market risk and ALM ->Valuation -> Cash Flow Indicator and Fictitious Cash Flow Indicator -> Transactions with Flow Types:Assign CF Indicator and Fictitious CF Indicator or Corporate Finance Management -> Market RiskAnalyzer-> Assign Cash Flow Indicator to Flow Types.

28.7.6.2 Interest Result Evaluation for Forward Exchange Transactions(Changed)

Use

As of SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV 110) you can use the ALMvaluation type to control how forward exchange transactions are displayed in gap analysis. You have thefollowing options:

o NPV displayIn the position evaluations, the nominal volume discounted to the contract date is shown.

o Forward exchange transactions for hedging capital positionsIn the position evaluations, forward exchange transactions are shown with the nominal capital andan interest rate of zero. In the interest result evaluation, although a position is shown, the interestresult is not shown.

o Forward exchange transactions for hedging interest paymentsForward exchange transactions are not shown in the position evaluations. In the interest resultevaluation, an entry is made both for the interest revenue of the interest position and for the interestexpense of the position. These values are shown for the relevant period.

In the ALM valuation type, set the balance sheet volume in interest result indicator to off-balance sheettransactions not included. This means that in the interest result evaluation for forward exchangetransactions the system displays only the accrued interest revenue/expense, and not the volume.


You make the settings described above in the ALM valuation type in the field Forward Forex Trans. Youcan also make this setting specific to the valuation rule.

28.7.6.3 Spreads in the Cash Flow Evaluation (Changed)

Use

As of SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV 110) you can display spreads inthe cash flow evaluation in ALM simulation independently of the setting you have made for the spreadprocessing indicator in the ALM valuation type. This is useful because premiums/discounts on variablerate items contain a net present value risk.

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28.8 CFM-CR Credit Risk Analyzer

28.8.1 Glossary in SAPTerm (New)

Use

From SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV 110) you can find terminologyand glossary definitions for the Default Risk and Limit System and the Credit Risk Analyzer in the SAPGlossary. To view the glossary choose Help -> Glossary.

28.8.2 Mass Data Capability in the Postprocessing Function (Enhanced)

Use

In contrast to the previous postprocessing function, which was able to handle individual transactions only,you are now able to postprocess multiple transactions simultaneously by using the new function.

The function for postprocessing mass data replaces the previous postprocessing function. You can findthe new function in the application menu by choosing

Accounting -> Bank Applications-> Risk Analysis -> Default Risk and Limit System -> Tools->End-of-Day Processing -> Execute Postprocessing

or

Accounting -> Corporate Finance Management -> Credit Risk Analyzer -> Tools -> End-of-DayProcessing -> Execute Postprocessing

Prerequisite

You need to have already run end-of-day processing at least once. You use postprocessing to re-posttransactions that were not included in end-of-day processing or that were subsequently changed.

Advantages of the new function

o You can use the new function for postprocessing facilities and netting groups. If you want topostprocess a facility, enter the object number of the facility. If you want to postprocess a nettinggroup, you need to enter just one transaction of the netting group.

o Provided that in Customizing you have activated parallel processing for end-of-day processing, thisapplies for postprocessing as well.

o The 24-hour capability of the single transaction check (STC) applies during postprocessing inexactly the same way as it does during end-of-day processing. If you have specified a postingdeadline for end-of-day processing, this deadline is ignored in the post-run update of the STCs thataccumulated during postprocessing. Hence postprocessing finishes when all STCs have beenincluded in a post-run update.

o Issuer risk is calculated and updated for the specified transactions only.

Note:

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For performance reasons, you are no longer able to run this program as a test. However, you are able totrace back the changes in the utilization generation function in Limit Management.

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