y24 Erp606 Bb Configguide en Xx

EHP6 for SAP ERP 6.0

July 2012

English

Market Data(Y24)

SAP AGDietmar-Hopp-Allee 1669190 WalldorfGermany

Building Block Configuration Guide

SAP Best Practices Market Data (Y24): Configuration Guide

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Cross-references to other documentation.

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Content1 Purpose............................................................................................................................. 5

2 Prerequisites...................................................................................................................... 5

3 Configuration.....................................................................................................................5

3.1 Defining Reference Interest Rate.............................................................................5

3.2 Defining Swap Rates.............................................................................................12



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



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



YTEURDE14D

Par rate

EUR Depo 14 D

EUR Deposit 14Day

EUR

Act/360

Middle

14 Day

9001

01.01.2000



YTEURDE21D

Par rate

EUR Depo 21 D

EUR Deposit 21Day

EUR

Act/360

Middle

21 Day

9001

01.01.2000



YTEURDE01M

Par rate

EUR Depo 01 M

EUR Deposit 01 Month

EUR

Act/360

Middle

1 Month

9001

01.01.2000



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



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

Act/360

Middle

3 Month

9001

01.01.2000



YTEURDE04M

Par rate

EUR Depo 04 M


EUR

Act/360

Middle

4 Month

9001

01.01.2000



YTEURDE05M

Par rate

EUR Depo 05 M


EUR

Act/360

Middle

5 Month

9001

01.01.2000



YTEURDE06M

Par rate

EUR Depo 06 M


EUR

Act/360

Middle

6 Month

9001

01.01.2000



YTEURDE07M

Par rate

EUR Depo 07 M


EUR

Act/360

Middle

7 Month

9001

01.01.2000



YTEURDE08M

Par rate

EUR Depo

EUR Depos

EUR

Act/360

Middle

8 Month

9001

01.01.2000

EU European Curre

2 4 Previous Worki



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

Act/360

Middle

9 Month

9001

01.01.2000



YTEURDE10M

Par rate

EUR Depo 10 M


EUR

Act/360

Middle

10 Month

9001

01.01.2000

EU European Currency Union (ECU)


YTEURDE11M

Par rate

EUR Depo 11 M


EUR

Act/360

Middle

11 Month

9001

01.01.2000



YTEURDE01Y

Par rate

EUR Depo 01 Y

EUR Deposit 01 Year

EUR

Act/360

Middle

1 Year

9001

01.01.2000



YTEURSW02Y

Par rate

EUR Swap 02 Y

EUR Swap 02 Year

EUR

360/360

Middle

2 Year

9001

01.01.2000





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



YTEURSW04Y

Par rate

EUR Swap 04 Y

EUR Swap 04 Year

EUR

360/360

Middle

4 Year

9001

01.01.2000



YTEURSW05Y

Par rate

EUR Swap 05 Y

EUR Swap 05 Year

EUR

360/360

Middle

5 Year

9001

01.01.2000



YTEURSW06Y

Par rate

EUR Swap 06 Y

EUR Swap 06 Year

EUR

360/360

Middle

6 Year

9001

01.01.2000



YTEURSW07Y

Par rate

EUR Swap 07 Y

EUR Swap 07 Year

EUR

360/360

Middle

7 Year

9001

01.01.2000



YTE Par EU EU EU 360/ Mid 8 Ye 90 01.01. EU 2 4



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



YTEURSW10Y

Par rate

EUR Swap 10 Y

EUR Swap 10 Year

EUR

360/360

Middle

10 Year

9001

01.01.2000



YTEURSW15Y

Par rate

EUR Swap 15 Y

EUR Swap 15 Year

EUR

360/360

Middle

15 Year

9001

01.01.2000



YTEURSW20Y

Par rate

EUR Swap 20 Y

EUR Swap 20 Year

EUR

360/360

Middle

20 Year

9001

01.01.2000



YTEURSW30

Par rate

EUR Sw

EUR Sw

EUR

360/360

Middle

30 Year

9001

01.01.2000

EU European

2 4 Previous



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



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.


Documents

y24 Erp606 Bb Configguide en Xx