Position Mangement Procedure--4001--FX 60A
Dear All,
I am trying to understand how the system is valuing the positions for a Fx Foreard Transactions.The Position Management Procedure is 4001.Step 1:Rate valuation 1000.Step2:Type 7-Swap Accrual Step 3:Type 8:Swap Valuation.
Can body Explain me the values for Swap Accrual and Swap Valuation.And the concept behind these two valuations.
The scenario and the Log from valuation run for 31.03.2010 is given below:
Scenario:Bye 1000 USD
Sell 420000 INR
Spot rate of transaction:39.00/Forward Rate:42.00 2--swap 1:Liquidity
Log for valuation run on 31.03.2010
Rate Valuation:
New bk value excl. costs in valn crcy 2,000.000
Write-up/down relat. to PC in VC 2,000.000
Spot Rate PC/VC in Market 41.00000
Spot rt sales/valn crcy mkt 1.00000
Total Swap from Trans. in Foll. Curr. 3,000.000
Total Margin/Swap from Transaction in VC 3,000.000-
Purchase Currency USD
Sale Currency INR
Leading Crcy in Purch./Sale Pair USD
Foll. Crcy Purchase/Sale Crcy Pair INR
Open Date 11.02.2010
Close Date 11.04.2010
Units 1.000000
Amount in Pur. Crcy Based on Spot Prices 1,000.00
Amount in Sale Crcy Based on Spot Prices 39,000.000
Amount in Val. Crcy Based on Spot Prices 39,000.000
Purchase Amount in Purchase Currency 1,000.00
Sale Amount in Sale Currency 42,000.000
Amount in VC from Forward Rates 42,000.000
Swap Accrual:
New bk value excl. costs in valn crcy 444.444-
Old bk value excl. of costs in valn crcy 2,000.000
Margin/swap accrual in valuation crcy 2,444.444-
Total Swap from Trans. in Foll. Curr. 3,000.000
Total Margin/Swap from Transaction in VC 3,000.000-
Purchase Currency USD
Sale Currency INR
Leading Crcy in Purch./Sale Pair USD
Foll. Crcy Purchase/Sale Crcy Pair INR
Open Date 11.02.2010
Close Date 11.04.2010
Units 1.000000
Amount in Pur. Crcy Based on Spot Prices 1,000.00
Amount in Sale Crcy Based on Spot Prices 39,000.000
Amount in Val. Crcy Based on Spot Prices 39,000.000
Purchase Amount in Purchase Currency 1,000.00
Sale Amount in Sale Currency 42,000.000
Amount in VC from Forward Rates 42,000.000
Swap Valuation:
New bk value excl. costs in valn crcy 50.000
Old bk value excl. of costs in valn crcy 444.444-
Write-up/down swap valn in valn crcy 494.444
Swap Rate Purc/Sale Cur 1.05000
Market Swap in Following Curr 1,050.000
Market Swap Price in Valuation Currency 1,050.000-
Total Swap from Trans. in Foll. Curr. 3,000.000
Total Margin/Swap from Transaction in VC 3,000.000-
Purchase Currency USD
Sale Currency INR
Leading Crcy in Purch./Sale Pair USD
Foll. Crcy Purchase/Sale Crcy Pair INR
Open Date 11.02.2010
Close Date 11.04.2010
Units 1.000000
Margin/Swap Acc./Def. to Date in VC 2,444.444-
Amount in Pur. Crcy Based on Spot Prices 1,000.00
Amount in Sale Crcy Based on Spot Prices 39,000.000
Amount in Val. Crcy Based on Spot Prices 39,000.000
Purchase Amount in Purchase Currency 1,000.00
Sale Amount in Sale Currency 42,000.000
Amount in VC from Forward Rates 42,000.000
SWAP Rate for USD to INR for rate M:
30 days 3.5
60 days 4.0
90 days 4.5
Exchange rate 31.03.2010---41.00
Thankng in advance.
Regards
Raju
Hi,
Swap Accrual will divide the swap amount (forward points amount) over the period of the FX forward transaction.
Swap Valuation posts the difference between "market swap" and "book swap" as gain/loss. Market swap is determined by multiplying the foreign currency amount to swap rate at key date (till value date) and then converted using spot rate at key date. Book swap is current book swap amount (i.e. original swap amount-swap accrual- swap valuation).
Manish
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Position Management Procedure--4001-60A
Dear All,
I am trying to understand how the system is valuing the positions for a Fx Foreard Transactions.The Position Management Procedure is 4001.Step 1:Rate valuation 1000.Step2:Type 7-Swap Accrual Step 3:Type 8:Swap Valuation. Can body Explain me the values for Swap Accrual and Swap Valuation.And the concept behind these two valuations. The scenario and the
Log from valuation run for 31.03.2010 is given below:
Scenario:Bye 1000 USd
Sell 420000 INR
Spot rate of transaction:39.00/Forward Rate:42.00
New bk value excl. costs in valn crcy 2,000.000
Write-up/down relat. to PC in VC 2,000.000
Spot Rate PC/VC in Market 41.00000
Spot rt sales/valn crcy mkt 1.00000
Total Swap from Trans. in Foll. Curr. 3,000.000
Total Margin/Swap from Transaction in VC 3,000.000-
Purchase Currency USD
Sale Currency INR
Leading Crcy in Purch./Sale Pair USD
Foll. Crcy Purchase/Sale Crcy Pair INR
Open Date 11.02.2010
Close Date 11.04.2010
Units 1.000000
Amount in Pur. Crcy Based on Spot Prices 1,000.00
Amount in Sale Crcy Based on Spot Prices 39,000.000
Amount in Val. Crcy Based on Spot Prices 39,000.000
Purchase Amount in Purchase Currency 1,000.00
Sale Amount in Sale Currency 42,000.000
Amount in VC from Forward Rates 42,000.000
Swap Accrual:
New bk value excl. costs in valn crcy 444.444-
Old bk value excl. of costs in valn crcy 2,000.000
Margin/swap accrual in valuation crcy 2,444.444-
Total Swap from Trans. in Foll. Curr. 3,000.000
Total Margin/Swap from Transaction in VC 3,000.000-
Purchase Currency USD
Sale Currency INR
Leading Crcy in Purch./Sale Pair USD
Foll. Crcy Purchase/Sale Crcy Pair INR
Open Date 11.02.2010
Close Date 11.04.2010
Units 1.000000
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Amount in Sale Crcy Based on Spot Prices 39,000.000
Amount in Val. Crcy Based on Spot Prices 39,000.000
Purchase Amount in Purchase Currency 1,000.00
Sale Amount in Sale Currency 42,000.000
Amount in VC from Forward Rates 42,000.000
Swap Valuation:
New bk value excl. costs in valn crcy 50.000
Old bk value excl. of costs in valn crcy 444.444-
Write-up/down swap valn in valn crcy 494.444
Swap Rate Purc/Sale Cur 1.05000
Market Swap in Following Curr 1,050.000
Market Swap Price in Valuation Currency 1,050.000-
Total Swap from Trans. in Foll. Curr. 3,000.000
Total Margin/Swap from Transaction in VC 3,000.000-
Purchase Currency USD
Sale Currency INR
Leading Crcy in Purch./Sale Pair USD
Foll. Crcy Purchase/Sale Crcy Pair INR
Open Date 11.02.2010
Close Date 11.04.2010
Units 1.000000
Margin/Swap Acc./Def. to Date in VC 2,444.444-
Amount in Pur. Crcy Based on Spot Prices 1,000.00
Amount in Sale Crcy Based on Spot Prices 39,000.000
Amount in Val. Crcy Based on Spot Prices 39,000.000
Purchase Amount in Purchase Currency 1,000.00
Sale Amount in Sale Currency 42,000.000
Amount in VC from Forward Rates 42,000.000
SWAP Rate for USD to INR for rate M:
30 days 3.5
60 days 4.0
90 days 4.5
Exchange rate 31.03.2010---41.00
Regards
RajuDear All,
Please help.
Regards
Raju -
Sap trm position management procedure
Hi,
How to define Position Management Procedure and Assigned it for Government Securities (04I) and 01A Shares
with regards
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Define Position Management Procedure:
1. For Shares: 01A - Product Type
2. For Government Securities 04I - Product Type
Path: IMG -> Financial Supply Chain Management -> Treasury and Risk Management -> Transaction Manager -> General Settings -> Accounting -> Settings for Position Management -> Define Position Management Procedure
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Hello
I get in FTR_CREATE the error
No position management procedure could by found in Customizing for position CoCd:BPO1 ValArea001 ValCls0003 Trans.:\INTERN\0057.
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I am creating a 62C interest rate swap.
Even if I assign 62CHi,
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How to refresh the position management procedure in financial transaction it is posible or not.
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Tcode for hr position management data
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Valuaiton area:operative valuation area-IAS
Message
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Message no. TPM_TRL005
Diagnosis
No position management procedure could by found in Customizing for position CoCd:1020 ValArea001 ValCls0003 SEAcc:1000EQ0001 IDEQ_1000_00001.
System Response
The function cannot be used.
Procedure
In Customizing, maintain the assignment of position management procedures.
In the customizing the assignment has already been done.
Also I am able to see the flows for the security Acc Classification.
Please advise how to resolve this.
Best Compliments
S
Edited by: sapcounts on Dec 21, 2011 10:51 AM
The procedure assigned was incorect. Works after correctionHi Andy
Please assign the relevant PMP to product type in assign PMP in spro setting
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Dear Experts,
I have one question regarding the foreign exchange valuation in tpm1:
The Position Management Procedure include the Gross Amortization Procedure, where Premium/Discount is not included in Book Value. Therefore the premium/discount is posted as accrued/deferred account.
At the end I will have one asset account for the Nominal Value and a second asset account for the premium/discount.
My problem: I cannot split the FX Valuation in the 2 accounts. Do you have any idea?
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Was reading through this question and I understand that the question is answered, but just wanted to check on certain points.
In PMP, do we need to have two procedures for the same step (forex valuation) and will it actually work? I will check this.
Also if I understand the requirement correctly, you are managing premium/discounts through deferred revenue accounts. Hence when you do a forex valuation, you want the valuation amount to be split separately for position account and deferred revenue account? But in general is it the practice to separately valuate it.
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Treasury Management , SPRO for position management
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Edited by: Hiren Mazumdar on Mar 31, 2009 10:15 AMHi,
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First you need to create a positon management procedure under settings for position management - Define position mgmt procedure.
Before this you need to decide whether it is to be done based on key date or not. If it is based on key date, then procedure has to be assigned under Keydate Valaution tree in settings for postion mgmt.
Then you have to define the procedure where you assign the category of procedure and also the type of step based on your requirement like forex valuation, security valuation or amortization. You also assign the procedure for it. Then if required to be done using key date then check that box.
Then the procedure has to be assgined based on various factors like acct assign ref., val area and others.
Then we have to assign update types for the procedure defined now. This is just a brief explanation
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TPM13 position flows in different currency
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For one IRI instrument i was trying to reverse the cash flows and it is giving me an error currency_invalid. When I ran the report tpm13 i could see flow in different currencies. Like the position currency is different from valuation currency. I am not able to reverse or change the instrument.
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Please make sure that you have maintained an exchange rate for combination of position currency and valuation currency for the exchange rate type defined in the position management procedure assigned for that product type. Also please elaborate on the error you are getting. Have you created the ITI in the position currency?
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in my fixed rate bond transaction, I have a few derived flow as attached, for example DBT_C002, it is a derived business flow, but in SPRO securities section, I can't find any flow type assigned to it, also in SPRO flow type/derived flows/define calculation procedure for derived flows, there is no procedure, so how 122.61 is calculated? thanks
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'DBT_C002' is derived due to the applicable Position Management Procedure, see the folder 'Amortizations' (see an example in the screenshot attached) - check the Customising SPRO -> ... -> TRM -> Transaction Manager -> General Settings -> Accounting -> Derived Business Transactions -> Update Types -> Assign Update Types for Derived Business Transactions.
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Change Position management porcedure for securities after postings exist
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We use different position management procedures for securities with local and foreign currency. After posting the currency changeover by using FWKB Corporate Action we would like to go on with changing the position mgmt procedure as well. Is it possible to do so? We tried to use TPM50 Change Position Mgmt Procedure however it says posting already exist and not allows to change.
Please let me know if any workaround could be used.
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Edited by: AdinaBen on Sep 28, 2010 7:03 AMHello,
Normally you can use transaction TPM50 to change the position
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exist it is not longer possible. You can reverse all postings for the position.
Another posibility would be a valuation class transfer (TPM15). This seems
the only way to change PMP if there are posted BTs.
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Jasmine -
Hi Experts,
I need to valuate a fx spot transaction with M (Standard translation at average rate). The configuration that I have for key date valuation for product type (60A) is as follows:
Define Price Valuation Procedure for Forward Exchange Transactions
1000 (Rate Valuation Spot/Spot)
NPV Type: 002
Write Up Rule: Write up to Market Value
Write Down Rule: Write Down to Market Value
Rate Type Spot Pur.: M
Rate Type Spot Sale M
Rate Type Swap Purch M
Rate Type Swap Sale M
For Define Position Management Procedure:
Position Management Category: Forex Transactions
Transfer Cat: Only Post to Used Components
Type of Step: 6
Procedure: 1000
Flag "Carry Out for Key Date Valuation"
In Assign Update Types for Valuation:
Tab "One Step: Overall write-down"
- Adjustment Write-Down, Forex V102
- Forex Write-Down V103
Tab "One Step: Overall write-up"
- Forex Write-Up V152
- Adjust Forex Write-Up V153
Tab "Foreign crcy valuation"
- Forex Write-Up V202
- Forex Write-Down V203
- Write-Up for Costs, Forex 206
- Write-Down for Costs, Forex V207
- Variation Margin Forex Write-Up V210
- Variation Margin Forex Write-Down V211
- Clear Forex Write-Up V252
- Clear Forex Write-Down V253
- Clear Write-Up for Costs, Forex V256
- Clear Write-Down for Costs, Forex V257
All update types flagged as relavant for posting.
when buying/selling a currency the system is configured to post the transaction the following way:
Example:
TX01 / TX-5 / TBB1
Im buying 1.000.000 EUR @ 1.5 USD
40 - EUR Bank: 1.000.000 EUR
50 - Clearing Account: 1.000.000 EUR
40 - Clearing Account: 1.600.000 USD
50 - USD Bank: 1.600.000 USD
If Exchange Rate Type "M" for EUR is 1.6 I need to post a profit for the difference between (1.6 - 1.5)* 1.000.000= 100.000
But when valuating with TPM1 nothing happens, and no message is displayed.
Thanks for the help in advance!
Best Regards,
SantiagoHi Manish, regarding the Derived Business Transactions configuration is as follows:
In Assign Update Types for Derived Business Transactions, selection the correspondant Pos Management Procedure.
Under Dialog Structure "Rate Gains/Losses":
Unsched. Sched Outflows
Exchange Rate Gain DBT_B005 DBT_B006
Exchange Rate Loss DBT_B007 DBT_B008
Rate Gain (Standard) DBT_B013
Rate Loss (Standard) DBT_B014
or should I configure valuation??
FX Write-Up of Amort. Acqu. Value ???? (what update type)
FX Write-Down of Amort. Acqu. Value ???? (what update type)
Control of Processing of Derived Business Transactions
Acct Code XXXX / Offline / Same Status / 04 (Other Reasons)
All update type marked relevant for posting.
Need anything else?
When executing TPM27
ACC / VA / TRL Date / BT Cat / Name of business transaction category / Der BT´s
1002 001 11.01.2010 4000 Open OTC transaction
1002 001 11.01.2010 4001 Close OTC transaction
1002 001 11.01.2010 4002 Purchase OTC transaction
1002 001 11.01.2010 4003 Sell OTC transaction
Then in the TPM18
with TRL Date: 11/01/2010
and the following message appears: "No Scheduled derived business transactions were found for the selection"
Thanks in advence for the help -
TPM_MIGRATION post customizing steps
Hi Gurus,
As part of the technical upgarde project we have run the tpm_migration in ECC 6 sandbox environment from version from 4.6c. We use securities, OTC and FX. We'll keep the single valuation area as it was used before in earlier version.
We tryed entering the first transaction and received the error message:
"No position management procedure could by found in Customizing for position CoCd:XX ValArea:YY ValCls:ZZZ" (TPM_TRL005)
What kind of additional customizing is required - we are not familiar with position management what is it for?
ThanksHi,
There should be few standard PMPs provided by SAP. You can use those standard or make a copy of the standard and use it. This should be done in Define Position Managment Procedure. Further in PMP you can define different valuation settings required for each treasury insturment as well.
For Eg: If your position mangement category belongs to OTC Money Markets you can use standard PMPs - 2500, and make any changes reqd in the valuation settings.
The important point is that if your transaction belongs to a liability position, you have to set the PMP also with Liability Position mangment.
Regards
Prasad AV -
PMP 4000 calcualtes Spot/Spot and SWAP/SWAP Difference while
Hi,
My client is using Position Management Procedure 4000 for our Forex Forward
transactions (Product type 60A and Transaction type 102).
When we do key date valuation using TPM1 it calculates two different
valautions - one for Spot gain/loss and another for Swap gain/loss as
shown in the enclosed screen shot.
We want a single gain/loss amount to be posted to the unrealized
gain/loss account.
What do we do?
KalyanHi,
In the IMG activity, Transaction manager -- Accounting -- Key date Valuation -- Assign Update Types
define only the required update types for PMP 4000. Also, in your PMP, I think you are using rate valuation for forward exchange transaction step.
Anyway, in the case of forward exchange transactions, I think it is correct to post both the losses because the rate of the transaction is made up of spot and swap rate.
If you want to use a single account, then specify the same posting specifications for both the update types. It will post to the same G/L accounts. Please attach the screen shots..
Check this case also: In settings for position management -- Key date Valuation -- Price Valuation procedure for forward exchange transactions.
Here in your procedure do not use Market Forward Rate for forward rate in transaction. Only this component uses swap rate.
Use Market spot rate for forward rate. This will compare only with market spot rate on valuation date and post only 1 loss.
Regards,
Ravi
Edited by: Ravishankar Ramamurthy on Aug 3, 2009 10:09 AM
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