Hedging and Hedge Accounting with SAP

Hedging currency and interest rate risks made easy.

Make your SAP hedging/SAP hedge accounting system landscape as efficient as possible!

There is hardly any other process in treasury management for which the range of requirements from companies is greater: whether hedging currency or interest rate risks, whether classic exposures or financial transactions as underlying transactions, whether valuation units according to HGB or hedge relations according to IFRS and US GAAP – hedging and hedge accounting require integrated but highly flexible system support.
SAP provides a portfolio of suitable solutions for this purpose, which can also be flexibly adapted and extended:

Hedge Accounting for Exposures

… is the solution for classic hedges of currency risks from future inflows and outflows in foreign currency. This alternative (transaction “THMEX”) was originally based on SAP release ECC 6.0 (up to EhP 7) and is still in use. It is also integrated into SAP Exposure Management 2.0.

Hedge Accounting for Positions

… can be used for cash flow and fair value hedges for interest-bearing financial instruments and equities as hedged items and various derivatives as hedges. It is based on a new infrastructure (transaction “TPM 100”).

Hedge Accounting for Bond Issuances

… the COMPIRICUS add-on for bond issues enables basis adjustments for fair value hedges according to US GAAP. This is not possible in the SAP standard.

Hedging of currency risks

With the functional extension of COMPIRICUS, the currency risks of investments can also be hedged. The standard versions of SAP TRM only support hedging against interest and price risks with “Hedge Accounting for Positions (B-HA)”.

COMPIRICUS Credit Spread Calculator

With COMPIRICUS’ Credit Spread Calculator, the implied spread of a bond can be calculated and mapped to the credit spread curve in the standard SAP solution with much higher accuracy. This increases the efficiency of the standard SAP function.

At a glance – Worth knowing

As an SAP implementation and development partner, we are familiar with the financial asset management components SAP CML and SAP CMS both from the user perspective and from the implementation side and have successfully supported well-known companies in conception, implementation and customizing for over 20 years.

Use this experience to your advantage when holistically mapping your loan business in SAP CML and SAP CMS:

  • Process definitions and adjustments in the run-up to or parallel to implementation
  • Accounting of business transactions according to different accounting standards
  • implementation of external and internal reporting, as well as connection to data warehouse solutions
  • Migration and/or consolidation of old and actual data

To round off your successful implementation, we offer the following additional solutions:

  • Integration with external address databases
  • Connection of correspondence to document and archiving systems
  • Support for the transfer of business partners, master data, movements or reporting data
  • Migration of security to SAP CMS using our own migration tool.

You operate an active currency and interest rate risk management in your company and would like to account for your hedging transactions in a valuation unit or in a hedge relationship. For this purpose, you are looking for an integrated system solution that handles both the mapping of the financial instruments and the posting of the results in an integrated process.

Hedging und Hedge Accounting mit SAP “made by COMPIRICUS”:

  • Many years of expert knowledge in the SAP TRM module and hedging/hedge accounting functionalities
  • Deep technical knowledge of all types of financial instruments
  • Powerful and competent development department to implement your individual enhancements
  • Practical experience in successful implementation from numerous customer projects

Several global companies rely on our hedge accounting solutions, including technology leaders such as Google.

A detailed selection of our references can be found at:

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Jörg Pappert | President & CEO
Jörg Pappert | President & CEO+1 617-895-7977