Hi all,
We have implemented Hedge Management for Interest rate swap and Cross Currency Swap in TRM for the hedging of interest rate risk. When creating the hedge relationship we upload the exposure management from Loans Management (CML) using tx. code THMMM.
We don’t have any problems with hedge relations between IRS and Loans, when running TPM60 and then TPM1, we get valuation; if effectiveness ratio is below 1 or is equal 1 then all valuation is posted against OCI account by other hand if ratio is greater than 1 we get distribution of the valuation (effective portion against OCI and ineffective portion against G/L accounts) which is correct.
When doing the same with relations between cross currency swap and Loans we don´t have same results as in IRS when effectiveness ratio is greater than 1.
When debugging program we can see that during valuation, logic is different for IRS and CCS. For Cross Currency Swap, SAP is looking for a Money Market Transaction in table VTBFHA-RFHA, the problem is that in our case we have not uploaded exposures form Money Market but from Loans Management instead. As program doesn´t look for a Contract number in CML, we don’t get any distribution.
I hope someone can help me with this issue.
Thanks very much,
Guillermo.