Structured FX Products in SAP Treasury

[Former Member]

HI All I have a unique scenario where in I need to map the structured FX products in SAP for my corporate treasury group Presently my business uses an online platform from bank which helps them to deal in various structured products

Below are the products the client deals in

1. Zero Collar

2. At Expiry

3. Dual Currency Forward

Say for example At Expiry Suppose business is entering into a buy transaction where they decide to purchase the USD Call JPY Put option.

Here in the current online platform business enters below parameter for processing

1. SPOT Rate

2. Strike 1

3. Strike 2

4. Strike 3

Amount  :: 2M

Leverage :: 1.5times

Leveraged amount :: 3M (Calculates automatically)

Premium amount :: 1000 USD.

Expiry dates :: Here business has multiple expiry dates upfront on weekly basis , means I buy an structured product on 1st Oct my first expiry for same shall be on 7thfollowed by 14,21,28, till 13 periods

Now if below are my values in

Spot rate :: 120

Strike 1 : 121

Strike 2 :: 118

Strike 3 :: 117

The condition will work as below

If USD/JPY below 118 - Business to buy 200M at 118

If USD / JPY 118 and 121 ; Business to buy 200M at 121

If USD greater than:; Business to buy 300M at 121

Can some please help and let me know if this is feasible and provided in SAP if not what best approach can be taken

Thanks

Vishal

[former_member198450]

Hi Vishal,

as mention in earlier post,

You can try with derivatives section of SAP- Treasury, i hope that will fulfill your requirement.

for example, Product type 76A.

All the option like multiple currencies, PUT/CALL Option , stike 1 to 3 all function is available in it.

Regards,

Jain

[Former Member]

HI

Thanks for the quick reply

I could not find multiple expiry date feature in derivatives for FX-Options , additionally I also need to match the condition as prescribed in above with Leveraged amount condition , unfortunately I could not find the same either .

Can you please help me understand how can I map same

Thanks

Vishal

[Former Member]

Hi Vishal,

Unfortunately SAP do not support this kind of structured products.

I have faced the similar problem and have explored all the derivative products provided by SAP.

Regards

Vikash

[Former Member]

HI Amit

Thanks for your response ,

So how was the scenario handled at your end , any tips for me ?

Thanks

Vishal

[former_member198450]

Hi Vishal,

Unfortunately we don't have multiple currencies option in TRM.

Regards,

Jain