Using Book Values (SAP Library - Portfolio Analyzer (FIN-FSCM-TRM-PA))

Using Book Values

Use

In the Analyzer Information System (AIS), the system usually displays only the key figures calculated in Market Risk Analyzer and Portfolio Analyzer and that were saved in the Results Database. In addition to these risk key figures, in the Analyzer Information System you can display book values from operational components. This enables you to compare risk key figures with the book values used in external reporting.

Other central key figures, such as excess fair value, combine book values and key figures from Risk Management. You can use the formula editor to link book values and risk key figures to formula-based key figures, so that this data can be displayed in the Analyzer Information System.

The system contains function modules that you can use to transfer book values in order to save them in the Results Database. You add these function modules in the Customizing for the price calculator. You can transfer book values from the following components:

· Transaction Manager in SAP Treasury and Risk Management (TRM-TM)

· SAP Loans Management (FS-CML)

Prerequisites

The book values that you want to transfer have to be key-date book values.

You have created an RFC connection for the transfer of the book values. In the SAP Easy Access screen choose Tools ® Administration ® Administration ® Network ® RFC Destinations.

Procedure

To transfer book values to the Results Database, do the following:

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1. Define the function modules that are to be used to transfer the book values

You need a separate implementation of the RFC interface of the price calculator. This function module, which you make known to the price calculator in the Customizing for the evaluation type, reads the relevant key figures from the operational system and saves them in the Results Database.

¡ RFCT2_BOOKVALUE_PC (transfer of book values from TRM, in position currency)

¡ RFCT2_BOOKVALUE_LC (transfer of book values from TRM, in local currency)

These function modules take, for example, the book values of contracts and securities positions from valuation area 001. You can copy the function modules to the custom namespace, and change them to meet your requirements.

Note

To create function modules, in the SAP Easy Access screen choose Tools ® ABAP Workbench ® Overview ® Object Navigator. For more information about adapting the function modules predefined in the system see the coding of the function modules given above.

2. Define an evaluation type

Create an evaluation type in the Customizing for SAP Banking. To do so, under SEM Banking choose Common Settings for Market Risk and Asset/Liability Management ® Valuation ® Define Evaluation Type; under Financial Supply Chain Management choose Treasury and Risk Management ® Basic Analyzer Settings ® Valuation ® Define and Set Up Evaluation Types. Then do the following:

a. Choose the External Function Control tab page.

b. Set the External Valuation indicator.

c. In the External Valuation area, in the RFC Destination field, enter the target system. In the RFC Function Name field, enter the name of the function module that you want to use to transfer book values.

3. Define key figures and evaluation procedures

In the Customizing for Financial Supply Chain Management under Treasury and Risk Management ® Portfolio Analyzer ® Results Database ® Edit Key Figures and Evaluation Procedures, for each key figure, specify the book value that you want to transfer.

¡ Define a separate key figure for each book value.

¡ When doing so, choose a suitable key figure category.

The system does not contain separate key figures for transferring book values. We recommend that you use the following key figure categories from Portfolio Analyzer:

§ PAPOS (position in position currency)

§ PAPOSCC (position in evaluation currency)

By using these key figure categories, you ensure that the system translates values into the evaluation currency correctly, and that it displays these values correctly.

¡ When you define the key figure, enter the evaluation type that you specified earlier.

4. Define the initial layout that contains the required key figures

In the Customizing for SAP Banking, choose SEM Banking ® Market Risk Analysis ® Results Database ® Define Initial Layout, or in the Customizing for Financial Supply Chain Management choose Treasury and Risk Management ® Market Risk Analyzer or Portfolio Analyzer ® Results Database ® Define Initial Layout and create an initial layout.

Assign the key figures you defined to one of the following areas:

¡ Portfolio hierarchy

¡ Single records

¡ Position trend

5. If required, define formula-based key figures

You use the formula editor to do this.

6. Save the book values in the Results Database (RDB)

In the SAP Easy Access screen choose Accounting ® Financial Supply Chain Management ® Treasury and Risk Management ® Portfolio Analyzer ® Tools ® Determine Single Records.

In the SAP Easy Access screen, then choose Accounting ® Financial Supply Chain Management ® Treasury and Risk Management ® Portfolio Analyzer ® Tools ® Determine Final Results.

Result

You have transferred the required book values to the SAP system, and stored them in the Results Database (RDB). You can now display the book value, and the formula-based key figures derived from them, in the Analyzer Information System.

Note the following constraints:

· The system does not automatically update the book values you transferred. If the book values stored in the operational system change, you have to transfer these values again for the dates required, and store them in the Results Database (RDB).

· Note that you can use the SAP Query function to transfer key figures from Market Risk Analysis and Portfolio Analyzer to Treasury and Risk Management (TRM). Therefore, the book values that you transfer to the Results Database can also be risk key figures.