Use of the Results Database in Portfolio Analyzer 

Basis

Portfolio Analyzer saves the results of all evaluations in the Results Database (RDB); it does not contain any online runs.

Unlike Market Risk Analysis, which also uses the Results Database, the final results procedure is a two-step method in Portfolio Analyzer.  The final results are calculated as follows:

·        Single record procedure

The positions and flows are transferred to the Results Database.

·        Final results procedure 1

Values are translated into the evaluation currency.

·        Final results procedure 2

Rate-of-return (yield) key figures are calculated.

Key Figure Types

Portfolio Analyzer calculates all key figures based on the key figure categories, which are predefined in the system. You assign each key figure to an evaluation procedure. You can assign more than one key figure to each evaluation procedure, but each key figure can be assigned once only. When you define key figures, you can access key figure categories for positions (PAPOS and PAPOSCC), flows (PAFLW and PAFLWCC), and rates of return (PAYLDCC and PAYLDSNCCC). The following table shows which key figure categories you can use in which evaluation procedures:

 

Evaluation Procedure	Key Figure Types	Reason for Creating Multiple Evaluation Procedures
Single record procedure	·        PAPOS (position in position currency) ·        PAFLOW (flow in transaction currency)
Final results procedure 1	·        PAPOSCC (position in evaluation currency) ·        PAFLWCC (flow in evaluation currency)	Key figures that have the same basic key figure but different evaluation currencies
Final results procedure 2	·        PAYLDCC (rates of return with fixed yield periods from the evaluation currency) ·        PAYLDSNCCC (rate of return from start of period to date from the evaluation currency)	Key figures that have the same basic key figures but rate-of-return methods or different rate-of-return periods

 

In Customizing for Financial Supply Chain Management choose Treasury and Risk Management ® Portfolio Analyzer ® Results Database ® Edit Key Figures and Evaluation Procedures. In this IMG activity, you can create key figures by choosing a key figure category and entering the attributes of the key figure. You can also use existing key figures as the basis for defining new key figures. You do this by specifying a basic key figure when you define the new key figure. The system then copies the values of the basic key figure and adds them to the new key figure.

If you use basic key figures to define new key figures, the results of single records methods that have already been calculated are retained. You then only need to define the new final results procedure you require.

Single Record Procedure (SRP)

In the single record procedure, the system takes the position values stored in Treasury and Risk Management and loads them into the Results Database. The step takes a long time, as the system has to calculate the NPVs of all items in the positions. You must assign two key figures to the single records procedure: one for the position (key figure category PAPOS) and one for the flows (key figure category PAFLW).

To delete singe records, on the SAP Easy Access screen choose Accounting ®Financial Supply Chain Management ®Treasury and Risk Management ®Portfolio Analyzer ®Tools ®Results Database ®Delete Non-Archived Single Records. You should use this transaction in your test system only. In your productive system, you should delete single records. On the SAP Easy Access screen choose Accounting ® Financial Supply Chain Management ®Treasury and Risk Management ®Portfolio Analyzer ®Tools ® Results Database ® Determine Single Records.

To run the single records procedure as a parallel job, on the SAP Easy Access screen choose Treasury and Risk Management ® Portfolio Analyzer ® Tools ® Parallel Processing.

Final Results Procedure 1 (FRP 1)

In final results procedure 1, the system translates the position values and flows calculated in the single records procedure into the evaluation currency. For each evaluation currency, you assign two key figures to the final results procedure: one category PAPOSCC key figure and one PAFLWCC key figure.

If, for example, you want to analyze a portfolio in EUR and CHF, then you must define four key figures for the final results procedure. Each key figure should have the same abstract basic key figure; you should use the key figures of the single results procedure (key figure category PAPOS or PAFLW). This ensures that the system calculates the key figures of final results procedure 1 on the basis of the results of the single record procedure.

Since single record procedure 1 contains additive key figures only (those that can be totaled, which are positions and flows in the evaluation currency), it is independent of the portfolio hierarchy.

Final Results Procedure 2 (FRP 2)

In final results procedure 2, the system calculates the non-additive key figures. In Portfolio Analyzer, these are rate-of-return (yield) key figures. You can assign only the key figures of the key figure category that has the prefix PAYLD* to final results procedure 2.  Furthermore, you must assign a portfolio hierarchy to final results procedure 2.

Note that the rate-of-return key figures that you assign to final results procedure 2 must have the same interval category. Therefore, for each procedure you can use either the key figure categories PAYLD and PAYLDCC, or the key figure categories PAYLDSNC and PAYLDSNCCC. The system checks whether all the key figures assigned to the procedure have the same period. The key figures of category PAYLD and PAYLDCC should therefore have the same values for the Yield Period Start indicator: In the same way, key figures of category PAYLDSNC or PAYLDSNCCC must have the same value in the Interval for Periods field. If this is not the case, the system displays a warning message.

The results for the final results procedure are based on the data of a single records procedure, and can be recreated at any point in time provided that the single records still exist. This means that you can delete the final results from the database if required.

Additional Notes

If you want to improve system performance during the evaluations, note the following:

·        Choose only a small number of analysis characteristics.

·        Do not use characteristics that refer to too small an entity (such as business partner number or transaction number).

·        Specify the start date and the end date in the analysis parameters of the financial objects.

·        Use the continuous compounding method in the yield curve to improve the runtime.

·        Ensure that portfolio hierarchies do not contain more than 10,000 end nodes.