Function documentationUploading Retrospective Effectiveness Assessments

 

In cases where you use linear regression analysis or the dollar offset method to check the effectiveness of hedging relationships, you can perform the effectiveness test outside of the SAP system, enter the results manually in the system, and upload the retrospective effectiveness assessment in file form (for example, as a text file or a spreadsheet).

The documents uploaded for the retrospective effectiveness assessment are stored in Document Management (CA-DMS).

You can set up a release workflow for the uploaded documents to achieve dual control.

Prerequisites

  1. In Customizing, you need to define effectiveness test methods that allow retrospective effectiveness assessments to be uploaded (effectiveness test method category 91 Upload Dollar Offset or 92 Upload Linear Regression).

    You need to assign these effectiveness test methods to hedging profiles.

  2. Set up the release workflow for the release object TRM_HME.

  3. To be able to use this function, you need to make settings in DMS.

See also:

Activities

  1. Choose Start of the navigation path Transaction Manager Next navigation step Hedge Accounting for Positions Next navigation step Master Data Next navigation step Hedging Relationship Management End of the navigation path.

  2. Select the hedging relationship for which you want to upload the retrospective effectiveness assessment.

  3. Go to the Effectiveness Test tab.

  4. Choose Display <-> Change (Display <-> Change) to switch to the change mode.

  5. On the Run Test tab, select the line for the date on which you performed the effectiveness test and choose Upload Effectiveness Test. On the dialog box that appears, double-click the icon in the columns PET (Prospective Effectiveness Test) and RET (Retrospective Effectiveness Test) to select the effectiveness test that you would like to upload. The dialog box for the effectiveness test appears. On the Effectiveness Test Results tab, you manually enter the results of the test. You can use the following fields for the dollar offset method:

    • Start Date of Test Period

    • End Date of Test Period

    • Effectiveness Ratio

    • Test Status

      Here, you decide whether the effectiveness test qualifies the hedging relationship as Effektiv or Ineffektiv.

    • Total of Value Changes to Hedging Instruments

    • Total of Value Changes to Hedged Items

    • Valuation Currency

    For the linear regression, you can use the following fields:

    • Start Date of Test Period

    • End Date of Test Period

    • Test Status

      Here, you decide whether the effectiveness test qualifies the hedging relationship as Effektiv or Ineffektiv.

    • Valuation Currency

    • Slope

    • Inter Ratio

    • R² (Coefficient of Determination/Correlation Coeffizient)

    • T-Statistics for Slope

    Note Note

    The only required entry field is the test status.

    End of the note.

  6. On the Upload tab, upload the document as follows:

    1. Choose Create Effectiveness Test Doc. Version (Create Effectiveness Test Doc. Version). The system creates a line for version 01.

    2. In the Documentation Details area, choose Create Attachment (Create Attachment).

    3. On the dialog box that appears, go to the Document Data tab and enter a description (which can be longer than one line) for the document to be uploaded.

      The document now has the status H1 Created.

    4. Now choose Create Original (Create Original). In the following dialog box, enter your workstation application (such as TRM Treasury_ All Files) in the Application field. Enter a description in the Description field. In the Original field, use the input help to select the document. You can assign more than one document.

      Once you have uploaded all of the documents, save your entries.

      In the next dialog box that appears, select the Content Repository (such as THXT_HDOC_DMS).

    5. Choose Release (Release).