Calculate Key Figures for Clearing Threshold Report

With this function, the system calculates the following key figures on a specific key date and saves the results in the database:

Rolling average position at the level of the financial transaction and instrument group, calculated at the level of the clearing threshold entity
Utilization in percent for every instrument group, calculated at the level of the clearing threshold entity
= ratio of the rolling average position of the instrument group to the clearing threshold value
Position at the instrument group level on the key date, calculated at the level of the clearing threshold entity
Utilization in percent for every instrument group on the key date, calculated at the level of the clearing threshold entity
= ratio of the position of the instrument group on the key date to the clearing threshold value

Prerequisites

You need to have made the settings in Customizing for Clearing Threshold Reporting (CTR) under Transaction Manager General Settings Information System Clearing Threshold Reporting (CTR) .
The "Risk Mitigation" indicator needs to have been set in all financial transactions concluded for risk mitigation.
The required foreign currency exchange rates need to have been stored in the market data tables.

Features

In the first step, the relevant financial transactions are determined. These are all financial transactions that are effective during the period, that belong to one of the instrument groups, and for which the Risk Mitigation indicator has not been set in the financial transaction data.
To calculate the rolling average position of a financial transaction, the system determines the nominal values of a financial transaction for each day of the clearing threshold period.
In the case of financial transactions with two sides (such as swaps and forex transactions), there are two nominal values. In the Customizing activity Settings for Clearing Threshold Scheme, you have specified in theTransactions with Two Sides: Selection Rules for Nominal Amount area how the nominal amounts are determined for these financial transactions. Under Define Calculation Rule in the Transactions with Two Sides: Selection Rules for Nominal Amount area, you find the following indicators. The indicators are prioritized.
- Indicator Use Side with Scheme Currency (priority level 1)
- Indicator FX: Use Traded Amount (priority level 2)
- Side (outgoing or incoming) (priority level 3)
Depending on your settings, the nominal values for the product categories with two sides are determined as follows:
- Foreign Exchange (600)
  If the Use Side with Scheme Currency indicator is set and one side uses the currency of the legal basis, this side is applied. If neither side uses the scheme currency but the FX: Use Traded Amount indicator is set, the side with the traded amount (field VTBFHA-AMTINPUT) is applied. If this is not successful either, no nominal amount is set, and the transaction is attributed a zero.
- Interest Rate Swap (620)
  If the Use Side with Scheme Currency indicator is set, the relevant side is applied. If neither side uses the scheme currency or if the indicator is not set, the side entered in the Side field is applied.
For the other product categories, the nominal values are determined as follows:
- FRA (630)
  The nominal value is set for each day as the basis amount entered in the FRA.
- Currency Option (OTC Option (760) with Underlying Foreign Exchange (600))
  For foreign exchange, the nominal value is determined for the underlying (= the underlying foreign exchange transaction). This nominal value is then applied each day for the option.
- Commodity Forward (800)
  The nominal value is set for each day as the payment amount (VTBFHAPO-BZBETR) in the purchase flow.
Given that the rolling average position is calculated in the clearing threshold currency, the system translates nominal values in a foreign currency into the clearing threshold currency. You also specify in Customizing which foreign currency exchange rate is applied for currency translation.

The sum of the nominal values determined is then divided by the number of days in the period.
For the rolling average position of the instrument group, the system adds together the rolling average positions of the relevant financial transactions.
Utilization in percent for the instrument group expresses the share of the rolling average position of the instrument group in the clearing threshold value of the instrument group (= rolling average position of the IG / clearing threshold value of the IG * 100).
Position at the instrument group level on the key date, calculated at the level of the clearing threshold entity
The nominal values of the relevant financial transactions of an instrument group on the key date are added together.
Utilization in percent on the key date for the instrument group expresses the share of the position of the instrument group on the key date in the clearing threshold value of the instrument group (= position of the IG / clearing threshold value of the IG * 100).

Activities

You call the function by choosing Transaction Manager Information System Reports Reporting Clearing Threshold Reporting (CTR) Calculate Key Figures for Clearing Threshold Report (transaction FTR_THRESHOLD_CALC).
Select the clearing threshold scheme in the CTR Scheme field.
Select one or more clearing threshold entities in the fields for the CTR Entity.
Enter a key date or a period. If you enter a period, the system calculates the key figures for each day of the period.
In the Processing Options area, you can use the following checkboxes to control the function:
- Test Run
  By setting this checkbox, you can execute the function as a test run first.
  
  If the test run is successful, you can execute the function as an update run by deselecting this checkbox.
- Recalculate Existing Results
  If you have already performed this function for the selected key date or key date period, you have to select this checkbox so that the key figures are recalculated again.
- Display Results
  If you select this checkbox, the system displays the Clearing Threshold Report at the end of the calculation.
  
  If you do not select this checkbox, the system calculates the key figures for the key date(s) and saves them without displaying them. In this case, you display the results in the clearing threshold report (transaction FTR_THRESHOLD_DISP)
Execute the function.
The system calculates the key figures and saves them (in the case of an update run). If you have requested that the results are displayed, the system displays the clearing threshold report.

If required foreign currency exchange rates are missing or if other errors occur, the system issues an error log.