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 TRM, CFaR with Variance/Covariance (RDB)

 

With this product feature you can calculate the Cash Flow at Risk using various calculation methods for single periods as well as aggregated over all periods with variance/covariance approach in the results database of the Market Risk Analyzer. The system stores the key figures in the results database and you can see the results using the Analyzer Info System.

  • Financial objects are the source for the cash flows:

    • You can capture operational cash flows using Exposure Management 2.0 or using generic transactions.

    • Financial instruments and positions containing fixed cash flows are supported (for example, FX forwards as hedging instruments).

  • You can use maturity bands to flexibly define the granularity of the periods.

  • You can use the risk hierarchies to define the risk factors.

  • You can calculate reference cash flows using market data current at evaluation date.

Note Note

  • The calculation of the CFaR is focused only on the FX risk.

  • Unfixed cash flows referring to a variable reference interest rate or a commodity price and options are not currently supported.

End of the note.

Technical and Other Details

Technical Name of Product Feature

ERP_FIN_TRM_CFAR2

Product feature is

new

Country Dependency

Valid for all countries

Software Component Version

EA-FINSERV

Application Component

FIN-FSCM-TRM-MR

Availability

SAP Enhancement Package 7 (SP05) for SAP ERP 6.0

Required Business Function(s)

FIN_TRM_CFAR

  • The product feature is part of the business function TRM, Cash Flow at Risk (FIN_TRM_CFAR) which is part of SAP enhancement package 7, Support Package 05, for SAP ERP 6.0 (EA-FINSERV 617).

  • See SAP Note Relationship of Licenses and Business Functions (1524246Information published on SAP site) to establish whether you need additional licenses for activating the business function TRM, Cash Flow at Risk (FIN_TRM_CFAR).

Existing Data

  • The function Define Initial Layout (transaction S_KFM_86000129) in the area menu under Start of the navigation path Treasury and Risk Management Next navigation step Market Risk Analyzer Next navigation step Tools Next navigation step Results Database Next navigation step Analyzer Information System End of the navigation path has been enhanced by the following the areas:

    • Area: Cash Flow at Risk ; Maturity Band

    • Area: Cash Flow at Risk; Risk Hierarchy

    This function is also available in the Customizing.

  • The function Define Formulas for Analyzer Information System (transaction AIS_FORMULA_DEF) in the area menu under Start of the navigation path Treasury and Risk Management Next navigation step Market Risk Analyzer Next navigation step Tools Next navigation step Results Database Next navigation step Analyzer Information System End of the navigation path has been enhanced by the following areas:

    • Area: Cash Flow at Risk; Maturity Band

    • Area: Cash Flow at Risk; Risk Hierarchie

    This function is also available in the Customizing.

  • The selection screen of the function Analyzer Information System (transaction AIS_STDREP) in the area menu under Start of the navigation path Treasury and Risk Management Next navigation step Market Risk Analyzer Next navigation step Information System End of the navigation path has been enhanced with the fields CFaR: Periods, CFaR: Risk Hierarchy, Single Recs for CFaR: Periods and Single Recs for CFaR: Risk Hry in the area ALV Layout of Analyzer Information System

  • In the function Edit Key Figures and Evaluation Procedures (transaction AFWKF_RA) in the area menu under Start of the navigation path Treasury and Risk Management Next navigation step Market Risk Analyzer Next navigation step Evaluation Control Next navigation step Results Database End of the navigation path you can define CFaR key figures. The hierarchy of the key figure categories has been enhanced with key figure categories for Cash Flow at Risk and Cash Flow - General. This function is also available in the Customizing.

Customizing

Changed Customizing Activities

Under Start of the navigation path Treasury and Risk Management Next navigation step Market Risk Analyzer Next navigation step Results Database End of the navigation path the following Customizing activities have been enhanced:

  • Define Initial Layout (see above)

  • Define Formulas for Analyzer Information System (see above)

  • Edit Key Figures and Evaluation Procedures (see above)

System Administration

The existing archiving functionality for single records (archiving object RDBRA_REC) and final results (archiving object RDBRA_FRP) has been adjusted to cover also the CFaR specific data.

See also