This report program gives you the option of combining the retrospective effectiveness assessment and the effectiveness measurement. You can calculate the effectiveness of a hedging relationship at any point during the lifetime of the hedging relationship. You can also use the report program for simulation purposes, such as creating "if - then" scenarios, for example.

The retrospective effectiveness assessment report program calculates and displays an assessment result for one or more time periods (from a starting date to an end date). The result shows the delta amounts and totals for both the financial transaction (derivative) and the hedged item (exposure). In addition, the report program also lists the determined effectiveness ratio and the decision as to whether the hedging relationship is effective (yes/no).

The effectiveness measurement report program shows the effectiveness of a hedging relationship from the most recent valuation date, or – if no previous effectiveness test was carried out – from the inception date of the hedging relationship. The effectiveness measurement represents the basis for value distribution following a valuation, in accordance with hedge accounting principles.

In Customizing, you can define the calculation type of your choice for both the retrospective effectiveness assessment and the effectivenes measurement, independent of the calculation types actually used to value the relevant hedging relationships.

A detailed log is available for both types of effectiveness test. It contains information on the calculation and the underlying figures. Once you have carried out an effectiveness test, however, you cannot create a second detail log for the same day and for the same calculation type.