Settings for Gap Analysis (SAP Library - Strategy Analyzer (FS-BA-STA))

Settings for Gap Analysis

You have to make the appropriate settings in Customizing for Strategy Analyzer or in reporting in order to define gap analysis.

Customizing Settings

The main Customizing entities for gap analysis are the valuation environment and the aggregation run type. To enter the settings, choose the following IMG activities:

● Valuation environment

Choose Bank Analyzer ® Analytics ® Strategy Analyzer ® Valuation ® Enter Settings for Gap Analysis and Valuation Rules.

● Aggregation run type

Choose Bank Analyzer ® Strategy Analyzer ® Processes ® Edit Aggregation Run Type.

Note

For online evaluations, you make these settings in a selection screen.

Customizing Settings for Gap Analysis

Indicators	Meaning	Customizing Entity
Display Negative Flows	Depending on the setting you make here, the system writes the outflows with negative signs (inflows) either to the same side of the balance sheet or to the other side of the balance sheet (default setting) to that of the transaction itself. Inflows for an asset transaction are shown on either the asset or liability side. The gap is the same.	Aggregation run type, valuation environment
Display Premium/Discount	Specifies whether the nominal capital and the premium/discount development are shown on different sides of the balance sheet (gross display setting) or on the same side of the balance sheet (net display setting).	Valuation Environment
Include Off-Balance-Sheet Transactions in Balance Sheet Volume	Specifies whether the system takes into account off-balance-sheet transactions in the balance sheet volume of the net interest income evaluation. If the default setting is used, off-balance-sheet transactions are ignored. In the net interest income evaluation, the net interest income of off-balance-sheet transactions is always shown.	Valuation environment (valuation-rule-specific)
Delta Indicator	Specifies how the system handles the option volume. Depending on the setting you make here, the option volume is taken fully into account or is delta-weighted. The delta is interpreted as the exercise probability of the option. If you do not set the Delta Indicator, the option volume is not taken into account (default setting). For more information, see the IMG activity in the Customizing for Strategy Analyzer under Bank Analyzer ® Strategy Analyzer ® Valuation ® Enter Settings for Gap Analysis and Valuation Rules.	Valuation environment (valuation-rule-specific)
Spread Processing	Determines whether spreads are treated in the position evaluation as a variable item or as a fixed-rate item. If you choose to display the spread as a fixed-rate item, you have to decide whether the nominal volume is displayed on its own on the original balance sheet side or also displayed on the opposite side with a zero condition so that the volume in the gap is correct again.	Aggregation run type
Static Interest Rate	Specifies whether the product interest rate or the static interest rate is displayed for discount transactions (loans, securities). The static interest rate is an approximation of the effective interest rate, in which the premium/discount is distributed to the other interest payment dates.	Valuation environment (valuation-rule-specific)
Currency Translation	Specifies whether future currency flows are translated using the current rate or the forward rate.	Valuation Environment
Interest calculation method	An interest calculation method is assigned to each transaction. To ensure that the results of the gap analysis can be compared, the interest calculation methods of the transactions can be adjusted so that they all have the same method (default setting: there is no adjustment to a standard interest calculation method. The system uses method 360/360 in the net interest income evaluation).	Valuation Environment

Settings for Reporting

In gap analysis reporting, you can change use the criteria in the table below to define how the data is displayed.

Indicator/Option	Meaning	Customizing Entity
Display Currency or Transaction Currency	Specifies whether the system displays just the transactions in a certain currency (setting: Transaction Currency) or all selected transactions, independent of the currency in which they were concluded (setting: Display Currency).	Not relevant for Customizing
Commitment Indicator	Specifies whether the system displays the data under the interest (fixed-rate period) or capital commitment (capital tie-up). This indicator affects only the position and maturity evaluations.	Not relevant for Customizing
Cash Flow View	Specifies the form in which cash flows are displayed. For example, by fixed-interest period view or interest rate condition period view. This classification is based on the cash flow generation types from the cash flow generation method, and can be selected as required. You have to specify the cash flow views you require when you create an aggregation run. You enter the settings required in Bank Analyzer Customizing under Processes and Methods ® General Calculation and Valuation Methods ® Cash Flow Refinement ® Create Cash Flow Views and SDL Connection ® Edit Cash Flow Sets.	Cash flow view, cash flow set, valuation run type, and aggregation run type.
Filter	Restricts the display in line with the following criteria: ● Balance sheet indicator Specifies whether an on-balance-sheet transaction, an off-balance-sheet transaction is displayed, or both. ● Cash Flow Display Indicator Restricts the display to cash flows with a specific business role, For example, interest cash flows or nominal changes. ● Liquidity Indicator Restricts the display of cash flows in line with the following options: ○ Fictitious Liquidity Cash flows that are based on a fixed interest rate. ○ Forward Liquidity Cash flows that are based on interest rates that are not yet fixed and that are therefore determined on the basis of forward rates. ○ Fictitious Liquidity Cash flows that result from the use of due date scenarios. ○ No Liquidity Flows that represent no real liquidity. For example, the principal swap in a plain vanilla interest rate swap or premium/discount flows. This option has no impact on the liquidity evaluation. ● Splitting Values Restricts the display to specific splitting levels and values. You have to specify the filter you require when you create an aggregation run. You define filters in the Customizing for Bank Analyzer under Analytics ® Strategy Analyzer ® Basic Settings ® Edit Filter.	Aggregation run type
Scaling factor	Sets the unit of the data displayed to 1, 1000, or 1 million.	Not relevant for Customizing
Segment hierarchy	Organizes the selected transactions into a hierarchy for which you can display the evaluations for each node. You have to specify the required segment hierarchy when you create an aggregation run. You define segment hierarchies in Customizing for Bank Analyzer under Basic Settings ® Settings for Meta Data ® Characteristics ® Segment Hierarchies ® Edit Segment Hierarchies.	Segment hierarchy, aggregation run type
Switch Scenario View	Specifies the market data scenario for which data is displayed. You have to specify the market data scenarios you require when you create the valuation run or the aggregation run. You define market data scenarios in Customizing under Financial Services ® Foundation ® Market Data ® Market Data Scenarios.	Market data scenario, scenario set, valuation run type, and aggregation run type.