TRM, Cash Flow at Risk (Reversible)

Technical Data
Technical Name of the Business Function	FIN_TRM_CFAR
Type of Business Function	Enterprise Business Function
Available From	SAP enhancement package 07, Support Package 05, for SAP ERP 6.0
Technical Usage	Financial Services
Application Component	Market Risk Analyzer (FIN-FSCM-TRM-MR)
Required Business Function	TRM, New Instruments, Accounting Enhancements, Reporting (FIN_TRM_LR_FI_AN_3)

This business function enables you to use the following functions:

You can calculate Cash Flow at Risk in the results database and with the new online report CFaR: Single Value Analysis using different calculation methods for individual periods as well as aggregated over all periods:
- Monte Carlo simulation with generated random walks of the risk factor "Exchange Rate"
- Variance/Covariance approach
You can use the maturity band to define the granularity of the periods.
You use the risk hierarchies to define the risk factors.
You can calculate a reference cash flow on the basis of the actual market data for the evaluation date.

CFaR calculation focusses on the exchange rate risk.

If you have activated the automatic integration of financial objects, Cash Flow at Risk can be calculated for the following cash flows:

Cash flows from forex exposure positions in Exposure Management 2.0
Cash flows from generic transactions
Cash flows of a financial transaction in the Transaction Manager with fixed flows (such as forward exchange transactions)

Note Note

It is not possible to consider financial transactions with variable flows that are dependent on the development of reference interest rates or commodity prices.
Options cannot be considered either.

End of the note.

Prerequisites

You have installed the following components as of the version given:

Type of Component

Component

Required for the Following Features Only

Software Component

SAP_APPL 617

EA-FINSERV 617
You have activated the following business functions:
- Financial Services (EA-FS)
- TRM: Hedge Accounting, New Financial Instruments, New Key Figures (FIN_TRM_LR_FI_AN)
- TRM, Hedge and Exposure Management, New Financial Product (FIN_TRM_LR_FI_AN_2)
- TRM, New Instruments, Accounting Enhancements, Reporting (FIN_TRM_LR_FI_AN_3)
- TRM, Cash Flow at Risk (FIN_TRM_CFAR) (the present business function)
  
  Note
  See SAP Note Relationship of licenses and business functions (1524246) to establish whether you require additional licenses to activate the business function TRM, Cashflow at Risk (FIN_TRM_CFAR).
  
  End of the note.

Type of Component	Component	Required for the Following Features Only
Software Component	SAP_APPL 617 EA-FINSERV 617

Features

Cash Flow at Risk calculated using Monte Carlo simulation

Cash Flow at Risk calculated using the variance/covariance approach

More Information

In the main release note FIN_TRM_CCC: TRM, Cash Flow at Risk (New), you find a detailed list of the new and changed functions as well as information about the Customizing settings.

For more information about the individual functions, see SAP Library under Start of the navigation path SAP ERP Central Component Next navigation step Accounting SAP Financial Supply Chain Mangement (FIN-FSCM) SAP Treasury and Risk Management (TRM) Market Risk Analyzer Information System Cash Flow at Risk End of the navigation path .

See also: Cash Flow at Risk (CFaR)