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 TRM, Cash Flow at Risk (Reversible)


Technical Data

Technical Name of the Business Function


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.



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 Next navigation step SAP Financial Supply Chain Mangement (FIN-FSCM) Next navigation step SAP Treasury and Risk Management (TRM) Next navigation step Market Risk Analyzer Next navigation step Information System Next navigation step Cash Flow at Risk End of the navigation path.

See also: Cash Flow at Risk (CFaR)