Field
Type
Length
Data element
Description
HREL_PROFILE
CHAR
000003
Hedging Profile
HREL_SCENE_CAT
CHAR
000003
Hedging Relationship Scenario
HEDGE_CATEGORY
CHAR
000002
Hedging Relationship Category
FX_RISK
CHAR
000001
FX Risk Yes/No
PRICE_RISK
CHAR
000001
Price Risk Yes/No
IR_RISK
CHAR
000001
Interest Rate Risk Yes/No
HEDGE_ITEM_CAT
CHAR
000002
Hedged Item Category
HREL_ROLLOVER
CHAR
000001
Rollover Strategy Supported for this Scenario
HREL_DOC_NUM
CHAR
000030
PDF-Based Forms: Form Name
FLG_DOC_AUTO_CRE
CHAR
000001
Indicator: Automatic Correspondence Required?
EFF_TST_DT_LOGIC
CHAR
000002
Test Plan Rhythm
EFF_TST_VALIDITY
INT4
000010
Effectiveness Test Result Validity in Days
EVAL_TYPE
CHAR
000004
ID of Risk Management Evaluation
EFF_TEST_MET_PRO
CHAR
000003
Prospective Effectiveness Test Method (P-HA)
FLG_NO_EFFTEST
CHAR
000001
Is Effectiveness Test not to be Performed?
ET_TESTPLAN_CAT
CHAR
000001
Test Plan Category
HREL_CARDINALITY
CHAR
000003
Cardinality of a Hedging Relationship
HD_CREATION_CAT
CHAR
000002
Hypothetical Derivative Creation Category
FLG_DOCU_OPT
CHAR
000001
Optional Documentation
ET_HANDLE_IN_DBT
CHAR
000001
ET Handling in Derived Business Transactions
PROS_EFF_TEST_MET_CAT
CHAR
000002
Effectiveness Test Method Category
PROS_OFF_CAL_CAT
CHAR
000002
Offset Calculation Category
PROS_PRO_DT_GEN_LOGIC
CHAR
000002
Prospective Date Generation Logic
PROS_EFF_START_DATE
CHAR
000002
Start Date of the Prospective Effectiveness Test
PROS_LINREG_NO_OF_PNT
INT4
000010
Number of Data Points
PROS_LINREG_SLICE_TYP
NUMC
000001
Time Slicing Type
PROS_LINREG_CALENDAR
CHAR
000002
Factory calendar
PROS_LINREG_HOL_MOVE
NUMC
000001
Holiday Movement Type
PROS_REG_EFF_CTRL
CHAR
000001
Control Parameter for Regression Analysis
PROS_ALPHA
DEC
000005
Significance Level (Alpha)
PROS_R2_MIN
DEC
000020
Minimum Coefficient of Determination
PROS_R2_MAX
DEC
000020
Maximum Coefficient of Determination
PROS_CBETA1_MIN
DEC
000010
Minimum Intercept Ratio
PROS_CBETA1_MAX
DEC
000010
Maximum Intercept Ratio
PROS_CBETA2_MIN
DEC
000010
Minimum Slope
PROS_CBETA2_MAX
DEC
000010
Maximum Slope
PROS_EFF_RATIO_MIN
DEC
000010
Minimum Ratio for $-Offset
PROS_EFF_RATIO_MAX
DEC
000010
Maximum Ratio for $-Offset
PROS_DIV_INHERIT_METH
CHAR
000001
Hedging Scenario 110: Dividend Inheritance Method
PROS_NOISE_THRESHOLD
DEC
000005
Threshold for Effectiveness Calculation in Percent
PROS_TRANSITION_SPEED
DEC
000005
Transition Speed for Effectiveness Calculation
PROS_T_STAT_SLOPE
DEC
000015
Linear regression: Not Equal To condition for T stat
PROS_EFF_ASSMT_METHOD
CHAR
000001
Linear Regression Assessment Method
PROS_REG_EFF_CTRL_R2
CHAR
000001
Linear Regression: Check Coefficient of Determination
PROS_REG_EFF_CTRL_SLP
CHAR
000001
Linear Regression: Check Slope
PROS_REG_EFF_CTRL_INT
CHAR
000001
Linear Regression: Check Intercept Ratio
PROS_REG_EFF_CTRL_TSTAT
CHAR
000001
Linear Regression: Check T-Statistic
PROS_ET_CT_DETAILS
STRU
000000
CRIT_TERM_TYPE
CHAR
000002
Effectiveness Test Critical Term Type
FLG_CHK_NOMINAL
CHAR
000001
Critical Term Check Nominal
FLG_CHK_CURRENCY
CHAR
000001
Critical Term Check Currency
FLG_CHK_STARTDT
CHAR
000001
Critical Term Check Start Date
FLG_CHK_ENDDT
CHAR
000001
Critical Term Check Due Date
FLG_CHK_REF_RATE
CHAR
000001
Critical Term Check Reference Rate
FLG_CHK_SPREAD
CHAR
000001
Critical Term Check Spread
FLG_CHK_CALCMETH
CHAR
000001
Critical Term Check Calculation Method
FLG_CHK_CALENDAR
CHAR
000001
Critical Term Check Calendar
FLG_CHK_RATING
CHAR
000001
Critical Term Check Rating
FLG_CHK_FIXINGDT
CHAR
000001
Critical Term Check Fixing Date
FLG_CHK_CR_SPRD
CHAR
000001
Critical Term Check CR Spread
DUEDATE_DEVN
INT4
000010
Critical Term Days Deviation
STARTDT_DEVN
INT4
000010
Critical Term Days Deviation
CR_SPRD_DEVN
INT4
000010
Critical Term Spread Deviation
FIXINDDATE_DEVN
INT4
000010
Critical Term Days Deviation
PROS_MD_CAL_LOGIC
CHAR
000001
Prospective Market Data Calculation Logic
PROS_NO_BASIS_POINTS
INT4
000010
Number of Basis Points
PROS_EFF_COND_TYPE
NUMC
000003
Linear Regression Condition Type
PROS_CRIT_TERM_TYPE
CHAR
000002
Effectiveness Test Critical Term Type
EFF_TEST_MET_RET
CHAR
000003
Retrospective Effectiveness Test Method (P-HA)
RETRO_EFF_TEST_MET_CAT
CHAR
000002
Effectiveness Test Method Category
RETRO_OFF_CAL_CAT
CHAR
000002
Offset Calculation Category
RETRO_LINREG_NO_OF_PNT
INT4
000010
Number of Data Points
RETRO_LINREG_SLICE_TYP
NUMC
000001
Time Slicing Type
RETRO_LINREG_CALENDAR
CHAR
000002
Factory calendar
RETRO_LINREG_HOL_MOVE
NUMC
000001
Holiday Movement Type
RETRO_REG_EFF_CTRL
CHAR
000001
Control Parameter for Regression Analysis
RETRO_ALPHA
DEC
000005
Significance Level (Alpha)
RETRO_R2_MIN
DEC
000020
Minimum Coefficient of Determination
RETRO_R2_MAX
DEC
000020
Maximum Coefficient of Determination
RETRO_CBETA1_MIN
DEC
000010
Minimum Intercept Ratio
RETRO_CBETA1_MAX
DEC
000010
Maximum Intercept Ratio
RETRO_CBETA2_MIN
DEC
000010
Minimum Slope
RETRO_CBETA2_MAX
DEC
000010
Maximum Slope
RETRO_EFF_RATIO_MIN
DEC
000010
Minimum Ratio for $-Offset
RETRO_EFF_RATIO_MAX
DEC
000010
Maximum Ratio for $-Offset
RETRO_DIV_INHERIT_METH
CHAR
000001
Hedging Scenario 110: Dividend Inheritance Method
RETRO_NOISE_THRESHOLD
DEC
000005
Threshold for Effectiveness Calculation in Percent
RETRO_TRANSITION_SPEED
DEC
000005
Transition Speed for Effectiveness Calculation
RETRO_T_STAT_SLOPE
DEC
000015
Linear regression: Not Equal To condition for T stat
RETRO_EFF_ASSMT_METHOD
CHAR
000001
Linear Regression Assessment Method
RETRO_REG_EFF_CTRL_R2
CHAR
000001
Linear Regression: Check Coefficient of Determination
RETRO_REG_EFF_CTRL_SLP
CHAR
000001
Linear Regression: Check Slope
RETRO_REG_EFF_CTRL_INT
CHAR
000001
Linear Regression: Check Intercept Ratio
RETRO_REG_EFF_CTRL_TSTAT
CHAR
000001
Linear Regression: Check T-Statistic
RETRO_EFF_COND_TYPE
NUMC
000003
Linear Regression Condition Type
FLG_R2
CHAR
000001
Linear Regression: Check Coefficient of Determination
FLG_SLOPE
CHAR
000001
Linear Regression: Check Slope
FLG_AXIS
CHAR
000001
Linear Regression: Check Intercept Ratio
FLG_TSTAT
CHAR
000001
Linear Regression: Check T-Statistic
FLG_TSTAT
CHAR
000001
Linear Regression: Check T-Statistic
Length: 31002 Date: 20240424 Time: 131219 sap01-206 ( 77 ms )
