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FIN_TRM_CFAR: TRM, Cash Flow at Risk (New) ( RELNTRM_617_CFAR_M )

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Short text

FIN_TRM_CFAR: TRM, Cash Flow at Risk (New)

Use

With the business function TRM, Cash Flow at Risk (FIN_TRM_CFAR), you can do the following:

• In the results database and with the new online report CFaR Individual Analysis, you can calculate Cash Flow at Risk using various calculation methods for single periods as well as aggregated over all periods:

• Monte Carlo simulation for generating random walks of spot rates for the risk factors

• Variance/Covariance approach

• You can use maturity bands to flexibly define the granularity of the periods.

• You can use the risk hierarchies to define the risk factors.

• You can calculate reference cash flows using market data current at evaluation date.

The calculation of the CFaR is focused only on the FX risk. Financial objects are the source for the cash flows:

• You can capture operational cash flows using Exposure Management 2.0 or using generic transactions.

• Financial instruments and positions containing fixed cash flows are supported (for example, FX forwards as hedging instruments).

Unfixed cash flows referring to a variable reference interest rate or a commodity price and options are not currently supported.

Notes:

• This business function is part of SAP enhancement package 7, Support Package 05, for SAP ERP 6.0 (EA-FINSERV 617).

• See SAP Note Relationship of Licenses and Business Functions (1524246) to establish whether you need additional licenses for activating the business function TRM, Cash Flow at Risk (FIN_TRM_CFAR).

Effects on Existing Data

Changes in Area Menu

New Functions

• The function CFaR Individual Analysis (transaction RMC0) is available under the following paths:

• Treasury and Risk Management -> Market Risk Analyzer -> Information System -> Cash Flow at Risk

• Treasury and Risk Management -> Transaction Manager -> Information System -> Risk Settings -> Risk Analysis -> Cash Flow at Risk

• Treasury and Risk Management -> Financial Risk Management for Commodities -> Analytics

• The function Define Cash Flow at Risk Type (transaction S_EIS_72000137) is available in Customizing as well as under the following paths in the area menu:

• Treasury and Risk Management -> Market Risk Analyzer -> Evaluation Control -> Valuation Settings

• Treasury and Risk Management -> Financial Risk Management for Commodities -> Analytics -> Master Data & Evaluation Control -> Valuation Settings

Changed Functions

• In the results database [function Define Key Figures and Evaluation Procedures (transaction AFWKF_RA)], the following new key figure categories are available:

• RAB05 General Cash Flow

- RACFOCRY Cash Flow in Original Currency

• RAB06 Cash Flow for CFaR

- RACFPOS CFaR: Risk Factor Positions

- RACFARC CFaR by Variance/Covariance

- RACFPL CFaR P/L Distribution

- RACFARS CFaR from Simulation Method

• The existing archiving functionality for single records (archiving object RDBRA_REC) and final results (archiving object RDBRA_FRP) has been adjusted to cover also the CFaR specific data.

Effects on Data Transfer

Effects on System Administration

Effects on Customizing

New Customizing Activity

• Under Treasury and Risk Management -> Market Risk Analyzer -> Cash Flow at Risk, you find the new Customizing activity Define Cash Flow at Risk Type.

Changed Customizing Activity

• The Customizing activity Define Initial Layout has been enhanced by the following areas:

• Area: Cash Flow at Risk; Maturity Band

• Area: Cash Flow at Risk; Risk Hierarchie

• The Customizing activity Define Formulas for Analyzer Information System has been enhanced by the following areas:

• Area: Cash Flow at Risk; Maturity Band

• Area: Cash Flow at Risk; Risk Hierarchie

Further Information

For more information, see SAP Library under Business Function Sets and Business Functions -> Enterprise Business Functions -> Accounting -> Financial Supply Chain Management -> Treasury and Risk Management -> TRM, Cash Flow at Risk (Reversible).

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