Ansicht
Dokumentation

THXEV_EFF_TMET - Effectiveness Test Method

ABAP Short Reference   Addresses (Business Address Services)  
This documentation is copyright by SAP AG.

In this Customizing activity, you define the prospective and retrospective effectiveness test methods that you want to use in your hedging relationships.

In the Customizing activity Define Hedging Profiles, you assign these effectiveness test methods to hedging profiles.

When creating a hedging relationship, you assign the hedging profile to the hedging relationship.

When you want to use the critical term match method and the linear regression methods, you have to make the necessary settings in the following Customizing activities:

• Define Condition Type (for linear regression methods)

• Define Critical Term Type (for critical term match methods)

1. Choose New Entries.
2. Assign a 3-digit code for the method.
3. In the General Settings area, you enter the following:
1. Enter a description for the effectiveness test method.
2. Choose the category of the effectiveness test method. The following categories are available:

11 Dollar Offset Ratio

12 Schleifer Noise Method

13 Basis Point Dollar Offset

21 Linear Regression Time Ref.

22 Linear Regression with MDS (Note: You must choose this category for effectiveness testing within the Hedge Accounting for Exposure Items process)

31 Critical Term Match Method

91 Upload Dollar Offset Ratio

92 Upload Linear Regression

1. Choose the offset calculation category.

In the Prospective Effectivenss Test Details area, you make the following settings for the prospective effectiveness test:

• Date Generation Logic

• Test Start Date

• Market Data Calc. Logic

• Number of Basis Points

• Critical Term Type (only available for effectiveness test method category 31 Critical Term Match Method)

1. In the Dollar Offset Method area, you enter the following:
1. Define in which intervals the dollar offset test is effective.

Fill the Minimum Effectiveness Ratio and Max. Effectiveness ratio fields.

1. In the Schleifer Noise Method field, enter the threshold (%) and the transition speed.

In the Linear Regression Method area, enter the conditions for the linear regression:

1. You can set the Set to Effective If All Points Are Zero indicator if needed.

This setting is only relevant for effectiveness test methods that are part of the Hedge Accounting for Exposure Items process and use the effectiveness test method category 22 Linear Regression with MDS.

1. You can set the Suppress Recalculation of CVA indicator if needed.

This setting is only relevant for effectiveness test methods that are part of the Hedge Accounting for Exposure Items process and use the effectiveness test method category 22 Linear Regression with MDS.

1. Enter the number of data points for the linerar regression.
2. Choose the assessment method.
3. If you have selected Slope Coefficient and R² in the Linear Regression Assessment Method field, you must choose a condition type, defined under Effectiveness Test -> Settings for Linear Regression -> Define Condition Type.
4. If you have selected Independent in the Linear Regression Assessment Method field, you must choose the conditions to be covered by the effectiveness test. Mark Check R², Check Intercept Ratio, Check Slope, or Check t-Statistic and enter the effectiveness condition, for example by specifying a minimum slope and a maximum slope. If the measured slope falls within the interval, the hedging relationship is effective; otherwise, the hedging relationship is ineffective.

In the Parameters Valid Only for Specific Hedging Scenarios area, you can enter the following:

• Under Dividend Inheritance, you define whether dividend payments are included in the effectiveness test. If dividend payments are included, you must specify which ones.

1. Save your entries.

SUBST_MERGE_LIST - merge external lists to one complete list with #if... logic for R3up   CPI1466 during Backup  
This documentation is copyright by SAP AG.

Length: 7478 Date: 20240523 Time: 175455     sap01-206 ( 81 ms )