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VC_CFM_AUSWT - Define and Set Up Evaluation Types

VC_CFM_AUSWT - Define and Set Up Evaluation Types

CL_GUI_FRONTEND_SERVICES - Frontend Services   PERFORM Short Reference  
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Create evaluation types by copying a preconconfigured evaluation type or change some settings for evaluation types that are required for the calculation of key figures, such as the net present value, for financial transactions/treasury positions.

In this configuration activity, you can change some settings for the yield curve types of the preconfigured evaluation types.

When you open the apps that calculate key figures, you must choose an evaluation type.

Examples of apps requiring an evaluation type:

  • Calculate Net Present Values - With CVA and DVA
  • Calculate Market Risk Key Figures (app and job template)
  • Analyze NPV
  • Sensitivity Key Figures - Single Analysis

The following preconfigured evaluation types are available:

  • Y001 Evaluation Type for Risk-Free
  • Y002 Evaluation Type with Credit Spread
  • Y003 Evaluation Type with Basic Credit Spread

In this configuration activity, you can make the following settings:

  • On the Market Data Categories tab, assign yield curve types that you have defined in the configuration activity Define Yield Curve Types under General Settings.
When the net present values are calculated including CVA/DVA using the difference method, CVA/DVA is calculated as the difference between NPV and risk-free NPV. How these key figures are calculated depends on the settings made in the evaluation type:
The risk-free NPV is calculated using the risk-free yield curve types without credit spreads. The (risk-based) NPV is calculated using the yield curve types and can include credit spreads.
Different ways of depicting credit risk are available:
  • Enter yield curve types containing a credit risk component in the Yield Curve Types area and risk-free yield curves in the Risk-Free Yield Curve Types area. Do not use credit spreads.

  • Enter the same risk-free yield curves both for yield curve types and risk-free yield curve types. Use either parallel shift credit spreads or credit spread curves.

SAP recommends entering the same risk-free yield curve types both for yield curve types and risk-free yield curve types and using credit spread curves by entering derivation IDs for them.
Caution: To avoid credit risk effects being counted twice, do not use different yield curve types and credit spreads in parallel.
  • Enter forex volatility types and exchange rate types for bid, ask, and middle rates.

  • Evaluation Control tab

  • Valuation Control

Several indicators are available to influence the valuation procedure:
- Include Cash Flow on Horizon
- Accrued Interest Calc.: Include Horizon
- Select FX Netting Transactions
- Select on Day of Cancelatn/Settlement
- Consider Option Settlement Flow
- Calculate Intrinsic Value w. Spot Rate
- Calculate YTM from Market Price NPV
  • Under Spreads for Usage in Yield Curves

Enter derivation IDs for basis spread curve derivation and credit spread curve derivation.
  • Enter your own default company code (Default Company Code). Assign your default company code to the evaluation types considering credit spreads (such as Y002 Evaluation Type w. Credit Spr. andY003 Evaluation Type w. Bas&Crd Sp.) to influence how the system derives the reference entity for your own companies. The impact of this setting depends on the derivation ID selected for the reference entity derivation for your own companies.

  • Make settings for FX valuation on the Evaluation Control 2 tab.

Changing an evaluation type

  1. Choose an evaluation type in the structure on the left-hand side and double-click General Information.
  2. Make the required changes.
  3. Save your entries.





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