Hierarchy
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services⤷
IS-B-SA-ALM (Application Component) Asset/Liability Management⤷
JBRB (Package) Risk Management: Customizing for ALM
IMG Activity
| ID | MSCUST | Define Due Date Scenarios |
| Transaction Code | S_KK4_13000330 | ALM: Customizing: Due Date Scenarios |
| Created on | 20000131 | |
| Customizing Attributes | MSCUST_001 | Define and Set Up Due Date Scenarios |
| Customizing Activity | MSCUST_001 | Define and Set Up Due Date Scenarios |
Document
| Document Class | SIMG | Hypertext: Object Class - Class to which a document belongs. |
| Document Name | _JBVCFSZ |
The due date scenario describes a fictitious change of account balances or positions per time unit.
You can distinguish between implicit and explicit (only Asset/Liability Management) due data scenarios:
- By means of the valuation rule, you are able to assign (implicit) due date scenarios to those products, that from a technical point of view, have variable interest calculation and no fixed term (variable transactions), but in reality react in an inelastic way to market interest rate changes and experience shows they are available in the longer term. Transactions without fixed terms, and which are not assigned a due date scenario by means of the valuation rule, become 100% due in NPV analysis on the evaluation date, and in gap analysis/ALM simulation on the horizon date.
- On one hand, the explicit due date scenarios are found within the ALM simulation application, and enable you to take into account early repayments, for example. You can choose whether the due date scenarios are to be used only for actual positions, for actual and simulated positions, or only for simulated positions. On the other hand, you can assign, in the planning variant, an explicit due date scenario to each portfolio hierarchy node. This procedure enables you to use different due date scenarios for different products, for example. The due date scenarios assigned in the planning variant are used for the actual position when running ALM simulation. These due date scenarios have no effect on the transactions simulated as part of ALM simulation.
When due date scenarios are created, no distinction is made between implicit and explicit due date scenarios. The distinction results only from their different uses.
In this step you define the actual course of a due date scenario.
The due date scenario controls the generation of fictitious cash flows on the basis of balances or positions.
Due date scenarios can be defined relative to the evaluation date, horizon date, start date of scenarios, or to absolute points in time.
Example
Based on empirical values, you could assume the following course for an item with variable interest calculation:
- after one month 40 %
- after 2 months 30 %
- after 3 months 20 %
- after 4 months 10 %
In this way, you can treat the corresponding items as fictitious fixed interest rate transactions.
Being able to define due date scenarios for absolute points in time makes it possible for you to include seasonal effects in the valuation. For example, it is possible to siphon off a certain percentage amount every year at a certain point in time.
Activities
- Specify the due date scenario, and choose the processing type (create, create with template, change, display, delete).
- If you choose Create, specify the category of the due date scenario:
- Specify the due dates and percentages for absolute due date scenarios
- Define the due date percentages using the due date periods for relative due date scenarios. The dates are dependant on the evaluation date and the start of the due date scenario.
- Based on the type of scenario, enter the data required.
- For absolute due date scenarios, you specify the due date and the percentage change for each fictitious cashflow that is to be generated. Base amounts have not been defined as own entries. You can simulate a base amount by placing the base amount at a date after the end of the maturity band.
- For relative due date scenarios, you define the Scenario Start and the Scenario End. If you do not make an entry in the in the 'Due date scenario start' field, in gap analysis, the start of the scenario is set to the horizon, and in NPV analysis it is set to the evaluation date. By entering a base amount you define a percentage below which values cannot fall. If you do not make an entry here, this assumed to be 0%.
- For relative due date scenarios, you define the due dates in the Settings data group. Enter a Sequence number, a due date period defined in the lower part of the screen, and the number of consecutive times this is to be taken into consideration. For more information read Define due date periods.
- Choose Save.
Further notes
You can also enter percentage outflows, which amount to less than (100 base amount). In this case, the remainder of the (100 base amount) is shown as due on the evaluation date/horizon. Negative percentage changes are increases, positive percentage changes are position outflows.
You can branch to a table displaying due dates and corresponding due date percentages, depending on the evaluation date, by choosing the function Simulate due date scenario. Note that in the case of absolute due date scenarios, due dates that are earlier than the evaluation date are set as due on the evaluation date.
Business Attributes
| ASAP Roadmap ID | 204 | Establish Functions and Processes |
| Mandatory / Optional | 2 | Optional activity |
| Critical / Non-Critical | 2 | Non-critical |
| Country-Dependency | A | Valid for all countries |
Assigned Application Components
| Documentation Object Class | Documentation Object Name | Current line number | Application Component | Application Component Name |
|---|---|---|---|---|
| SIMG | _JBVCFSZ | 0 | I510000051 | Risk Analysis |
Maintenance Objects
| Maintenance object type | C | Customizing Object |
| Assigned objects | ||||||
|---|---|---|---|---|---|---|
| Customizing Object | Object Type | Transaction Code | Sub-object | Do not Summarize | Skip Subset Dialog Box | Description for multiple selections |
| MSCUST | T - Individual transaction object | MSCUST |
History
| Last changed by/on | SAP | 20001128 |
| SAP Release Created in |
