SAP ABAP IMG Activity VC_CFM_AUSWT (Define and Set Up Evaluation Types)

Hierarchy

☛ EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
   ⤷ FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
     ⤷ FTBB (Package) Risk Management Basis

IMG Activity

ID	VC_CFM_AUSWT	Define and Set Up Evaluation Types
Transaction Code	S_KFM_86000118	Define Evaluation Type
Created on	20000718
Customizing Attributes	VC_CFM_AUSWT	Define and Set Up Evaluation Type
Customizing Activity	VC_CFM_AUSWT	Define and Set Up Evaluation Type

Document

Document Class	SIMG	Hypertext: Object Class - Class to which a document belongs.
Document Name	_VC_AUSWT

In this IMG activity, you define the general settings that are required for valuing transactions. These include the settings for market data, evaluation control, datafeed and the Portfolio Analyzer (TRM only), and also the settings specific to the valuation rule.

• Creating evaluation types (Evaluation Type pushbutton)

  Here you create evaluation types, and the related general information.

  The general information about the evaluation type includes the default settings that are required for valuing transactions. The system applies these default values if you do not make any valuation-rule-specific settings.

• Creating valuation-rule-specific settings for an evaluation type
  (Valuation Rule-Specific pushbutton)

  Here you can assign valuation rules to the evaluation type.
  You use the combination of evaluation type and valuation rule to assign valuation parameters to a transaction. This assignment is specific to the valuation rule, and these parameters override the general settings in the evaluation type. If you do not make any settings for the valuation rule, then the general settings in the evaluation type apply.

  Note that there are some settings that you can make in the valuation rule only.

  You can choose whether repurchase agreements are valued as money market transactions, or as a combination of a security spot transaction and a security forward transaction. You make do so by setting the Value Repurchase Transaction as Money Market Transaction indicator on the Evaluation Control tab page

  To value participation certificates, you need to ensure that the Calculate Accrued Interest indicator on the Evaluation Control tab page is not set.

  You can store a derivation rule for the value at risk for each valuation rule. The derivation rule defines how a transaction is to be valued in historical simulation when the combination procedure is used. You make the general settings for the VaR evaluation in the VaR type.

Requirements

You need to have already defined the market price parameters you require.

Recommendation

Define complete general settings for at least one evaluation type so that evaluations can be run without any errors in Risk Analysis and in Asset/Liability Management.

Business Attributes

ASAP Roadmap ID	204	Establish Functions and Processes
Mandatory / Optional	1	Mandatory activity
Critical / Non-Critical	1	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	_VC_AUSWT	0	I510000081 O
SIMG	_VC_AUSWT	1	I510000051 O
SIMG	_VC_AUSWT	2	KFM0000015	Market Risk Analyzer

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
CFMEVAL	T - Individual transaction object	CFMEVAL		☐	☐

History

Last changed by/on	SAP	20010809
SAP Release Created in	462_10