Hierarchy
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services⤷
IS-B-RA-CL (Application Component) Default Risk and Limit System⤷
FTBK (Package) Risk Management Counterparty/Issuer Risks
Basic Data
| Data Element | KL_FNBV |
| Short Description | Weighting Factor for Net/Gross Ratio |
Data Type
| Category of Dictionary Type | D | Domain |
| Type of Object Referenced | No Information | |
| Domain / Name of Reference Type | DEC6_7 | |
| Data Type | DEC | Counter or amount field with comma and sign |
| Length | 13 | |
| Decimal Places | 7 | |
| Output Length | 15 | |
| Value Table |
Further Characteristics
| Search Help: Name | ||
| Search Help: Parameters | ||
| Parameter ID | ||
| Default Component name | ||
| Change document | ||
| No Input History | ||
| Basic direction is set to LTR | ||
| No BIDI Filtering |
Field Label
| Length | Field Label | |
| Short | 10 | Weight |
| Medium | 15 | Weight NGR |
| Long | 20 | Weighting Net/Gross |
| Heading | 49 | Weighting Factor for Net/Gross Ratio |
Documentation
Definition
The weighting factor for the net/gross ratio (b) specifies to what extent the net/gross ratio goes into the calculation of the netting add-on. This ratio is derived from the quotients of the NPVs of all cash flows, and the NPVs of all positive cash flows calculated on the basis of open transactions that are capable of being netted and which have a counterparty. The netting add-on is calculated according to the following formula:
Netting add-on = Total add-on ( a + b X net/gross ratio),
where a = weighting factor for total add-on
b = weighting factor for net/gross ratio (NGR)
NGR: NGR = max(total(NPV)/total(NPV_pos), 0 ).
Example
Netting add-on = total add-on ( 0.4 + 0.6 X NGR),
Normally, the non-negative weighting factors add up to one.
History
| Last changed by/on | SAP | 20011002 |
| SAP Release Created in |
