Market Risk Analyzer : ALM simulation

Business requirement : to make a interest income/expense budget/forecast for the next fiscal year and to evaluate the P&L impact of future changes in the debt / investment portfolio.
Idea for solution : JBRT_CFM report (Net Interest income tab)
Problem :
1. There are many (intercompany) loans are rolled over many times during the year. The same holds for the short term investments in securities.
2. On the other hand, there are also expected pre-payments on some of the existing loans, that will be renewed at different conditions or that will not be renewed at all.
Is there an other solution than to create manually a bunch of fictitious transactions
OR
is there better report for this kind of request?
I was also considering report AISPL, but I do not fully grasp the figures of this report and I cannot find any good documentation about it neither), so my focus for this business requirement is still on JBRT_CFM.
I have seen in SPRO a node "additional settings for simulation using scenarios", but I am not sure of its relevance for net interest income calculation in JBRT_CFM.
Has anyone relevant experience and good suggestions to meet such business requirement in SAP?
Thanks,
Carl

Hi Carl,
AISPL is not going to help you much on this.
You are absolutely right. JBRT_CFM is your best bet to work on such a scenario. If you are expecting some loan rollovers which is not in your deal yet or a coupon interest payment from a security which is also not in the class position, then fictitious transaction is the only option you have.
Regards,
Jitesh

Similar Messages

  • Market risk analyzer ALM simulation JBRT_CFM

    Business requirement : to make a interest income/expense budget/forecast for the next fiscal year and to evaluate the P&L impact of future changes in the debt / investment portfolio.
    Idea for solution : JBRT_CFM report (Net Interest income tab) 
    Problem :
    1.  There are many (intercompany) loans are rolled over many times during the year.  The same holds for the short term investments in securities.
    2. On the other hand, there are also expected pre-payments on some of the existing loans, that will be renewed at different conditions or that will not be renewed at all.
    Is there an other solution than to create manually a bunch of fictitious transactions
    OR
    is there better report for this kind of request?
    I was also considering report AISPL, but I do not fully grasp the figures of this report and I cannot find any good documentation about it neither), so my focus for this business requirement is still on JBRT_CFM.
    I have seen in SPRO a node "additional settings for simulation using scenarios", but I am not sure of the relevance for net interest income calculation.  Has anyone relevant experience and good suggestions to meet such business requirement in SAP?
    Thanks,
    Carl
    Edited by: Carl Gijpen on Jan 28, 2011 6:17 PM

    Hi Carl,
    AISPL is not going to help you much on this.
    You are absolutely right. JBRT_CFM is your best bet to work on such a scenario. If you are expecting some loan rollovers which is not in your deal yet or a coupon interest payment from a security which is also not in the class position, then fictitious transaction is the only option you have.
    Regards,
    Jitesh

  • Market Risk Analyzer : JBRT_CFM ALM Simulation

    Business requirement : to make a interest income/expense budget/forecast for the next fiscal year and to evaluate the P&L impact of future changes in the debt / investment portfolio.
    Idea for solution : JBRT_CFM report (Net Interest income tab)
    Problem :
    1. There are many (intercompany) loans are rolled over many times during the year. The same holds for the short term investments in securities.
    2. On the other hand, there are also expected pre-payments on some of the existing loans, that will be renewed at different conditions or that will not be renewed at all.
    Is there an other solution than to create manually a bunch of fictitious transactions
    OR
    is there better report for this kind of request?
    I was also considering report AISPL, but I do not fully grasp the figures of this report and I cannot find any good documentation about it neither), so my focus for this business requirement is still on JBRT_CFM.
    I have seen in SPRO a node "additional settings for simulation using scenarios", but I am not sure of the relevance for net interest income calculation. Has anyone relevant experience and good suggestions to meet such business requirement in SAP?
    Thanks,
    Carl

    Hi Carl,
    AISPL is not going to help you much on this.
    You are absolutely right. JBRT_CFM is your best bet to work on such a scenario. If you are expecting some loan rollovers which is not in your deal yet or a coupon interest payment from a security which is also not in the class position, then fictitious transaction is the only option you have.
    Regards,
    Jitesh

  • Market Risk Analyzer - Master data - Generic Transaction (RCA00)

    Hi Expert,
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  • Market ris analyzer - Simulation- JBRT_CFM (exchange rate)

    Hi experts,
    I am searching market risk analyzer settings. i have done something on it. I am running a report - JBRT_CFM - ALM Simulation for a foreighn currency loan. My company code currency is INR, i have created a euro currency loan ( 100000 euro).
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    Regards
    Gaurav gupta
    SAP-TR

    Hi Jitesh,
    Thanks for your reply. I know that it is picking exchange rate type from evaluation type. I have maintained there exchange rate type - M (for ex.).  but not able to find out from where it is taking exchange rate with refrence to exchange rate type. In ob08 i have no entry with exchange rate type - m and value 67. IF u see in t.code JBRT_CFM after execution -> third tab Goto -> Calculation Base . here exchange rate is display for this transaction but not able to get the maintenance screen. IT is a structure  Please help how to maintaine this or from where it is taking exchange rate ?
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    Gaurav Gupta
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  • Testing the Market risk and Portfolio risk Analyzer modules.

    Hi guys,
    Somehow(don't ask me how) I have configured Market risk analyzer and Portfolio risk analyzer module. When I run report AIS_STDREP it spews out some figures for Duration, convexity... TWRR, MWRR... etc. But I am clueless as to how to test whether these figures are correct.
    Any help in this direction will be highly appreciated.
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    Hi,
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  • Credit Risk Analyzer -- Cannot update limit utilization

    I want to use Credit risk analyzer to set limit to some specific transaction. When I create a MM transaction with start term before today, the amount will be checked and the utilization is updated, but when a transaction with start term in the future, the limit won't be check and the utilization is also not updated. I tried to run the end-of-day processing with valuation day in the future, but I still got the same result. Can anyone tell me how to let the system also check the transaction with start term in the furure?

    Hi Jerry,
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  • Credit Risk Analyzer- Limit utilization error

    Hi All,
    For the money market, we defined different Limit types in Credit Risk Analyzer. And for each business partner and currency used, we defined seperate limits. When we enter a credit, if the end date of the credit isnu2019t equal to the Valid to (external) date of the related limit, in Limit utilization details it gives the error :
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        Message no. K-152
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        A serious error occurred during calculation of the attributable amounts that caused the system to terminate calculations.
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    Thanks in advance,
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    Hi Danisman,
    I am facing the same problem, did you find a solution for this issue?
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  • Error in Risk Analyzer of Access Enforcer

    We are getting the below error in Risk analyzer of access enforcer in the GRC system that we have
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    Bharathwaj V

    Hi alpesh,
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  • Credit Risk Analyzer

    Hi Friends,
    When I am creating a treasury transaction using FTR_CREATE, in the 'Default Risk Limit' TAB, I want the Check box 'CP Risk active'  to be selected automatically. But now every time the user has to click on it when they create a new transaction. Is there a configuration step where I can make this to be selected automatically?
    Kalyan

    Hello,
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    Vinodh

  • Error in Credit Risk Analyzer

    Hello Experts,
    Im trying to save my FX transaction when I encountered the below error.
    Limit management was not updated
    Message no. K-788
    Then when I checked the limit utlization details, i encountered below errors:
    Transaction is not valued for the determination procedure specified
    Internal basic key figure table is empty
    Transaction /sdctemp/, company code B728, object category T4 could not be valued
    Can someone help provide inputs on how to fix above error?
    Ive already checked my determination procedure and its seems to be configured properly.
    Appreciate your advise.

    Hi,
    some causes I could find in customer messages are:
    - date is not maintained in the view KLARPOS (limit items for default risk),
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    - (often) if your FX deal is a spot transaction, then only settlement risk will be created, then determination procedure and default risk rule should handle settlement risk,
    - (often) there is a shift in spot days, so value date doesn't fit (usually there is a shift of 2 days from the contract date, see customizing),
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    You can find some explanations and double-check customizing using the links below:
    http://help.sap.com/saphelp_erp2005/helpdata/en/41/0d58357ce9fb43e10000009b38f889/frameset.htm
    http://help.sap.com/saphelp_erp2005/helpdata/en/94/6e1e79eb4511d1a55e0000e8407c05/frameset.htm.
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    Tomislav

  • Credit Risk Analyzer - How limits can be reset after the term has ended

    Hi Experts,
    I would like to know how limits can be reset after the transaction term has ended.
    Currently, my utilization reports still show past transactions and this transactions are still affecting my limit calculation report.
    Am I missing a process or a configuration?
    Also, would anyone know where the SAP limit utilization report is pulling out the transactions so when I run the limit utilization report, I can still view historical data?
    Thanks in advance.

    Hi Jerry,
      I do not think this customization helps. It only has two options to set start date as start of term or as date of commitment. But what if i want to set in future like your problem. Do we make it date of commitment for all the money market instruments?
    Best regards!
    Sandip

  • Bank Analyzer CRA : Credit Risk Analyzer bundel service information

    Hello experts,
    I want to investigate, at runtime of LEVEL 0 calculation in module SC_READ_EXPOSURE, the number of transactions in the current bundle.
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    Thanks & Regards
    Frank

    Solution : Functionmodule /BA1/FP_DB_OBSDB_GET_BUNDLE with input parameters JOBID of table /BA1/R0_JOBH and UOID of the relevant primary object...

  • TRM -Credit Risk Analyser

    HI All,
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    The attributes you can assign to a financial object in Analysis (RM) control access and the processing of this financial object in the Market Risk Analyzer, Portfolio Analyzer, and Accounting Analyzer.

  • NPV of FX Forward Contracts

    Hi coleagues
    We currently have forward contracts 60A and forward hedge accounting transactions (60B). With the current configuration we are able to execute NPVs for 60Bs (hedge accounting transactions) but on 60As NPVs are  not generated. I would like to find out why are NPs are not generated on 60As, what configure can i change to allow NPVs to be calculated on 60As as well. Secondly From a business poiint of view is NPV calculation of forward contracts(60As) different from hedge accounting forwards transactions (60B)
    Thank you in advance
    Victor
    Edited by: Victor Nkomo on Jul 9, 2011 10:26 AM

    Hi Victor,
    This is really surprising. NPV for FX forward doesn't involve huge calculation routines and hence should be very easily configurable in the system. Though, it is difficult to find the reason without having a look at the configuration, I would give you some pointers to verify.
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    Regards,
    Jitesh

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