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EHP6 for SAP ERP 6.

0 July 2012 English

Credit Risk Analyzer (Y27)


Building Block Configuration Guide

SAP AG Dietmar-Hopp-Allee 16 69190 Walldorf Germany

SAP Best Practices

Credit Risk Analyzer (Y27): Configuration Guide

Copyright
2012 SAP AG. All rights reserved. SAP, R/3, SAP NetWeaver, Duet, PartnerEdge, ByDesign, SAP BusinessObjects Explorer, StreamWork, SAP HANA, and other SAP products and services mentioned herein as well as their respective logos are trademarks or registered trademarks of SAP AG in Germany and other countries. Business Objects and the Business Objects logo, BusinessObjects, Crystal Reports, Crystal Decisions, Web Intelligence, Xcelsius, and other Business Objects products and services mentioned herein as well as their respective logos are trademarks or registered trademarks of Business Objects Software Ltd. Business Objects is an SAP company. Sybase and Adaptive Server, iAnywhere, Sybase 365, SQL Anywhere, and other Sybase products and services mentioned herein as well as their respective logos are trademarks or registered trademarks of Sybase Inc. Sybase is an SAP company. Crossgate, m@gic EDDY, B2B 360, and B2B 360 Services are registered trademarks of Crossgate AG in Germany and other countries. Crossgate is an SAP company. All other product and service names mentioned are the trademarks of their respective companies. Data contained in this document serves informational purposes only. National product specifications may vary. These materials are subject to change without notice. These materials are provided by SAP AG and its affiliated companies ("SAP Group") for informational purposes only, without representation or warranty of any kind, and SAP Group shall not be liable for errors or omissions with respect to the materials. The only warranties for SAP Group products and services are those that are set forth in the express warranty statements accompanying such products and services, if any. Nothing herein should be construed as constituting an additional warranty.

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SAP Best Practices

Credit Risk Analyzer (Y27): Configuration Guide

Icons
Icon Meaning Caution Example Note Recommendation Syntax

Typographic Conventions
Type Style Example text Description Words or characters that appear on the screen. These include field names, screen titles, pushbuttons as well as menu names, paths and options. Cross-references to other documentation. Example text EXAMPLE TEXT Emphasized words or phrases in body text, titles of graphics and tables. Names of elements in the system. These include report names, program names, transaction codes, table names, and individual key words of a programming language, when surrounded by body text, for example, SELECT and INCLUDE. Screen output. This includes file and directory names and their paths, messages, source code, names of variables and parameters as well as names of installation, upgrade and database tools. Keys on the keyboard, for example, function keys (such as ENTER key.
F2)

Example text

EXAMPLE TEXT

or the

Example text <Example text>

Exact user entry. These are words or characters that you enter in the system exactly as they appear in the documentation. Variable user entry. Pointed brackets indicate that you replace these words and characters with appropriate entries.

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SAP Best Practices

Credit Risk Analyzer (Y27): Configuration Guide

Content
1 Purpose.................................................................................................................................. 5 2 Prerequisites.......................................................................................................................... 5 3 Configuration.......................................................................................................................... 6 3.1 Basic Settings.................................................................................................................. 6 3.1.1 Global Settings.......................................................................................................... 6 3.1.2 Definitions................................................................................................................. 6 3.1.2.1 Defining Valuation Factor Determination............................................................6 3.1.2.2 Defining Determination Procedures....................................................................7 3.1.2.3 Defining Default Risk Rule..................................................................................8 3.1.2.4 Defining Single Transaction Check Product.....................................................11 3.1.3 Automatic Integration of Financial Objects in Transaction Master Data.................12 3.1.3.1 Activating Financial Object Integration MM......................................................13 3.1.3.2 Activating Financial Object Integration FX........................................................14 3.1.3.3 Activating Financial Object Integration DE.......................................................15 3.1.3.4 Deriving Default Risk Control Parameter MM...................................................16 3.1.3.5 Deriving Default Risk Control Parameter FX....................................................17 3.1.3.6 Deriving Default Risk Control Parameter DE....................................................18 3.1.4 Activating Integrated Default Risk Limit Check.......................................................19 3.2 Attributable Amount Determination ...............................................................................19 3.2.1 Defining Variable Assignment ID............................................................................20 3.2.2 Editing Settings for Determination Procedures.......................................................20 3.3 Limit Management......................................................................................................... 22 3.3.1 Defining Limit Types................................................................................................ 22 3.4 Maintaining Limits by Company Code with Limit Type 101............................................26 3.5 Maintaining Limits by Company Code with Limit Type 102............................................27 3.6 Specifying Limits by Product Type and Transaction Type.............................................28 3.7 Defining Key Figure....................................................................................................... 29

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SAP Best Practices

Credit Risk Analyzer (Y27): Configuration Guide

Credit Risk Analyzer: Configuration Guide 1 Purpose

The purpose of this document is to describe the general configuration steps required to set up the configuration of the Credit Risk Analyzer (CRA) within the system landscape that has already been installed using the corresponding installation or configuration guides for installation. The configuration activities are recorded by BC Sets and eCATTS. It is therefore possible to set up the configuration automatically. You can use the CRA if you want to: Set up actively managed limit management in order to meet internal and legal requirements. Set up online attribution and checking of limits and be able to evaluate in real time. Define an individual limit structure.

2
EA-FIN EA-FS

Prerequisites
Financial Extension Financial Services TRM: Hedge Management, New Instruments, New Key Figures TRM: Hedge and Exposure Management, SWIFT

Enhancement package 4 for SAP ERP 6.0 must be installed. The following Enterprise Extensions need to be activated:

Also, the following business functions need to be activated: FIN_TRM_LR_FI_AN FIN_TRM_LR_FI_AN_2

Before you start installing this scenario, you must install prerequisite building blocks. For more information, see the Building Block Prerequisites Matrix for the SAP Treasury and Risk Management Rapid-Deployment Solution.

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Credit Risk Analyzer (Y27): Configuration Guide

Configuration

3.1 Basic Settings


3.1.1 Global Settings Use
In this Customizing activity, you specify whether you want to use the Default Risk and Limit System component. If so, you set the Default Risk and Limit System indicator to Active. If you use the Default Risk and Limit System component, you must also store an evaluation type. The system uses this evaluation type for all evaluations. You use the Deriv. Active (derivation of the default risk rule is active ) checkbox to define whether the system is to derive the default risk rule automatically for transactions in Transaction Manager (TR-TM).

Prerequisites
The basic analyzer settings have been defined and the general settings have been configured.

Procedure
1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Basic Settings Global Settings SPRO

Transaction Code

2. In the toolbar, choose Change. 3. On the Change View Global Settings: Details screen, make the following entries: Field Name Default Risk Active Evaluation Type Deriv. Active User Action and Values Select the checkbox YT01 Select the checkbox Comment This checkbox needs to be selected to use the CRA. The evaluation type has to be entered for the CRA to know which market data to read from the relevant market data tables. You use this checkbox to control whether derivation of the default risk rule is active. If the checkbox is selected, the default risk rule for TR-TM transactions is automatically derived when a financial object is created, in accordance with the settings in the derivation strategy.

4. Save your entries.

3.1.2 Definitions 3.1.2.1 Use Defining Valuation Factor Determination

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Credit Risk Analyzer (Y27): Configuration Guide

The following settings are provided in the standard configuration. Check for completeness. Using valuation factor determination, you are able to set whether attributable amounts for counterparty risks or country risks are to be calculated. You can use differentiated valuation factors within counterparty risk and country risk for the following: Add-on factors (using risk sensitivities) Default probabilities

There are two valuation factor determination methods stored in the Customizing delivered with the standard system. Using both the internal and external procedures below, credit weighting factors are stored in the table for default probabilities. These credit weighting factors are derived from the market valuation method that meets the standards set in the capital adequacy directive for clearing international payments specified by the Bank for International Settlements.

Procedure
1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Basic Settings Definitions Define Valuation Factor Determination SPRO

Transaction Code

2. On the Change View Determination of Valuation Factors: Overview screen, choose New Entries. 3. On the New Entries screen, make the following entries: Valuation Factor 1 2 4. Save your entries. 5. Save your entries. Determination of Valuation Factors Short Text Internal procedure External procedure Determination of Valuation Factors Long Text Internal valuation procedure External valuation procedure

3.1.2.2 Use

Defining Determination Procedures

In this Customizing activity, you specify how the CRA is to be used. This is required to later build formulas. This step defines the business background under which you want to analyze your financial positions. Examples of such business views are: Limitation of all positions using a NPV (net present value) Limitation of all positions using default risk probabilities Limitation of all positions using recovery rates Limitation of all positions using add-on factors Limitation of all positions using nominal amounts Limitation of all positions with mixed exposures (mixture of NPVs, nominals, and so on) Limitation of all positions according to issuer risks Limitation of all positions according to settlement risks

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Credit Risk Analyzer (Y27): Configuration Guide

Procedure
1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Basic Settings Definitions Define Determination Procedures SPRO

Transaction Code

2. In the toolbar, choose Change. 3. On the Change View Maintenance of Determination Procedure: Overview screen, choose New Entries. 4. On the New Entries screen, make the following entries: Field Name Dtrm. Proc. DP Short Text DP Long Text Control Parameters Valuation Factor Control Parameters Risk Category Control Parameters Exposure Control Parameters Collateral Valuation Rule 0001 (Economic; Economic) Always enter (Economic; Economic). The collateral valuation rule is needed when you want to apply collateral management (only relevant for SAP for Banking). See the description under the table. 2 Net User Action and Values 90 CRA Exposure CRA Exposure 1 Internal Valuation Procedure 1 Credit Risk Enter the valuation factor from the previous Customizing activities. Internal is the standard value. There are two risk categories: Credit Risk and Settlement Risk. Settlement Risk is used if you want to limit settlement risks. Comment Define a two-digit code as identifier.

Control Parameters Interpolation of Default Probability 5. Save your entries.

Select the checkbox

3.1.2.3 Use

Defining Default Risk Rule

The default risk rule is the second important Customizing setting in the context of limit management. Together with Determination Procedures from the previous step, the default risk values enable you to later set up product-specific formulas to calculate attributable amounts. Default risk rules are normally product-type specific but other variants and groupings are possible. Calculation Base for Market Value Change Period Here, you indicate how the market value change period is to be determined. Term end

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SAP Best Practices Interest commitment Capital commitment

Credit Risk Analyzer (Y27): Configuration Guide

As the calculation base for the market value change period, you choose either term end, interest commitment, or capital commitment. For Fixed Values, you have to enter the value of the market value change period in months. If the market value change period is not relevant, set the value to Ignore. The term end is determined in the following ways: From the term end of the underlying for options whose underlying has a set term end (such as for options on bonds, FRAs, and swaps). From the term end of the option itself for options on indexes, stocks, and foreign exchange transactions. Through FRAs from the day of settlement.

Calculation Base of Risk Commitment Period Here, you indicate how the risk commitment period is to be determined. You can choose either term end, interest commitment, or capital commitment as the calculation base for the risk commitment period. For Fixed Values, you have to enter the value of the market value change period in months. If the market value change period is not relevant, set the value to Ignore. For Term End, the term end of the transaction in question is always used. The exception to this rule is the case of FRAs, where the term end is the date of settlement.

Procedure
1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Basic Settings Definitions Define Default Risk Rule SPRO

Transaction Code

2. In the toolbar, choose Change. 3. On the Change View Maintenance of Default Risk Rule: Overview screen, choose New Entries. 4. On the New Entries screen, make the following entries: Derivatives Field Name Default Risk Rule DRR Name Calculation Base for Market Value Change Period Market Value Change Period in Months User Action and Values DE00000001 DE - Interest Rate Swap (EoT;EoT;VfactDet.,SR) 1 End of Term Comment Define a short text and ID in order to identify the DRR.

The market value change period is relevant for calculating attributable amounts using add-on factors. If the calculation of attributable amounts is not needed, leave this field blank.

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SAP Best Practices Field Name Calculation Base of Risk Commitment Period Risk Commitment Period in Months Indicator for Recovery Rate Determination Foreign Exchange Field Name Default Risk Rule DRR Name Calculation Base for Market Value Change Period Calculation Base of Risk Commitment Period Indicator for Recovery Rate Determination Foreign Exchange Field Name Default Risk Rule DRR Name Calculation Base for Market Value Change Period Calculation Base of Risk Commitment Period Indicator for Recovery Rate Determination Money Market Field Name Default Risk Rule DRR Name Calculation Base for Market Value Change Period Calculation Base of Risk Commitment Period Indicator for Recovery Rate Determination

Credit Risk Analyzer (Y27): Configuration Guide User Action and Values 1 End of Term Comment

The risk commitment period is relevant for calculating attributable amounts using default probabilities. 2 - From Valuation Factor Determination

User Action and Values FX00000001 FX - Forward Transaction (EoT;EoT;Vfact.Det.,SR ) 1 End of Term 1 End of Term 2 From Valuation Factor Determination

User Action and Values FX00000002 FX - Spot Transaction 1 End of Term 1 End of Term 2 From Valuation Factor Determination (EoT;EoT;Vfact.Det.,SR)

User Action and Values MM00000001 MM - Fixed Term Deposit 1 End of Term 1 End of Term 2 From Valuation Factor Determination (EoT;EoT;Vfact.Det. )

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SAP Best Practices Money Market Field Name Default Risk Rule DRR Name Calculation Base for Market Value Change Period Calculation Base of Risk Commitment Period Indicator for Recovery Rate Determination 5. Save your entries.

Credit Risk Analyzer (Y27): Configuration Guide

User Action and Values MM00000002 MM - Overnight Money 1 End of Term 1 End of Term 2 From Valuation Factor Determination (EoT;EoT;Vfact.Det.)

Result
The DRR is later derived into every deal. There is a 1:1 relationship between the deal and default risk rule.

3.1.2.4 Use

Defining Single Transaction Check Product

The single transaction check product (STC product) is the central control for the single transaction check transaction (STC transaction). The settings stored in the STC product affect the following functions of the STC transaction: Authorization check Control of internal/external key allocation Inclusion of credit risk Preset (default) limit product group

The following controls are stored in single-transaction-check products: Default risk rule Limit product group Spot/forward indicator

Procedure
1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Basic Settings Definitions Define Single Transaction Check Product SPRO

Transaction Code

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SAP Best Practices 2. In the toolbar, choose Change.

Credit Risk Analyzer (Y27): Configuration Guide

3. On the Change View Maintenance of Single Transaction Check Product: Overview screen, choose New Entries. 4. On the New Entries screen, make the following entries: STC Product Short Name for STC Product Long Name for STC Product External Financial Transaction Category 06 04 05 Default

DE_DEFAULT FX_DEFAULT MM_DEFAULT 5. Save your entries.

DE_DEFAULT FX_DEFAULT MM_DEFAULT

DE_DEFAULT FX_DEFAULT MM_DEFAULT

Select the checkbox Select the checkbox Select the checkbox

3.1.3 Automatic Integration of Financial Objects in Transaction Master Data Use


The Credit Risk Analyzer can be activated for TRM subledger positions, IHC accounts, or other instruments administered as generic instruments. Depending on the type of subledger positions, you can independently activate the usage for certain areas and for certain product types (subsets of areas). The Customizing activities are required for the following areas: Money markets Foreign exchange Derivatives

The following must be customized for every area: Activation per company code Derivation rules for deriving limit characteristics The following must be activated: Activate/Deactivate Financial Object Integration Derive Default Risk Control Parameters for Derivatives

The activation of the FO integration means that the component CRA can be used for a certain product type within a certain company code. It also means that a financial object is automatically created as soon as a deal is saved to the database. The financial object transfers information between the Transaction Manager and Risk Analyzers. It stores all relevant information on characteristics of a deal. A second activation is necessary, and for this reason, Derive Default Risk Control Parameters for Derivatives must also be activated.

The Analysis component in the activation table refers to the Market Risk Analyzer component that needs to be activated in the same way as the CRA. If you have maintained all relevant entries for one company code and want to proceed with further company codes, use the Copy function. Select the entry you want to copy and choose Copy.

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3.1.3.1 Use

Activating Financial Object Integration MM

The purpose of this activity is to activate the CRA for a simple deposit in the money market in company code 1000.

Procedure
1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Basic Settings Automatic Integration of Financial Objects in Transaction Master Data Money Market Activate/Deactivate Financial Object Integration SPRO

Transaction Code

2. In the toolbar, choose Change. 3. On the Activate/Deactivate Financial Object Integration Overview screen, choose New Entries. 4. In the Activate/Deactivate Financial Object Integration dialog structure, make the following entries: Field Name Application FO component Company code Component active Partially active 5. Save your entries. User Action and Values TMMO money market LMFO Default Risk Limit 1000 Select the checkbox Select the radio button

For company code 1000, you now activate the application Money Market and component Default Risk. In nearly all cases, you set the value to Partially Active. In the case of a limit overdraft, Fully Active would mean that a deal could not be saved to the database. It requires an action from workflow owners first, so that the limit is enhanced. Partially Active means that the deal can be saved with a warning message. The message is also written to a log file. 6. Under company code 1000, choose the entry you just created. 7. Choose Product Types. 8. Enter product types. 9. Select the entry that you just maintained for your company code. 10. In the Product Types dialog structure, make the following entries: Field Name Product type Product type Product type Product type User Action and Values Y10 Y11 Y20 Y21 Description Fixed-term deposit: External Fixed-term deposit: Internal Interest rate instrument: External Interest rate instrument: Internal

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SAP Best Practices 11. Save your entries.

Credit Risk Analyzer (Y27): Configuration Guide

Result
When you now enter a deal under company code 1000, there is an additional tab page: Default Risk Limit: Activation now has a direct impact on the application side.

3.1.3.2 Purpose

Activating Financial Object Integration FX

The purpose of this activity is to activate foreign exchange.

Procedure
1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Basic Settings Automatic Integration of Financial Objects in Transaction Master Data Foreign Exchange Activate/Deactivate Financial Object Integration SPRO

Transaction Code

2. On the Activate/Deactivate Financial Object Integration Overview screen, choose New Entries. 3. On the New Entries screen in the Activate/Deactivate Financial Object Integration dialog structure, make the following entries: Field Name Application FO component Company code Component active Partially active 4. Save your entries. 5. Select the entry that you just maintained for your company code. 6. In the Product Types dialog structure, make the following entries: Field Name Product type Product type Product type Product type Product type Product type User Action and Values Y40 Y41 Y42 Y43 Y44 Y45 Description Forex: External Forex: Internal Forex:NDF External Forex:NDF Internal Forex:Swap External Forex:Swap Internal User Action and Values TMFX foreign exchange LMFO Default Risk Limit 1000 Select the checkbox Select the radio button

7. On the New Entries screen in the Activate/Deactivate Financial Object Integration dialog structure, make the following entries: Field Name Application User Action and Values TMFX foreign exchange

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SAP Best Practices Field Name FO component Company code Component active Partially active 8. Save your entries.

Credit Risk Analyzer (Y27): Configuration Guide User Action and Values APFO Analysis 1000 Select the checkbox Select the radio button

9. Select the entry that you just maintained for your company code. 10. In the Product Types dialog structure, make the following entries: Field Name Product type Product type 11. Save your entries. User Action and Values Y44 Y45 Description Forex:Swap External Forex:Swap Internal

3.1.3.3 Purpose

Activating Financial Object Integration DE

The purpose of this activity is to activate derivatives.

Procedure
1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Basic Settings Automatic Integration of Financial Objects in Transaction Master Data OTC Derivatives Activate/Deactivate Financial Object Integration SPRO

Transaction Code

2. On the Activate/Deactivate Financial Object Integration Overview screen, choose New Entries. 3. On the New Entries screen in the Activate/Deactivate Financial Object Integration dialog structure, make the following entries: Field Name Application FO component Company code Component active Partially active 4. Save your entries. 5. Select the entry that you just maintained for your company code. 6. In the Product Types dialog structure, make the following entries: Field Name Product type User Action and Values Y30 Description Interest rate swap (IRS) User Action and Values TMDR derivatives LMFO Default Risk Limit 1000 Select the checkbox Select the radio button

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SAP Best Practices 7. Save your entries.

Credit Risk Analyzer (Y27): Configuration Guide

3.1.3.4 Procedure

Deriving Default Risk Control Parameter MM

This manual step cannot be activated with a BC Set. 1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Basic Settings Automatic Integration of Financial Objects in Transaction Master Data Money Market Derive Default Risk Control Parameters for Money Market Transactions KLABL_MM

Transaction Code

2. In the toolbar, choose Change. 3. On the Derivation of Default Risk Rule Control Parameters: Change Strategy screen, choose Create Step. 4. In the dialog box that appears, choose Derivation Rule. 5. Choose Continue. 6. Choose the Definition tab page. 7. In the Source Fields area, make the following entries: Origin MONEY_MARKET Name SGSART Name Product Type Comment The source field represents the IF-rule. Comment The target field represents the result part of the derivation rule.

8. In the Target Fields area, make the following entries: Origin FOB Name ARR Name Default Risk Rule

FOB FOB

SARAKT SLPG

Indicator: Counterparty/Issuer Risk Active Limit Product Group With/Without Collective Limit Default Risk Rule Indicator: Counterparty/I ssuer Risk Active 1 1 1 1 Limit Product Group With/Without Collective Limit

9. Choose Maintain Rule Values and make the following entries: Product Type Assigned

Y10 Y11 Y20 Y21

= = = =

MM00000001 MM00000001 MM00000002 MM00000002

MM MM MM MM

Result

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Credit Risk Analyzer (Y27): Configuration Guide

The activation under the default risk control parameters now indicates the deals that are relevant for CRA. This can be verified in the application on the Default Risk Limit tab page. The derivation is complete. The derivation log can be seen in every deal by choosing Display Derivation Log.

3.1.3.5 Procedure

Deriving Default Risk Control Parameter FX

This manual step cannot be activated with a BC Set. 1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Basic Settings Automatic Integration of Financial Objects in Transaction Master Data Foreign Exchange Derive Default Risk Control Parameters for Foreign Exchange KLABL_FX

Transaction Code

2. On the Derivation of Default Risk Rule Control Parameters: Change Strategy screen, choose Create Step. 3. In the dialog box that appears, choose Derivation Rule. 4. Choose Continue. 5. In the Derivation of Default Risk Rule Control Parameters: Change Structure screen, make the following entries: 6. Choose the Definition tab page. 7. In the Source Fields area, make the following entries: Origin FOREIGN_EX FOREIGN_EX Name SGSART SFHAART Name Product Type Financial Transaction Type Comment If the product type is XXX, the target fields are filled with certain values. The target field represents the result part of the derivation rule. Comment The source field represents the IF-rule

8. In the Target Fields area, make the following entries: Origin FOB Name ARR Name Default Risk Rule

FOB FOB

SARAKT SLPG

Indicator: Counterparty/Issuer Risk Active Limit Product Group With/Without Collective Limit

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9. Choose Maintain Rule Values and make the following entries: Product Type Financial Transaction Type Y03 Y04 Y04 Y03 Y04 Assign ed Default Risk Rule Indicator: Counterparty/I ssuer Risk Active 0 1 1 0 1 Limit Product Group With/Without Collective Limit FX FX FX FX FX

Y40 Y40 Y42 Y44 Y44

= = = = =

FX00000002 FX00000001 FX00000001 FX00000001 FX00000001

3.1.3.6 Procedure

Deriving Default Risk Control Parameter DE

This manual step cannot be activated with a BC Set. 1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Basic Settings Automatic Integration of Financial Objects in Transaction Master Data OTC Derivatives Derive Default Risk Control Parameters for Derivatives KLABL_DE

Transaction Code

2. On the Derivation of Default Risk Rule Control Parameters: Change Strategy screen, choose Create Step. 3. In the dialog box that appears, choose Derivation Rule. 4. Choose Continue. 5. On the Derivation of Default Risk Rule Control Parameters: Change Structure screen, make the following entries: 6. Choose the Definition tab page. 7. In the Source Fields area, make the following entries: Origin DERIVATIVE Name SGSART Name Product Type Comment The source field represents the IF-rule. Comment If the product type is XXX, the target fields are filled with certain values. The target field represents the result part of the derivation rule

8. In the Target Fields area, make the following entries: Origin FOB Name ARR Name Default Risk Rule

FOB

SARAKT

Indicator: Counterparty/Issuer Risk Active

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SAP Best Practices Origin FOB Name SLPG

Credit Risk Analyzer (Y27): Configuration Guide Name Limit Product Group With/Without Collective Limit Default Risk Rule DE00000001 Indicator: Counterparty/Issuer Risk Active 1 Limit Product Group With/Without Collective Limit DE Comment

9. Choose Maintain Rule Values and make the following entries: Product Type Y30 Assigned

3.1.4 Activating Integrated Default Risk Limit Check Use


The purpose of this step is to activate an online limit check. The online limit check is done either while entering a deal, or immediately before saving it. This enables you to check existing limits.

Prerequisites
The company codes must be activated per module (MM, DE, FX). The limits must have been maintained in advance.

Procedure
1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Basic Settings Activate Integrated Default Limit Check SPRO

Transaction Code

2. On the Change View Integrated Limit Check in CFM: Activation Overview screen, choose New Entries. 3. On the New Entries screen, make the following entries. Applicat. TMDR Derivatives TMFX Foreign Exchange TMMO Money Market 4. Save your entries. CoCode 1000 1000 1000 Integrated Limit Check Select the checkbox Select the checkbox Select the checkbox

Result
You can now perform an online check per deal. The Limit Utilization Details pushbutton is now visible. When you save a deal, a small dialog box appears indicating whether or not a limit was breached.

3.2 Attributable Amount Determination


Use
In this section, you configure the effective calculation of attributable amounts settings. These settings are relevant for limiting definitions.

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3.2.1 Defining Variable Assignment ID Use


The following settings are provided in the standard configuration. Check for completeness. The variable assignment ID determines which values are taken from the data pool to fill variables 1 to 4 in the formulas predefined in the system.

We recommend that you implement the system standard since it covers nearly all cases. Variable assignment IDs only need to be customized at the beginning of the project. They rarely change and new types almost never need to be amended.

Procedure
1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Attributable Amount Determination Define Variable Assignment ID SPRO

Transaction Code

2. On the Change View Maintain Variable Assignment ID: Overview screen, choose New Entries. 3. On the New Entries screen, make the following entries: Variable Assig. ID 101 102 4. Save your entries. Variable 1 0002 0001 Description of Variable Assignment Nominal Amount Net Present Value

3.2.2 Editing Settings for Determination Procedures Use


The definition for determination procedures and default risk rules are important Customizing settings to ensure the CRA works correctly. Both factors are combined to create formulas for the attributable amount calculation of financial instruments. With this step, the number of attributable amounts is limited only by the number of determination procedures.

Prerequisites
You have defined the determination procedures for business background categories with one procedure to calculate attributable amounts with NPV and another with default probabilities. You have defined the DRR for each product type or each product group.

Procedure
1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Attributable Amount

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Credit Risk Analyzer (Y27): Configuration Guide Determination Edit Settings for Determination Procedures

Transaction Code

SPRO

2. In the toolbar, choose Change. 3. On the Change View Maintenance of Settings Specific to Determination Procedure screen, choose New Entries. 4. On the New Entries screen, make the following entries: Money Market Field Name Deterimin. Procd Default Risk Rule Name User Action and Values 01 MM00000001 CR - Fixed Term Deposit = NV 1 Max (0, CALCBASE) 1 Var1 101 Nominal Amount Comment Combine DRR and determination procedure. Define an descriptive text ( for example, NV for nominal value or NPV for net present value). The formula definition can be read from the bottom up: 1. The nominal amount = variable 1 2. Variable 1 = CALCBASE (calculation base) 3. The risk is the maximum between ZERO and the calculation base. The variable assignment IDs were defined in the previous Customizing step. Money Market Field Name Deterimin. Procd Default Risk Rule Name Formula ID Calculation Base Var. Assig. ID Foreign Exchange Field Name Deterimin. Procd Default Risk Rule Name Formula ID Calculation Base Var. Assig. ID Foreign Exchange Field Name Deterimin. Procd User Action and Values 01 User Action and Values 01 FX00000001 CR - FX-Forward = NV 1 Max (0, CALCBASE) 1 Var1 102 Net Present Value User Action and Values 01 MM00000002 CR - Loan in MM = NV 1 Max (0, CALCBASE) 1 Var1 101 Nominal Amount

Formula ID Calculation Base Var. Assig. ID

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SAP Best Practices Field Name Default Risk Rule Name Formula ID Calculation Base Var. Assig. ID Derivatives Field Name Deterimin. Procd Default Risk Rule Name Formula ID Calculation Base Var. Assig. ID 5. Save your entries.

Credit Risk Analyzer (Y27): Configuration Guide User Action and Values FX00000002 CR - FX-Spot = NV 1 Max (0, CALCBASE) 1 Var1 102 Net Present Value User Action and Values 01 DE00000001 CR - Interest Rate Swap = NV 1 Max (0, CALCBASE) 1 Var1 102 Net Present Value

3.3 Limit Management


3.3.1 Defining Limit Types Use
The limit type must be customized to use an adequate limit management. The limit type contains information about the following: The limit hierarchy, which is the depth to which you want to limit. Possible examples are: Limitation of a complete company code (the amount of positions within a cc may not be higher than limit amount X) Limitation of a business partner within a certain company code (the total amount of positions dealt with a BP Y may not be higher than limit amount X) Limitation of business partners for certain product groups in a certain company code (the total amount of money market positions dealt with a certain BP may not be higher than limit amount X) The way positions are to be evaluated under this limit type. For example, deals can be evaluated partially with NPV and partially with the nominal amount method for certain hierarchies 1. However, the default probability method should also be applied. This results in a mixed exposure.

Procedure
1. Access the activity by choosing the following path: IMG Path Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Limit Management Define Limit Types SPRO

Transaction Code In the toolbar, choose Change.

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SAP Best Practices

Credit Risk Analyzer (Y27): Configuration Guide

2. On the Change View Define Limit Types: Overview screen, choose New Entries. 3. On the New Entries screen, make the following entries: Field Name User Action and Values (Limit Type 1) 101 01: CoCod (Exposure) User Action and Values (Limit Type 2) 102 01: CoCod / BP (Exposure) Comment

Limit type Name

Enter a three-character alphanumeric key. Enter a name for the limit type. The text should always contain the hierarchy and indicate what determination procedure will be assigned. Select one of the determination procedures (DP) that you defined in the activity Define Determination Procedure. One DP can be assigned to various limit types. With this option, you can define what types of positions are to be attributed to this limit structure. This option serves as a filter disregarding characteristics and focusing on the direction of the deal. By selecting the update category End-ofDay Processing Only, you can improve system performance for the online check, because the transactions have to be checked against fewer limits. Some limits, such as Issuer Risks or Settlement Risks can only be calculated through day-end processing and cannot be calculated online. The limit currency is the currency in which limits and limit utilizations are managed for this limit type. In the standard configuration, this field remains empty. You can use the selection filters you have defined to restrict the limit type to certain segments of the credit portfolio. In the standard configuration, this field remains empty.

Determination Procedure for Limit Utilizations Transactions

01 CP risk: CR int. pr.

01 CP risk: CR int. pr.

3 Netting of asset-side and liability-side transactions 2 Update when utilizations are generated and online

3 Netting of asset-side and liability-side transactions 2 Update when utilizations are generated and online

Update Category

Limit Currency

Selection Filter

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SAP Best Practices Field Name User Action and Values (Limit Type 1) Do not generate limit

Credit Risk Analyzer (Y27): Configuration Guide User Action and Values (Limit Type 2) Do not generate limit Comment

Generate Limits Automatically

Choose whether you want to automatically generate new limits with limit amount zero. You can also choose to have limits generated automatically if the system determines attributable amounts for limit characteristic values that do not yet have limits. You already defined limits for company code 1000 and 2000. No new deals are entered under company code 3000 and there is no limit amount for this company code. OPTION 01: Do not generate limits In this case, the deal will not be attributed under any limit as long as no limit was defined. As a result, this and future deals in company code 3000 are not logged in any limit log file. It is impossible to know if a limit was breached. OPTION 02: Generate limit without check This option enables you to know if a limit was breached. If no limit was defined before the deal was entered, the new deal will serve as trigger and create a new limit with limit amount zero. In reporting, the responsible risk controller can now see if there are attributable amounts without any limit. When the deal is saved for the first time, the limit is created with amount zero, but no online limit check is performed OPTION 03: This is similar to option 2, but an online check is performed as soon as a new deal is created.

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SAP Best Practices Field Name User Action and Values (Limit Type 1) 1 Percentage Barrier

Credit Risk Analyzer (Y27): Configuration Guide User Action and Values (Limit Type 2) 1 Percentage Barrier Comment

Early warning cntrl

In the Check Limit Utilizations section, you can define whether: Single commitments are to be included when the unused limit amount is calculated Global collateral is to be displayed The early warning (yellow traffic light) is to be based on an external limit or a percentage barrier

Note: Single commitments and global collateral only apply in SAP for Banking. In nearly all cases, the setting is Percentage Barrier. This barrier is entered when the limit is being defined. If the barrier is 80% and a deal breaches the utilization of 80% of the total limit, a warning appears informing the user that an over utilization is near. 4. Save your entries. 5. Assign Limit Characteristics. 6. After you choose a limit type, choose Assign Limit Characteristics. 7. Select the Assign Limit Characteristics folder. 8. Choose New Entries. 9. In the Limit Char. field, use the input help to choose limit characteristics.

If limits have already been defined for a limit type, you can no longer change the limit type. You therefore cannot assign any more new characteristics. Limit Type 101 102 Field Name Limit charact. Limit charact. User Action and Values BUKRS Company Code Company Code; Business Partner

Result
The assignment of characteristics represents the limit hierarchy or the level at which you want to set your limits. When you call transaction TBL1, you can maintain limit amounts for limits. In the dialog box that appears, you enter the effective characteristics you want to limit. On the following screen, you then enter the limit amounts. For more information, see the Business Process documentation.

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SAP Best Practices

Credit Risk Analyzer (Y27): Configuration Guide

3.4 Maintaining Limits by Company Code with Limit Type 101


Use
You can create characteristic values for each combination of limit characteristics defined in a limit type.

Procedure
1. Access the transaction using the following navigation options: SAP ECC Menu Accounting Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Master Data Limits Maintain TBL1

Transaction Code

2. On the Limits: Choose Limit Types screen, select the row containing Limit type 101 (01: CoCod (Exposure)) and choose the Create Limits button. 3. In the Create Limits: Define Characteristics dialog box, enter company code 1000, for example, and choose Continue. 4. On the Limit: Choose Limit Types screen, select the following entries and choose CREATE LIMITS: Field Name Limit Type Name Description User Action and Values 101 01: CoCod (Exposure) Comment

5. In the dialog box that appears, enter the company code for which you want to define a limit (here 1000). Enter the following data: Field Name Valid From Date Description
Date from which the limit is effective Date on which validity of an internal limit ends Date on which validity of an external limit ends

User Action and Values


Enter an appropriate date from which the limit is effective Enter an appropriate date on which validity of an internal limit ends Enter an appropriate date on which validity of an external limit ends

Comment For example, 01.01.2010 For example, 31.12.9999 For example, 31.12.2015

Valid To (Internal)

Valid To (External) Limit Currency Internal limit amnt External limit amnt Critical limit utilization Max.Risk Commitment Period Limit

EUR 500,000,000.00 400,000,000.00 90% 999 Or any other amount

Check

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SAP Best Practices 6. Save the entries

Credit Risk Analyzer (Y27): Configuration Guide

3.5 Maintaining Limits by Company Code with Limit Type 102


Use
You can create characteristic values for each combination of limit characteristics defined in a limit type.

Procedure
1. Access the transaction using the following navigation options: SAP ECC Menu Accounting Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Master Data Limits Maintain TBL1

Transaction Code

2. On the Limits: Choose Limit Types screen, select the row containing Limit type 101 (01: CoCod (Exposure)) and choose the Create Limits button. 3. In the Create Limits: Define Characteristics dialog box, enter company code 1000, for example, and choose Continue. 4. On the Limit: Choose Limit Types screen, select the following entries and choose CREATE LIMITS: 5. On the selection screen, select the following entry: Field Name Limit Type Name Description User Action and Values 102 01: CoCod / BP (Exposure) BusPartner 6. In the dialog box that appears, enter the company code and business partner for which you want to define a limit. Enter the following data: Field Name Valid from Valid to (int) Internal limit amt. Critical limit utilization Max.Risk Commitment Period Limit Description User Action and Values
Enter an appropriate date from which the limit is effective

Comment

Comment For example, 01.01.2010

31.12.9999 10,000,000 90% 999 Or any other amount

CHECK

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SAP Best Practices

Credit Risk Analyzer (Y27): Configuration Guide

3.6 Specifying Limits by Product Type and Transaction Type


Use
In this step, some additional limit attributes are maintained at product type, transaction type, and currency level.

Procedure
1. Access the transaction using the following navigation options: SAP ECC Menu Accounting Financial Supply Chain Management Treasury and Risk Management Credit Risk Analyzer Master Data Limit Edit Limits by Product Type and Transaction Type KLMAXLIMIT

Transaction Code

2. On the Change View Limit per Product Type/Transaction Type: Overview screen, choose the New Entries button, make the following entries, and save: Field Name Company Code Product Type Transaction Type Business Partner Number Trader Transaction Currency Limit per Product Type/ Transaction Type Currency Trx. Crcy X 100,000,000.00 Description CoCd PTyp TTyp BP User Action and Values For example: 1000 Y10 Y00 TRM Comment

EUR

3. Enter additional data corresponding to the process above: Field Name Company Code Product Type Transaction Type Business Partner Number Trader Description CoCd PTyp TTyp BP User Action and Values For example: 1000 Y10 Y00 TRM Comment

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SAP Best Practices Field Name Transaction Currency Limit per Product Type/ Transaction Type Currency Description Trx. Crcy

Credit Risk Analyzer (Y27): Configuration Guide User Action and Values X 25,000,000.00 Comment

USD

3.7 Defining Key Figure


Use
This transaction provides an analysis of generic key figures. In this step, the key figures are determined.

Prerequisites
If your project customer does not maintain daily market data (reference interest rates, currency exchange rates, and so on), you should maintain the required yield curve type rates in the relevant transaction, for example, adjust to Read Back. Refer to the Quick Guide to Implementing the SAP Treasury and Risk Management Rapid-Deployment Solution Package V1.604 (DE), section entitled Market Data: Define Yield Curve Type.

Procedure
1. Access the transaction using the following navigation options: SAP ECC Menu Accounting Financial Supply Chain Management Treasury and Risk Management Market Risk Analyzer Information System Mark-to-Market Key Figure Analysis AISGENKF

Transaction Code

2. On the Single Value Analysis for Generic Key Figures screen, make the following entries: Field Name Evaluation Currency Evaluation Type Evaluation Date Horizon Gen. Selections Report Layout YTLAYOUT Description User Action and Values EUR YT01 Enter current date. Enter current date. Comment

3. Choose Define Report Layout and enter the following values. Field Name Layout-ID Description User Action and Values YTLAYOUT Comment

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SAP Best Practices Field Name Short Name Long Name Description

Credit Risk Analyzer (Y27): Configuration Guide User Action and Values YTLAYOUT YTLAYOUT Comment

4. Press ENTER, select the created entry, and choose Key Figures. 5. Choose New Entries and enter the following values: Field Name Key Figure Name Position Area PH Area Key Figure Category Pos. Area Portfolio Hierarchy Area Description User Action and Values CLEANPRICE X X CLEANPRICE Comment

Leave the remaining fields unchanged. 6. Enter the additional data corresponding to the last step: Key Figure Name NPV BASIS_POINT_VALUE MODIFIED_DURATION MACAULAY_DURATION 7. Save the entries. 8. Leave the transaction by choosing Back (F3). Position Area X X X X PH Area X X X X Key Figure Category NPV SKF_BASE_POINT SKF_FWDURATION SKF_MACAULAY

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