When I was asked "How can I measure my investments in TRM ?", I didn't know where to start.
The answer is Portfolio Analyzer (FIN-FSCM-TRM-PA).
Finding information on what it does and how to interpret its result was kind of tricky. There is not too much information on the analysis methods and a lot of new Financial terms. A reference of a document from Gopa Kumar and sap note 803510 with little information made me do this series of documents which I expect to describe the solution.
Portfolio Analyzer (FIN-FSCM-TRM-PA) calculates and monitors the Rates of Return (yields) on your Financial Assets.
The Portfolio Analyzer allows you to measure the profits from investments from different perspectives and using different methods. The calculations are based on the structure of your portfolio in the portfolio hierarchy. You use characteristics to define the tree-like structure. For example, you can choose the sector, country, trader, department, or product type to define the hierarchy. In this way, you can organize your portfolio flexibly in different aggregation levels and calculate rate of return key figures for each of these levels. With the reporting functions, you can display results for each node that you have defined in the portfolio hierarchy. You can drilldown to the data stored at the single transaction level.
Official Product documentation SAP Help Portfolio Analyzer
There are different ways to calculate Rates of Return.
- Dietz
- Modified Dietz (MDietz)
- Money Weigthed Return Rate (MWRR)
- Time Weighted Return Rate (TWRR)
Each method analyzes yields from different perspective. They all consider inflows and outlfows in the investment but the analysis method differs.
- Dietz analyzes inflows and outlofws
- MDietz analyzes inflows and outflows but considers the point of time (date) they occurred
- MWRR analyzes anual investment (Internal Rate of Return - IRR)
- TWRR analyzes investment from the point of view of the Market
A more detailed descripcion of each method is on Yield Rate Analysis and Debug
These series of document describes a real scenario configuracion for Portfolio Analyzer. It is divided in 4 documents
Portfolio Analyzer Configuration
We start configuration with Base Analyzer.
The configuration in Base Analyzer applies to Market Risk Analyzer (FIN-FSCM-TRM-MRA) as well.
Base Configuration for Analyzer
IMG: Financial Supply Chain Management -> Treasury and Risk Management -> Basic Analyzer Settings -> .....
1) Activate Analysis Characteristics and Structure
... -> Reporting Characteristics -> Copy Sample Customizing Settings -> Analysis Characteristics and Structure: Activate Sample Settings
2) Define Analysis Characteristics
... -> Reporting Characteristics -> Define Analysis Characteristics
After characteristics have been defined, Activate them
All fields can be defined as characteristics
3) Define Analysis Structure
... -> Reporting Characteristics -> Define Analysis Structure
Sometimes you need to generate Program Enviroment, specially after you apply some notes to correct functionality on Portfolio Analyzer
After the Strcuture is defined, you must Activate it. Only 1 structure could be active at one time.
4) Edit Segment-Level Characteristics
This is the Segment Level Reporting and will be used in Portfolio Hierarchy
...-> Reporting Characteristics -> Edit Segment-Level Characteristics
5) Define Characteristic Values
You set the allowed values for Characteristics (in case needed)
...-> Reporting Characteristics -> Define Characteristic Values
6) Transport Characteristic Values
Transport Structure and Characteristics to other Client
...-> Reporting Characteristics -> Transport Characteristic Values
7) Maintain General Derivation Strategy
Define Values that are filled on all transactions, ie: Analysis Active Indicator , Currency, Country, etc
... -> Automatic Integration of Financial Objects in Transaction Master Data -> Maintain General Derivation Strategy
8) Define Derivation Characteristics for OTC, Securities, ForEx
... -> Automatic Integration of Financial Objects in Transaction Master Data
.... -> Money Market
.... -> Activate/Deactivate Financial Object Integration
.... -> Define Derivation Strategy
.... -> Foreign Exchange
.... -> Activate/Deactivate Financial Object Integration
.... -> Define Derivation Strategy
.... -> OTC Derivatives
.... -> Activate/Deactivate Financial Object Integration
.... -> Define Derivation Strategy
.... -> Securities and Listed Derivatives
.... -> Activate/Deactivate Financial Object Integration
.... -> Define Derivation Strategy for Class Position in Securities Account
.... -> Define Derivation Strategy for Security
.... -> Activate/Deactivate FO Integration for Securities
.... -> Subledger Positions and Subpositions
.... -> Activate/Deactivate Financial Object Integration
.... -> Define Derivation Strategy for Subledger Positions and Subpositions
Activate/Deactivate Financial Object Integration
All these Derivation have options for BADIs which could improve the logic for rules
In Securities you have to consider a derivation strategy for transactions and for Securities itself, FTR_CREATE & FWSO/FWZE. Fields with information for derivation are not the same, so you may need help of BADIs.
For more information on Derivation TRM Derivation Index
9) Define Exception Handling for Characteristics
Some fields can not be filed at time of creation (like Transaction Number). they cna be filled later with derivation
.... -> Automatic Integration of Financial Objects in Transaction Master Data -> Define Exception Handling for Characteristics
10) Define Valuation Rule
It configures Valuation Rule which can be derived with logic or set manually. It could be assigned per Product Type, Transaction Type, etc
.... -> Valuation -> Define Valuation Rule
11) Define and Set Up Evaluation Types
.... -> Valuation -> Define and Set Up Evaluation Types
trx: CFMEVAL
You can configure General Rules for all transactions/securities or pero Valuation Rule.
Each Valuation Rule has its Curve Types, in the case of Portfolio Analyzer we will use Yield Curve Type. We will analyze interest in the next step.
IMG: Financial Supply Chain Management -> Treasury and Risk Management -> Basic Functions -> Market Data Management -> Manual Market Data Entry -> Interest
Evaluation Controls define parameters for Evaluation.
Sec.Price Type: Security Type Price (trx: FW17)
Maximum Age of Price: Maximum days between a price is entered in FW17
Include CashFlow on Horizont: Include the day of the Horizont in Analysis
Accrued Int.Calc: Include Hor: Include the day of horizont in Accrued Interest
Starting ECC 6 Ehp4, in Money Market Transactions NPV can be calculated by Nominal + Interest instead of Yield Curve. Also you can include scheduled flows, but it would be a theoretical analysis as in OTC transactions there could be delays in repayments and it will affect yield.
On the Valuation Rule, for the Securities you define to Calculate Accrued Int on the Security or not. Calculate Theorical Price is used to read Interest Yield Curve instead of Security Prices for determination of NPV.
12) Define Yield Curve Type
Define Interest Yield Curve for NPV calculation
IMG: Financial Supply Chain Management -> Treasury and Risk Management -> Basic Functions -> Market Data Management -> Master Data ->Settings for Ref. Interest Rates and Yield Curves
->Define Reference Interest Rate
-> Define Yield Curve Type
Define Reference Interest Rate
All values are important for Yield Curve Interest
Define Yield Curve Type
13) Assign Cash Flow Indicator for Securities with Update Types
.... -> Valuation -> Cash Flow Indicator -> Assign Cash Flow Indicator for Securities with Update Types
Each Update Type in Security Management must have a CashFlow Indicator
14) Transactions with Flow Types
Assign Flow Types to Transactions. You can generate them automatically and then check for transaction types
....-> Valuation -> Cash Flow Indicator -> Transactions with Flow Types
-> Generate Default Automatically
-> Define Assignment Manually
A Fictitiuous Cashflow is not considered in NPV Calculation.
It is considered in FRA, Swaps, Derivatives
15) Define Filters for Portfolio Hierarchy
IMG: Financial Supply Chain Management -> Treasury and Risk Management -> Market Risk Analyzer -> Results Database -> Define Filter
trx: AFWFL
You define filter for a Portfolio Hierarchy. You create filters for trx RAEP1, RAEP2, PAEP1,PAEP2 which can be transported or "Test Selections" which are for the Client and do not get transported.
16) Define Portfolio Hierarchy
IMG: Financial Supply Chain Management -> Treasury and Risk Management -> Basic Analyzer Settings -> Define Portfolio Hierarchy
trx: AFWPH
Define the structure as the Segments in 4).
Sort is the order on which they will be grouped.
All characteristics must have values.
You could group values with trx: JBWH
Transport Hierarchy in trx JBWH
The Base Configuration for Portfolio Analyzer is complete.
You have learned to :
- Defined Data Structure for analysis in Market Risk Analyzer and Portfolio Analyzer
- Configure currencies for Yield analysis with Interest Rateds
- Define Valuation Rules which controls the parameters for analysis (Yield curves, Security Prices, Money Market transactions
- Portfolio Structures which as used for reporting
- Portfolio Filters to narrow analysis data
The next document we will learn to
- Configure Update Types for analysis
- Configure Key Figures for analysis
- Define layouts for analysis
We continue with Portfolio Analyzer Configuration
Recomendations
- Create 1 analysis structure. You could create more than one, but only one is active at a time and an Analysis Structure consumes data space.
- Add the Characteristics or Segments you want to report in Portfolio Hierarchy
- Test Characteristics Derivation by creating a transaction and check all required fields are filled
- Create one Evaluation Type in trx CFMEVAL with different Valuation Rules according to your needs
- In OTC transactions, it may be wise to calculate NPV based on "nominal + interest" instead of Yield interest Rates in trx CFMEVAL. Consider only Real flows.
- Identify all Flows and Transaction Types you need to analysis. In general they are payments to/from the CounterParty (TR0151 BP role) or Security (TR0150 BP role, trx FWZZ)
- Create as many Portfolio Hyerarchies as reporting dimensions you need. The more Portfolio Hierarchies, the more resources (storage/process time) needed
- Use filters to limit analysis data
- SAP Managed Tags:
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