Table of Contents

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1 Introduction
21
1.1 Welcome to SAP Treasury and Risk Management
21
1.1.1 Target Audience
22
1.1.2 Working with this Book
24
1.2 Content and Structure of the Book
24
1.3 Overview of Financial Instruments
31
1.3.1 OTC Financial Instruments
31
1.3.2 Listed Financial Instruments
33
1.4 History of SAP Treasury and Risk Management
35
1.4.1 New Developments in Release SAP R/3 Enterprise 2.0
36
1.4.2 New Developments in Release SAP ERP 2004
37
1.4.3 New Developments in Release SAP ERP 6.0
37
1.5 Enhancement Packages for SAP ERP 6.0
38
1.5.1 Enhancement Packages and Business Functions
38
1.5.2 An Overview of Business Functions in SAP Treasury and Risk Management
40
1.5.3 Business Functions for EHP3
41
1.5.4 Business Functions for EHP4
42
1.5.5 Business Functions for EHP5
44
1.5.6 Business Functions for EHP6
47
1.6 Rapid Deployment Solution and SAP Treasury and Risk Management
48
1.6.1 Rapid Deployment Solution—An Overview
48
1.6.2 Rapid Deployment Solution for SAP Treasury and Risk Management
49
2 Master Data
53
2.1 Central Customizing Settings
54
2.1.1 Types and Categories
54
2.1.2 Product Type
55
2.1.3 Transaction Type
56
2.1.4 Commodity Type
58
2.1.5 Company Code
59
2.2 Commodity Master Data
60
2.3 Class Master Data
62
2.3.1 Entering Class Master Data
62
2.3.2 Customizing of Class Master Data
71
2.3.3 Listed Commodity Derivatives
73
2.3.4 Additional Tabs for Class Master Data
73
2.3.5 Classification
76
2.4 Business Partners
76
2.4.1 House Banks
76
2.4.2 Business Partner Roles
77
2.4.3 Standing Instructions
79
2.5 Organizational Elements
82
2.5.1 Securities Account
82
2.5.2 Futures Account
84
2.5.3 Portfolio
85
2.5.4 Other Organizational Elements
86
3 Transaction Management
87
3.1 Financial Transaction
88
3.1.1 Conventions of Use
89
3.1.2 Transaction Management Entry Screen
94
3.1.3 Data Screen
98
3.1.4 Flows
104
3.1.5 Conditions
110
3.1.6 Underlying
119
3.1.7 Listed Financial Instruments
121
3.1.8 Field Selection
122
3.1.9 Activities
123
3.2 Trading
125
3.2.1 Preparation
126
3.2.2 Decision-Making Tools
128
3.2.3 Trading Functions
129
3.3 Back-Office Processing
133
3.3.1 Interest Rate Adjustment
134
3.3.2 Price Adjustment
139
3.3.3 Exchange Rate
140
3.3.4 References
141
3.3.5 Settlement
143
3.3.6 Status Management
143
3.3.7 Workflow
145
3.3.8 Change Documents
146
3.4 Operative Reporting
147
3.4.1 Controlling
148
3.4.2 Overview
149
3.5 Product Categories
151
3.5.1 Securities
152
3.5.2 Fixed-Term Deposit
153
3.5.3 Deposit at Notice
154
3.5.4 Commercial Paper
154
3.5.5 Cash-Flow Transaction
155
3.5.6 Interest-Rate Instrument
155
3.5.7 Facility
155
3.5.8 Fiduciary Deposit
156
3.5.9 Foreign Exchange Transaction
157
3.5.10 Cap/Floor
157
3.5.11 Interest Rate Swap
158
3.5.12 Forward Rate Agreement (FRA)
158
3.5.13 Total Return Swap
159
3.5.14 Future
159
3.5.15 Repo
160
3.5.16 Forward Securities Transaction
160
3.5.17 Listed Option
161
3.5.18 OTC Option
162
3.5.19 Securities Lending
163
3.5.20 Forward
163
3.5.21 Forward Loan Purchase
164
3.5.22 Commodity Forward
164
3.5.23 Commodity Swap
164
3.6 Architecture
165
3.6.1 Database
165
3.6.2 Application Framework
166
3.6.3 Customer-Specific Tab Page
171
3.7 Specific Topics
174
3.7.1 Roles
175
3.7.2 Mirror Transactions
176
3.7.3 Internal Foreign Exchange Trading
179
4 Correspondence
183
4.1 The Old Correspondence Functions
185
4.2 Migration
189
4.3 Basic Principles
190
4.3.1 History
190
4.3.2 Terms
191
4.3.3 Correspondence Framework
192
4.3.4 Correspondence Object
194
4.4 Customizing and Master Data
196
4.4.1 Technical Communication Profile
196
4.4.2 Correspondence Partner
205
4.4.3 Assignments for the Inbound Process
211
4.4.4 Assignments for the Outbound Process
213
4.4.5 Additional Settings
215
4.4.6 Document Management
219
4.4.7 SAPscript Forms
219
4.4.8 PDF Forms
220
4.5 Outbound Process
221
4.5.1 Correspondence Object for a Financial Transaction
221
4.5.2 Correspondence Object for a Securities Account Transfer
224
4.5.3 Manual Creation of Correspondence Objects
225
4.5.4 Release Process for a Correspondence Object
226
4.5.5 Sending
228
4.6 Inbound Process
230
4.6.1 Starting the Inbound Process
231
4.6.2 BAdIs Used
233
4.6.3 Split and Merge
234
4.6.4 Mapping
235
4.6.5 Standard Messages
235
4.6.6 Cancellation Messages and Amendment Messages(CANC/AMND)
236
4.6.7 Acknowledgment Messages (ACK/NACK)
236
4.6.8 Inbound Process in the Examples
237
4.7 Mapping
238
4.7.1 Principles of Mapping Rules
239
4.7.2 View Cluster
241
4.7.3 Graphical Mapping Tool
242
4.8 Matching
243
4.8.1 Customizing
244
4.8.2 Automatic Matching
245
4.8.3 Forced Matches
246
4.9 Alerts
247
4.9.1 Customizing
247
4.9.2 Alert Types
249
4.9.3 Monitoring and Triggering Alerts
250
4.10 Display
250
4.10.1 Display in the Financial Transaction
251
4.10.2 Display for a Securities Account Transfer
251
4.11 Correspondence Monitor
251
4.11.1 Selection Screen
252
4.11.2 Data Screen
254
4.12 Enhancements (BAdIs)
258
4.12.1 ES_TCOR_MONITOR Enhancement Spot
258
4.12.2 ES_TCORF_CONFIG Enhancement Spot
260
4.12.3 ES_TCORF_MSG_INT Enhancement Spot
260
4.12.4 FTR_TR_ALERT Enhancement Spot
262
5 Position Management
263
5.1 Basic Terms
264
5.1.1 External and Internal Positions
264
5.1.2 Update Type
267
5.1.3 Business Transaction
269
5.1.4 Parallel Accounting Principle
271
5.2 External Position Management
272
5.2.1 Securities Account Management
273
5.2.2 Corporate Actions
291
5.2.3 Rights
297
5.2.4 Futures Account Management
304
5.3 Basic Principles of Internal Position Management
314
5.3.1 Architecture of Internal Position Management
315
5.3.2 Defining Valuation Areas
323
5.3.3 Valuation Classes
326
5.3.4 Differentiation
328
5.3.5 Position Indicator
336
5.3.6 Position Management Procedure
342
5.3.7 Derived Business Transactions
349
5.4 Processes of Internal Position Management
355
5.4.1 Executing a Key Date Valuation
355
5.4.2 Impairments and Unscheduled Valuations
358
5.4.3 Customizing the Valuation
361
5.4.4 Accruals/Deferrals
389
5.4.5 Transfer
396
5.4.6 Intragroup Transactions
407
5.5 Sample Scenarios
411
5.5.1 Bonds in the "Available for Sale" Holding Category
411
5.5.2 Loans with Annuity or Installment Repayments
415
6 Integration with Other Modules
419
6.1 Paying Valuation Area
420
6.2 Financial Accounting
421
6.2.1 Posting Processes
422
6.2.2 Account Determination
433
6.2.3 Parallel Accounting Principles in Financial Accounting
444
6.2.4 Customizing the Accounts Approach
449
6.2.5 Customizing Options for the Ledger Approach in New G/L
451
6.2.6 Customizing the Ledger Approach with Special Ledgers
453
6.3 Processing Payments
454
6.3.1 Customer Subledger
456
6.3.2 Payment Requests
458
6.3.3 SAP In-House Cash
463
6.4 SAP Cash and Liquidity Management
466
6.5 Public Sector Management
469
6.5.1 Entering Account Assignment Objects
469
6.5.2 Funds Transfer
472
6.5.3 Investment Pools
472
6.5.4 Activating and Setting the Integration with Public Sector Management
474
6.6 Regulatory Reporting
475
7 Market Data
479
7.1 Foreign Exchange Rates and Foreign Exchange Swap Rates
479
7.2 Security Prices
481
7.2.1 Maintaining Security Prices
481
7.2.2 Security Price Calculation for Bonds
483
7.2.3 Reading Security Prices
484
7.3 Reference Interest Rates and Yield Curves
486
7.3.1 Reference Interest Rates
486
7.3.2 Yield Curves
489
7.3.3 Market Data Maintenance for Interest Rates
495
7.4 Commodity Prices and Commodity Forward Curves
499
7.4.1 Commodity Prices from Logistics
500
7.4.2 Future-Style Commodity Forward Curves
501
7.4.3 Forward-Style Commodity Forward Curves
504
7.5 Indexes
506
7.5.1 Stock Indexes
506
7.5.2 Price Indexes
507
7.6 Credit Spreads
507
7.7 Volatilities
508
7.7.1 First Volatility Database
509
7.7.2 Central Volatility Database
512
7.7.3 Access Rules for Volatilities
514
7.8 Correlations
516
7.9 Net Present Value Repository
517
7.9.1 Net Present Value Repository
518
7.9.2 Maintaining Net Present Values
519
7.9.3 Determination of Net Present Values
519
7.10 Scenarios and Market Data Shifts
521
7.10.1 Scenarios
521
7.10.2 Market Data Shifts
523
7.10.3 Scenario Processes
524
7.11 Market Data Interface
524
7.11.1 Market Data Transfer via File Interface
525
7.11.2 Datafeed
528
7.11.3 Market Data Transfer via Spreadsheet
534
8 Exposure Management
537
8.1 Basic Principles
538
8.1.1 Usage
538
8.1.2 Terms
539
8.2 Raw Exposure
541
8.2.1 Raw Exposure Maintenance
541
8.2.2 Overview of Raw Exposures
546
8.2.3 Defining a Commodity Split
548
8.3 Raw Exposure Customizing
550
8.3.1 Global Settings
550
8.3.2 Exposure Activity Type
551
8.3.3 Free Attributes
553
8.4 Releasing Raw Exposures
554
8.4.1 Manual Release and Automatic Release
555
8.4.2 Connection to SAP Business Workflow
555
8.4.3 Derivation Strategy for Exposure Fields
556
8.4.4 Product Type
557
8.4.5 Exposure Position Type
558
8.4.6 Non-Derived Exposure Transactions
561
8.5 Exposure Position
562
8.5.1 Position Values for Exposure Positions
563
8.5.2 Exposure Position Flows
565
8.5.3 Commodity Exposure Report
567
8.6 Integration of Logistics into Treasury
569
8.6.1 Logistics Outbound Processing
570
8.6.2 Treasury Inbound Processing
572
9 Hedge Accounting for Exposures
575
9.1 Processes in Hedge Accounting for Exposures
576
9.1.1 Hedge Plan
577
9.1.2 Exposures
580
9.1.3 Hedged Item
582
9.1.4 Hedging Relationship
583
9.1.5 Calculating Net Present Values
586
9.1.6 Prospective and Retrospective Effectiveness Tests
587
9.1.7 Hedge Accounting in the Key Date Valuation
592
9.1.8 End of a Hedging Relationship
595
9.1.9 After the End of a Hedging Relationship
600
9.1.10 Reporting in Hedge Accounting
602
9.2 Customizing
605
9.2.1 Central Customizing: Hedge Accountingfor Exposures as an Internal Add-On
605
9.2.2 Settings for the Effectiveness Test
607
9.2.3 Market Risk Analyzer Settings
617
9.2.4 Position Management Settings
619
9.3 Ways to Create Exposures
624
9.3.1 Direct Entry
625
9.3.2 Creating Exposures When Creating a Hedge Transaction
625
9.3.3 Transfer from Exposure Management
629
9.3.4 Upload
630
9.3.5 Entry Using Generic Financial Transactions
632
9.4 Implementation Guide
633
9.4.1 Full Fair Value Hedging
635
9.4.2 Exchange Rate Risk Hedging
638
9.4.3 Interest Rate Risk Hedging
644
10 Hedge Accounting for Positions
651
10.1 Processes in Hedge Accounting for Positions
653
10.1.1 Hedge Accounting as an Integral Part of Position Management
653
10.1.2 Hedging Relationship
654
10.2 Position Management in Hedging Relationships
674
10.2.1 Designation in Position Management—Phenomenology
674
10.2.2 Concept of the Sub-Position
676
10.2.3 Valuation and Hedge Accounting
677
10.2.4 Dedesignation
681
10.2.5 Customizing
683
10.3 Effectiveness Test
689
10.3.1 Effectiveness Test With and Without Value Calculation
689
10.3.2 Effectiveness Test Method
690
10.3.3 Settings for Market Data Retrieval in the PET
698
10.3.4 Test Execution
703
10.3.5 Effectiveness Test Results
706
10.3.6 Effectiveness Test Framework
709
11 Reporting with the Information System
713
11.1 Logical Databases
714
11.1.1 Logical Database FTI_TR_DEALS
717
11.1.2 Logical Database FTI_TR_POSITIONS
727
11.1.3 Logical Database FTI_TR_PERIODS
742
11.1.4 Logical Database FTI_TR_PL_CF
750
11.1.5 Logical Database FTI_TR_FLOWS
751
11.1.6 Logical Database FTI_TR_THX_HEDGE
753
11.1.7 Logical Database FTI_TR_COMM_DEAL_EXP
754
11.1.8 Logical Database FTI_TR_HEDGE
756
11.1.9 Logical Database FTLM_DB01
758
11.1.10 Performance and Parallelization of the Logical Databases
759
11.1.11 Settings for Authorization Checks
760
11.2 SAP Query
760
11.2.1 SAP Queries for Standard Reports
761
11.2.2 Maturity List
761
11.2.3 Report–Report Interface
763
11.3 Function Module LDB_PROCESS and RAPIs
766
11.3.1 Function Module LDB_PROCESS
767
11.3.2 RAPIs
771
11.4 SAP NetWeaver BW
776
11.4.1 Extracting Position Data
778
11.4.2 Extracting Market Data
784
12 Portfolio Controlling with the Analyzers
787
12.1 The Analyzer Family
788
12.1.1 Market Risk Analyzer
788
12.1.2 Portfolio Analyzer
789
12.1.3 Accounting Analyzer
790
12.1.4 Credit Risk Analyzer
791
12.2 Basic Principles, Architecture, and Data Retention
791
12.2.1 Basic Concepts
792
12.2.2 Financial Object Position Parts and Maintenance
795
12.2.3 Analysis Characteristics and Analysis Structure
802
12.2.4 Characteristics in the Credit Risk Analyzer
822
12.2.5 Financial Object Integration
823
12.2.6 Risk Objects and Generic Transactions
838
12.3 Common Control and Structuring Entities
840
12.3.1 Cash Flow Indicator
840
12.3.2 Evaluation Type and Valuation Rules
841
12.3.3 Filter
852
12.3.4 Portfolio Hierarchy
858
12.4 Value at Risk
863
12.4.1 Basic Principles
864
12.4.2 Risk Hierarchy
866
12.4.3 Statistics Calculator
869
12.4.4 Value at Risk Calculation
879
12.4.5 Backtesting
890
12.4.6 Other Key Figures
891
12.5 Online Analyses of the Market Risk Analyzer
892
12.5.1 Net Present Value Analysis
893
12.5.2 Key Figure Analysis
896
12.5.3 Value at Risk Individual Analysis
901
12.5.4 Overview of Other Online Analyses
905
12.6 The Results Database of the Market Risk Analyzer, Portfolio Analyzer, and Accounting Analyzer
907
12.6.1 Introduction to the Results Database
907
12.6.2 Key Figures and Key Figure Categories
912
12.6.3 Evaluation Procedures
921
12.6.4 Maintenance of Key Figures and Evaluation Procedures
925
12.6.5 Calculation of the Single Records and Final Results
937
12.6.6 Portfolio Analyzer: Yield Methods and Determination
944
12.6.7 Portfolio Analyzer: Benchmarking
952
12.6.8 Portfolio Analyzer: Risk-Adjusted Key Figures
960
12.6.9 Analyzer Information System
967
12.7 Credit Risk Analyzer
976
12.7.1 Global Settings
977
12.7.2 Attributable Amount Determination
978
12.7.3 Limit Management
990
12.7.4 Automatic Financial Object Integration
996
12.7.5 Integrated Single Transaction Checking and End-Of-Day Processing
996
12.7.6 Reporting
1000
12.7.7 Additional Functions and Tools
1002
12.8 Tools: Parallel Processing
1002
13 Interfaces and Enhancements
1005
13.1 BAPIs
1006
13.1.1 Introduction to BAPIs
1006
13.1.2 Financial Instrument–Specific BAPIs
1012
13.1.3 Cross-Financial Instrument BAPIs
1014
13.1.4 BAPIs for Financial Transaction as a Whole
1016
13.1.5 BAPIs for Master Data
1018
13.1.6 BAPIs for Exposure Management and Hedge Accounting for Exposures
1019
13.2 PI Message
1020
13.2.1 PI Interface TreasuryDealNotification
1020
13.2.2 Example of Routing and Mapping in PI
1022
13.2.3 Mapping in the Target System
1026
13.3 Enhancements
1030
13.3.1 Customer Exit
1031
13.3.2 BAdI
1033
13.3.3 Enhancement Spot
1038
14 Legal Regulations
1045
14.1 Sarbanes-Oxley Act
1046
14.1.1 SAP Solutions for Governance, Risk, and Compliance
1046
14.1.2 Management of the Internal Control System
1047
14.1.3 Controls in the Treasury
1047
14.2 Tax Authority Requirements
1049
14.2.1 The Tax Auditor in the System
1049
14.2.2 Surrendering Tax-Relevant Data
1051
15 Integration and System Tools
1057
15.1 Attribute Derivation Tool
1057
15.1.1 Step Types
1058
15.1.2 Usage and Examples
1058
15.2 Legacy Data Transfer
1062
15.2.1 Legacy Data Transfer for OTC Transactions
1063
15.2.2 Legacy Data Transfer for Securities
1065
15.2.3 Legacy Data Transfer for Futures and Listed Options
1068
15.2.4 Customizing the Legacy Data Transfer
1069
15.3 Initialization
1071
15.3.1 Initialization for OTC Transactions
1073
15.3.2 Initialization for Securities
1074
15.3.3 Initialization of Futures, Listed Options, and Loans
1074
15.4 Migration
1075
15.5 Archiving
1078
15.5.1 Transaction Management
1079
15.5.2 Correspondence
1079
15.5.3 Position Management
1080
15.5.4 Exposure Management
1081
15.5.5 Hedge Accounting
1082
15.5.6 Analyzer
1082
Appendices
1083
A Bibliography
1085
B The Authors
1087
C Acknowledgments
1091
Index
1093