Table of Contents

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Preface
19
Objective of the Book
19
Content and Structure of the Book
20
Acknowledgements
23
1 Introduction to Treasury and Risk Management with SAP
25
1.1 Changes in Technology and the Evolving Corporate Treasury Function
26
1.2 Treasury and Risk Management with SAP
27
1.2.1 Current Scope and Use
28
1.2.2 Core Treasury Components
29
1.3 SAP Fiori User Experience
32
1.3.1 Maintaining a User Profile
33
1.3.2 Customizing the User Screen
37
1.3.3 Creating Custom Views
41
1.3.4 Creating Custom SAP Fiori Tiles
43
1.3.5 Sharing Custom SAP Fiori App Views
45
1.4 Supported Treasury Contracts
46
1.4.1 Money Market Debt and Investments
46
1.4.2 Foreign Exchange
47
1.4.3 Securities
48
1.4.4 Derivatives
49
1.4.5 Trade Finance Instruments
50
1.5 Summary
51
2 Master Data
53
2.1 Company Code
54
2.2 Bank Master
55
2.3 House Bank
57
2.4 House Bank Account/Account ID
59
2.5 Business Partners
60
2.5.1 Business Partner Maintenance
62
2.5.2 Assigning Business Partner Payment Details
67
2.5.3 Assigning Business Partner Authorizations
71
2.6 Derivative Contract Specification
74
2.7 Calendars
84
2.8 Traders
86
2.8.1 Defining User Data
86
2.8.2 Assigning Traders
88
2.9 Market Data
89
2.9.1 Foreign Exchange Rates
90
2.9.2 Swap Rates
92
2.9.3 Security Prices
93
2.9.4 Reference Interest Rates
94
2.9.5 Yield Curves
96
2.9.6 Commodity Prices
98
2.10 Market Data Interfaces
99
2.11 Summary
102
3 Core Configuration Elements
103
3.1 Company Code Additional Data
104
3.2 Accounting Codes
106
3.3 Valuation Areas
107
3.4 Valuation Class
108
3.5 General Valuation Class
109
3.5.1 Define General Valuation Class
109
3.5.2 Assign General Valuation Class
111
3.6 Position Management Procedure
113
3.6.1 Define and Assign Position Management Procedure
113
3.6.2 Customizing Valuations
118
3.7 User Data
131
3.8 Product Categories
134
3.8.1 Money Market
135
3.8.2 Foreign Exchange
136
3.8.3 Derivatives
137
3.8.4 Securities
139
3.8.5 Trade Finance
141
3.9 Product Types
141
3.10 Number Ranges
145
3.11 Transaction Types
146
3.12 Field Selection
148
3.13 Flow Types
151
3.13.1 Defining Flow Types
152
3.13.2 Assigning Flow Types to Transaction Types
154
3.14 Update Types
156
3.14.1 Defining Update Types and Assigning Usages
156
3.14.2 Assigning Flow Types to Update Types
159
3.14.3 Indicate Update Types Relevant to Posting
160
3.15 Condition Types
161
3.15.1 Defining Condition Types
162
3.15.2 Assigning Condition Types to Transaction Type
164
3.16 Accruals and Deferrals
165
3.17 Portfolios
170
3.18 Administration Fields
171
3.19 Workflow
172
3.19.1 Defining the Release Procedure
173
3.19.2 Adjusting the Workflow Template
174
3.20 Account Symbols
176
3.21 Posting Specifications
178
3.21.1 Defining Posting Specifications
178
3.21.2 Assigning Update Types to Posting Specifications
183
3.22 Account Assignment Reference
184
3.22.1 Defining Account Assignment References
185
3.22.2 Determining Account Assignment References
186
3.22.3 Assigning General Ledger Accounts to Posting Keys
192
3.22.4 Allocating Additional Account Assignments to Account Assignment References
193
3.23 Position Transfers
194
3.24 Summary
199
4 Contract-Specific Configuration
201
4.1 Debt and Investments
201
4.1.1 Money Market Contracts
203
4.1.2 Intercompany Loans
213
4.1.3 Credit Facilities
226
4.1.4 Letters of Credit
239
4.2 Foreign Exchange
256
4.2.1 Product Types
257
4.2.2 Transaction Types
258
4.2.3 Assigning Foreign Exchange Attributes
259
4.2.4 Assigning Fixing Spreads
261
4.2.5 Defining Flow Types
262
4.2.6 Assigning Flow Types to Update Types
264
4.2.7 Position Management Procedures
264
4.2.8 Set Effects of Update Types on Position Components
265
4.2.9 Assigning Update Types for Valuation
265
4.2.10 Assigning Update Types for Derived Business Transactions
266
4.2.11 Alternative Update Types for Position Outflows
268
4.2.12 Defining Nondeliverable Currencies
269
4.2.13 Foreign Exchange Mirroring
270
4.3 Securities
275
4.3.1 General Configuration
276
4.3.2 Transaction Management
283
4.3.3 Position Management
286
4.4 Derivatives
293
4.4.1 Product Types
293
4.4.2 Transaction Types
295
4.4.3 Defining Flow Types
296
4.4.4 Assigning Flow Types to Update Types
299
4.4.5 Defining Condition Types
300
4.4.6 Assigning Condition Types to Transaction Types
300
4.4.7 Position Management Procedure
301
4.4.8 Assigning Update Types for Valuation
302
4.4.9 Assigning Update Types for Derived Business Transactions
303
4.5 Commodity Derivatives
305
4.5.1 Commodity Types
305
4.5.2 Specifying Commodities
306
4.5.3 Specifying Market Identifier Codes
307
4.5.4 Defining the Exchange
308
4.5.5 Assigning Exchanges to Market Identifier Codes
309
4.5.6 Defining Product Types
310
4.5.7 Defining Transaction Types
311
4.5.8 Defining and Assigning Flow Types
312
4.5.9 Defining Update Types and Assigning Usages
315
4.5.10 Updating Types for Position Updates
317
4.5.11 Indicating that Update Types Are Relevant to Posting
318
4.6 Summary
319
5 General Contract Processes
321
5.1 Create Financial Transaction App
321
5.1.1 High-Level Process Flow
322
5.1.2 Initial Screen
323
5.1.3 Header Information
325
5.1.4 Structure Tab
326
5.1.5 Additional Tabs
332
5.2 Contract Settlement
342
5.3 Transaction Posting
344
5.3.1 Account Assignment Reference
345
5.3.2 Post Flows
346
5.3.3 Run Accrual/Deferral
350
5.3.4 Run a Key Date Valuation
354
5.3.5 Transfer from Long Term to Short Term
358
5.4 Payment Processing
364
5.5 Summary
368
6 Treasury Management?Specific Processes
369
6.1 Debt and Investments
369
6.1.1 Process Flow
370
6.1.2 Borrowing or Invest
371
6.1.3 Risk-Free Interest Rates
379
6.1.4 Interest Rate Adjustments
383
6.1.5 Planned Records
387
6.2 Facilities
390
6.2.1 Process Flow
390
6.2.2 Facility Entry Screen
391
6.2.3 Bilateral Facility Entry
397
6.2.4 Syndicated Facility Entry
398
6.2.5 Facility Drawings
399
6.3 Intercompany Loans
402
6.3.1 Process Flow
402
6.3.2 Contract Creation
404
6.3.3 Mirroring
406
6.3.4 Settlement
411
6.3.5 Changes
413
6.4 Securities
415
6.4.1 Process Flow
416
6.4.2 Accounts
417
6.4.3 Classes
418
6.4.4 Contracts
422
6.4.5 Accounting Postings
428
6.4.6 One-Off Postings
434
6.5 Foreign Exchange
438
6.5.1 Process Flow
439
6.5.2 Contract Creation
440
6.5.3 Contract Posting
441
6.5.4 Monthly Processing
442
6.5.5 Transaction Settlement
450
6.5.6 Other Foreign Exchange Processes
452
6.6 Interest Rate Swaps
459
6.6.1 Process Flow
460
6.6.2 Entry Screen
461
6.6.3 Interest Rate Adjustments
464
6.6.4 Cash Flows
465
6.6.5 Mark-to-Market Valuation
465
6.7 Trade Finance
468
6.7.1 Process Flow
468
6.7.2 Letter of Credit Contract Creation
468
6.8 Commodity Contracts
476
6.8.1 Process Flow
476
6.8.2 Contract Creation
477
6.8.3 Cash Settlement
480
6.8.4 Contract Settlement
483
6.9 Summary
484
7 Exposure Management
485
7.1 Raw Exposures
486
7.2 Raw Exposures Apps
491
7.2.1 Process Raw Exposures – Collective Processing App
491
7.2.2 Import Raw Exposures – Spreadsheet App
494
7.3 Releasing Raw Exposures
495
7.4 Exposure Configuration
497
7.4.1 Defining Global Settings
498
7.4.2 Defining Periods
498
7.4.3 Defining Exposure Types
499
7.4.4 Settings for Free Attributes
502
7.4.5 Maintaining Release Procedures
503
7.4.6 Assigning Users and Roles to Release Steps
504
7.4.7 Defining Product Types for Exposures
509
7.4.8 Defining Exposure Position Types
510
7.4.9 Defining the Derivation Strategy for Exposure Fields
510
7.4.10 Defining Exposure Origins
513
7.5 Summary
514
8 Cash Flow Hedging
515
8.1 Hedge Management Configuration
517
8.1.1 Defining Hedging Classifications
518
8.1.2 Defining Target Quota Types
519
8.1.3 Defining Authorization Groups for Hedging Areas
522
8.1.4 Defining Hedge Request Reasons
522
8.2 Hedge Accounting for Positions Configuration
523
8.2.1 Defining Designation Types
523
8.2.2 Defining Product Types for Exposure Subitems
524
8.2.3 Assigning Update Types to Product Types for Exposure Subitems
525
8.2.4 Assigning General Valuation Classes to Product Types
526
8.2.5 Defining Hedge Accounting Calculation Types
526
8.2.6 Effectiveness Test
531
8.2.7 Defining Hedging Profiles
534
8.2.8 Defining Update Types and Assigning Usages
538
8.2.9 Assigning Update Types to Hedging Business Transactions per Product Type
539
8.2.10 Defining and Activating Groups
540
8.3 Hedging Area
541
8.3.1 Main Data
542
8.3.2 General Settings
545
8.3.3 Currencies
547
8.3.4 Filters for Exposures
548
8.3.5 Filters for Hedges
550
8.3.6 Target Quotas
551
8.3.7 FX Hedge Request
552
8.3.8 Hedge Accounting I
554
8.3.9 Hedge Accounting II
557
8.3.10 Administration
558
8.4 Cash Flow Hedging Process
558
8.4.1 Taking a Snapshot
559
8.4.2 Hedge Management Cockpit
561
8.4.3 Processing Hedge Requests
578
8.4.4 Creating a Financial Transaction
580
8.4.5 Managing Hedging Relationships
582
8.5 Period End Closing
591
8.5.1 Calculating Net Present Values
591
8.5.2 Running the Valuation
592
8.5.3 Executing Classification
592
8.6 Contract Close
594
8.6.1 Dedesignating Hedging Relationships
595
8.6.2 Posting Cash Flows
595
8.6.3 Posting Derived Business Transactions
596
8.6.4 Executing Reclassification
597
8.7 Summary
597
9 Balance Sheet Hedging
599
9.1 Reviewing Balance Sheet Risk
600
9.2 Taking a Foreign Exchange Snapshot for Balance Sheet Risk
602
9.2.1 Taking a Snapshot for Balance Sheet Foreign Exchange Risk
602
9.2.2 Scheduling Treasury Middle Office Jobs
605
9.3 Balance Sheet Risk Overview Reporting
608
9.4 Processing Hedge Requests
609
9.4.1 Process Hedge Requests – Balance Sheet FX Risk App
609
9.4.2 Schedule Treasury Middle Office Jobs App
610
9.5 SAP Trading Platform Integration
613
9.5.1 Manage Trade Requests App
615
9.5.2 Manage Trades App
624
9.5.3 Manage Block of Trade Requests App
627
9.5.4 Counterparty Limit Utilization
628
9.5.5 Configuration
629
9.6 Master Data Setup
636
9.7 Summary
645
10 Correspondence
647
10.1 Configuration
648
10.1.1 Defining Communication Channels
649
10.1.2 Defining Format Metatypes
650
10.1.3 Defining Formats
651
10.1.4 Defining Correspondence Recipient Types
652
10.1.5 Defining the Correspondence Class
652
10.1.6 Defining the Correspondence Class for Inbound Process
653
10.1.7 Defining Communication Profiles
654
10.1.8 Assigning Formats
658
10.1.9 Defining the Correspondence Partner
659
10.1.10 Assigning Format Mapping for Outbound and Inbound Process
663
10.2 Inbound and Outbound Process Settings
663
10.2.1 Inbound Process
664
10.2.2 Outbound Process
665
10.3 Additional Correspondence Settings
667
10.3.1 Defining Correspondence Activity
667
10.3.2 Defining Start and End Fields for Sequences in SWIFT Messages
669
10.3.3 Dynamic Table Assignment for Configuration
669
10.3.4 Defining BIC Codes and Accounts for Business Partners
670
10.3.5 Setting Up Number Ranges
671
10.4 Correspondence Mapping Rules
671
10.4.1 SAP GUI
671
10.4.2 SAP Fiori
672
10.5 Outbound Messaging
683
10.5.1 Correspondence from a Financial Transaction
683
10.5.2 Manual Correspondence
684
10.6 Inbound Messaging
687
10.6.1 Automatic Inbound Processing
687
10.6.2 Manual Inbound Processing
688
10.6.3 Types of Incoming Messages
689
10.7 Correspondence Matching
690
10.7.1 Configuration
690
10.7.2 Automatic Matching
691
10.7.3 Manual Matching
692
10.8 Display Correspondence
693
10.8.1 Displaying Correspondence in the Financial Transaction
694
10.8.2 Correspondence Monitor
694
10.9 Alerts
699
10.9.1 Configuration
699
10.9.2 Monitoring Alerts
702
10.10 Summary
703
11 SAP Treasury Analyzers
705
11.1 Credit Risk Analyzer
705
11.1.1 Defining Limits
706
11.1.2 Single Transaction Checks
707
11.1.3 Interim Limits
708
11.1.4 End-of-Day Processing
709
11.1.5 Review Limit Utilizations App
710
11.1.6 Reviewing Bank Risk
713
11.1.7 Reviewing the Deal Default Risk Limit
714
11.1.8 Configuration
715
11.2 Market Risk Analyzer
724
11.2.1 Market Data Collection
725
11.2.2 Mark-to-Market Valuation
727
11.2.3 Sensitivity Analysis and Simulations
728
11.2.4 Value at Risk
733
11.2.5 Configuration
734
11.3 Summary
741
12 Integration with Other Areas
743
12.1 Cash Management
744
12.1.1 Assigning Planning Levels
746
12.1.2 Specifying Update Types for Cash Management
747
12.1.3 Basic Settings for Cash Management Integration
747
12.1.4 Managing Substitution and Validation Rules: Treasury Flows
748
12.1.5 Cash Flow Analyzer
751
12.2 Accounting
752
12.3 Payments
753
12.3.1 Flow Types
754
12.3.2 Posting Specifications
754
12.3.3 Assigning General Ledger Accounts
755
12.3.4 Contract: Payment Details
756
12.3.5 Payment Requests and Payment Execution
758
12.4 In-House Cash and In-House Banking
759
12.5 Summary
761
13 Reports, Key Performance Indicators, and Alerts
763
13.1 Standard SAP Fiori Reports
763
13.1.1 Treasury Position History App
764
13.1.2 Treasury Position Values App
765
13.1.3 Display Treasury Position Flows App
766
13.1.4 Display Treasury Posting Journal App
767
13.1.5 Interest Rate Overview App
769
13.1.6 Debt and Investment Maturity Profile App
772
13.1.7 Debt and Investment Analysis App
773
13.1.8 Foreign Exchange Overview App
774
13.1.9 Market Data Overview App
775
13.1.10 Credit Line Analysis App
776
13.1.11 Display Treasury Alerts App
777
13.1.12 Cash Flow Analyzer App
780
13.2 SAP Fiori Analysis Reports
782
13.2.1 Filtering and Designing Analysis Reports
782
13.2.2 Treasury Position Analysis Apps
791
13.3 SAP GUI Reports
794
13.3.1 Treasury: Journal of Financial Transactions Report
794
13.3.2 Transaction Release: Work Item Overview and Status of all Transactions Report
794
13.3.3 Treasury: Change Documents for Transaction Report
795
13.3.4 Journal: Transactions with Cash Flows Report
797
13.3.5 Rate/Price Adjustment Schedule Report
798
13.3.6 Facilities: Credit Lines and Utilization Report
798
13.3.7 Facilities: Lines of Credit, Drawing, and Fees Report
799
13.3.8 Treasury Position Flows Report (Classic View)
800
13.3.9 Treasury Posting Journal Report (Classic View)
800
13.3.10 Money Market: Collective Processing Report
801
13.3.11 FX: Collective Processing Report
802
13.4 Summary
803
Conclusion
805
The Evolution and Importance of Treasury and Risk Management
805
Addressing Common Scenarios and Challenges
805
Practical Applications and the User Experience
806
Integration
806
Looking Ahead
807
Final Thoughts
807
The Authors
809
Index
811