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© SAP AG 2009. All rights reserved. / Page 2
Treasury applications from SAP
SAP Treasury and Risk Management
Risk Analyzers
Transaction Manager
Money Market
Foreign Exchange
Secu- rities
Com- modities
Deri- vatives
Debt Mgmt
Manage Global
Financial Risks
Optimize Debt and
Investment Strategies
Manage Cash
and Liquidity
SAP Cash and Liquidity Management
Cash Management Liquidity Planning
Optimize Payments and
Bank Communication
SAP In-House Cash
SAP Bank Communication Management
Exposure Management Hedge Management
Credit Risk Analyzer Market Risk Analyzer Portfolio Analyzer
Treasury Applications from SAP
Financial Excellence
2
4
5
Cash Management
Bank Communication
Management
Liquidity Forecast
Internal Banking
Risk Analyzers 6
Treasury Management
3
The SAP Treasury Solution Suite
1
Managing Treasury and Risk Management at a glance
Credit Risk Analyzer
Utilization: Formulas, Credit
risk, Settlement risk
Limit management:
Limits freely definable,
Multidimensional limits
Market Risk Analyzer
Price calculator: NPV, Prices,
Sensitivities
Value at risk: Variance/covariance,
Historic, Monte Carlo Simulation
Simulate rates: What-if scenario,
Relative, Absolute
Portfolio Analyzer
Yield calculations:
Money weighted,
Time weighted,
Modified Dietz method
Benchmarking:
Performance Indicators
xxxxxxxxxxxxxxxxxxxxxxxx
Front office: Position and deal reporting, Deal capture, Exercise, Dealer slip, Valuation tools,
Online limit check
Back office: Standing instructions, Correspondence Monitor, Netting, Settlement, Rate fixing
(interest, FX), References, Corporate actions, Process monitors
Accounting: Flexible accounting determination, Accounting according to many international
accounting standards
Spot
Forward
Swaps
Options
Futures
Foreign
Exchange Bonds
Bank loans
Commercial Paper
Facilities
Debt Mgmt Securities
Bonds Warrants Stocks Certificates Repo Sec. lending
Derivatives
Cap Floor FRA Swaps Options Futures
Money
Market Fixed –term
deposits Commercial
Paper Repo
Commodities
Futures
Forwards
Traded Options
Swaps
OTC-Options
Transaction Manager
Hedge Management Exposure Management
Centralized Database to gather group and
version data and transfer to Hedge Management Administration of hedge plans, exposures, hedge
items and hedging relationships
Risk Analyzers
Reporting tools:
SAP Query, ABAP List, Other
3rd-party providers, BI,
Business Objects Dashboards
and Xcelsius
Middle office:
Risk exposure, Controlling,
Compliance
Management reports:
Positions, Performance, Ratios,
Compliance
Ad-hoc reporting:
Point & click, Unified
databases, Position, P&L,
Period, Cash Flow
Results database:
Portfolio Hierarchy, Drill-down,
Historic results
Data export:
Excel, Flat files, BI
Reporting
Transaction and Position Management Process
Back
Office Account-
ing
Front
Office
Mid
Office
Exposure
analysis
Decision support
Comfortable deal
entry
Standing
instructions
On-line limit
check
Position reporting
Posting of
Treasury flows to
the G/L
Valuation
according to
several GAAP’s in
parallel areas
Support for IAS
39 / US-GAAP
and Hedge
Accounting
Flexible process
definition
Settlement
Correspondence
Interest rate
adjustments
Payments
Alert monitor
Instrument pricing
Risk analysis
Sensitivity
analysis
Re-
porting
Standard
reporting
Ad-hock reporting
Controlling
Limit reporting
Management
reporting
Selection of Product Types
© SAP AG 2009. All rights reserved. / Page 6
Money Market
Fixed-term deposits (e.g., overnight deposits at notice)
Commercial paper
Repo
Floating rate
Any cash flows
Spot
Forward
Swap
Vanilla options
Barrier options (single and double)
Compound options
Average rate options
Basked options
Exchange-traded options
Foreign
Exchange
Securities
(Investments)
Bonds ABS /MBS /CMO Index-linked
bonds Dual currency
bonds Drawable bonds Warrant Bonds Stocks Shareholdings Subscription
rights Investment
certificates Repo/ Reverse
Repo Security lending
Cap
Floor
FRA
Swaps
Payer/Receiver, Fixed/Basis, Exotics (e.g., roller coaster)
OTC options
Security, Swaption, IRG
Futures
Exchange traded options
Total Return Swap
Interest &
Equity
Derivatives
Debt
Management
Issued bonds
Fixed/ floating/ zero interest, Bullet repayment/ with repayment/ ABS structures
Fixed rate loans
Floating rate loans
Annuity loans
Commercial Paper
Facilities (bilateral or syndicated)
P o r t f o l i o A n a l y z e r
M a r k e t R i s k A n a l y z e r
R e p o r t i n g
T r a n s a c t i o n M a n a g e r
C r e d i t R i s k A n a l y z e r
Futures
Forwards
Traded Options
Swaps
OTC-Options
Commodities
© SAP AG 2009. All rights reserved. / Page 7
Managing Commodities and Financial Instruments Risk
All kinds of commodity types and hedging
instruments can be managed in SAP
Commodities (examples)
Crude Oil, gas, coal
Metals including noble metals
Corn, maize, soybean
Coffee, cacao, cotton, sugar
Orange juice, lemon juice
Cattle (cows, pigs)
Certificates on emission
Hedging Instruments
Futures and Traded Options
Forwards
Swaps (planning status)
OTC Options (planning status)
© SAP AG 2009. All rights reserved. / Page 8
Exposure Management – Example for Commodities
Exposure
Management
Transaction
Manager
Hedge
Management
Market Risk
Analyzer
Treasury and Risk Management
SAP ERP
Operations
SD, MM
or GTM
Excel
Spreadsheets
Other sources
of Exposures
SAP ERP Financials
Commodity front office system - if needed
Page 9
Class information
retrieved automatically
Configurable entry screen and
customizable default values per field
Drill-down to class details and
business partner details
Pre-defined business
calendars and automatic
date checks
Integrated effective
interest rate calculator
Automatic calculation
of derived flows Automatic cash flow projection
Display of corresponding
market rates and according
warnings
Integrated online
limit check
Automatic determination
of payment instructions
Automatic transfer to Back Office
Transaction Processing - Trading:
Convenient Transaction Entry
Page 10
Transaction Processing –
Back Office Processing: Settlement
•“Settlement“ is an optional transaction processing step
• The transaction is reviewed by a back office processor to satisfy the four-eyes
principle (segregation of duties)
• Optionally, information not entered by the trader can be supplemented by the back
office processor
• Only after the reviewer changes the status of a transaction to ‘settled’, it is cleared
for posting and payments.
Create / send
correspondence Automatic
matching
•Real Straight Through Processing from deal capturing via new integrated
Correspondence Monitor to parallel accounting with a highly sophisticated authorization concept
behind.
Receive incoming
correspondence
Error handling /
manual matching
Release process
use customer
defined channels,
mediums and
formats
Fax, email, print
and swift file
transfers are
preconfigured
Predefined format
(incoming and
outgoing) for
MT300, MT320
and free text
MT399
Tracking of
incoming
correspondence
use customer
defined channels,
mediums and
formats
Fax, email, print
and swift file
transfers are
preconfigured
Predefined format
(incoming and
outgoing) for
MT300, MT320
free text MT399
Customizable
matching
proposal
Automatic
matching when
message is
coming in or
going out possible
Update status of
the deal or trigger
a automatic
settlement of the
deal
Correspondence
monitor e.g.
Navigate in all
directions
Improved status
tracking for the
messages
Show all
correspondence
objects assigned
to one deal
Show matches
Manual
assignment of
correspondence
to deals
Receive ACK and
NACK messages
Deal
capturing
Transaction Manager
Efficiency with Correspondence Monitor (new with EhP4)
Create message
and send
Create SWIFT file
envelope
Send file to SWIFT
alliance gateway
Creation of MT
message automatically
or manually in the
correspondence
monitor
Save message on file
server
PI picks up the data
from the file server in
predefined time
intervals
SWIFT Integration
Package picks
up data
Data from file
adapter uploaded
to TRM
Open SWIFT file
envelope
Get file from
SWIFT alliance
gateway
Automatic matching
process is triggered
automatically
whenever a file
appears
SWIFT Integration
Package put
data on file adapter
Integration package for
SWIFT
PI saves file on file
adapter
Integration package for
SWIFT
Integration package for
SWIFT
Integration package for
SWIFT
Transaction Manager
Incoming and Outgoing Messages Using SWIFT Integration Package
Alternative deal capturing by connection to Market Places
Automation of download of FX transactions made on market places
such as 360T, FXall or Currenex
Available for FX spot, FX forward and FX options
Possible to enter all data for the FX transaction with one interface
SAP Treasury and
Risk Management Market Place
Bank A
Bank B
Bank C
Transaction Manager
Straight-Through Processing for External Deals
© SAP AG 2009. All rights reserved. / Page 14
Accounting Straight-Through Processing
Straight-through processing of financial deals is achieved in combination with
a highly flexible accounting engine.
Simple Example
German GAAP (HGB) IAS / US GAAP
9000 9000 9000
write-up no write-up
9800
Real-Time update of your accounting position
Automatic posting incl. flexible account determination
Hedge Accounting (e.g. FAS133/138, IFRS 39)
Support of several accounting standards in parallel
Purchase of 100
shares at USD 90
per share
= USD 9,000
Stock price on
valuation key date:
USD 98 (market value)
© SAP AG 2009. All rights
reserved. / Page 15
Automatic
creation of
correspondence
Valuation
(parallel)
Automatic
posting
Automatic
accrual/
deferral
Transaction Manager
Fully integrated
2
4
5
Cash Management
Bank Communication
Management
Liquidity Forecast
Internal Banking
Risk Analyzers 6
Treasury Management
3
The SAP Treasury Solution Suite
1
Transaction
Manager
Business- partner
Money Market
Securities
Derivatives
Forex
Commodities
REPORTING:
Externally
maintained
transactions
General Ledger Integration
Cash
Managem.
Analyzers
Market Risk
Analyzer Portfolio
Analyzer
Credit Risk
Analyzer
Market Data
FX Rates
Yield Curves
Indices
Volatilities
SAP Modules in Treasury Analyzers
© SAP AG 2009. All rights reserved. / Page 18
CM
EDT
SAP
NON SAP -
External
NPV, VaR,
Exposure, Keyfigures
Results
Analysis/Reporting/Planning
Market data
Online data feed
Simulated
Shifts
Scenarios
Pricing Engine
NPV
VaR
Sensitivity
Datapool TM CML
SAP Market Risk Analyzer
Process
© SAP AG 2009. All rights reserved. / Page 19
SAP MRA: Net Present Value Concept
Market data
Calculation Evaluations
Risk management
Saved market prices
Real-time market prices
Flexible scenarios
Rule shifts
Mark-to-market
Sensitivities
Duration
Convexity
Exposure
Crash/stress tests
Company
Portfolio
Profit center
Product
Transaction data
Linear
Debts
Assets
....
Non-linear
Options
Caps
....
Price calculator (user exit)
NPV
Risk
2.0
3.0
4.0
5.0
6.0
7.0
8.0
9.0
10.0
1 M 2 Y 4 Y 6 Y 8 Y 10 Y
Yield curve 5 (+) Current. yield curve Yield curve 6 (long-term)
Base portfolio
Bonds/New York
Base portfolio
Bonds/Frankfurt
LEVEL 1
Trading: Swaps
LEVEL 1
Trading: Bonds
LEVEL 2
Trading: Interest products
© SAP AG 2009. All rights reserved. / Page 20
SAP MRA: Value at Risk
Historical market parameters
Calculation Evaluations
Risk management
Market interest rates
Exchange rates
Stock prices
Volatilities
Correlations
Historical simulation
Monte Carlo Full valuation
Delta method
Delta/gamma method
Variance/covariance
Backtesting
0
5
10
15
20
25
30
35
40
45
50
< -
95
< -
85
<-7
5
< -
65
< -
55
<-4
5
<-3
5
<-2
5
<-1
5
<-5
<5
< 1
5
< 2
5
< 3
5
< 4
5
< 5
5
< 6
5
< 7
5
< 8
5
< 5
00
No. Date NPV Risk Confidence
Interval
1 Feb 81 483.9 -134.3
2 May 81 524.8 -93.3 99.0%
3 Mar 80 530.6 -87.5
4 Feb 90 538.9 -79.2
5 Feb 80 543.8 -74.3
6 Feb 74 546.8 -71.3 97,5%
7 Jun 82 557.5 -60.6
8 May 83 559.8 -58.3
9 Oct 72 560.5 -57.7
10 Feb 94 562.6 -55.5
11 May 79 564.2 -53.9
12 Oct 79 565.5 -52.6
13 Feb 85 569.1 -49.0 95.0%
Company
Portfolio
Profit center
Product
Transaction data
Bal. sheet
Debts
Assets
....
Non-linear
Options
Caps
....
Price calculator (user exit)
Base portfolio
Bonds/New York
Base portfolio
Bonds/Frankfurt
LEVEL 1
Trading: Swaps
LEVEL 1
Trading: Bonds
LEVEL 2
Trading: Interest products
© SAP AG 2009. All rights reserved. / Page 21
Deal
Limit check
O.K.
End-of-Day Processing
Exposure
8.5
632.3
688.1
12.3
Limit
10.5
700.7
716.7
4.8
Partner
Euro Bank
United Bank
Carlton
Brightline
Reporting
Limit
Attributable
amount
Request
Start of workflow, when limit is ‘Breached’
T
r
a
n
s
a
c
t
i
o
n
M
a
n
a
g
e
m e
n
t
Util. in %
80.9%
90.3%
96.0%
256.3%
Free Limit
2.0
68.4
28.6
-7.5
Credit Risk Management
Process
© SAP AG 2009. All rights reserved. / Page 22
SAP CRA: Relative Limits
Can compare same key figures
from different portfolios
or
Different key figures from the
same portfolio
Can choose the ‘Utilization
Portfolio’ and the ‘Reference
Portfolio’. They can be same or
different.
Limits can be defined as
‘Percentage’, ‘Absolute’ Or ‘Both
Percentage and Absolute’
Choose Utilization Portfolio
Utilization Key Figure
Choose Reference Portfolio
Reference Key Figure
Define Limits Percentage
Define Limits Absolute
© SAP AG 2009. All rights reserved. / Page 23
Building organizational
structures
Asset allocation
Business transactions
Investment strategy
Determination of benchmark
Improvement and alignment
Reporting
and revision
Risk adjustment
Performance measurement
Benchmarking
Portfolio Analyzer
Portfolio Analyzer
SAP Treasury
and Risk
Management
© SAP AG 2009. All rights reserved. / Page 24
SAP PA: Performance Analytics –
Benchmarking Reporting