89 Introduction to SAP Transaction Manager

SAP Treasury and Risk ManagementAn Introduction September 2011 Treasury Applications from SAP Financial Excellence Treasury applications from SAP SAP Treasury and Risk Management Risk Analyzers Manage Global Financial Risks Optimize Debt and Investment Strategies Credit Risk Analyzer Market Risk Analyzer Portfolio Analyzer Exposure Management Money Market Foreign Exchange Derivatives Hedge Management Debt Mgmt Securities Commodities Transaction Manager Manage Cash and Liquidity SAP Cash and Liquidity Management Cash Management Liquidity Planning SAP In-House Cash Optimize Payments and Bank Communication © SAP AG 2009. All rights reserved. / Page 2 SAP Bank Communication Management The SAP Treasury Solution Suite 1 Cash Management 2 3 Liquidity Forecast Internal Banking 4 Bank Communication Management 5 6 Treasury Management Risk Analyzers . Absolute Exposure Management Centralized Database to gather group and version data and transfer to Hedge Management Hedge Management Administration of hedge plans. Process monitors Management reports: Positions. hedge items and hedging relationships Reporting tools: SAP Query. Sensitivities Value at risk: Variance/covariance. Compliance Accounting: Flexible accounting determination. Settlement. Modified Dietz method Benchmarking: Performance Indicators xxxxxxxxxxxxxxxxxxxxxxxx Ad-hoc reporting: Point & click. Other 3rd-party providers. Relative. Historic results Transaction Manager Front office: Position and deal reporting. Dealer slip. P&L. Correspondence Monitor. FX). Rate fixing (interest. Drill-down. Monte Carlo Simulation Simulate rates: What-if scenario. Compliance Data export: Excel. Online limit check Back office: Standing instructions. Deal capture. ABAP List. Prices. Settlement risk Limit management: Limits freely definable. Time weighted. Cash Flow Market Risk Analyzer Price calculator: NPV. Unified databases. Flat files. Netting. References. BI. Controlling. Exercise. Ratios. Position. Performance. BI Fixed –term deposits Commercial Paper Repo Spot Forward Swaps Options Futures Cap Floor FRA Swaps Options Futures Bonds Bank loans Commercial Paper Facilities Bonds Warrants Stocks Certificates Repo Sec. Credit risk. Business Objects Dashboards and Xcelsius Results database: Portfolio Hierarchy.Managing Treasury and Risk Management at a glance Risk Analyzers Credit Risk Analyzer Utilization: Formulas. Accounting according to many international accounting standards Money Market    Foreign Exchange      Derivatives       Debt Mgmt     Securities       Commodities      Middle office: Risk exposure. Valuation tools. lending Futures Forwards Traded Options Swaps OTC-Options . Historic. Multidimensional limits Reporting Portfolio Analyzer Yield calculations: Money weighted. exposures. Period. Corporate actions. Transaction and Position Management Process Front Office       Mid Office    Back Office       Accounting  Reporting      Exposure analysis Decision support Comfortable deal entry Standing instructions On-line limit check Position reporting Instrument pricing Risk analysis Sensitivity analysis Flexible process definition Settlement Correspondence Interest rate adjustments Payments Alert monitor   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 Standard reporting Ad-hock reporting Controlling Limit reporting Management reporting . Fixed/Basis. / Page 6 .. roller coaster)  OTC options Security. Swaption. IRG  Futures  Exchange traded options  Total Return Swap 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 Transaction Manager Market Risk Analyzer Credit Risk Analyzer Portfolio Analyzer Reporting © SAP AG 2009.Selection of Product Types Money Market  Foreign Exchange  Debt Management  Interest & Equity Derivatives  Securities (Investments)    Commodities Futures  Forwards  Traded Options  Swaps  OTC-Options  Fixed-term deposits (e. Bullet repayment/ with repayment/ ABS structures  Fixed rate loans  Floating rate loans  Annuity loans  Commercial Paper  Facilities (bilateral or syndicated) Cap  Floor  FRA  Swaps Payer/Receiver. 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 Issued bonds Fixed/ floating/ zero interest.. All rights reserved.g.g. Exotics (e. Managing Commodities and Financial Instruments Risk All kinds of commodity types and hedging instruments can be managed in SAP Commodities (examples)        Crude Oil. gas. All rights reserved. cotton. pigs) Certificates on emission Hedging Instruments     Futures and Traded Options Forwards Swaps (planning status) OTC Options (planning status) © SAP AG 2009. lemon juice Cattle (cows. coal Metals including noble metals Corn. sugar Orange juice. / Page 7 . maize. cacao. soybean Coffee. MM or GTM Exposure Management Hedge Management Excel Spreadsheets Market Risk Analyzer Transaction Manager Other sources of Exposures SAP ERP Financials © SAP AG 2009. / Page 8 .if needed Treasury and Risk Management SAP ERP Operations SD.Exposure Management – Example for Commodities Commodity front office system . All rights reserved. Trading: Convenient Transaction Entry Automatic calculation of derived flows Automatic determination of payment instructions Automatic cash flow projection Integrated online limit check Drill-down to class details and business partner details Class information retrieved automatically Pre-defined business calendars and automatic date checks Display of corresponding market rates and according warnings Configurable entry screen and customizable default values per field Automatic transfer to Back Office Integrated effective interest rate calculator Page 9 .Transaction Processing . it is cleared for posting and payments. 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’.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. Page 10 . Transaction Manager Efficiency with Correspondence Monitor (new with EhP4) •Real Straight Through Processing  from deal capturing via new integrated Correspondence Monitor to parallel accounting with a highly sophisticated authorization concept behind. 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. 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          . email. MT320 and free text MT399   Tracking of incoming correspondence use customer defined channels.g. mediums and formats Fax. email. mediums and formats Fax. print and swift file transfers are preconfigured Predefined format (incoming and outgoing) for MT300. Deal capturing Create / send correspondence Receive incoming correspondence Automatic matching Error handling / manual matching   Release process use customer defined channels. Transaction Manager Incoming and Outgoing Messages Using SWIFT Integration Package Data from file adapter uploaded to TRM  SWIFT Integration Package put data on file adapter  Open SWIFT file envelope  Get file from SWIFT alliance gateway  Automatic matching process is triggered automatically whenever a file appears PI saves file on file adapter Integration package for SWIFT Integration package for SWIFT Create message and send SWIFT Integration Package picks up data  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  Integration package for SWIFT  Integration package for SWIFT . Transaction Manager Straight-Through Processing for External Deals Alternative deal capturing by connection to Market Places  Automation of download of FX transactions made on market places such as 360T. FX forward and FX options  Possible to enter all data for the FX transaction with one interface Bank A SAP Treasury and Risk Management Market Place Bank B Bank C . FXall or Currenex  Available for FX spot.  Real-Time update of your accounting position  Automatic posting incl. flexible account determination   Hedge Accounting (e. All rights reserved. FAS133/138.g.Accounting Straight-Through Processing Straight-through processing of financial deals is achieved in combination with a highly flexible accounting engine.000 9000 Stock price on valuation key date: USD 98 (market value) © SAP AG 2009. / Page 14 write-up no write-up 9800 9000 9000 IAS / US GAAP German GAAP (HGB) . IFRS 39) Support of several accounting standards in parallel Simple Example Purchase of 100 shares at USD 90 per share = USD 9. All rights .Transaction Manager Fully integrated Automatic posting Valuation (parallel) Automatic creation of correspondence Automatic accrual/ deferral © SAP AG 2009. The SAP Treasury Solution Suite 1 Cash Management 2 3 Liquidity Forecast Internal Banking 4 Bank Communication Management 5 6 Treasury Management Risk Analyzers . SAP Modules in Treasury Analyzers Market Risk Analyzer Portfolio Analyzer Credit Risk Analyzer Analyzers Market Data FX Rates Yield Curves Indices Volatilities Transaction Manager Money Market Securities Derivatives Forex Commodities REPORTING: Externally maintained transactions Businesspartner Cash Managem. Integration General Ledger . All rights reserved. / Page 18 . VaR. Keyfigures Analysis/Reporting/Planning     Online data feed Simulated Shifts Scenarios Pricing Engine NPV VaR Sensitivity © SAP AG 2009.SAP Market Risk Analyzer Process SAP EDT CM CML TM Datapool NON SAP External Market data Results NPV. Exposure. .0 6...0 9.0 5.. All rights reserved. / Page 19 . Non-linear  Options  Caps  ..0 7. yield curve Yield curve 6 (long-term) Risk management NPV 1M 2Y 4Y 6Y 8Y 10 Y     Saved market prices Real-time market prices Flexible scenarios Rule shifts Risk Price calculator (user exit) © SAP AG 2009.SAP MRA: Net Present Value Concept Transaction data   Calculation Mark-to-market Sensitivities  Duration  Convexity  Exposure  Crash/stress tests     Evaluations Company Portfolio Profit center Product LEVEL 2 Trading: Interest products Linear  Debts  Assets  .0 Yield curve 5 (+) Current..0 8.0 3. LEVEL 1 Trading: Bonds LEVEL 1 Trading: Swaps Base portfolio Bonds/Frankfurt Base portfolio Bonds/New York Market data 10.0 4.0 2. 2 -74.. sheet  Debts  Assets  .3 -60.SAP MRA: Value at Risk Transaction data   Calculation Historical simulation Monte Carlo    Evaluations     Bal..0% Risk management 97..6 564.. Non-linear  Options  Caps  .5 569.6 538.0%     30 25 20 15 10 5 0 < 500 <-75 <-45 <-35 <-25 < -95 < -85 < -65 < -55 <-15 < 15 < 25 < 35 < 45 < 55 < 65 < 75 < 85 <-5 <5      Market interest rates Exchange rates Stock prices Volatilities Correlations Price calculator (user exit) © SAP AG 2009.6 -58.9 524.9 543.5 -53.8 546.3 -87.5 559. 1 2 3 4 5 6 7 8 9 10 11 12 13     Company Portfolio Profit center Product LEVEL 2 Trading: Interest products LEVEL 1 Trading: Bonds LEVEL 1 Trading: Swaps Base portfolio Bonds/Frankfurt Base portfolio Bonds/New York Historical market parameters Date Feb 81 May 81 Mar 80 Feb 90 Feb 80 Feb 74 Jun 82 May 83 Oct 72 Feb 94 May 79 Oct 79 Feb 85     NPV 483.5 -79.5% 50 45 40 35 95.7 -55.2 565. / Page 20 .3 -57.9 -52..8 560. All rights reserved.1     Risk -134.6 -49.3 -71.5 562.3 -93. Full valuation Delta method Delta/gamma method   Variance/covariance Backtesting No.8 530.0     Confidence Interval 99..8 557. 8 Brightline Free Limit 2.9% 90.3 700.0 68.5 Euro Bank 632.1 716.7 Carlton 12. All rights reserved.5 10.Credit Risk Management Process T r a n s a c t i o n M a n a g e Request End-of-Day Processing Limit check Attributable amount O.7 United Bank 688.5 Util.K.4 28. when limit is ‘Breached’ © SAP AG 2009.3% 96.6 -7. in % 80.3% m e n t Start of workflow. Limit Deal Reporting Exposure Limit Partner 8.3 4. / Page 21 .0% 256. / Page 22 . Can compare same key figures from different portfolios or Different key figures from the same portfolio Limits can be defined as ‘Percentage’. They can be same or different. All rights reserved.SAP CRA: Relative Limits Choose Utilization Portfolio Utilization Key Figure Choose Reference Portfolio Reference Key Figure Define Limits Percentage Define Limits Absolute Can choose the ‘Utilization Portfolio’ and the ‘Reference Portfolio’. ‘Absolute’ Or ‘Both Percentage and Absolute’ © SAP AG 2009. / Page 23 . All rights reserved.Portfolio Analyzer    Investment strategy Determination of benchmark Improvement and alignment    Building organizational structures Asset allocation Business transactions SAP Treasury and Risk Management   Reporting and revision Risk adjustment   Performance measurement Benchmarking Portfolio Analyzer © SAP AG 2009. SAP PA: Performance Analytics – Benchmarking Reporting © SAP AG 2009. / Page 24 . All rights reserved. SAP Treasury and Risk Management THANK YOU September 2011 .