sap treasury and risk mgmt - intro
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September 2011
SAP Treasury and Risk Management
An Introduction
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SAP AG 2009. All rights reserved. / Page 2
Treasury applications from SAP
SAP Treasury and Risk Management
Risk Analyzers
Transaction ManagerMoneyMarket
ForeignExchange
Secu-rities
Com-modities
Deri-vatives
DebtMgmt
Manage GlobalFinancial Risks
Optimize Debt andInvestment Strategies
Manage Cash
and Liquidity
SAP Cash and Liquidity Management
Cash Management Liquidity Planning
Optimize Payments andBank Communication
SAP In-House Cash
SAP Bank Communication Management
Exposure Management Hedge Management
Credit Risk Analyzer Market Risk Analyzer Portfolio Analyzer
Treasury Applications from SAPFinancial Excellence
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Cash Management
Bank CommunicationManagement
Liquidity Forecast
Internal Banking
Risk Analyzers6
Treasury Management
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The SAP Treasury Solution Suite
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Managing Treasury and Risk Management at a glance
Credit Risk Analyzer
Utilization: Formulas, Creditrisk, 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 Indicatorsxxxxxxxxxxxxxxxxxxxxxxxx
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 internationalaccounting standards
Spot
Forward
Swaps
Options
Futures
ForeignExchange
Bonds
Bank loans
CommercialPaper
Facilities
Debt Mgmt Securities
Bonds Warrants Stocks Certificates
Repo Sec. lending
Derivatives
Cap Floor FRA Swaps
Options Futures
MoneyMarket
Fixedtermdeposits
CommercialPaper
Repo
Commodities
Futures
Forwards
Traded Options
Swaps
OTC-Options
Transaction Manager
Hedge ManagementExposure Management
Centralized Database to gather group andversion data and transfer to Hedge Management
Administration of hedge plans, exposures, hedgeitems and hedging relationships
Risk Analyzers
Reporting tools:SAP Query, ABAP List, Other3rd-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, Unifieddatabases, Position, P&L,Period, Cash Flow
Results database:Portfolio Hierarchy, Drill-down,Historic results
Data export:Excel, Flat files, BI
Reporting
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Transaction and Position Management Process
BackOffice
Account-ing
FrontOffice
MidOffice
Exposureanalysis
Decision support
Comfortable dealentry
Standinginstructions
On-line limitcheck
Position reporting
Posting ofTreasury flows tothe G/L
Valuationaccording toseveral GAAPs in
parallel areas
Support for IAS
39 / US-GAAPand HedgeAccounting
Flexible processdefinition
Settlement
Correspondence
Interest rateadjustments
Payments
Alert monitor
Instrument pricing
Risk analysis
Sensitivityanalysis
Re-porting
Standardreporting
Ad-hock reporting
Controlling
Limit reporting
Managementreporting
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Selection of Product Types
SAP AG 2009. All rights reserved. / Page 6
Money Market
Fixed-termdeposits (e.g.,overnightdeposits atnotice)
Commercialpaper
Repo
Floating rate
Any cash flows
Spot
Forward
Swap
Vanilla options
Barrier options(single anddouble)
Compoundoptions
Average rateoptions
Basked options
Exchange-tradedoptions
ForeignExchange
Securities(Investments)
Bonds ABS /MBS /CMO Index-linked
bonds Dual currency
bonds Drawable bonds Warrant Bonds Stocks Shareholdings
Subscriptionrights
Investmentcertificates
Repo/ ReverseRepo
Security lending
Cap
Floor
FRA
Swaps
Payer/Receiver,Fixed/Basis,Exotics (e.g.,roller coaster)
OTC options
Security,Swaption, IRG
Futures
Exchange tradedoptions
Total ReturnSwap
Interest &Equity
Derivatives
DebtManagement
Issued bonds
Fixed/ floating/zero interest,Bullet repayment/with repayment/ABS structures
Fixed rate loans
Floating rateloans
Annuity loans Commercial
Paper
Facilities(bilateral orsyndicated)
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
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Exposure ManagementExample for Commodities
ExposureManagement
TransactionManager
HedgeManagement
Market RiskAnalyzer
Treasury and Risk ManagementSAP ERP
OperationsSD, MMor GTM
ExcelSpreadsheets
Other sourcesof Exposures
SAP ERP Financials
Commodity front office system - if needed
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Class informationretrieved automatically
Configurable entry screen andcustomizable default values per field
Drill-down to class details andbusiness partner details
Pre-defined businesscalendars and automaticdate checks
Integrated effective
interest rate calculator
Automatic calculationof derived flows
Automatic cash flow projection
Display of correspondingmarket rates and accordingwarnings
Integrated onlinelimit check
Automatic determinationof payment instructions
Automatic transfer to Back Office
Transaction Processing - Trading:Convenient Transaction Entry
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Transaction ProcessingBack Office Processing: Settlement
Settlement is an optional transaction processing step
The transaction is reviewed by a back office processor to satisfy the four-eyesprinciple (segregation of duties)
Optionally, information not entered by the trader can be supplemented by the backoffice processor
Only after the reviewer changes the status of a transaction to settled, it is clearedfor posting and payments.
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Create / sendcorrespondence
Automaticmatching
Real Straight Through Processing from deal capturing via new integratedCorrespondence Monitor to parallel accounting with a highly sophisticated authorization concept
behind.
Receive incomingcorrespondence
Error handling /manual matching
Release process use customer
defined channels,mediums andformats
Fax, email, printand swift filetransfers arepreconfigured
Predefined format(incoming andoutgoing) forMT300, MT320and free textMT399
Tracking ofincomingcorrespondenceuse customerdefined channels,mediums andformats
Fax, email, printand swift file
transfers arepreconfigured
Predefined format(incoming andoutgoing) forMT300, MT320free text MT399
Customizablematchingproposal
Automaticmatching whenmessage iscoming in orgoing out possible
Update status ofthe deal or triggera automaticsettlement of thedeal
Correspondencemonitor e.g.
Navigate in alldirections
Improved statustracking for themessages
Show all
correspondenceobjects assignedto one deal
Show matches
Manualassignment ofcorrespondenceto deals
Receive ACK andNACK messages
Dealcapturing
Transaction ManagerEfficiency with Correspondence Monitor (new with EhP4)
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Create messageand send
Create SWIFT fileenvelope
Send file to SWIFTalliance gateway
Creation of MTmessage automaticallyor manually in thecorrespondencemonitor
Save message on fileserver
PI picks up the datafrom the file server inpredefined timeintervals
SWIFT IntegrationPackage picks
up data
Data from fileadapter uploadedto TRM
Open SWIFT fileenvelope
Get file fromSWIFT alliance
gateway
Automatic matchingprocess is triggeredautomaticallywhenever a file
appears
SWIFT IntegrationPackage put
data on file adapter
Integration package forSWIFT
PI saves file on fileadapter
Integration package forSWIFT
Integration package forSWIFT
Integration package forSWIFT
Transaction ManagerIncoming and Outgoing Messages Using SWIFT Integration Package
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Alternative deal capturing by connection to Market Places
Automation of download of FX transactions made on market placessuch 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 andRisk Management
Market Place
Bank A
Bank B
Bank C
Transaction ManagerStraight-Through Processing for External Deals
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Automaticcreation ofcorrespondence
Valuation(parallel)
Automaticposting
Automaticaccrual/deferral
Transaction ManagerFully integrated
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4
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Cash Management
Bank CommunicationManagement
Liquidity Forecast
Internal Banking
Risk Analyzers6
Treasury Management
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The SAP Treasury Solution Suite
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TransactionManager
Business-partner
Money MarketSecuritiesDerivativesForex
Commodities
REPORTING:Externallymaintainedtransactions
General LedgerIntegration
CashManagem.
Analyzers
Market RiskAnalyzer
PortfolioAnalyzer
Credit RiskAnalyzer
Market Data
FX Rates
Yield Curves
Indices
Volatilities
SAP Modules in Treasury Analyzers
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CM
EDT
SAP
NON SAP -External
NPV, VaR,Exposure, Keyfigures
Results
Analysis/Reporting/Planning
Market data
Online data feed Simulated Shifts Scenarios
Pricing Engine
NPVVaR
Sensitivity
DatapoolTMCML
SAP Market Risk AnalyzerProcess
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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
CompanyPortfolioProfit centerProduct
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
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SAP MRA: Value at Risk
Historical marketparameters
Calculation Evaluations
Risk management
Market interest rates Exchange rates Stock prices Volatilities Correlations
Historical simulationMonte Carlo
Full valuation Delta method Delta/gamma method
Variance/covariance
Backtesting
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