SAP Treasury and Risk Management

Soenke Jarre trained as a banker before going on to study Computer Science at the University of Bremen, Germany. After completing his studies, he took up a post in the Treasury and Risk Management area of SAP AG in 2001, where he has since progressed to the role of Senior Developer. His area of expertise is transaction management and its interfaces, and he also supports Installed Base Maintenance and Support (IMS) for customer messages. Soenke's main areas of responsibility include development projects and application modeling in collaboration and cooperation with adjacent areas. Dr. Reinhold Loevenich studied Physics at RWTH Aachen and Julich Research Center. He was awarded a PhD degree by the University of Dortmund in 1999. After completing a research scholarship at the Lawrence Berkeley National Laboratory in the U.S., he started work in the Treasury and Risk Management area of SAP AG in 2002. His main tasks as a Senior Developer are in the area of Position Management and its interfaces with adjacent SAP modules. Reinhold's work is influenced by his collaboration with development teams in other modules, and his previous maintenance work. Dr. Andreas Martin studied Mathematics at the University of Kaiserslautern, Germany and the University of Warwick, England, and was awarded his doctorate degree by the Ludwig-Maximilians-Universitat in Munich, Germany. While studying for his PhD, he worked as a researcher at the Institute for Biomathematics and Biometry at the GSF National Research Center for Environment and Health GmbH in Munich. He also spent a one-year research scholarship at the Ecole Polytechnique Federale de Lausanne in Switzerland. He has worked in the Financial Services Team for Installed Base Maintenance and Support (IMS) at SAP AG since 2003. It is his work at SAP that gives Andreas his knowledge of Treasury and Risk Management from the viewpoint of developers and users alike, and enables him to take a comprehensive view of architecture, ongoing development, and application. Dr. Klaus G. Muller studied Physics at the University of Bonn, Germany and the Max Planck Institute for Polymer Research in Mainz, Germany. He was awarded his PhD degree by the Johannes Gutenberg University in Mainz in 1996. Since then, Klaus has worked at SAP AG in the Treasury and Banking areas, focusing on analytic applications. His areas of responsibility to date are development and support, product management, and project management. He has worked on rollout projects for customers such as MEAG, Provinzial, and Statoil, as well as a variety of pilot projects. In his current role as Development Architect, he deals with architecture issues in Treasury and Risk Management.

1 Introduction ... 15 ... 1.1 Dear Reader ... 15 ... 1.2 Topics of this Book ... 18 ... 1.3 Overview of Financial Instruments ... 22 ... 1.4 History of Treasury and Risk Management ... 26 ... 1.5 Development of Functions in Recent Releases ... 27 2 Master Data ... 31 ... 2.1 Central Customizing Terms ... 32 ... 2.2 Product Master Data ... 36 ... 2.3 Business Partners ... 45 ... 2.4 Organizational Elements ... 51 3 Transaction Management ... 55 ... 3.1 Financial Transaction ... 56 ... 3.2 Trading ... 90 ... 3.3 Back Office Processing ... 98 ... 3.4 Operative Reporting ... 113 ... 3.5 Architecture ... 119 ... 3.6 Specific Topics ... 128 4 Position Management ... 139 ... 4.1 Basic Terms ... 140 ... 4.2 External Position Management ... 147 ... 4.3 Basic Principles of Internal Position Management ... 182 ... 4.4 Processes of Internal Position Management ... 213 5 Integration with Other Modules ... 257 ... 5.1 Operative Valuation Area ... 258 ... 5.2 Financial Accounting ... 259 ... 5.3 Processing Payments ... 287 ... 5.4 Cash Management ... 297 6 Market Data ... 301 ... 6.1 Foreign Exchange Rates and Foreign Exchange Swap Rates ... 301 ... 6.2 Security Prices ... 303 ... 6.3 Reference Interest Rates and Yield Curves ... 308 ... 6.4 Indexes ... 319 ... 6.5 Volatilities ... 320 ... 6.6 Correlations ... 327 ... 6.7 Net Present Value Repository ... 328 ... 6.8 Scenarios and Market Data Shifts ... 332 ... 6.9 Market Data Interface ... 335 7 Hedge Management ... 347 ... 7.1 From Exposure to Hedge Accounting ... 348 ... 7.2 Customizing in Hedge Management and Hedge Accounting ... 373 ... 7.3 Exposure Entry Types ... 389 ... 7.4 Exposure Management ... 395 ... 7.5 Implementation Guide ... 411 8 Reporting with the Information System ... 415 ... 8.1 Logical Databases ... 416 ... 8.2 SAP Queries and Drilldown Reports ... 452 ... 8.3 LDB_PROCESS and RAPIs ... 458 ... 8.4 SAP NetWeaver BI ... 466 9 Portfolio Controlling with the Analyzers ... 475 ... 9.1 The Analyzer Family ... 476 ... 9.2 Basic Principles, Architecture, and Data Retention ... 479 ... 9.3 Common Control and Structuring Entities ... 520 ... 9.4 Value at Risk ... 538 ... 9.5 Online Analyses of the Market Risk Analyzer ... 552 ... 9.6 The Results Database of the Market Risk Analyzer and Portfolio Analyzer ... 557 ... 9.7 Credit Risk Analyzer ... 613 ... 9.8 Tools: Parallel Processing ... 639 10 Interfaces and Enhancements ... 641 ... 10.1 BAPI ... 642 ... 10.2 XI Message ... 653 ... 10.3 Enhancements ... 662 11 Legal Regulations ... 671 ... 11.1 Sarbanes-Oxley Act ... 672 ... 11.2 Tax Authority Requirements ... 674 12 Integration and System Tools ... 681 ... 12.1 The Attribute Derivation Tool ... 681 ... 12.2 Legacy Data Transfer ... 686 ... 12.3 Initialization ... 693 ... 12.4 Migration ... 697 ... 12.5 Archiving ... 699