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89 Introduction To SAP Transaction Manager
89 Introduction To SAP Transaction Manager
89 Introduction To SAP Transaction Manager
An Introduction
September 2011
Portfolio Analyzer
Exposure Management
Money Market Foreign Exchange Derivatives
Hedge Management
Debt Mgmt Securities Commodities
Transaction Manager
Cash Management
2
3
Liquidity Forecast
Internal Banking
5 6
Treasury Management
Risk Analyzers
Reporting
Portfolio Analyzer
Yield calculations: Money weighted, Time weighted, Modified Dietz method Benchmarking: Performance Indicators xxxxxxxxxxxxxxxxxxxxxxxx Ad-hoc reporting: Point & click, Unified databases, Position, P&L, Period, Cash Flow
Exposure Management
Centralized Database to gather group and version data and transfer to Hedge Management
Hedge Management
Administration of hedge plans, exposures, hedge items and hedging relationships
Reporting tools: SAP Query, ABAP List, Other 3rd-party providers, BI, Business Objects Dashboards and Xcelsius Results database: Portfolio Hierarchy, Drill-down, Historic results
Transaction Manager
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
Foreign Exchange
Derivatives
Debt Mgmt
Securities
Commodities
Middle office: Risk exposure, Controlling, Compliance Data export: Excel, Flat files, BI
Front Office
Mid Office
Back Office
Accounting
Reporting
Exposure analysis Decision support Comfortable deal entry Standing instructions On-line limit check Position reporting
Flexible process definition Settlement Correspondence Interest rate adjustments Payments Alert monitor
Posting of Treasury flows to the G/L Valuation according to several GAAPs in parallel areas Support for IAS 39 / US-GAAP and Hedge Accounting
Foreign Exchange
Debt Management
Securities (Investments)
Commodities
Futures Forwards Traded Options Swaps OTC-Options
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
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)
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
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
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)
Exposure Management
Hedge Management
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.
Page 10
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
Transaction Manager Incoming and Outgoing Messages Using SWIFT Integration Package
Data from file adapter uploaded to TRM
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
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
Bank A
Market Place
Bank B
Bank C
Straight-through processing of financial deals is achieved in combination with a highly flexible accounting engine.
Real-Time update of your accounting position
Automatic
Simple Example Purchase of 100 shares at USD 90 per share = USD 9,000
9000 Stock price on valuation key date: USD 98 (market value)
SAP AG 2009. All rights reserved. / Page 14
write-up
no write-up
9800
9000
9000
IAS / US GAAP
Valuation (parallel)
Cash Management
2
3
Liquidity Forecast
Internal Banking
5 6
Treasury Management
Risk Analyzers
Market Data
FX Rates Yield Curves Indices Volatilities
Transaction Manager
Money Market Securities Derivatives Forex Commodities
Businesspartner
Cash Managem.
Integration
General Ledger
EDT
CM CML TM
Datapool
NON SAP External
Analysis/Reporting/Planning
Transaction data
Calculation
Mark-to-market Sensitivities Duration Convexity Exposure Crash/stress tests
Evaluations
Company Portfolio Profit center Product
Market data
10.0 9.0 8.0 7.0 6.0 5.0 4.0 3.0 2.0
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)
Transaction data
Calculation
Historical simulation Monte Carlo
Evaluations
Variance/covariance Backtesting
No.
1 2 3 4 5 6 7 8 9 10 11 12 13
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
483.9 524.8 530.6 538.9 543.8 546.8 557.5 559.8 560.5 562.6 564.2 565.5 569.1
Risk
-134.3 -93.3 -87.5 -79.2 -74.3 -71.3 -60.6 -58.3 -57.7 -55.5 -53.9 -52.6 -49.0
Confidence Interval
99.0%
Risk management
97,5%
50 45 40 35
95.0%
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
Price calculator
(user exit)
End-of-Day Processing
Limit check
Attributable amount
O.K.
Limit
Deal
Reporting
Exposure Limit Partner 8.5 10.5 Euro Bank 632.3 700.7 United Bank 688.1 716.7 Carlton 12.3 4.8 Brightline Free Limit 2.0 68.4 28.6 -7.5 Util. in % 80.9% 90.3% 96.0% 256.3%
m
e n
Can choose the Utilization Portfolio and the Reference Portfolio. They can be same or different.
Can compare same key figures from different portfolios or Different key figures from the same portfolio
Portfolio Analyzer
Investment strategy
Determination of benchmark Improvement and alignment
Performance measurement
Benchmarking
Portfolio Analyzer
SAP AG 2009. All rights reserved. / Page 23
September 2011