SAP Treasury and Risk Management - newbooks-services.de€¦ · Bonn Boston Rudolf Bryša, Thomas Fritzsche, Markus Heß, Sönke Jarré, Reinhold Lövenich, Andreas Martin, Klaus

Bonn � Boston

Rudolf Bryša, Thomas Fritzsche, Markus Heß, Sönke Jarré, Reinhold Lövenich, Andreas Martin, Klaus G. Müller

SAP® Treasury and Risk Management

433.book Seite 3 Dienstag, 2. April 2013 8:34 20

Contents at a Glance

1 Introduction ....................................................................... 21

2 Master Data ....................................................................... 53

3 Transaction Management .................................................. 87

4 Correspondence ................................................................. 183

5 Position Management ....................................................... 263

6 Integration with Other Modules ....................................... 419

7 Market Data ...................................................................... 479

8 Exposure Management ...................................................... 537

9 Hedge Accounting for Exposures ....................................... 575

10 Hedge Accounting for Positions ........................................ 651

11 Reporting with the Information System ............................ 713

12 Portfolio Controlling with the Analyzers ........................... 787

13 Interfaces and Enhancements ............................................ 1005

14 Legal Regulations .............................................................. 1045

15 Integration and System Tools ............................................ 1057


7

Contents

1 Introduction ................................................................. 21

1.1 Welcome to SAP Treasury and Risk Management ........... 211.1.1 Target Audience ................................................. 221.1.2 Working with this Book ..................................... 24

1.2 Content and Structure of the Book ................................. 241.3 Overview of Financial Instruments .................................. 31

1.3.1 OTC Financial Instruments ................................. 311.3.2 Listed Financial Instruments ............................... 33

1.4 History of SAP Treasury and Risk Management ............... 351.4.1 New Developments in Release SAP R/3

Enterprise 2.0 .................................................... 361.4.2 New Developments in Release SAP ERP 2004 .... 371.4.3 New Developments in Release SAP ERP 6.0 ....... 37

1.5 Enhancement Packages for SAP ERP 6.0 ......................... 381.5.1 Enhancement Packages and Business

Functions ........................................................... 381.5.2 An Overview of Business Functions in SAP

Treasury and Risk Management .......................... 401.5.3 Business Functions for EHP3 .............................. 411.5.4 Business Functions for EHP4 .............................. 421.5.5 Business Functions for EHP5 .............................. 441.5.6 Business Functions for EHP6 .............................. 47

1.6 Rapid Deployment Solution and SAP Treasury and Risk Management ........................................................... 481.6.1 Rapid Deployment Solution—An Overview ........ 481.6.2 Rapid Deployment Solution for SAP Treasury

and Risk Management ....................................... 49

2 Master Data ................................................................. 53

2.1 Central Customizing Settings .......................................... 542.1.1 Types and Categories ......................................... 542.1.2 Product Type ..................................................... 552.1.3 Transaction Type ................................................ 56


Contents

8

2.1.4 Commodity Type ................................................ 582.1.5 Company Code ................................................... 59

2.2 Commodity Master Data ................................................. 602.3 Class Master Data ........................................................... 62

2.3.1 Entering Class Master Data ................................. 622.3.2 Customizing of Class Master Data ....................... 712.3.3 Listed Commodity Derivatives ............................ 732.3.4 Additional Tabs for Class Master Data ................ 732.3.5 Classification ...................................................... 76

2.4 Business Partners ............................................................ 762.4.1 House Banks ...................................................... 762.4.2 Business Partner Roles ........................................ 772.4.3 Standing Instructions .......................................... 79

2.5 Organizational Elements ................................................. 822.5.1 Securities Account .............................................. 822.5.2 Futures Account ................................................. 842.5.3 Portfolio ............................................................. 852.5.4 Other Organizational Elements ........................... 86

3 Transaction Management ............................................ 87

3.1 Financial Transaction ...................................................... 883.1.1 Conventions of Use ............................................ 893.1.2 Transaction Management Entry Screen ............... 943.1.3 Data Screen ........................................................ 983.1.4 Flows ................................................................. 1043.1.5 Conditions ......................................................... 1103.1.6 Underlying ......................................................... 1193.1.7 Listed Financial Instruments ............................... 1213.1.8 Field Selection .................................................... 1223.1.9 Activities ............................................................ 123

3.2 Trading ........................................................................... 1253.2.1 Preparation ........................................................ 1263.2.2 Decision-Making Tools ....................................... 1283.2.3 Trading Functions ............................................... 129

3.3 Back-Office Processing .................................................... 1333.3.1 Interest Rate Adjustment .................................... 1343.3.2 Price Adjustment ................................................ 1393.3.3 Exchange Rate .................................................... 140


Contents

9

3.3.4 References ......................................................... 1413.3.5 Settlement ......................................................... 1433.3.6 Status Management ........................................... 1433.3.7 Workflow ........................................................... 1453.3.8 Change Documents ............................................ 146

3.4 Operative Reporting ....................................................... 1473.4.1 Controlling ......................................................... 1483.4.2 Overview ........................................................... 149

3.5 Product Categories ......................................................... 1513.5.1 Securities ........................................................... 1523.5.2 Fixed-Term Deposit ........................................... 1533.5.3 Deposit at Notice ............................................... 1543.5.4 Commercial Paper .............................................. 1543.5.5 Cash-Flow Transaction ....................................... 1553.5.6 Interest-Rate Instrument .................................... 1553.5.7 Facility ............................................................... 1553.5.8 Fiduciary Deposit ............................................... 1563.5.9 Foreign Exchange Transaction ............................ 1573.5.10 Cap/Floor ........................................................... 1573.5.11 Interest Rate Swap ............................................. 1583.5.12 Forward Rate Agreement (FRA) .......................... 1583.5.13 Total Return Swap ............................................. 1593.5.14 Future ................................................................ 1593.5.15 Repo .................................................................. 1603.5.16 Forward Securities Transaction ........................... 1603.5.17 Listed Option ..................................................... 1613.5.18 OTC Option ....................................................... 1623.5.19 Securities Lending .............................................. 1633.5.20 Forward ............................................................. 1633.5.21 Forward Loan Purchase ...................................... 1643.5.22 Commodity Forward .......................................... 1643.5.23 Commodity Swap ............................................... 164

3.6 Architecture ................................................................... 1653.6.1 Database ............................................................ 1653.6.2 Application Framework ...................................... 1663.6.3 Customer-Specific Tab Page ............................... 171

3.7 Specific Topics ................................................................ 1743.7.1 Roles ................................................................. 175


Contents

10

3.7.2 Mirror Transactions ............................................ 1763.7.3 Internal Foreign Exchange Trading ...................... 179

4 Correspondence ............................................................ 183

4.1 The Old Correspondence Functions ................................ 1854.2 Migration ....................................................................... 1894.3 Basic Principles ............................................................... 190

4.3.1 History ............................................................... 1904.3.2 Terms ................................................................. 1914.3.3 Correspondence Framework ............................... 1924.3.4 Correspondence Object ...................................... 194

4.4 Customizing and Master Data ......................................... 1964.4.1 Technical Communication Profile ....................... 1964.4.2 Correspondence Partner ..................................... 2054.4.3 Assignments for the Inbound Process ................. 2114.4.4 Assignments for the Outbound Process .............. 2134.4.5 Additional Settings ............................................. 2154.4.6 Document Management ..................................... 2194.4.7 SAPscript Forms ................................................. 2194.4.8 PDF Forms ......................................................... 220

4.5 Outbound Process .......................................................... 2214.5.1 Correspondence Object for a Financial

Transaction ........................................................ 2214.5.2 Correspondence Object for a Securities

Account Transfer ................................................ 2244.5.3 Manual Creation of Correspondence Objects ...... 2254.5.4 Release Process for a Correspondence Object ..... 2264.5.5 Sending .............................................................. 228

4.6 Inbound Process ............................................................. 2304.6.1 Starting the Inbound Process .............................. 2314.6.2 BAdIs Used ........................................................ 2334.6.3 Split and Merge .................................................. 2344.6.4 Mapping ............................................................ 2354.6.5 Standard Messages ............................................. 2354.6.6 Cancellation Messages and Amendment

Messages (CANC/AMND) ................................... 2364.6.7 Acknowledgment Messages (ACK/NACK) ........... 2364.6.8 Inbound Process in the Examples ....................... 237


Contents

11

4.7 Mapping ......................................................................... 2384.7.1 Principles of Mapping Rules ............................... 2394.7.2 View Cluster ...................................................... 2414.7.3 Graphical Mapping Tool ..................................... 242

4.8 Matching ........................................................................ 2434.8.1 Customizing ....................................................... 2444.8.2 Automatic Matching .......................................... 2454.8.3 Forced Matches ................................................. 246

4.9 Alerts ............................................................................. 2474.9.1 Customizing ....................................................... 2474.9.2 Alert Types ........................................................ 2494.9.3 Monitoring and Triggering Alerts ....................... 250

4.10 Display ........................................................................... 2504.10.1 Display in the Financial Transaction ................... 2514.10.2 Display for a Securities Account Transfer ............ 251

4.11 Correspondence Monitor ................................................ 2514.11.1 Selection Screen ................................................. 2524.11.2 Data Screen ....................................................... 254

4.12 Enhancements (BAdIs) .................................................... 2584.12.1 ES_TCOR_MONITOR Enhancement Spot ........... 2584.12.2 ES_TCORF_CONFIG Enhancement Spot ............. 2604.12.3 ES_TCORF_MSG_INT Enhancement Spot ........... 2604.12.4 FTR_TR_ALERT Enhancement Spot .................... 262

5 Position Management .................................................. 263

5.1 Basic Terms .................................................................... 2645.1.1 External and Internal Positions ........................... 2645.1.2 Update Type ...................................................... 2675.1.3 Business Transaction .......................................... 2695.1.4 Parallel Accounting Principle .............................. 271

5.2 External Position Management ....................................... 2725.2.1 Securities Account Management ........................ 2735.2.2 Corporate Actions .............................................. 2915.2.3 Rights ................................................................ 2975.2.4 Futures Account Management ........................... 304

5.3 Basic Principles of Internal Position Management ........... 3145.3.1 Architecture of Internal Position Management ... 3155.3.2 Defining Valuation Areas ................................... 323


Contents

12

5.3.3 Valuation Classes ................................................ 3265.3.4 Differentiation .................................................... 3285.3.5 Position Indicator ............................................... 3365.3.6 Position Management Procedure ........................ 3425.3.7 Derived Business Transactions ............................ 349

5.4 Processes of Internal Position Management .................... 3555.4.1 Executing a Key Date Valuation .......................... 3555.4.2 Impairments and Unscheduled Valuations .......... 3585.4.3 Customizing the Valuation ................................. 3615.4.4 Accruals/Deferrals .............................................. 3895.4.5 Transfer .............................................................. 3965.4.6 Intragroup Transactions ...................................... 407

5.5 Sample Scenarios ............................................................ 4115.5.1 Bonds in the "Available for Sale" Holding

Category ............................................................ 4115.5.2 Loans with Annuity or Installment

Repayments ....................................................... 415

6 Integration with Other Modules ................................. 419

6.1 Paying Valuation Area ..................................................... 4206.2 Financial Accounting ....................................................... 421

6.2.1 Posting Processes ............................................... 4226.2.2 Account Determination ...................................... 4336.2.3 Parallel Accounting Principles in Financial

Accounting ......................................................... 4446.2.4 Customizing the Accounts Approach .................. 4496.2.5 Customizing Options for the Ledger Approach

in New G/L ........................................................ 4516.2.6 Customizing the Ledger Approach with

Special Ledgers .................................................. 4536.3 Processing Payments ....................................................... 454

6.3.1 Customer Subledger ........................................... 4566.3.2 Payment Requests .............................................. 4586.3.3 SAP In-House Cash ............................................. 463

6.4 SAP Cash and Liquidity Management .............................. 4666.5 Public Sector Management ............................................. 469

6.5.1 Entering Account Assignment Objects ................ 4696.5.2 Funds Transfer .................................................... 472


Contents

13

6.5.3 Investment Pools ............................................... 4726.5.4 Activating and Setting the Integration with

Public Sector Management ................................ 4746.6 Regulatory Reporting ...................................................... 475

7 Market Data ................................................................. 479

7.1 Foreign Exchange Rates and Foreign Exchange Swap Rates ..................................................................... 479

7.2 Security Prices ................................................................ 4817.2.1 Maintaining Security Prices ................................ 4817.2.2 Security Price Calculation for Bonds ................... 4837.2.3 Reading Security Prices ...................................... 484

7.3 Reference Interest Rates and Yield Curves ...................... 4867.3.1 Reference Interest Rates .................................... 4867.3.2 Yield Curves ....................................................... 4897.3.3 Market Data Maintenance for Interest Rates ...... 495

7.4 Commodity Prices and Commodity Forward Curves ........ 4997.4.1 Commodity Prices from Logistics ........................ 5007.4.2 Future-Style Commodity Forward Curves ........... 5017.4.3 Forward-Style Commodity Forward Curves ......... 504

7.5 Indexes ........................................................................... 5067.5.1 Stock Indexes ..................................................... 5067.5.2 Price Indexes ..................................................... 507

7.6 Credit Spreads ................................................................ 5077.7 Volatilities ...................................................................... 508

7.7.1 First Volatility Database ..................................... 5097.7.2 Central Volatility Database ................................. 5127.7.3 Access Rules for Volatilities ................................ 514

7.8 Correlations .................................................................... 5167.9 Net Present Value Repository ......................................... 517

7.9.1 Net Present Value Repository ............................. 5187.9.2 Maintaining Net Present Values ......................... 5197.9.3 Determination of Net Present Values ................. 519

7.10 Scenarios and Market Data Shifts .................................... 5217.10.1 Scenarios ........................................................... 5217.10.2 Market Data Shifts ............................................. 5237.10.3 Scenario Processes ............................................. 524


Contents

14

7.11 Market Data Interface ..................................................... 5247.11.1 Market Data Transfer via File Interface ............... 5257.11.2 Datafeed ............................................................ 5287.11.3 Market Data Transfer via Spreadsheet ................ 534

8 Exposure Management ................................................ 537

8.1 Basic Principles ............................................................... 5388.1.1 Usage ................................................................. 5388.1.2 Terms ................................................................. 539

8.2 Raw Exposure ................................................................. 5418.2.1 Raw Exposure Maintenance ............................... 5418.2.2 Overview of Raw Exposures ............................... 5468.2.3 Defining a Commodity Split ................................ 548

8.3 Raw Exposure Customizing ............................................. 5508.3.1 Global Settings ................................................... 5508.3.2 Exposure Activity Type ....................................... 5518.3.3 Free Attributes ................................................... 553

8.4 Releasing Raw Exposures ................................................ 5548.4.1 Manual Release and Automatic Release .............. 5558.4.2 Connection to SAP Business Workflow ............... 5558.4.3 Derivation Strategy for Exposure Fields .............. 5568.4.4 Product Type ...................................................... 5578.4.5 Exposure Position Type ...................................... 5588.4.6 Non-Derived Exposure Transactions ................... 561

8.5 Exposure Position ........................................................... 5628.5.1 Position Values for Exposure Positions ............... 5638.5.2 Exposure Position Flows ..................................... 5658.5.3 Commodity Exposure Report .............................. 567

8.6 Integration of Logistics into Treasury ............................... 5698.6.1 Logistics Outbound Processing ........................... 5708.6.2 Treasury Inbound Processing .............................. 572

9 Hedge Accounting for Exposures ................................. 575

9.1 Processes in Hedge Accounting for Exposures ................. 5769.1.1 Hedge Plan ........................................................ 5779.1.2 Exposures ........................................................... 5809.1.3 Hedged Item ...................................................... 582


Contents

15

9.1.4 Hedging Relationship ......................................... 5839.1.5 Calculating Net Present Values ........................... 5869.1.6 Prospective and Retrospective

Effectiveness Tests ............................................. 5879.1.7 Hedge Accounting in the Key Date Valuation ..... 5929.1.8 End of a Hedging Relationship ........................... 5959.1.9 After the End of a Hedging Relationship ............. 6009.1.10 Reporting in Hedge Accounting ......................... 602

9.2 Customizing .................................................................... 6059.2.1 Central Customizing: Hedge Accounting

for Exposures as an Internal Add-On .................. 6059.2.2 Settings for the Effectiveness Test ...................... 6079.2.3 Market Risk Analyzer Settings ............................ 6179.2.4 Position Management Settings ........................... 619

9.3 Ways to Create Exposures ............................................... 6249.3.1 Direct Entry ....................................................... 6259.3.2 Creating Exposures When Creating a Hedge

Transaction ........................................................ 6259.3.3 Transfer from Exposure Management ................. 6299.3.4 Upload ............................................................... 6309.3.5 Entry Using Generic Financial Transactions ......... 632

9.4 Implementation Guide .................................................... 6339.4.1 Full Fair Value Hedging ...................................... 6359.4.2 Exchange Rate Risk Hedging .............................. 6389.4.3 Interest Rate Risk Hedging ................................. 644

10 Hedge Accounting for Positions .................................. 651

10.1 Processes in Hedge Accounting for Positions .................. 65310.1.1 Hedge Accounting as an Integral Part of

Position Management ........................................ 65310.1.2 Hedging Relationship ......................................... 654

10.2 Position Management in Hedging Relationships ............. 67410.2.1 Designation in Position Management—

Phenomenology ................................................. 67410.2.2 Concept of the Sub-Position .............................. 67610.2.3 Valuation and Hedge Accounting ....................... 67710.2.4 Dedesignation .................................................... 68110.2.5 Customizing ....................................................... 683


Contents

16

10.3 Effectiveness Test ............................................................ 68910.3.1 Effectiveness Test With and Without Value

Calculation ........................................................ 68910.3.2 Effectiveness Test Method ................................ 69010.3.3 Settings for Market Data Retrieval in the PET .... 69810.3.4 Test Execution .................................................. 70310.3.5 Effectiveness Test Results .................................. 70610.3.6 Effectiveness Test Framework ............................ 709

11 Reporting with the Information System ...................... 713

11.1 Logical Databases ........................................................... 71411.1.1 Logical Database FTI_TR_DEALS ....................... 71711.1.2 Logical Database FTI_TR_POSITIONS ................ 72711.1.3 Logical Database FTI_TR_PERIODS ................... 74211.1.4 Logical Database FTI_TR_PL_CF ........................ 75011.1.5 Logical Database FTI_TR_FLOWS ...................... 75111.1.6 Logical Database FTI_TR_THX_HEDGE .............. 75311.1.7 Logical Database FTI_TR_COMM_DEAL_EXP .... 75411.1.8 Logical Database FTI_TR_HEDGE ...................... 75611.1.9 Logical Database FTLM_DB01 ........................... 75811.1.10 Performance and Parallelization of the

Logical Databases ............................................. 75911.1.11 Settings for Authorization Checks ...................... 760

11.2 SAP Query ...................................................................... 76011.2.1 SAP Queries for Standard Reports ..................... 76111.2.2 Maturity List ..................................................... 76111.2.3 Report–Report Interface .................................... 763

11.3 Function Module LDB_PROCESS and RAPIs .................... 76611.3.1 Function Module LDB_PROCESS ....................... 76711.3.2 RAPIs ................................................................ 771

11.4 SAP NetWeaver BW ........................................................ 77611.4.1 Extracting Position Data .................................... 77811.4.2 Extracting Market Data ..................................... 784

12 Portfolio Controlling with the Analyzers ..................... 787

12.1 The Analyzer Family ........................................................ 78812.1.1 Market Risk Analyzer .......................................... 78812.1.2 Portfolio Analyzer ............................................... 789


Contents

17

12.1.3 Accounting Analyzer .......................................... 79012.1.4 Credit Risk Analyzer ........................................... 791

12.2 Basic Principles, Architecture, and Data Retention .......... 79112.2.1 Basic Concepts ................................................... 79212.2.2 Financial Object Position Parts and

Maintenance ...................................................... 79512.2.3 Analysis Characteristics and Analysis Structure ... 80212.2.4 Characteristics in the Credit Risk Analyzer .......... 82212.2.5 Financial Object Integration ............................... 82312.2.6 Risk Objects and Generic Transactions ............... 838

12.3 Common Control and Structuring Entities ....................... 84012.3.1 Cash Flow Indicator ........................................... 84012.3.2 Evaluation Type and Valuation Rules .................. 84112.3.3 Filter .................................................................. 85212.3.4 Portfolio Hierarchy ............................................. 858

12.4 Value at Risk .................................................................. 86312.4.1 Basic Principles .................................................. 86412.4.2 Risk Hierarchy .................................................... 86612.4.3 Statistics Calculator ............................................ 86912.4.4 Value at Risk Calculation .................................... 87912.4.5 Backtesting ........................................................ 89012.4.6 Other Key Figures .............................................. 891

12.5 Online Analyses of the Market Risk Analyzer .................. 89212.5.1 Net Present Value Analysis ................................. 89312.5.2 Key Figure Analysis ............................................ 89612.5.3 Value at Risk Individual Analysis ........................ 90112.5.4 Overview of Other Online Analyses .................... 905

12.6 The Results Database of the Market Risk Analyzer, Portfolio Analyzer, and Accounting Analyzer ................... 90712.6.1 Introduction to the Results Database ................. 90712.6.2 Key Figures and Key Figure Categories ............... 91212.6.3 Evaluation Procedures ........................................ 92112.6.4 Maintenance of Key Figures and Evaluation

Procedures ......................................................... 92512.6.5 Calculation of the Single Records and

Final Results ....................................................... 93712.6.6 Portfolio Analyzer: Yield Methods and

Determination ................................................... 944


Contents

18

12.6.7 Portfolio Analyzer: Benchmarking ....................... 95212.6.8 Portfolio Analyzer: Risk-Adjusted Key Figures ..... 96012.6.9 Analyzer Information System .............................. 967

12.7 Credit Risk Analyzer ........................................................ 97612.7.1 Global Settings ................................................... 97712.7.2 Attributable Amount Determination ................... 97812.7.3 Limit Management ............................................. 99012.7.4 Automatic Financial Object Integration .............. 99612.7.5 Integrated Single Transaction Checking and

End-Of-Day Processing ....................................... 99612.7.6 Reporting ........................................................... 100012.7.7 Additional Functions and Tools .......................... 1002

12.8 Tools: Parallel Processing ................................................ 1002

13 Interfaces and Enhancements ......................................1005

13.1 BAPIs .............................................................................. 100613.1.1 Introduction to BAPIs ......................................... 100613.1.2 Financial Instrument–Specific BAPIs ................... 101213.1.3 Cross-Financial Instrument BAPIs ....................... 101413.1.4 BAPIs for Financial Transaction as a Whole ......... 101613.1.5 BAPIs for Master Data ........................................ 101813.1.6 BAPIs for Exposure Management and Hedge

Accounting for Exposures ................................... 101913.2 PI Message ..................................................................... 1020

13.2.1 PI Interface TreasuryDealNotification ................. 102013.2.2 Example of Routing and Mapping in PI .............. 102213.2.3 Mapping in the Target System ............................ 1026

13.3 Enhancements ................................................................ 103013.3.1 Customer Exit ..................................................... 103113.3.2 BAdI ................................................................... 103313.3.3 Enhancement Spot ............................................. 1038

14 Legal Regulations .........................................................1045

14.1 Sarbanes-Oxley Act ......................................................... 104614.1.1 SAP Solutions for Governance, Risk, and

Compliance ........................................................ 104614.1.2 Management of the Internal Control System ...... 1047


Contents

19

14.1.3 Controls in the Treasury ..................................... 104714.2 Tax Authority Requirements ........................................... 1049

14.2.1 The Tax Auditor in the System ........................... 104914.2.2 Surrendering Tax-Relevant Data ......................... 1051

15 Integration and System Tools ......................................1057

15.1 Attribute Derivation Tool ................................................ 105715.1.1 Step Types ......................................................... 105815.1.2 Usage and Examples ........................................... 1058

15.2 Legacy Data Transfer ...................................................... 106215.2.1 Legacy Data Transfer for OTC Transactions ......... 106315.2.2 Legacy Data Transfer for Securities ..................... 106515.2.3 Legacy Data Transfer for Futures and Listed

Options ............................................................. 106815.2.4 Customizing the Legacy Data Transfer ................ 1069

15.3 Initialization ................................................................... 107115.3.1 Initialization for OTC Transactions ...................... 107315.3.2 Initialization for Securities .................................. 107415.3.3 Initialization of Futures, Listed Options,

and Loans .......................................................... 107415.4 Migration ....................................................................... 107515.5 Archiving ........................................................................ 1078

15.5.1 Transaction Management ................................... 107915.5.2 Correspondence ................................................. 107915.5.3 Position Management ........................................ 108015.5.4 Exposure Management ...................................... 108115.5.5 Hedge Accounting ............................................. 108215.5.6 Analyzer ............................................................. 1082

Appendices .........................................................................1083

A Bibliography .............................................................................. 1085B The Authors .............................................................................. 1087C Acknowledgments ..................................................................... 1091

Index ................................................................................................ 1093


Transaction Management

140

3

3.3.3 Exchange Rate

Fixing theexchange rate

The financial instrument known as a foreign exchange fixing transactionrelates to a middle rate quoted on the stock exchange on a specified day.As soon as this rate is determined, use automatic or manual fixing toenter it in the financial transaction. The fixing creates an activity transi-tion from the Fixing activity or the Fixing Settlement activity to theContract activity.

It is also necessary to fix the foreign exchange rates for some financialinstruments from the OTC options area. In these cases, fixing is not anactivity in itself. Rather, it is the exchange-rate entry made in the finan-cial transaction. The OTC option can be exercised only when all fixingshave been performed for a transaction.

Automatic Fixing Processing

Automatic fixing processing for the foreign exchange financial instru-ment by means of the Automatic Fixing Processing transaction (TBCS)inserts the middle rate with exchange rate type M from the currencytable TCURR into the financial transaction. For spreads that deviate fromthe ask rate and bid rate, a markup/markdown is taken into account forthe amount of the separately stored fixing spread. The financial transac-tion is then saved in the Contract activity.

The requirement for automatic fixing processing is that you have usedthe data feed or a file interface to import market data for current foreignexchange rates (see Chapter 7).

Manual Fixing

You can also use the Fixing button in the Execute Fixing Transaction

transaction (TXV5) or Process Financial Transaction transaction(FTR_EDIT) to fix the foreign exchange financial instruments. You canuse both transactions to access a financial processing transaction datascreen in order to enter a currency rate and save the financial transac-tion in the new Contract activity.


Back-Office Processing

141

3.3

Average Rate Fixing

FixingThe Fix Average Rate transaction (TAV1) fixes exchange rates for theaverage-rate option, basket option, and correlation option financialinstruments. For these financial instruments, the dates by which foreignexchange rates must be fixed are saved upon creation of the financialtransaction. The settlement amount is determined from the foreignexchange rates when the option is exercised.

Selection screenThe selection screen for the transaction contains general selections forthe financial transactions. You can use the Up to and including rate

date parameter to define the date by which fixing is to be performed.

If you have set the Only exact day rates permitted indicator, the sys-tem takes into account only rates with a date that concurs with the fixingdate for the financial transaction when determining foreign exchangerates. The system issues an error message if no foreign exchange rate isdefined in the system for the specified date. If this indicator is not set,the system first tries to find a to-the-day rate when determining foreignexchange rates. If this is not possible, the system also considers ratesthat are in the past from the perspective of the specified fixing date.

LogAfter you make your selections, the system displays a log with theresults and error messages.

Reset fixingThe Reset Average Rate Fixing transaction (TAV2) resets the foreignexchange rate fixings performed in Transaction TAV1. You can then per-form the fixings again.

The selection screen in Transaction TAV2 is similar to the selectionscreen in Transaction TAV1 (Fix Average Rate). The As of and includ-

ing rate date field specifies from which key date the fixed rates are tobe deleted. The log is structured in exactly the same way.

3.3.4 References

A reference establishes a relationship between any numbers of financialtransactions. The reference category determines the meaning of a refer-ence. Some references are automatically created for actions in the finan-cial transactions, while others are created manually by the user. You can



142

3

use the following transactions to process references: Create Reference(TBR6), Change Reference (TBR7), Display Reference (TBR8), andReverse Reference (TBR9).

Referencecategories

Table 3.7 displays the reference categories available in the system.

Except for the mirror transaction links, you can also perform manualchanges for automatically created references. For example, after revers-ing a currency option that belonged to an option spread, you could reas-sign the newly created currency option manually to the other currencyoption. However, such manual intervention is necessary only in excep-tional cases.

Collectiveprocessing

of references

You can use the Collective Processing of References transaction(TBRL) to monitor references. The result list contains the following func-tions for accessing reference processing: Create, Change, Display, andReverse.

Overview via areference category

To gain an overview of all nettings with a partner, for which moneymarket transactions are involved, proceed as follows: start TransactionTBRL and select the reference category KMP and the money-marketapplication. Now, restrict the selection to one or more partners.

Reference Category Description Creation

BID Offer Automatic

CON SWIFT confirmation files Automatic

EUR Euro transaction currency changeover Automatic

MIR Mirror transaction links Automatic

KMP Nettings Manual

OPT Option reference derivatives Automatic

PRL Rollover of foreign exchange transactions Automatic

REF General reference Manual

SWP Foreign exchange swap Automatic

ICH Issuance contract hedge Manual

Table 3.7 Reference Categories



143

3.3

Overview of the References

In the creating a financial transaction data screen, you can gain an overview ofthe references associated with a financial transaction via Environment �Object links. Double-clicking a reference takes you to the detailed displayscreen for the reference. You can navigate to the relevant financial transac-tions from there.

3.3.5 Settlement

Settlement activityThe processing category mentioned in Section 3.1.9 also defineswhether there are settlement activities. For example, settlement cate-gory 00101 is defined for product category 600 and transaction category100 with the activity sequence: Order – Contract – Settlement. In thisway, you can use the processing categories to exert a control functionfor creating a financial transaction.

Settlement causes an activity transition from the current activity to thecorresponding settlement activity. When doing this, you can changedata, and the system checks the consistency of the data. In the centralentry transaction for processing a financial transaction (TransactionFTR_EDIT), the settlement function is represented by the Settle button.

Mass Settlement

You can use the Mass Settlement of Financial Transactions transaction (FTR_MASS_SETTLE) to settle several financial transactions simultaneously.

3.3.6 Status Management

System status and user status

Transaction management is linked to the general status managementfunction. This is where the system status is defined and an assignment isdefined for which business activities are possible for a status. Because allthe transactions in transaction management represent business activi-ties, status management also defines how an activity can set or deleteone or more system status value. In addition, you can define the userstatus for yourself, as well as configure how it is controlled. The currentstatus and resulting business activities are displayed on the Status tabpage of the data screen.



144

3

Example:user status

For fixed-term deposit 51A with transaction type 100, when the con-tract is created, it should not be possible to settle the transaction untilthe counter-confirmation is received. To do this, create a profile in Cus-tomizing under Treasury and Risk Management � Transaction Man-

ager � General Settings � Transaction Management � Status Manage-

ment � Define Status Profile and assign a name to the status profile,enter some text, and specify a maintenance language. If you double-clicka row that contains a status profile, you access the screen shown in Fig-ure 3.29 and can define the status here. You can use the Object Types

button to assign it to the money-market financial instrument.

If you double-click the user status displayed in a row, the system takesyou to the activity control screen for the status profile described astransaction business in Figure 3.30. This is where you make the settingsto ensure that the Settle business activity (described as a business trans-action in Figure 3.30) is forbidden by the status. Setting the status ABC

is the next action for the Create Contract activity, while deleting thestatus is the next action for the Confirm activity.

After saving your entries, you must assign the new status profile to therequired transaction type in Customizing under Treasury and Risk

Figure 3.29 Customizing Screen for Defining a Status Profile

Figure 3.30 Customizing Screen for Transaction Control for a Status Profile



145

3.3

Management � Transaction Manager � Money Market � Transaction

Management � Transaction Types � Define Transaction Types.

Correcting the Status

If the status of a financial transaction becomes inconsistent, you can use thereport RFTB_STATUSOBJECT_CREATE to restore the correct status.

3.3.7 Workflow

You can use a workflow to define release procedures for creating or pro-cessing a financial transaction, and to include the release in a user'sworklist. The status management function triggers events for the businessobject BUS2042 (financial transaction) and thereby sets off workflows.

Example: workflowFor product type 51A with transaction type 100, you want to implementa one-step release procedure for creating a contract so that another pro-cessor must concur before the contract can be created and subsequentprocesses, such as settlement, can be performed. It should also be possi-ble to process the financial transaction and, in this case, reset the releaseprocedure.

In Customizing, under Treasury and Risk Management � Transaction

Manager � General Settings � Transaction Management � Release �

Define Release Procedure, you can make the corresponding entry forthe product type and transaction type and set the Release procedure

flag. Select the row and double-click the Release conditions folder. Youcan now create a new release (see Figure 3.31).

In Customizing, under Treasury and Risk Management � Transaction

Manager � General Settings � Transaction Management � Release �

Figure 3.31 Customizing Screen for Defining Release Conditions



146

3

Adjust/Copy Workflow Template, you should then copy the specifiedrule 20000034 and workflow 20000139 and adjust them according toyour requirements.

If you have created a new workflow, you must still use the Display/Maintain Event Type Linkages transaction (SWETYPV) to add the newtask to the event type linkage for the business object BUS2042. This trans-action is located in the menu under Tools � ABAP Workbench � Devel-

opment � SAP Business Workflow � Definition Tools � Events � Event

Linkages. If you now create a financial transaction of this kind as a con-tract, a new work item is created for approval in the worklist of the spec-ified processor.

3.3.8 Change Documents

The changes to every financial transaction are logged in the database andwritten to change documents. You can navigate from the transaction cre-ation data screen to the selection screen for change documents (see Fig-ure 3.32) via the main menu: Environment � Change documents.Alternatively, you can call the Treasury: Change Docs Transactionstransaction (TBCD) directly.

Figure 3.32 Selection Screen for Change Documents


Portfolio Controlling with the Analyzers

788

12

Then, in Section 12.6, we cover the details of setup and management ofthe results database, which can store common analyses for the MarketRisk Analyzer, Portfolio Analyzer, and Accounting Analyzer, makingthem available for overall reporting. Then, in Section 12.7, we look atthe Credit Risk Analyzer before finishing the chapter with a short sec-tion about tools.

Notes Regarding the Path Details

In many places in this text, due to their structural similarity, the menu paths ofthe Analyzers are built the same. Thus, we use an abbreviated specificationhere. The path Treasury and Risk Management � Market Risk/Portfolio/Accounting Analyzer � Tools � Financial objects means that you can findthe transaction named under both Treasury and Risk Management � MarketRisk Analyzer � Tools � Financial objects and Treasury and Risk Manage-ment � Portfolio Analyzer � Tools � Financial objects, or under Treasuryand Risk Management � Accounting Analyzer � Tools � Financial objects.

12.1 The Analyzer Family

History Today, the Analyzers are an integral component of SAP Treasury andRisk Management. Their developmental history, however, was not sohomogeneous. The analytical modules of SAP Treasury and Risk Man-agement resulted from the coupling of modules from SEM Banking toTreasury Management for Release 4.6C, add-on CFM 1.0. Here, wepresent only the parts of the Analyzer family relevant to you as a user. Ina few places, for reasons of clarity, we cover the connections of the Ana-lyzers specifically with SEM Banking, in order to correctly delimit Ana-lyzer functions between the SAP Treasury and Risk Management andSEM Banking.

The Portfolio Analyzer and Accounting Analyzer—the latest additions tothe Analyzer family—have been developed independently of SEM Bank-ing.

12.1.1 Market Risk Analyzer

Market risk The core task of the Market Risk Analyzer (Transaction TRM-MR) is theanalysis of market risks in financial positions you are managing.


The Analyzer Family

789

12.1

Changes in market prices represent important influencing factors forcompany success. Changes to market prices can influence the value ortransaction value of payment flows. Operational enterprise activitiesand treasury transactions are both subject to these risks. The methodicalvariety of functionality of the Market Risk Analyzer allows the detailedassessment of your existing positions with respect to price determina-tion factors.

Functionalspectrum

The Market Risk Analyzer is designed for the requirements of differentindustries. It combines the methodical requirements from the financialservices sector with the capability of including payment flows fromoperational enterprise activities in the risk analysis. Risks can be ana-lyzed according to their causal risk factors, like exchange rates, interestrates, or commodity prices, using freely definable risk and portfoliohierarchies. Analyses like net present value analysis are just as muchpart of the spectrum as Value at Risk analyses, as a classical instrumentof risk controlling. As an integral component of SAP Treasury and RiskManagement, the analyses provide all relevant information from thetransactional representation of the positions. The level of real transac-tions, positions, and market data can be extended if needed with busi-ness simulations and market data scenarios in order to show the changepotentials of alternative backup strategies. The Market Risk Analyzer cantherefore be divided into the following functional areas:

� Market data management

� Net present value calculator (also called the fair value calculator)

� Online reports

� Results database

12.1.2 Portfolio Analyzer

Functionalspectrum

The Portfolio Analyzer (Transaction TRM-PA) groups tools for the calcu-lation of yield and performance figures, as well as for the comparison ofthose key values with benchmarks. It is designed so that you can mea-sure the success of investments from different custom-defined perspec-tives independently from the transactional entities using a variety ofmethods. The basis for calculation is the structuring of your portfolio



790

12

into portfolio hierarchies that define a flexible view of your positionswith different levels of aggregation. On each of those levels, you can cal-culate the yields of a variety of variants and compare those benchmarkfigures with one another.

Results databaseand Portfolio

Analyzer

The Portfolio Analyzer is concentrated on the results database becausethe greater runtime requirements in comparison with the Market RiskAnalyzer largely forbid online analysis. You can use reporting to displaythe stored results, making navigation down to the individual transactionlevel of your analysis simple and results transparent. The structure of theportfolio hierarchies, as well as the yield and benchmark calculations,are versioned so that an audit of the basic calculations is possible at anytime, as is the historization of calculation results.

12.1.3 Accounting Analyzer

Functionalspectrum

The Accounting Analyzer (Transaction TRM-AA) provides accounting val-ues, such as book value and amortized acquisition value, as well as val-ues like simulated book value and simulated amortization in the worldof Analyzers.

Subledger positionand

sub-position

The position components—separated by valuation area—are takendirectly from the ledger positions. Strictly speaking, this involves thesubledger positions and sub-positions. For reasons of compactness andbetter readability, in this chapter, we use the more compact term ledgerposition if the differentiated consideration of sub-positions is not neces-sary in the respective context.

Integration withother Analyzers

The Accounting Analyzer is available to you within the scope of theresults database. This allows for reporting of position componentstogether with the risk and yield key figures of the Market Risk Analyzerand Portfolio Analyzer. Position components of different valuation areascan be merged into one report. Typically, the Market Risk Analyzer andthe Portfolio Analyzer use the level of detail of external positions. To beable to compare the key figures of the Accounting Analyzer with the riskand yield key figures of the Market Risk Analyzer and Portfolio Ana-lyzer, you can also utilize the Market Risk Analyzer and the PortfolioAnalyzer with the level of detail of ledger positions.


Basic Principles, Architecture, and Data Retention

791

12.2

12.1.4 Credit Risk Analyzer

Counterparty riskThe Credit Risk Analyzer (Transaction TRM-CR) enables the active controlof default risks by computation of attributable amounts and specificationof limits. In the context of SAP Treasury and Risk Management, only thecounter-party risk is considered—that is, the risk of loss of value of a re-ceivable due to the degradation of credit standing of the business partner.The three key functions required for this task are attributable amount de-termination, limit management, and testing of limit utilization.

Attributable amount determination

In attributable amount determination, the attributable amount is deter-mined for the receivable subject to default risk. The basis of calculationis typically the net present value or the nominal amount of the receiv-able. These key figures can be either calculated in their full amount orcombined using formulas with a default probability and recovery rate,which reduce the amount of the figures. The netting of mutual receiv-ables can also be implemented for attributable amount determination.

Limit managementIn limit management, you can create limit types according to differentlimit characteristics. Limit characteristics include the company code,business partner, trader, and currency. There are also customer charac-teristics available that you can fill with arbitrary values. For each con-crete instance of the characteristics of a limit type, you can specify limits,which are then used to test the attributable amount when you performthe limit check on a transaction.

Transaction-checking components and end-of-day processing

The checking of transactions can take place using integrated single trans-action checks or during end-of-day processing. Integrated single transac-tion checking can be performed directly during the creation or change ofa transaction in the Transaction Manager. End-of-day processing is per-formed in the Credit Risk Analyzer.

12.2 Basic Principles, Architecture, and Data Retention

In this section, we introduce you to the basic architectural principles ofthe Analyzers. The financial object decouples the operational worldfrom the analytical world, where you can use analysis characteristics toconstruct an independent analytical view of your positions.



792

12

12.2.1 Basic Concepts

Financial objectand analyticalcharacteristic

To understand the basic concepts, it helps to sidetrack a little from ouractual topic, the Analyzers, for a brief look at their roots, SEM Banking.This process allows us a view of the key features of use and concepts. Asan analytical module, SEM Banking has no actual operational processeslike creation of transaction, payments, or accounting evaluations. Itloads market and transaction data from the operational processes fromdifferent systems into its database, then performs the actual analyses.So, it acts as a sort of data warehouse. Each external system has its ownconcepts, entities, and architecture. Thus, the first task is to transformthe different entities into a uniform language and format. Here is wherewe need the terms financial object and analysis characteristics, which weexplain next.

Financial object The financial object is the central harmonization entity on which all theloaded positions and transactions are mapped. But it isn't a central dataobject containing all the information of a position or transaction. Rather,the financial object is a meta-object with the following properties:

� It contains information about which type of financial instrument it isbased on—that is, where the actual position or transactional data islocated. This can involve both an external position and a ledger posi-tion, or a simulated position.

� It contains central administrative information.

� It contains the information needed by and optimized for each analyt-ical module in different parts, such as a series of analysis characteris-tics as attributes, for instance.

Analysischaracteristics

The analysis characteristics provide a harmonized view of the concepts ofan external system. You can define your own analysis characteristics sothat the analytical requirements and the descriptions and entitiesselected for them can be decoupled from operational concepts—butneed not be. This lets you control the filling of analysis characteristicsfrom the different systems individually via derivation rules.



793

12.2

Traces ofSEM Banking

If you replace the external system with the Transaction Manager, you nowhave a notion of the core features of the architecture of the Analyzers.This inheritance from SEM Banking results in a few characteristics ofincredible value for the Analyzers:

� Availability of information-containing structures adapted to the needsof each analytical application.

� The use of analysis characteristics that can be defined independentlyfrom operational concepts and attributes.

� The capability of processing and analyzing data not only from SAPTreasury and Risk Management, but also from other modules like SAPCash and Liquidity Management, SAP Loans Management, GeneralLedger (FI-GL), SAP In-House Cash, or simply manually enteredobjects.

Relationship of financial object andprimary object

This gives you the capability of building a type of data warehouse withpowerful analytical components. Now, let's look at the individual partsand their features within SAP Treasury and Risk Management. You gen-erally use SAP Treasury and Risk Management with active financialobject integration. This generates a financial object for each financialinstrument position. The term operational financial instrument positionhere is not strongly focused on the "operational." As indicated in Figure12.1, the Analyzers refer to both external positions and sub-positions.For the financial objects of position management, accounting aspectslike valuation area–dependent segments of positions are taken into con-sideration. A financial object is therefore for the following entities:

� OTC transactionsA financial object is generated for each OTC transaction.

� SecuritiesA financial object is generated for each class position in a securitiesaccount. Additionally, a financial object can be generated for eachsecurity transaction.

� Futures and listed optionsTwo options are available here that can be used in parallel: a financialobject is generated for each class position in futures account, and a



794

12

financial object is generated for each lot-based position in a futuresaccount.

� LoansThe financial object for loans is generated from the operational SAPLoans Management module. The loan financial object thus doesn'trefer to the representation of the loan within the parallel valuationareas of the Transaction Manager.

� Operational exposuresA financial object is generated for each exposure position that is gen-erated within the scope of Exposure Management (see Chapter 8).

� Internal positionsA financial object is generated for each individual position and sub-position separated by valuation area. Here, a position is split into var-ious sub-positions when it is integrated with a hedging relationship.

Figure 12.1 Financial Object as Meta-Object for Decoupling between Different Opera-tional Data Stores and the Analytical Modules

Loans

Securities

Bank Customer Accountsand SAP In-House Cash

Market Risk AnalyzerPortfolio Analyzer

Accounting Analyzer

OTC Transactions

Listed Derivatives

Operational Exposures

Financial Object

Generic Transaction

Other Entities

Credit Risk Analyzer/Credit Limit

General Part

Analysis (RM) Part

Default Risk Limit

Additional Data

Subledger Positionsand Subpositions



795

12.2

Operationaland TRLprimary objects

We call these entities in the external position operational primary objectsthat serve as anchors for a financial object. Entities of internal positionare referred to as TRL primary objects. However, even in the SAP Trea-sury and Risk Management analyzers, financial objects can be generatedfor a whole series of other entities, which can also be integrated into theanalyses. These include, for instance, G/L accounts from the general led-ger, bank customer accounts (SAP BCA), accounts from SAP In-HouseCash (SAP IHC), and contracts from the loans module (SAP Loans Man-agement).

Using the Analyzers

While the Market Risk Analyzer and the Portfolio Analyzer can accessany type of financial objects, the Accounting Analyzer can use only thefinancial objects of TRL primary objects. The Credit Risk Analyzer, inturn, accesses only the financial objects of operational primary objects.

12.2.2 Financial Object Position Parts and Maintenance

Now, let's look at a financial object, its structure, and its maintenance.

Introduction and General Part of the Financial Object

Financial objectThe financial object as central entity deserves a more detailed presenta-tion. In this section, we introduce you to the financial object, its struc-ture, and the options for manual maintenance. In operation, these stepsare automatically carried out in the background within financial objectintegration, which is described in Section 12.2.5. But even with activefinancial object integration, it is sometimes necessary to manuallychange the data of a financial object.

Transactionsfor manual maintenance

We can get familiar with the financial object by presenting the manualmaintenance of financial objects. For manual maintenance of a financialobject, use the Financial Object transaction (Transaction JBDO) and, forfinancial objects of ledger position, the Financial Object for SubledgerPosition and Sub-positions transaction (Transaction JBDO1), which youcan find in each analyzer, under the heading Tools. The selection screenof these two transactions differs in the selection of a financial object.The detail view of the financial object, however, is identical.



796

12

Selection screenJBDO

The initial screen for manually editing financial objects of the externalposition (see Figure 12.2) is used to select the financial object to workwith, and you can also use the buttons to jump to the maintenancescreens for the operational entities the financial object represents.Because this transaction is used for both SEM Banking and SAP Treasuryand Risk Management, some operational primary objects appear that areirrelevant for SAP Treasury and Risk Management, like Position andSecurity. After entry of the complete key of an external position in Fig-ure 12.2, the system takes you to the general part of the financial object(see Figure 12.4).

Figure 12.2 Selection Screen of Transaction JBDO for Manual Editing of Financial Objects of the External Position



797

12.2

Selection screen of Transaction JBDO1

In the initial screen for editing financial objects of ledger positions (seeFigure 12.3), in the Object Type area, you select the corresponding radiobutton to specify whether you want to edit a Position or Sub Position.

In the areas Fixed Differentiation Values and Variable Differentia-

tion Values, you specify additional characteristics that further definethe desired ledger position. Provided that you want to edit a financialobject of a sub-position, in the Hedging Relationship Details, you canenter further information on the desired hedging relationship. If theentered differentiation values and information on the hedging relation-ship do not identify a financial object uniquely, a dialog window offersyou a list of possible financial objects. After you've selected a financialobject, you return to the general part of the financial object (see Figure12.4).

Figure 12.3 Selection Screen of Transaction JBDO1 for Manually Editing Financial Objects for Subledger Positions and Sub-Positions



798

12

Structure andnavigation

From the display of the general data of the financial object, you can usethe different buttons to jump to the parts of the financial object andother data storage (see Figure 12.4):

� Using the Analysis (RM) and Default Risk Limit buttons, you canjump to the components of the financial object of the same names.The Profitability Analysis component is relevant only for SEM Bank-ing. The Master Data button takes you out of the maintenance trans-action to the operational primary object or TRL primary object whosekey you used to address the financial object.

� With the External Key Figures button, you also leave the actualfinancial object. Here, you can enter key figures (amounts, quantities,and percentages) that are not themselves available in the system.These external key figures are used in the Credit Risk Analyzer mod-ule for attributable amount determination.

� The Additional Data button shows the actual financial object ID. Inthe interaction with the end user, however, a financial object isalways addressed with the key of the assigned operational or TRL pri-mary object, or with the values of the analysis characteristics.

RelevantFO components

Basically, the only things relevant to you as a user of the SAP Treasuryand Risk Management Analyzers are the two financial object components:

Figure 12.4 General Data for a Financial Object



799

12.2

Analysis (RM) and Default Risk Limit. Analysis (RM) stands for "Analysisin Risk Management." So, a financial object consists of multiple partscalled components, which can be created and stored independent of oneanother. If you want to use the Market Risk Analyzer, Portfolio Ana-lyzer, or Accounting Analyzer, you must create the Analysis (RM) Finan-cial Object component. If you want to use the Default Risk Limit, youmust create and maintain the Default Risk Limit Financial Object com-ponent. In the following two sections, we shed a little light on the infor-mation contained in these two financial object components.

Financial Object Component Analysis (RM)

ConsumerBy clicking the Analysis (RM) button shown in Figure 12.4, you canmaintain the Financial Object component of the same name (see Figure12.5). The attributes you can assign to a financial object here controlaccess and the processing of this financial object in the Market Risk Ana-lyzer, Portfolio Analyzer, and Accounting Analyzer. In the maintenancedialog (see Figure 12.5), you see multiple screen areas below the ID ofthe operational primary object. In the Analysis Parameters area, thereare two very important parameters, the Analysis active indicator andthe Valuation rule.

Analysis Active Indicator

The Analysis active indicator makes a financial object visible for the evalu-ations of the Market Risk Analyzer, Portfolio Analyzer, and Accounting Ana-lyzer.

Particularly in the introduction phase, due to incorrect settings in the deriva-tion rules of financial object integration (see Section 12.2.5), this indicatormay not be set, and the financial object may not be selected.

If you want to selectively deactivate or activate a series of financial objects,you can do this with the Edit Financial Object transaction (TransactionJBRF0), which you can find in the menu, under Tools � ReorganizationTools � Financial object � Maintain Financial Object. You can also find sim-ilar functions in the transactions for mass processing of financial objects,which we introduce in Section 12.2.5, in the “Tools for Financial Object Inte-gration” subsection.



800

12

Valuation rules Valuation rules can be defined in Customizing. There, you can store anID and a name for a particular valuation rule—but not rules in the actualsense, which determine how the financial object is valuated. Thus, thevaluation rule, as an attribute of a financial object, is primarily a valua-tion grouping. Only when you make settings for valuation rule–specificprocessing in the evaluation type does the name valuation rule reallytake on any meaning. These specific settings then apply for all financialobjects that have this valuation rule as an attribute in the Analysis (RM)Financial Object component (see Section 12.3.1).

Figure 12.5 Detail Screen of Transaction JBDO and JBDO1 for Maintenance of the Analysis (RM) Component



801

12.2

ValidityIn the Validity area, you can limit the duration of validity of financialobjects.

Optimizing Access Duration through the Validity

The validity of a financial object is not used in any analytical question. So, itwould be easy to just not fill it in. However, we still recommend diligence infilling it in, preferably with a few days extra at the beginning and end of theactual validity of the financial object. Correctly specified validity can be usedto achieve a significant performance boost in your system.

Here's an example: consider a report in the Analyzers that uses the specifiedselection criteria to select and process a set of financial objects with theirunderlying financial-instrument positions. If a validity entry is available for thefinancial object and the date in question lies outside that validity, then evenin the first selection step, before the selection is forwarded to the originaldata store in the Transaction Manager, the financial object can be filtered outof the selected set.

On the other hand, if you neglect to maintain validity entries, the centralaccess logic has to consult the underlying financial instrument positionsinstead. Then, all flows are selected and totaled up by the selector in theTransaction Manager, only then to determine that the total is zero and thatthe position is irrelevant.

The result is the same for filled and unfilled validity. The second option, how-ever, requires more time and capacity and thus puts load on the performance.

Analysis characteristics

Below the Administrative Data area, you can view the Analysis Char-

acteristics area. The analysis characteristics consist of the fields of theactive analysis structure. How these are defined and maintained isexplained in Section 12.2.3.

At this point, it is enough to know that you can define analysis charac-teristics without taking the operational entities of the Transaction Man-ager into consideration and that each financial object can be assigned itsown characteristic values. These analysis characteristics are the onlyaccess entity in all evaluations in the Market Risk Analyzer, PortfolioAnalyzer, and Accounting Analyzer. You can manually enter or edit theanalysis characteristics here. As already mentioned, the derivation rulesfor characteristic derivation usually handle this task automatically infinancial object integration (see Section 12.2.5).



802

12

Default Risk Limit Financial Object Component

The financial object component for the default risk limit consists of thelimit characteristics, evaluation parameters for attributable amountdetermination, transaction assignment for netting groups, and validity,which can be used to set the transaction start and transaction end (seeFigure 12.6). You can use the CP Risk Active flag to activate the defaultrisk limit for the financial object.

Financial Objects and Default Risk Limit

The default risk limit financial component cannot be used for all financialobjects. In particular, the default risk limit is not available for financial objectsfor ledger positions. The same applies to financial objects for class positions infutures accounts, lot-based futures account positions, and operational expo-sures.

12.2.3 Analysis Characteristics and Analysis Structure

Usage Now that we've seen the financial object, we want to introduce you toanother important unit: the analysis structure and its analysis character-

Figure 12.6 Detailed Screen of Transaction JBDO for Maintenance of the Default Risk Component



803

12.2

istics. Analysis characteristics are concepts of order and classification,which you define according to your own criteria. They represent thecharacteristics by which you want to analyze your positions. As wealready saw in the last section, the analysis characteristics are used asaccess entities in the interfaces of the Market Risk Analyzer, PortfolioAnalyzer, and Accounting Analyzer. In Credit Limit, they play only asubordinate role. For more information about the use of analysis charac-teristics in Credit Limit, refer to Section 12.2.4.

Now, we want to enter a new analysis characteristic. We follow the indi-vidual steps to do so, starting with the definition of the characteristicitself and ending with the final characteristic in the financial object,which can be maintained and evaluated.

Maintenance of Analysis Characteristics

The Define Analysis Characteristics transaction (Transaction TMA5) isused to maintain analysis characteristics. You can find this transaction inCustomizing, under Treasury and Risk Management � Basic Analyzer

Settings � Reporting Characteristics � Define Analysis Characteris-

tics. On the initial screen (see Figure 12.7), you can go to the editor forexisting characteristics in the Choose Characteristics area. Now, let'screate a new characteristic.

Figure 12.7 Initial Screen of Transaction TMA5 for Maintenance ofAnalysis Characteristics



804

12

Creating acharacteristic

The definition of an analysis characteristic is cross-client. The namemust begin with "WY" and have four or five characters, if the character-istic is not taken from a table. We want to define a new characteristic forthe asset class, an entity that has no operational counterpart. First, enterthe ID "WYACL" in the Create Characteristic area and click the Cre-

ate/Change button to get to a pop-up window (see Figure 12.8).

Creation can be done in two ways:

� Transfer from SAP tableWhen displaying the tables, only table fields in the formats CHAR,NUMC, and CUKY can be selected. If the field name of the selectedtable field has five characters, the original name can be used.

� User definedYou can also define the characteristic independently of existing fields.

In the case of a new definition of a characteristic without reference toan existing field in a table, you can choose from the following vari-ants:

Figure 12.8 Pop-Up to Select the Characteristics Referencewhen Creating a Characteristic



805

12.2

� You can define the characteristic to refer to an existing data ele-ment with its underlying characteristic values and its characteris-tic values and texts. To do this, select the With reference to exist-

ing values radio button. If an existing data element should beassigned to the newly defined characteristic, the properties of thedata element are inherited; that is, the same domain propertiesand the check and text tables will be used. If you want to give theanalysis characteristic a different name from the data element, thereference to the data element must be deleted using the menuentry Edit � Data Element. Now, a data element is generated withthe properties of the referenced data element, but with its ownname.

� You can create the characteristic independently of existing enti-ties. In that case, you can choose whether you want to have sepa-rate value maintenance or not. For reasons of consistency andusability (field validation), we recommend creating the character-istic with its own value maintenance (by selecting the With own

value maintenance radio button).

Creationwithout reference

If no reference is made to an existing data element, the following ele-ments will also be created: Data element, JRMC_name, domain JRMC_name, check table I81xx (xx is a sequential number), and text tableI82xx.

We select the option of own value maintenance and go on into theactual maintenance dialog (see Figure 12.9). As you see, there are only afew input fields. If different creation options are used, such as transferfrom an SAP table, some of the other fields may already be filled in.

First, we enter the texts, which appear for our characteristic in the selec-tion screens and headings (Texts area); specify the technical dictionaryproperties in the Dictionary area; and select the type of characteristicvalue display for searching in the Further Properties area (in the Dis-

play opt. attribute). After you click Save and Activate ( ), all neces-sary dictionary objects are created. You can choose which number isused by the system for the generation of check and text tables (see Fig-ure 12.10).



806

12

Compoundcharacteristics

If a characteristic value makes sense or can be uniquely defined only incombination with the value of another field, we have to create a com-pound characteristic using these two fields. For instance, a securitiesaccount is uniquely defined only in combination with its company code.In this case, the second field needed must be specified here. If you havetaken such a field as the template for a characteristic, the additional keyfield must be available as an analysis characteristic. In the pushbutton

Figure 12.9 Main Maintenance Dialog of Transaction TMA5

Figure 12.10 Detail Screen of an Active Characteristic with Its OwnManual Value Maintenance



807

12.2

bar of the detail screen, a new button, Display Compounding, appears.You can use this button to display the compounding information.

Change optionsAfter saving and activating, you can only change the display type of thecharacteristic and the texts in change mode. If a characteristic has not yetbeen assigned to an analysis structure and is also not a compoundingcharacteristic for another analysis characteristic, it can be deleted.

The Analysis Structure

Analysis structureThe characteristics and their values form the selection criteria used toselect financial instrument positions in evaluations and navigatethrough evaluations in the results display. To do this, the analysis char-acteristics are combined into a data structure, the analysis structure. Theanalysis structure thus forms the basis for the analysis part of the finan-cial object. The analysis structure contains the categorizing attributes ofa financial object visible in analyses. The analysis structure is a true dic-tionary structure, so it is client independent. To be able to use differentanalysis structures in parallel clients of the same system, you can definemultiple analysis structures. You must then activate the analysis struc-ture used for each client. For each client, there is always exactly oneanalysis structure activated. The term activate thus takes on two mean-ings, which we examine in more detail later. By assigning the analysischaracteristics to the analysis structure, the usage of characteristics is cli-ent dependent.

Now, let's define an analysis structure. You can find the Define AnalysisStructure transaction (Transaction AFWA) in Customizing, under Trea-

sury and Risk Management � Basic Analyzer Settings � Reporting

Characteristics. This takes you to the main screen for maintaining theanalysis structure, from which you can reach all the detail screens (seeFigure 12.11).

Apparent Equivalence of the Analysis Structures of the Analyzers and SEM Banking

Note that there is a structural difference in the analysis structure between theAnalyzers of SAP Treasury and Risk Management and SEM Banking. In Cus-tomizing of SEM Banking, you can see a transaction for the maintenance of



808

12

the analysis structure (Transaction JBAP), which has an identical maintenanceinterface.

Internally, however, different specific settings are generated and propagatedfor each of the two applications so that analysis structures generated byTransaction JBAP cannot be used in the Analyzers. Technical framework con-ditions even allow the use of born of SAP Treasury and Risk Management andSEM Bankings within a client.

Defining ananalysis structure

We want to define a new analysis structure, give it a four-charactername (MYAS), and then use the Create button to go to the Edit Data

Structure detail screen (see Figure 12.12). Here, you can define whichof the characteristics you have already created should be part of the anal-ysis structure. You can transfer the analysis characteristics from the Copy

from catalog (right side of screen) into the Data structure of theAnalysis Structure (left side of screen) using the arrow icon ( ). Asshown in Figure 12.12, you can select the analysis characteristics youwant to use in your analysis structure. An analysis structure can contain,at most, 60 analysis characteristics. Only those characteristics that havestatus Active can be transferred. If you want to transfer an analysis

Figure 12.11 Main Maintenance Screen of Transaction AFWA for the Maintenance of an Analysis Structure



809

12.2

characteristic that is compounded with a second characteristic, the com-pounded characteristic is automatically also transferred into the analysisstructure. You can also give your analysis structure a name. After saving,activate the data structure of the analysis structure using the Activate

icon ( ). This generates and activates a whole set of tables, which youcan see in the menu, under Extras � Status information � Table(s).

Environment of the analysis structure

For our technically interested readers, we want to give a brief overviewof the entities generated for an analysis structure. Here, xxxx stands forthe name of the analysis structure:

� I73xxxxTable with keys for client and financial object number that has all thecharacteristic values of the financial object in its value part

� I74xxxxTable of the base portfolio characteristic pattern (combination ofcharacteristic values for a view)

Figure 12.12 Detail Screen of Transaction AFWA



810

12

� I75xxxxStructure containing all the characteristics of an analysis structureused to build program-internal tables, especially for external datatransfer and the construction of selection tables

� I961xxxxResult structure of the net present value view of an analysis structurefor drill-down reporting

� I963xxxxGAP result structure

� I791xxxxTable of characteristic values for each individual RDB single record

� /1TRIS/00xxxxnnnnUtility program for the analysis structure, where nnnn stands for acounter incremented for each generation; contains all accesses to thegenerated tables

Taken together, these objects are called the environment or program envi-ronment of the analysis structure.

Special Role of the Company Code Analysis Characteristic

You may have already noticed that the analysis characteristic “CompanyCode” does not appear in Figure 12.12, even though we included the SAPdelivery characteristics Securities account and Portfolio in the analysis struc-ture. Both characteristics have references to the operational entities of thesame names, which are both compounded with the company code. The char-acteristic Company code plays a special role within the analyzer and analysisstructure. Each financial object needs the company code as a semantic key.This can also be seen from the fact that the company code is a generalselection parameter in Figure 12.2, which is displayed in Figure 12.5 asheader information for the Analysis (RM) part of the financial object. Toachieve that, the characteristic Company code is always automatically a partof the analysis structure.

Characteristicselection

After activating the data structure, we return to the main screen (see Fig-ure 12.11). In the Characteristics Selection area, you can see threeradio buttons:



811

12.2

� Data structures

This button takes you to the editor for the data structure we just dis-cussed for an existing analysis structure.

� Selection screens

This radio button can be used to select characteristics in the analysisstructure for which an additional selection through characteristic val-ues should be possible on the selection screens in the reports of therisk analysis.

� Enter Char.

With this button, you can specify a display sequence for the valuemaintenance of the characteristic in the financial object for easierinput. You can use drag-and-drop to sort and even hide characteristicsby double-clicking in the sequence. The values of hidden characteris-tics are then filled only via characteristic derivation.

Generating maintenance modules for characteristic values

In the Program environment area, you can generate MaintenanceModules for Characteristic Values. Maintenance UIs are generated forthe entry of characteristic values for custom-defined characteristics withtheir own value maintenance. The maintenance and transport of charac-teristic values from custom characteristics with their own value mainte-nance is described in the next section. If the displayed log shows noerror messages, leave the log display and return to the Maintain AnalysisStructure (see Figure 12.11). Manual generation of other objects is usu-ally not necessary. However, the Other Objects button and the menuGoto � Generate Environment give you the option of manually gener-ating all relevant objects. Which capabilities you have can be found inthe documentation for this Customizing activity.

Activating an analysis structure in a client

In the final area, Current Analysis Structure in Client, you seewhether the analysis structure just edited is the one that is active in theclient where you are currently located. As we just created new analysisstructure MYAS, this entry is still empty. In this area, you can now usethe Activate button to activate the analysis structure just edited for theclient account you are currently working in.

To Activate, or to Activate?

Note that the term activate appears twice in this transaction, with two differ-ent meanings.



812

12

� In the Edit Data Structure detail screen (see Figure 12.12), Activatemeans the generation and provision of all needed dictionary structures andprogram elements for an analysis structure, regardless of whether it is usedin a client or not.

� In the main screen of the Maintain Analysis Structure transaction (Transac-tion AFWA; see Figure 12.11), on the other hand, Activate means the cli-ent-specific activation of this particular analysis structure from the set of allavailable analysis structures. This activation provides this analysis structureas the characteristic container for the financial objects. You can get anoverview of all analysis structure by clicking the Overview button in thebutton bar above (see Figure 12.13). Unfortunately, this view doesn'tshow whether the client has any active analysis structure at all. To find thatout, you must view each analysis structure individually using the MaintainAnalysis Structure transaction (Transaction AFWA).

Be very careful with the action of activating an analysis structure (Activate inthe main screen of Transaction AFWA, in the Current Analysis Structure inClient area).

If you are actively using analysis structure 1234 in a production system withexisting financial objects, and you activate a second analysis structure ABCD,the second structure directly takes on the role of the active analysis structure,and the first analysis structure, 1234, is deactivated. The result is that you nolonger see any financial objects at all because all the existing financial objectsstore their characteristic values in the tables of analysis structure 1234, whichhas just been deactivated. If you don't notice the error immediately and sys-tem operation continues without the analysis structure 1234 being reacti-vated, all new and changed financial objects write their data to the new datastructures. The result will be an inconsistent system state. At some later point,you then notice that no financial objects except for new ones are being used.Because there is no reversal function of any kind, the repairs you then have tomake are very tedious, lengthy, and expensive.

Figure 12.13 Overview of All Analysis Structures using the Overview Button in Transaction AFWA


1093

Index

0CFM_DELTA_POSITIONS, 7790CFM_INIT_POSITIONS, 7780CFM_MARKET_RATES, 7840CFM_MARKET_VALUES, 784

A

ABS, 34Abstract risk factor, 869Account assignment, 443Account assignment reference, 337, 403,

434, 441, 677, 729determination, 435historical, 741transfer, 403, 436

Account balances, 602Account class position, 978Account determination, 433, 435, 450,

452, 454legacy data transfer, 1071overview, 442

Account symbol, 405, 436, 440initialization, 1073

Accounting code, 59, 315, 324Accounting principle, 448Accounting valuation, 355, 358Accounts approach, 445, 449Accrual, 389Accrual/deferral, 389, 1040

flow, 105method, 395procedure, 395reset procedure, 389

Accrued interest, 319Acquisition value, 320Activating Hedge Accounting for Exposu-

res, 598, 605Active definition, 928, 930Activity, 123

history, 125transition, 123

Additional account assignment � Account assignment

Additional tabs, 73Add-on factor, 981, 988Adjust correlation matrix, 876Adjustment run, 938

generic, 940manual, 941

Aggregation category, 868AIS, 970AIS � Audit Information SystemALE, 1010Alert, 194, 247, 262

category, 247send, 250types, 249wait time, 249

Alert Monitor, 148, 250ALV, 763Amortization, 318, 345, 361, 373, 1036,

1038gross procedure, 379incremental method, 375LAC, 376SAC, 376

Amortized acquisition value, 320Amount

flow, 745period-specific, 745

Analysis (RM), 798Analysis active indicator, 799Analysis characteristic, 792, 801

sample customizing, 821Analysis structure, 801, 807, 809, 811,

813activating, 811sample customizing, 821transport, 813

Analyzer information system, 911, 970formulas, 968layout, 967

Analyzers, 30


Index

1094

Annualization factor, 961Annuity repayment, 117Application framework, 166Application log � ExposureArchiving, 1078Archiving object

TRTM_CO, 1079TRTM_EXPOS, 1081TRTM_FTR, 1079TRTM_HMLOG, 1082TRTM_LM, 1082TRTM_REXP, 1081TRTM_TPM, 1080

Assessment � Effectiveness assessmentAssessment type, 608, 609Asset position, 276Asset securities account, 83, 276Asset-backed securities, 34Assignment variants, 956, 959, 965Asynchronous datafeed, 528Attributable amount, 983Attributable amount determination, 802,

976, 978Attribute derivation tool � Derivation

toolAudit Information System (AIS), 970,

1048Authorization

profile, 175standing instructions, 82tax auditor, 1049

Authorization check for logical databases, 760

Automatic debit position, 283, 1037Automatic fixing processing, 140Automatic interest rate adjustment, 138Average rate fixing, 141

B

Backtesting, 890, 937BAdI, 434, 464, 1026, 1033, 1038

JBA_SFGDT, 852Balance sheet indicator, 337Bank clearing account, 442Bank posting, 436

Bank statement, 455BAPI, 1008

architecture, 1017cross-financial-instrument, 1014financial transaction as a whole, 1016financial-instrument-specific, 1012Hedge Accounting for Exposures, 1019master data, 1018test, 1013updating, 1015

Barrier option, 32double barrier option, 32knock-in, 32knock-out, 32

Base portfolio, 819, 860Basic key figure, 916

abstract, 923Basic run, 938Basis point, 694Basis Point Dollar Offset, 694Benchmark, 915, 952, 959

composite benchmark, 953currency benchmark, 953fixed interest rate, 953index benchmark, 953master data, 953

Beta coefficient type, 507Beta coefficients, 506Binomial tree, 852Black-Scholes, 851Bond, 33

ABS, MBS, 34amortizing, 34convertible bond, 34drawable bond, 34issue, 34step-up and step-down bond, 33unit-quoted, 34warrant bond, 34with installment repayment, 34with termination rights, 34

Book index, 372Book swap value, 387Book value, 320Bootstrapping, 488Business area, 84


Index

1095

Business content, 776Business function, 38Business object, 1008

type, 1007Business Object Repository (BOR), 1009,

1010Business partner, 76, 720, 729, 733Business transaction, 269

category, 269derived, 320, 323, 346, 349, 431, 684,

1035

C

CALCBASE � Calculation baseCalculation base, 984, 986, 987Calculation category, 274, 611, 634

cash flow diff. forward value discounted, 649

cash flow differences acc. to spot rate, 638

correlation, 617hypothetical derivative, 616, 647hypothetical derivative clean price, 616,

647hypothetical derivative intrinsic value,

616, 642, 649net present value, 635, 642, 643option, intrinsic value forward rate, 642option, intrinsic value forward rate dis-

counted, 642, 649option, intrinsic value spot rate, 622,

642Calculation type, 578, 593, 608, 611, 634Callable bond, 297Cap, 32, 117, 157, 649Capital increase from retained earnings,

291Capital reduction, 291Capitalized costs, 318Capitalized dividend, 285Capitalized interest payment, 115Cash flow, 101, 1039

indicator, 617, 619, 840on horizon, 618recalculation, 136

Cash flow (Cont.)transaction, 31, 155

Cash flow hedge, 582, 588, 592, 600, 601, 631, 634, 644, 647, 656

Cash flow onhorizon, 851

Cash position, 466CFM � Corporate Finance Management

(CFM)Change document, 146Change in capital structure, 105Change in nominal value, 105Change parameter, 1009, 1017, 1018Characteristic derivation, 828Characteristic hierarchy, 814, 861Characteristic hierarchy nodes

chargeable, 816non-chargeable, 816

Characteristic use, 818, 821Characteristic value, 813Chargeable nodes, 816Chart of accounts, 441Class, 62, 151

data, 62, 1039master data, 63, 483, 730, 1039system, 76

Classification � Value at riskClearing account, 28Close, 305, 323

margin, 312CML � SAP Loans ManagementCollar, 585, 643, 649Collateral, 979

provision, 977valuation rule, 979, 980

Collective position, 332Collective processing, 95, 149

transaction management, 96Commercial paper, 31, 129, 136, 154

fast entry, 97Commodity, 60

abstract, 60curve type, 501exposure report, 567floating, 553forward, 164


Index

1096

Commodity (Cont.)market data, 499position report, 713price, 1041price curve, 499prices, 499risk, 578split, 548swap, 164type, 58

Commodity-Future, 73Company code, 59, 315, 324

approach, 445COMPLETE_INDICATOR, 1017Component

commodity, 548derived, 317original, 317

Compound characteristic, 806Compound option, 32Compounding, 807Condition, 110, 722

category, 110type, 65, 71, 111, 274

Confidence level, 864Consolidation level, 867Consumption sequence procedure, 333Continuous compounding, 494Contract conclusion date, 725, 1034Control parameter, 726, 736Conversion table, 525Convertible bond, 34, 297Convexity, 905Corporate action, 34, 291, 433, 1036

category, 291manual, 292, 295sorting, 297

Corporate Finance Management (CFM), 35

Correlation, 516, 869type, 516

Correlation coefficientclassical, 872exponentially weighted, 872

Correspondence, 28, 81, 183, 191ACK message, 236

Correspondence (Cont.)acknowledgment message, 195, 236amendment message, 236AMND message, 236approver list, 227assignment, 254attributes, 206authorization, 252BAdI, 233, 258BIC code, 218business partner group, 206, 212, 213,

214CANC message, 236cancellation message, 236communication channel, 197, 262communication profile, 201, 213, 214corespondence activity, 215correspondence class, 198, 212correspondence partner, 205correspondence recipient type, 200create, 259display, 250enhancement spot, 258event, 259format, 199, 261format assignment, 205format metatype, 198, 261fragment, 234framework, 191history, 190inbound process, 211, 230incoming message, 235internal recipient, 205, 214logical message, 234mapping, 192, 217, 235, 238mapping rules, 239Mapping Tool, 242mapping tool, 238matching, 235, 243, 254merge, 234message, 191migration, 189NACK message, 236negative acknowledgment message, 236number range, 219, 244outbound process, 213, 221


Index

1097

Correspondence (Cont.)output, 1035reconciliation, 1032release, 194, 226, 258sending, 228split, 234SWIFT code, 218SWIFT format, 217transaction settlement, 210transaction status, 193

Correspondence Monitor, 191, 251, 1032

Correspondence object, 191, 194, 256assignment, 193creation, 192, 255customer-specific fields, 223, 225, 258display, 192event, 194financial transaction, 221manual creation, 225matching, 193release, 192securities account transfer, 224status, 194

Correspondence, old, 185actual record, 185confirmation, 189corresponce monitor, 186correspondence activity, 187correspondence medium, 185Correspondence Monitor, 188, 189correspondence type, 187counterconfirmation, 187, 189planned record, 185reconciliation, 189

Cost center, 436Counterparty, 78Counterparty/issuer default probability,

979, 989Counterparty/issuer risk, 30, 791, 976Country risk, 976CPE, 500Creating a financial transaction, 94Credit risk, 976, 980Credit Risk Analyzer, 976Critical Terms Match, 587, 692

Currency category, 449, 452, 454company code currency, 449, 452group currency, 452, 454hard currency, 452, 454

Currency conversion type, 739Currency option, 32, 119, 625, 642

barrier option, 32compound option, 32correlation option, 32European, 32FX average rate option, 32FX basket option, 32FX forward rate volatility agreement, 32non-deliverable forward, 32US, 32

Currency swap, 437, 438Currency translation category, 325Current face, 70Current value, 690, 707

calculation category, 690, 711Customer, 78

exit, 1031subledger, 456

Customizing check, 449

D

DART, 1051DARWIN, 35Data source, 532Database, 165Datafeed, 525, 528

define data sources for, 531Date check, 129Date format, 91Date preview, 112Debit amount, 791Debit position, 275, 281

automatic, 283, 432, 1037manual, 283, 432, 1037

Decay factor, 872, 873Dedesignation of a hedging relationship,

585, 598, 599, 600, 628, 641Dedesignation of the hedging relation-

ship, 681


Index

1098

Dedesignation � Dedesignation of a hedging relationship

Default probability, 981, 988, 989Default risk limit, 798, 822, 976

characteristics, 822Default risk rule, 977, 981, 985, 988, 996

derivation, 978Deferral, 389Deferral item for purchase value, 319Define valuation factor determination,

979Delta position, 880Deposit at notice, 31, 136, 154

fast entry, 97Depository bank, 78Derivation rules, 828Derivation tool, 435, 1026, 1057Derived business transaction, 349, 1035

offline, 432online, 431same status, 432status of plan, 431

Derived flow � Flow, derivedDesignation, 576, 663

market data, 663market data container, 664

Determination procedure, 979, 985, 992Difference procedure, 389Differentiation, 328, 469, 475

ledger position, 728DIG G7 Method 1, 609Digital currency option, 32

hit-at-end binary option, 32one-touch binary option, 32

Discount, 319, 373, 379Display currency, 730, 739Display futures account cash flow, 308Dissolution of a hedging relationship,

584, 598, 599, 600Dissolving a hedging relationship, 599Document Management System (DMS),

193, 219, 668document, 671

Document number, 426Document type, 439Documentation, 659, 668

Documentation of hedging relationship, 1042

Dollar Offset Method, 693Dollar-offset method, 610Downside risk, 962Drawable bond, 297Drawing, 155Drill-down reporting, 906Due date, 112

E

Early repayment, 107Early warning control, 992, 994Effective interest calculation, 274Effective portion, 593Effective portion � Hedge Accounting

valuationEffectiveness assessment, 585, 588, 590,

592, 598, 608, 620type, 608, 609

Effectiveness measurement, 585, 588, 593, 608, 620

Effectiveness ratio, 610, 612, 693Effectiveness test, 588, 597, 604, 666,

689, 706detail log, 586, 591, 595, 614, 648manually effective, 706, 709prospective, 587, 597, 657retrospective, 587, 592, 598, 657

Effectiveness test method (ET method), 657, 690, 691

Element category, 870, 872, 882Elementary transaction, 838End-of-day processing, 791, 976, 999Enhancement package, 38Enhancement spot, 1033, 1038Enhancements, 171, 1005, 1030Equity reclassification

automatic, 601, 641manual, 601, 641

Error log, 741Evaluation currency, 730, 739Evaluation date, 842, 843Evaluation procedure, 926

monitor, 935


Index

1099

Evaluation procedure (Cont.)version, 927

Evaluation type, 607, 612, 613, 617, 737, 800, 844, 977

Event type linkage, 146Exchange, 65, 482, 485

rate risk, 578, 638rate type, 325transactions, 736

Exclude plan data, 735Exogenous cash flow, 945, 949Expiration/barrier check, 149Exposure, 580, 775, 980, 983

activity category, 550activity type, 541allow automatic position matching, 550analysis, 1041application log, 573BADI_TEX_DERIVE_EXP_FIELDS, 557business workflow, 555commodity exposure category, 552delivery date, 544derivation strategy, 556differentiating characteristics, 559differentiation, 559differentiation criteria, 559exposure approach category, 552field selection, 551fixed and floating prices, 552fixed prices, 552floating prices, 544, 552foreign exchange exposure category, 552free attributes, 553FTREX7, 548global settings, 550gross, 980integration, 570, 572, 573integration of Logistics into Treasury,

569net, 980origin, 542payment date, 544position, 562position flows, 565position type, 558product type, 557

Exposure (Cont.)raw exposure, 541simulate release, 548transaction, 561, 580treasury exposure notification, 570versioned, 1041versions, 541without prices, 552

Exposure management, 28commodity price risks, 538Customizing paths, 538foreign currency risks, 538version, 538

Extension parameter, 1009External account, 28, 1040External key figures, 798Extractors, 776

F

Facility, 151, 155bilateral, 31functions, 1033syndicated, 31, 726

Fair value, 842Fair value hedge, 582, 620, 622, 631,

634, 644, 646, 656FAS 133, 575, 587, 608Fast entry, 97Fast processing, 98Fiduciary deposit, 156Field selection, 122FIFO, 333File interface, 525Filter, 101, 852, 922

for portfolio hierarchies, 853, 861with dynamic selections, 853

Filter category, 853filter for portfolio hierarchies, 858filter group, 857with dynamic selections, 856

FIN_TRM_CORR_FW, 190Final repayment, 117Final results procedure, 923

filter, 858for additive key figures, 924


Index

1100

Final results procedure (Cont.)for non-additive key figures, 924

Final results procedure 1, 924Final results procedure 2, 933, 943Financial accounting, 421Financial object, 792, 795, 996

default risk limit, 991types, 823

Financial object component, 799, 824, 825, 832Analysis(RM), 832, 833default risk limit, 833

Financial object integration, 793, 823, 996automatic, 996

Financial Supply Chain Management (FSCM), 31, 32, 33, 34, 35

Financial transactionadjust, 133adjust dividend, 133change, 130controlling, 134, 148correct, 133create, 88, 130definition, 87, 88deliver, 133display, 130duplicate two-sided, 724execute, 132exercise, 132expire, 133fix, 133history, 130knock-in, 132knock-out, 132monitoring, 134overview, 149preassignment, 91premature settlement, 132process, 88release, 134reverse, 130rollover, 131terminate, 131

Fiscal year, 654Fix, 425, 431

Fixed-term deposit, 31, 106, 108, 126, 127, 136, 153fast entry, 97

Fixing, 140Floater, 34Floor, 32, 157, 649Flow, 104

category, 105derived, 82, 109, 745, 1034process, 744type, 105

Flow type, 267permitting payment request, 461relevant to CM, 468

FO integration, 823Foreign currency risk � Exchange rate

riskForeign currency valuation, 361, 619Foreign exchange rate, 479, 480, 722Foreign exchange spot effect, 578, 638Foreign exchange swap, 32

rates, 479, 480Foreign exchange transaction, 93, 126,

127, 157, 177, 1015, 1017intercompany function, 32

Foreign exchange valuationnot affecting P/L, 320

Forms, 186Formula ID, 984, 986Forward, 163

exchange transaction, 32, 382, 578, 612, 625, 628, 629, 638

interest rate, 488loan purchase, 164rate agreement, 32securities transaction, 160yield curve type, 488

Forward Rate Agreement (FRA), 32, 649Forward-style curves, 504FRA, 32, 158

discount style, 32normal style, 32

Freestanding portion, 593Freestanding portion � Hedge accoun-

ting valuation


Index

1101

FRP, 923FRP1, 924FRP2, 924, 933, 943

FSCM � Financial Supply Chain Manage-ment (FSCM)

FS-CML � SAP Loans ManagementFTI_LDB_TR_POSITIONS, 728FTI_TR_CASH_FLOWS, 715, 751FTI_TR_DEALS, 717FTI_TR_PERIODS, 742FTI_TR_PL_CF, 715, 750FTI_TR_POSITIONS, 727Full approach, 317Full fair value hedging, 578, 634, 635Fund, 420Fund transfer, 472Funds, 34, 469Funds Management (PSM-FM), 420, 469Future, 34, 121, 159, 304, 370

master data, 62Futures account, 84, 272, 335Futures account management, 27, 304Future-style curves, 501

G

Gain, 350Gain/loss handling, 363, 619Gamma position, 880Generic financial transaction, 633Generic transaction, 839Governance, Risk, and Compliance

(GRC), 1046process control, 1047repository, 1046risk management, 1047

Grant, 420, 469Grants Management (PSM-GM), 469Greeks, 895Grid analysis, 906Gross procedure, 379

H

HACC rule, 678Hedge Accounting for Exposures, 575,

576Hedge Accounting for Positions, 575Hedge accounting rule, 678, 687Hedge accounting valuation

effective portion, 593freestanding portion, 593, 675ineffective portion, 593time value, 593, 622

Hedge adjustment, 677, 681Hedge category, 581, 582, 626, 634Hedge management, 29Hedge plan, 577Hedge ratio, 610, 693Hedge strategy, 583, 592, 607, 626, 636,

644Hedge transaction, 775Hedged item, 582, 775

ID, 937single, 578, 645, 649

Hedging profile, 655Hedging relationship, 583Hedging relationship, documentation,

659, 668Hedging scenario, 655Hide zero records, 741HIFO, 333Holding category, 317, 401Holding period, 864, 870, 874Home exchange, 485Horizon, 843House bank, 76, 80

account, 77, 441HTML file, 528, 529Hull-White, 851Hypothetical derivative, 616

I

IAS 39, 575, 587IDoc, 1011Impairment, 319, 359, 361Inclusive indicator, 91


Index

1102

Incoming payment, 281Incoterms, 59Incremental method, 374Index, 506

bond, 372linked bond, 372type, 507

Index valuation, 361, 372not affecting P/L, 320

Index-linked bond, 34, 506Individual payment, 459, 461Industry, 720, 740

system, 720, 726, 740Ineffective portion, 593Ineffective portion � Hedge accounting

valuationInformation ratio, 962In-House Cash (IHC), 1037Initial margin, 304Initialization, 1071Installment repayment, 65, 117Insurance Supervisory Authority, 475Interest capitalization, 111, 115, 1034Interest condition, 111Interest period, 112, 118Interest rate adjustment, 102, 134, 722

condition, 113schedule, 149

Interest rate derivative, 428Interest rate effect, 578Interest rate fixing, 278Interest rate guarantee, 32Interest rate instrument, 31, 112, 115,

118, 155, 1033Interest rate option, 649Interest rate risk, 578Interest rate swap, 608, 616, 635, 646,

647Interest splitting, 685Interest, variable, 277Interface, 30, 1005Interim limit, 994Internal Control System (ICS), 1047Internal foreign exchange trading, 179,

1034

Interpolation, 492, 1037procedure, 492

Interpretation of leading currency, 736Interpretation of securities account

group, 735Intragroup transaction, 407Investment fund unit, 34Investment pool, 420, 472

participant, 472, 474IRG, 32Issue currency, 482

changeover, 292, 293Issuer, 64, 78Issuer risk, 976

J

Jensen's alpha, 963Journal of financial transactions, 149

K

Key date, 725, 733valuation, 355, 358, 1036

Key date based reports, 728Key date reference, 734, 746

position value date, 734posting date, 735, 744, 746

Key figure, 317monitor, 935non-additive, 820version, 927

Key figure category, 912attribute inheritance, 917

Key figure category hierarchy, 912Market Risk Analyzer, 913Portfolio Analyzer, 915

KLMAXLIMIT, 987

L

LAC � AmortizationLDB_PROCESS, 766

messages, 771Leading currency

interpretation, 725


Index

1103

Ledger, 447, 448approach, 445, 446, 451group, 448leading, 451position, 27

Legacy data transfer, 1062Lending securities account, 83Liability position, 276Liability securities account, 83, 276LIFO, 333Limit, 987, 990, 992

amounts, 993characteristic, 802, 990, 992check, 129, 987management, 791, 976overview, 1001product group, 991transfer, 994type, 991

Limit utilizationdetails, 998overview, 1001

Line of credit, 155Linear regression, 609, 610, 694, 697Liquidity forecast, 466List of the position flow, 470Listed financial instruments, 121Listed option, 34, 121, 161, 304Loan number, 336Loans, 78, 421, 1075Loans management, 78, 415Local currency, 454, 730LOFO, 333Logical database, 604, 714

FTI_TR_HEDGE, 605FTI_TR_POSITIONS, 603

Logical Database Builder, 716Logistics integration, 1041Logistics outbound processing � Expos-

ureLong-short indicator, 272Loss, 350Lot, 272, 329, 331, 334, 335

creation category, 334position, 272, 307, 329, 331

M

Main borrower, 78Main flow, 105Management of Internal Controls (MIC)

� InternalManual debit position � Posting, manualManual fixing, 140Manual interest rate adjustment, 137Manually effective effectiveness test,

706, 709Mapping, 1022, 1026Mapping � ExposureMargin

account, 28accrual/deferral, 319, 361, 386close margin, 312of a repo, 386posting, 432variation margin, 310

Market data, 26buffer, 531, 533container, 664shift, 523

Market data change rate set (MDCR), 702Market data interface, 524

file format, 527Market data set (MDS), 700Market data transfer

file interface, 525spreadsheet, 534, 536

Market prices, 732Market Risk Analyzer, 29, 730Market value change period, 981, 988Masking, 442

for the bank clearing account, 442Master commodity, 548Master data, 26Maturity schedule, 148Maximum age of price, 850MBS � Mortgage-backed securities

(MBS)Mean reversion, 514Measurement � Effectiveness measure-

mentMemos, 103


Index

1104

Message, 191receipt, 193sending, 192

Migration, 1075Mirror transaction, 176Money market transaction, 428Moneyness, 509, 512

calculation method, 512Monitor for key figures and evaluation

procedures, 935Monte Carlo, 879Month-end indicator, 91Mortgage-backed securities (MBS), 34Multicurrency bond, 34

N

Nearest neighbor search, 515Negative interest rates, 1038Negotiation spread, 379Negotiation spread amortization, 319Net investment hedge, 582, 634Net present value, 129, 358, 517, 586,

612, 791, 842branch, 914calculator, 842repository, 518

Net procedure, 379Netting, 455, 459, 460, 465

groups, 977transaction, 384, 850

NodeCONDITIONS, 722CONDITONDS_UL, 724FLOWS, 722FLOWS_UL, 723FORMULA, 722INTEREST_ADJ, 722LDB, 859MAIN_DATA, 720PAY_INFO, 722UNDERLYING, 723

Noise threshold, 615Nominal Adjustment, 288Nominal interest rate, 111Non-additive key figures, 820

Note, 671NPV, 842

analysis, 893, 906type, 366

O

Offer overview, 149Offset calculation category, 612, 695Open, 305Open TRTM, 168Operative reporting, 147Operative transaction, 537Option, 578, 594, 622

listed, 34, 121, 304OTC option, 33, 119

Option in commodity future, 73Option price, 842

calculator, 128, 842Other flow, 100, 107Other G/L posting, 437Overdue status, 740Overnight variation margin, 311

P

PA flow, 949PA flow type, 1037Par coupon, 879Par rate, 488Parallel accounting principle, 271, 445Parallelization, 759, 783Parameter transaction, 147Partner (commitment), 733Payer, 78Paying valuation area � Valuation areaPayment, 1040

amount +/– sign, 752currency, 438, 441data, 722date, 752details, 80, 84, 101, 456, 458order, 464process, 455reference, 465request, 458, 461, 464, 1037


Index

1105

Payment (Cont.)schedule, 150transaction, 78, 457

Payment program, 455, 458, 1037for open items, 458

Payment to customer account � Posting, to customer account

PDF, 670PDF form, 220Performance Presentation Standards, 949Period begin to date yield, 948PET � prospective effectiveness testsPH leaf, 859PH nodes, 859PI message, 1043PL, 883Planned record interest, 134Planned record refresh, 136Planned record update, 135Planned record update method, 135Planning level, 467Pool certificate, 472Portfolio, 329, 730Portfolio Analyzer, 30Portfolio hierarchy, 819, 858

deactivating, 862defining, 859deleting, 862displaying, 860

Positionasset position, 276change category, 267, 320, 686cube, 779currency, 337, 438, 441, 485external, 26, 265flow list, 322, 713indicator, 336, 677, 1035, 1066internal, 27, 266ledger position, 266liability position, 276list, 713list-class position in futures account, 307lot position, 272short position, 277single position, 331

Position management, 27category, 343external, 272internal, 314procedure, 342, 619, 634, 677

Position monitor, 150, 1034Position posting, 436Position-relevant key figure, 731Posting, 1040

category, 436customer payment, 450journal, 426, 463, 465, 713key, 439log, 426, 429, 595, 596manual, 283, 287, 432, 1037new shares, 292release, 422subscription rights, 291to customer account, 436, 453, 1036

Posting specification, 437update type, 439

Posting status, 744CML operative, 744ledger posting status, 744to be fixed, 425to be reversed, 428TRL posting status, 744

PPS, 949Premature settlement, 629Premium, 319, 373, 379

condition, 117Previous condition, 111Price adjustment, 139

schedule, 149Price calculator, 842Price compensation, 118Price type, 365, 739Price valuation

for forward exchange transactions, 619Primary risk reduction, 979Processing a financial transaction, 95Processing category, 125, 143Product categories, 151Product type, 55Profile � Hedging profileProfit and loss statement (P&L), 436


Index

1106

Profit/loss distribution, 592Profit/loss type, 744Profit-related posting, 436, 437Profit-relevant posting, 443Prospective effectiveness assessment,

597Prospective effectiveness test (PET), 657,

667, 679, 682Public Sector, 1040Public Sector Management, 420, 469,

477Purchase GAAP, 353Purchase index, 373Purchase value, 318Putable bond, 297

Q

Quantity, 265Quantity ledger, 266, 332Query � SAP QueryQuotation, 480

currency, 482, 485Quotation type, 481

direct quotation, 482fractional quotation, 482percentage quotation, 481point quotation, 482unit quotation, 481

R

RAPI, 771FTI_LDB_GET_HM_DATA_BY_HEDGE,

775FTI_LDB_GET_HM_DATA_GENERAL,

775FTI_LDB_GET_OTC_DEAL1_DATA, 772FTI_LDB_GET_OTC_DEAL2_DATA, 773FTI_LDB_GET_POS_DATA, 773FTI_LDB_GET_SECURITY_DEAL1, 773FTI_LDB_GET_SWAP_DETAILS, 773

Rate calculation, 739Rate category, 480Rate type, 481

Rate valuationfor forward exchange transactions, 361one-step, 485

Rating, 989Raw exposure, 539

automatic release, 555control attributes, 543free attributes, 543general attributes, 542line items, 543origin, 542positions, 543price determination, 553quantity, 544release, 554release type, 553sub raw exposures, 545user data, 545

Readjustment, 954Rebonato procedure, 876, 887Reclassification, 599, 624

period, 601Reconciliation account, 442Reconstruction, 718Recovery rate, 979, 982, 988, 989

category, 989Redemption schedule, 65, 68

set, 68Reference, 141, 721, 726

business transaction, 349category, 141interest rate, 486number, 426

Regulatory reporting, 475, 1040Reinvestment fund, 285Release condition, 145Release procedure, 145Release workflow, 673Relevance � ExposureRemaining term, 720, 740, 748Repayment, 319

condition, 117Replacement currency, 496Repo, 33, 121, 160, 386

preassignment, 1033Report, 147


Index

1107

Reporting, 29Reporting Application Programming

Interfaces, 766Report–report interface, 763Request mode, 532Requirements profile, 530Reset procedure, 389Results database, 518, 858

calculation of single record, 938determination of single record, 937process overview, 909

Retrospective effectiveness test (RET), 657, 679, 682

Return table, 1009Revenue classification, 751Reversal, 428, 429

document, 429log, 429reverse a flow, 428reverse activity, 428

Reverse repo, 33Right, 297, 433Rights category, 297Risk category, 578, 980Risk commitment period, 981, 989, 993Risk factor, 865, 866Risk hierarchy, 866Risk object, 837Risk sensitivity, 979, 988RM (net present value) buffer, 737Roles, 175, 1048Rollover, 628Rounding rule, 279Routing, 1022RSAQCOPY, 761Run, 937

S

SAP In-House Cash, 463SAP Loans Management, 415, 421, 728SAP NetWeaver BW, 714, 776SAP Query, 761SAPscript form, 219Sarbanes-Oxley Act (SOX), 1046Saved dataset, 891, 896, 922

Scenario, 521, 699, 843process, 524

Schleifer Noise Method, 693Scientifically Amortized Cost (SAC), 376Secondary risk information, 979Securities

pre-assignment, 1033Securities account, 82, 272

asset securities account, 276cash flow, 273, 280, 1035class cash flow, 713group, 84, 329liability securities account, 276list, 151management, 27, 273, 274, 282position indicator, 336transfer, 288, 1036

Securities lending, 33, 150, 163Securities price calculation, 1039Securities valuation, 485, 686, 730

not affecting P/L, 320Security, 152

account, 329identification number, 1039valuation, 361, 365, 619, 637, 639

Segment, 818, 860Segment-level characteristics, 818Selection

reset procedure, 1035variants, 736

Sensitivities, 905Settlement, 143

risk, 976, 980, 982, 987Shareholding, 34Sharpe ratio, 961Short position, 277Shortcut, 92, 587, 608Short-rate, 851Simulation, 127

procedure, 868, 879Single hedged item � Hedged itemSingle position, 272, 331, 334Single record procedure, 921

filter, 858Single record results database, 923


Index

1108

Single transaction checkintegrated, 791, 976, 978, 996, 997

Smile, 509Sortino ratio, 962Special ledger, 447, 453Split syndicate, 726Spot exchange transaction, 32Spot valuation, 319Spreadsheet, 525SRP, 921Standard deviation

classical, 871exponentially weighted, 872

Standard industry, 720system, 726, 741

Standard quotation, 480Standard reports, 761Standing instructions, 457Statistics type, 872Status, 103

correction, 145management, 104, 143profile, 144

Stock, 34, 121index, 506split, 291swap, 291, 297

Structure flow, 105Subledger position indicator, 337Subledger posting, 436, 457Subordinate key figure, 916Sub-position, 675, 676, 677, 685Subscription right, 297Subsequent condition, 110, 111Summarize results, 741, 749Swap, 32

accrual/deferral, 319, 361, 385, 639cancelable swap, 32compound swap, 32constant maturity swap, 32cross-currency interest rate swap, 32currency swap, 32discount swap, 32EONIA swap, 32, 116interest rate swap, 32, 122OTC interest rate swap, 122

Swap (Cont.)payer swap, 32receiver swap, 32valuation, 319, 361, 385, 639

Swaption, 32SWIFT, 1032Switch, 39Synchronous datafeed, 528System transaction

TJ09, 136

T

Tab page in financial transaction, 89, 98administration, 100analysis, 104cash flow, 101commodity price adjustment, 102customer-specific, 100, 171default risk limit, 104financial object, 104hedge management, 100interest rate adjustment, 102memos, 103other flow, 100partner assignment, 103payment details, 101security price adjustment, 102status, 103structure, 99

Tax, 278on securities positions, 275, 278

Test plan, 656, 700, 705category, 656

Test selections, 855, 939Test-execution history, 667TestRun, 1009Threshold, 615Time characteristics, 720Time deposit, 31Time value � Hedge accounting valua-

tionTISCERN, 713Total return swap, 159TPM12, 713TPM13, 713


Index

1109

TPM20, 713TPM40, 713Tracking error, 962TRACV_POST_REL, 443Trader authorization, 129Trading, 125

decision, 125function, 125, 129

Transaction, 580AAEP1, 937AAEP2, 942AFHBMPH, 956AFO_AP_LOAN_MMIG, 830, 833AFO_AP_LOAN_MUPD, 833AFO_AP_POS1_MMIG, 830, 832, 833AFO_AP_POS1_MUPD, 832, 833AFO_AP_POS2_MMIG, 830, 832AFO_AP_POS2_MUPD, 832AFO_AP_TRTM_MUPD, 832, 833AFO_FOI_PP, 831AFW_ACT1, 822AFW_ACT2, 822AFWA, 807, 813AFWBM, 953AFWFL, 853AFWKF_AA, 934AFWKF_MD, 935AFWKF_PA, 925, 958, 964AFWKF_RA, 934AFWO1, 944AFWO2, 944AFWOBM, 960AFWPH, 859AFWS, 818AIS_FORMULA_DEF, 968AIS_LAY_DEF, 967AIS_STDREP, 970AISGENKF, 896AISS, 905BAPI, 1010, 1013, 1014BDBG, 1011BP, 77, 720CMOD, 1032F1, 462F110, 458F111, 458, 461

Transaction (Cont.)FC17, 500FCZZ, 500, 505FF70, 466FI12, 76FNVS, 764FTR_00, 96FTR_ALERT, 148, 250FTR_ALRT_BTCH, 250FTR_BAPI, 1013, 1014FTR_BP_BIC, 218FTR_COCREATE, 225FTR_COMATCH, 245FTR_COMONI, 225, 250, 251FTR_COSEND, 228FTR_CREATE, 94FTR_CSPRD, 508FTR_DEALPOS, 150FTR_EDIT, 95, 428, 764FTR_IMPORT, 231FTR_INB_ASSIGN, 212FTR_INB_FUNC, 212FTR_INT_ASSIGN, 214FTR_MASS_EXEC, 132FTR_MASS_ORDR_EXPIRY, 133FTR_MASS_SETTLE, 143FTR_MASSAPPROVAL, 227FTR_OPEN_TRTM_INIT, 830, 832, 833FTR_SAT_ACTVT, 216, 225FTR_SAT_ALRT, 248FTR_SEND_APPRVL, 227FTR_SWIFT_IMPORT, 232FTREX12, 1042FTREX31, 1081FTREX32, 1081FTW1A, 1052FTWCS, 1051FTWP, 1054FW_CSPRD, 508FW18, 482FWBS, 287, 432, 1037FWDG, 151FWDP, 151FWDU, 251, 289, 1036FWER, 300FWK0, 294


Index

1110

Transaction (Cont.)FWSO, 283, 432, 1037FWUP, 278FWZE, 283, 432, 1037FWZZ, 63, 483, 485, 732JBAI, 891JBAS, 891JBDO, 795, 831, 985JBDO1, 795JBIRM, 495JBNPV, 519, 587JBR4E, 862JBR5, 863JBR8, 863JBRBPC, 483JBRCT, 813JBRCU, 813JBRCV, 813JBREVAL, 844JBRF0, 799JBRI, 906JBRJ, 906JBRK, 860JBRP0, 863JBRR, 866JBRW, 863JBRX, 893JBVIR, 510, 511JBVIRC, 510, 511JBWH, 814JBYC, 495KLNACHT, 999, 1000PA_FILLUTYPEMATCH, 951PAEP1, 937PAEP2, 942PAEPBM, 959PAEPBM_RATIO, 966PARSPDEL, 939PFCG, 175PMSV, 311, 312PMVM, 311, 312, 432RAEP1, 937RAEP2, 942RASRPDEL, 939RCA00, 840RECON4, 208

Transaction (Cont.)RECON5, 185, 194, 208RM_98, 831, 833RMCM, 840RMV0, 901S_ALR_87008531, 518, 519S_KK4_13000287, 988S_KK4_13000289, 990S_KK4_13000302, 990SARA, 1078SBIW, 785SCPE_PQ1, 500SCPE_PQ3, 501SE18, 1033, 1038SE19, 75, 173, 1033, 1038SE71, 220SE80, 771SFP, 221, 671SLG1, 232, 741, 1051SM30, 751SM34, 241SMOD, 1031SO10, 220SPROXY, 1022SQ01, 761, 762, 763SQ02, 761, 762, 784SWETYPV, 146SWO1, 1007SXMB_IFR, 1022, 1025TAN_MDS, 700TANCC_COMPARE, 505TANCC11, 505TANCCMASTER, 501TANMDCR, 702TAV1, 141TAV2, 141TBB1, 423, 425, 426, 455, 469, 596TBB1_LC, 1063TBB4, 392TBCD, 146TBCS, 140TBD3, 533TBD4, 531, 532TBD5, 528, 534TBDA, 533TBDM, 526, 527, 534


Index

1111

Transaction (Cont.)TBDN, 527TBEX, 534TBEXN, 536TBR1, 460TBR4, 461TBR5, 460TBR6, 142, 643, 649TBR7, 142TBR8, 142TBR9, 142TBRL, 142TBT1, 129TBZ1, 188TBZ11, 186, 1032TBZ12, 187TCL1, 156TCOM, 149TEM15, 1041TEM20, 1041TF00, 96THM10, 600THM11, 600THM12, 600THM14, 600THM15, 600THM30, 586THM35, 632THM50, 597THM51, 598THM52, 598THM53, 599THM54, 601, 641THM58, 601, 641THM59, 602THM80, 588, 597, 604THM81, 600, 602THM82, 603THM83, 604THM84, 604THMEX, 577, 599, 606, 757, 1019THMMM, 630, 645, 647, 648THMRO, 633THMST, 603TI00, 96TI10, 137, 139, 755

Transaction (Cont.)TI11, 137, 139TI12, 137, 139TI37, 137, 139TI4B, 643TI90, 422TI91, 96TI92, 96TI93, 423TI94, 149TISCERN, 756TJ01, 149TJ04, 150, 751TJ05, 138, 139TJ05_REV, 139TJ06, 148TJ07, 149TJ08, 150TJ09, 139TJ12, 150TJ13, 139TM_60, 151TM_60A, 151TM00, 96TM0F, 97TM1F, 97TM20, 98TM21, 137TM22, 129TM30, 129TM3F, 97TMA5, 803TMCA, 126TMFM, 136TMSA, 127TPC2, 1050TPC4, 1050TPC6, 1050TPM_CTY_MASTER, 59, 60, 73, 505TPM_CTY11, 62TPM_INITIALIZE, 1071TPM_LOCATION, 61TPM_MIGRATION, 189, 474, 1076TPM_TRCO_FUTMD, 503, 505TPM_TRCO_FWDMD, 505


Index

1112

Transaction (Cont.)TPM1, 355, 358, 480, 592, 676, 681,

705TPM10, 425, 426, 428, 429TPM100, 654, 668, 674, 728, 743, 753TPM110, 704TPM112, 705TPM12, 404, 603, 675TPM13, 322, 404, 470, 603, 674, 764TPM15M, 398TPM18, 354, 596, 597, 646TPM20, 404, 426, 463, 465TPM22, 288TPM25, 312TPM26, 266TPM27, 355, 432TPM28, 404TPM3, 435TPM35, 313, 432TPM4, 84TPM40, 209, 273TPM44, 390, 731TPM56A, 476TPM57A, 336TPM59, 485, 732TPM60, 358, 519, 586, 587TPM61, 1066TPM61A, 1066TPM63, 1064TPM63B, 1068TPM63C, 1063TPM63D, 1068TPM64, 1064TPM70, 360TPM73, 360TPM74, 358TPM75, 360TPM8, 308TPM80, 472TPM81, 472TPM82, 402TPM83, 403TPM85, 474TPM86, 474TPM87, 474TPM88, 474

Transaction (Cont.)TPM89, 473TPM9, 85, 307TPM90, 474TRIG_IGT, 407TRMP_PERFORMANCE_MV, 738TRMP_PERFORMANCE_ST, 737TRMW, 739TRS_SEC_ACC, 82, 216, 238TS00, 96TSL00, 96TSL10, 150TSW2, 188TV21, 521, 524TV28, 524TVMD, 528TVS1, 873TX06, 96, 628, 629TX30, 179TX31, 181TXAK, 128TXV5, 140

Transaction activity, 581Transaction category, 581Transaction management, 26, 87

data screen, 98entry screen, 94posting flows, 423

Transaction Manager, 30Transaction number, 335Transaction release, 150Transaction tab

hedge management, 1037Transaction type, 56, 422Transactions with cash flows, 150Transfer, 396

account assignment reference, 403category, 345, 396, 397posting flow, 104

Translation, 349table, 530, 532

Treasury inbound processing � Expos-ure

TreasuryDealNotification, 1020Treynor ratio, 962


Index

1113

Trinomial tree, 852Types, 54

U

Underlying, 119, 723transaction, 661

Update interest rate adjustment, 139Update method, 112

adjusted, 112regular, 112unadjusted, 112

Update type, 267, 683accrual/deferral, 393assigning a posting specification, 450CM relevant, 468corporate action, 296derived business transaction, 351, 409futures account management, 313position component, 321posting specification, 450posting-relevant, 443replacement, 687rights category, 298securities account management, 274

Usage, 268status, 673, 706

User exit, 987User menu, 175

V

Valid-from date, 110Validity, 801, 921Valuation, 355, 686

affecting profits/losses, 731base, 372currency, 325, 350, 454, 485, 730factor, 980factor determination, 989flow, 104for accounting purposes, 619, 639, 685,

1036foreign exchange, 318futures, 370index, 318

Valuation (Cont.)log, 680manual, 358margin accrual/deferral, 386not affecting profits/losses, 731one-step price valuation, 619one-step valuation, 361rule, 617, 800, 844security, 318simulated, 731step, 344, 361, 592, 619swap valuation, 387

Valuation area, 316, 323, 324, 439, 441, 579, 606, 721, 733, 790, 834, 893leading, 579, 606paying, 420, 421, 451

Valuation class, 317, 396general, 327specific, 326transfer, 396, 398

Value, 265Value at Risk, 592, 596, 606, 620, 622,

634, 864, 904approximation of the net present value

function, 879combination procedure, 884, 888consolidation level, 882delta position, 904delta procedure, 880delta-gamma procedure, 880full valuation, 888gamma position, 904historical simulation, 881marginal Value at Risk, 892mean excess loss, 891, 904Monte Carlo, 884Monte Carlo simulation, 884profit and loss distribution, 904Structurized Monte Carlo, 885Value at Risk contribution, 892Value at Risk type, 886, 903variance/covariance approach, 885

VaR branch, 914Variable assignment ID, 984, 987Variance/covariance, 868, 879Variant, 102


Index

1114

Variant for selection options and control parameters, 736

Variation margin, 310, 319, 371Version, 927

date, 927Version 1, 997Version 2, 997View, 821Volatility, 508, 869, 1037

access rules, 514curve, 509, 512historical, 509implicit, 509name, 512, 514profile, 512structure, 509type, 510, 514

Volatility databasecentral, 512first, 509second, 509

W

Warrant, 34bond, 34, 297currency, 297equity, 297index, 297

Work area, 654Workflow, 134, 145, 978, 1033Worklist, 145

Write-down rule, 366Write-up rule, 366

X

XI � Exchange Infrastructure (XI)

Y

YieldDietz method, 947modified Dietz method, 946money-weighted rate of return, 945MWRR, 945time-weighted rate of return, 945TWRR, 945with fixed period length, 947with fixed start date, 948

Yield category, 488Yield curve, 486, 489, 490

type, 489Yield interval, 954Yield period, 943, 947Yield range, 928Yield term, 927

Z

ZBDF, 486, 498Zero bond, 34

yield, 488Zero bond discounting factor, 486, 488,

498Zero coupon, 879
