Solution Overview Presentation - SAP Treasury and Risk Management

SAP Treasury and Risk ManagementSolution Overview

Department, Board Area or TeamDate

© SAP AG 2009. All rights reserved. / Page 4

1. Market Trends and Value Proposition

2. Solution Offering2.1. Overview

2.2. Transaction Management

2.3. Exposure Management

2.4. Hedge Management

2.5. Risk Analyzers

3. Summary

Agenda


The Evolving Role of Corporate Treasury

„Business Impact“ Liquidity Management Management of Financial risks Bank Relationship Management Asset und Pension Management

Today

Management / Guidance Management / Guidance

Value increasing activities

Transaction based activities

Decisions regarding strategy of financing and asset allocation

Governance Risk and Compliance activities

supporting transactional activities Payment transactions Money market, FX and Derivative

deals

Future

Strategic partner of the CFO

Transaction based activities

Source: „ Der Finanzbereich im Umbruch“ (Dr. Michael Kieninger, Horváth AG, SAP Infotage 2007)

Value increasing activities


Does this Scenario Look Familiar?

SALARIESSALARIESSALARIES

Subsidiaries Banks

Inhouse Bank Mgr “My intercompany reconciliation and netting process is not integrated, not transparent and contains often errors. We never can build a payment factory on this fundament”

Trader “I cannot simulate risk scenarios and I am not able to generate ad-hoc overviews on key risk indicators. Furthermore I have to capture our deals manually three times in different systems”

AP/AR Manager“I don’t have an integrated bank connectivity and this turns out to be a compliance issue. We need a higher degree of automation to be scalable”

Cash Manager“It takes weeks to reconcile account data across multiple banks to determine our company cash position”

Is this organization prepared to: Increase process efficiency? Reduce finance operating costs? Optimize the global banking structure?

Treasury Risk Controller“How much of our fx portfolio is hedged and are these hedges effective according to our hedge accounting policy”

CFO“Is our current approach process and risk effective and how do we

benchmark ourselves against best in class treasuries?”

Group Treasurer“I’m not sure if our forecast allows us to fund the upcoming acquisitions without external loans from our banks?”


Fragmented, stand-alone systems

Limited bank communications integration

Weak integration with GL and AR systems

Poor insight into overall company risk picture

Poor insight into sources and uses of cash and their timing

Incomplete insight into global cash positions

Lack of coordination across entities and departments

Multiple payment locations and disbursement accounts

Multiple charts of accounts in various locations

Fragmented and inefficient payment and cash management

Paper-based and labor-intensive

Lack of standardization

Challenges: Typical Barriers to Effective and Compliant Treasury Management

High Cost of Finance Operations

Risk Awareness

Non-transparent Processes


What Our Customers Expect

Efficiency Streamline

processes Automate systems Integrated

communications

Compliance Segregation of

duties Accounting

standards Compliant

reporting

Transparency Accurate, auditable

accounting Reliable, credible

treasury reports Global cash visibility

Treasury Requirements

Financial Excellence in Treasury Operations!

Compliance Efficiency

Transparency


Overcome Your Treasury Barriers with SAP

Pinpoint risks and mitigate them Gain better insight into liquidity requirements Manage cash and improve returns

Insight & Control

Create central ‘payment factories’ Real straight-through processing for financial transactions Capture financial risk exposures from operational systems

Efficiency

Establish greater control over outgoing payments Manage FX, interest rate and commodity risk and comply to

regulatory standards Automation of internal controls (SOX)

Compliance

End-to-end ERP-based treasury integration into purchase, sales, production and finance

Reduce number of bank integrations and support costs through open standards

IT Systems


SALARIESSALARIESSALARIES

SAP Streamlines Finance Processes and Treasury Operations

Banks Subsidiaries

Timely cash and liquidity Forecasts Greater control over payments Reliable global cash management data Electronic bank integration Standardization and automation Integrated systems and processes

Group Treasurer“Our liquidity is excellent - we can fund our next merger without external borrowings”

Treasury Risk Manager“All lights are green. Our FX exposure is hedged and our sales revenue safe”

Trader “Great reports and one single deal entry screen are supporting my day-to-day work efficiently”

Cash Manager “We reconcile our account data across multiple banks to determine our company cash position in minutes”

AP/AR Manager“Our payment process is transparent due to seamless integration from our ERP system into our banking software”

Inhouse Bank Manager“Our central payment factory is up and running and all processes are highly automated !”

CFO“I believe my treasury department

is doing a great job!”







2.5. Risk Analyzers

3. Summary

Agenda


R/3 Launch

IS-IS/DARWIN Project for Loans, Securities, Real Estate

1992 1993 19941996

Money Market, Forex, Derivatives

Market Risk Management

Audit

Market release

R/2 TreasuryCash ManagementMoney Market, Forex, Loans

Treasury Applications from SAP Where we Came from …

2000

2001

R/3 Enterprise

In-House Cash

Liquidity Planner

Credit Risk Analyzer

Portfolio Analyzer

SAP ERP

Today

SAP Business Suite


Financial Excellence with Treasury Applications from SAP

Treasury applications from SAP

SAP Treasury and Risk Management

Risk Analyzers

Transaction ManagerMoneyMarketMoneyMarket

ForeignExchangeForeign

ExchangeSecu-ritiesSecu-rities

Com-modities

Com-modities

Deri-vatives

Deri-vatives

Debt MgmtDebt Mgmt

Manage Global Financial Risks

Optimize Debt and Investment Strategies

Manage Cash and Liquidity

SAP Cash and Liquidity Management

Cash Management Liquidity Planning

Optimize Payments and Bank Communication

SAP In-House Cash

SAP Bank Communication Management

Exposure Management Hedge Management

Credit Risk Analyzer Credit Risk Analyzer Market Risk AnalyzerMarket Risk Analyzer Portfolio AnalyzerPortfolio Analyzer

Credit Risk Analyzer

Utilization: Formulas, Credit risk, Settlement risk

Limit management: Limits freely definable, Multidimensional limits

Market Risk Analyzer

Price calculator: NPV, Prices, Sensitivities

Value at risk: Variance/covariance, Historic, Monte Carlo Simulation

Simulate rates: What-if scenario, Relative, Absolute

Portfolio Analyzer

Yield calculations: Money weighted, Time weighted, Modified Dietz method

Benchmarking:Performance Indicatorsxxxxxxxxxxxxxxxxxxxxxxxx

Front office: Position and deal reporting, Deal capture, Exercise, Dealer slip, Valuation tools, Online limit check

Back office: Standing instructions, Correspondence Monitor, Netting, Settlement, Rate fixing (interest, FX), References, Corporate actions, Process monitors

Accounting: Flexible accounting determination, Accounting according to many international accounting standards

Spot Forward Swaps Options Futures

ForeignExchange

Bonds Bank loans Commercial

Paper Facilities

Debt Mgmt Securities

Bonds Warrants Stocks Certificates Repo Sec. lending

Derivatives

Cap Floor FRA Swaps Options Futures

Money Market

Fixed –term deposits

Commercial Paper

Repo

Commodities

Futures Forwards Traded Options

Transaction Manager

Hedge ManagementExposure Management

Centralized Database to gather group and version data and transfer to Hedge Management

Administration of hedge plans, exposures, hedge items and hedging relationships

Risk Analyzers



Reporting tools: SAP Query, ABAP List, Other 3rd-party providers, BI, Business Object Xcelsius and Dashboards

Middle office: Risk exposure, Controlling, Compliance

Management reports: Positions, Performance, Ratios, Compliance

Ad-hoc reporting: Point & click, Unified databases, Position, P&L, Period, Cash Flow

Results database:Portfolio Hierarchy, Drill-down, Historic results

Data export: Excel, Flat files, BI

Reporting







2.5. Risk Analyzers

3. Summary

Agenda


Instrument Support

Money Market

Fixed-term deposits (e.g., overnightdeposits at notice)

Commercial paper Repo Floating rate Any cash flows

Spot Forward Swap Vanilla options Barrier options

(single and double) Compound options Delayed Delivery

options Average rate

options Basked options Exchange-traded

options

Foreign Exchange

Securities (Investments)

Bonds ABS /MBS /CMO Index-linked bonds Dual currency

bonds Drawable bonds Warrant Bonds Stocks Shareholdings Subscription rights Investment

certificates Repo/ Reverse

Repo Security lending

Cap Floor FRA Swaps

Payer/Receiver, Fixed/Basis, Exotics (e.g. roller coaster)

OTC optionsSecurity, Swaption, IRG

Futures Exchange traded

options

Interest & Equity

Derivatives

Debt Management

Issued bondsFixed/ floating/ zero interest, Bullet repayment/ with repayment/ ABS structures

Fixed rate loans Floating rate loans Annuity loans Commercial Paper Facilities (bilateral

or syndicated)

P o r t f o l i o A n a l y z e r

M a r k e t R i s k A n a l y z e r

R e p o r t i n g

T r a n s a c t i o n M a n a g e r

C r e d i t R i s k A n a l y z e r

Futures Forwards Traded Options

Commodities


Process Overview

BackOffice

Account-ing

FrontOffice

MidOffice

Exposure analysis

Decision support Comfortable deal

entry Standing

instructions On-line limit

check Position reporting

Valuation according to several GAAP’s in parallel areas

Support for IAS 39 / US-GAAP and Hedge Accounting

Flexible process definition

Settlement Correspondence Interest rate

adjustments Payments Alert monitor

Instrument pricing Risk analysis Sensitivity

analysis

Re-porting

Standard reporting

Ad-hock reporting Controlling Limit reporting Management

reporting


Transaction Manager – Fully Integrated

Automatic creation of correspondence

Valuation (parallel)

Automatic posting

Automatic accrual/deferral


Accounting Straight-Through Processing

Straight-through processing of financial deals is achieved in combination with a highly flexible accounting engine.

Simple Example

German GAAP (HGB)IAS / US GAAP

9000 9000 9000

write-up no write-up

9800

Real-Time update of your accounting position

Automatic posting incl. flexible account determination

Hedge Accounting (e.g. FAS133/138, IAS39)

Support of several accounting standards in parallel

Purchase of 100 shares at USD 90per share= USD 9,000

Stock price on valuation key date: USD 98 (market value)


Create / send correspondence

Automatic matching

Gain Efficiency with Correspondence Monitor

Real Straight-Through Processing from deal capturing via new integrated Correspondence Monitor to parallel accounting with a highly sophisticated authorization concept behind.

Receive incoming correspondence

Error handling / manual matching

Release process use customer

defined channels, mediums and formats

Fax, email, print and swift file transfers are preconfigured

Predefined format (incoming and outgoing) for MT300, MT320 and free text MT399

Tracking of incoming correspondence use customer defined channels, mediums and formats

Fax, email, print and swift file transfers are preconfigured

Predefined format (incoming and outgoing) for MT300, MT320 free text MT399

Customizable matching proposal

Automatic matching when message is coming in or going out possible

Correspondence monitor e.g.

Navigate in all directions

Improved status tracking for the messages

Show all correspondence objects assigned to one deal

Show matches Manual

assignment of correspondence to deals

Receive ACK and NACK messages

Deal capturing


Create message and send

Create SWIFT file envelope

Process of Incoming and Outgoing Messages Using SWIFT Integration Package from SAP

Send file to SWIFT alliance gateway

Creation of MT message automatically or manually in the correspondence monitor

Save message on file server

PI picks up the data from the file server in predefined time intervals

SWIFT Integration Package picks

up data

Data from file adapter uploaded

to TRM

Open SWIFT file envelope

Get file from SWIFT alliance

gateway

Automatic matching process is triggered automatically whenever a file appears

SWIFT Integration Package put

data on file adapter

Integration package for SWIFT

PI saves file on file adapter




SWIFT Integration Package is a PI box and the SWIFT gateway is another separate box.

Straight-Through Processing for External Deals

Alternative deal capturing by connection to Market Places Automation of download of FX transactions made on market places

such as 360T, FXall or Currenex Available for FX spot, FX forward and FX options Possible to enter all data for the FX transaction with one interface

SAP Treasury andRisk ManagementSAP Treasury andRisk Management Market PlaceMarket Place

Bank ABank A

Bank BBank B

Bank CBank C



Managing Commodities and Financial Instruments Risk

All kinds of commodity types and hedging instruments can be managed in SAP

Commodities (examples) Crude Oil, gas, coal Metals including noble metals Corn, maize, soybean Coffee, cacao, cotton, sugar Orange juice, lemon juice Cattle (cows, pigs) Certificates on emission

Hedging Instruments Futures and Traded Options Forwards Swaps (planning status) OTC Options (planning status)







2.5. Risk Analyzers

3. Summary

Agenda


Exposure Management – Example for Commodities

Exposure Management

Exposure Management

TransactionManager

TransactionManager

HedgeManagement

HedgeManagement



Treasury and Risk ManagementSAP ERP Operations

SD, MM or GTM

ExcelSpreadsheets

Other sourcesof Exposures

SAP ERP Financials

Commodity front office system - if needed


Risk identification

Build exposure

positions

Deal request

Financial Risk Management Process Using Exposure Management

Hedge Management

Gathering Data from from various source systems

Classify Exposure as forecasted transaction firm commitment and link to different risk factors like commodity price or foreign exchange risk (EUR-USD)

Storage and update of the lifecycle of the Exposure positions

Risk dashboard combining operational and financial Exposures

Possibility to calculate various risk key figures like Net Present Value and Value at Risk on Exposure positions as well as financial transaction

Calculated exposures are available as hedged item in hedge management

Possibility to generate deal requests out of the Exposure position and send it to marketplace or front office system

Lifecycle of Exposure

Position

NPV /VaR calculation

Risk Dashboard







2.5. Risk Analyzers

3. Summary

Agenda


Hedging Item (Exposure) Hedging Instrument (Derivative)

Hedge Management

Hedging Relationship

Effectiveness test /valuation

Hedge AccountingHedge Accounting

Scope of SAP‘s Hedge ManagementFair Value Hedge

Hedging Instruments FX swap, FX forward FRA Interest rate swap Cross currency interest rate swap Commodity Futures and Forwards (EhP4) Other Product Types (e.g. Commodity Swaps) are in planning status

Effectiveness Calculation Methods Net Present Value Method / Dollar offset Method¹ Hypothetical Derivative Method Benchmark Method Regression Analysis (EhP 4)


Scope of SAP‘s Hedge ManagementCash Flow Hedge

Hedging Instruments FX swap, FX forward, FX options (plain vanilla and average rate), Collar FRA, CAP, FLOOR Interest rate swap Cross currency interest rate swap Commodity Futures and Forwards (EhP4) Other Product Types (e.g. Commodity Swaps) are in planning status

Effectiveness Calculation Methods Net Present Value Method / Dollar offset Method ¹ Cash Flow Method Hypothetical Derivative Method Regression Analysis (EhP 4)


Scope of SAP‘s Hedge ManagementHedge of a Net Investment

Hedging Instruments Money Market Instruments Forward Exchange Transactions FX and Cross Currency Swaps (note 967104 for ERP2004/ERP2005) FX Options (note 967104 for ERP2004/ERP2005)

Effectiveness Calculation Methods Net Present Value Method Cash Flow Method Spot Method Forward Method / All critical Terms match

(note 967104 for ERP2004/ERP2005)


Hedged Items

Hedged Items are Exposures From a manual entry Upload from Money Market Instruments Upload from Risk Objects Upload from FX-Exposure Management Upload from Exposure Management 2.0 Generation from FX Forwards (or from a rollover or premature settlement of an FX-Forward)


Effectiveness Testing - Process


Balance sheet dateBalance sheet date

time

Start date of the Hedging RelationshipStart date of the Hedging Relationship

1. Run the prospective effective assessment to prove if the hedging relationship is expected to be highly effective.

Was the Hedging Relationship highly effective in the past?

4. Run the prospective effective assessment to prove if the hedging relationship is expected to continue to be highly effective.

Is the Hedging Relationship expected to be highly effective in the future?

2. Run the retrospective effective assessment to prove the past effectiveness of the hedging relationship.

3. If the assessment has shown an effective hedging relationship, run the Effective Measurement to determine the exact amount to be posted to OCI/Equity or P/L.

Is the Hedging Relationship expected to be highly effective in the future?

1 2 4

3

Effectiveness Test - Regression Analysis - Report

Regression report contains – Data used for analysis, Regression basic statistics, ANOVA and Confidence interval and range


Integration into Accounting

Classification of the valuation results Effective portion Ineffective portion Free standing portion Time value

Reclassification when exposure hits earning Manual reclassification Automatic distribution over a user defined time interval Partial reclassification (if exposure changes or is overhedged)


ValuationPosting Logic with FAS133/IAS39

Determine derivative´s fair value

FX - Balance Sheet Account

Delta NPV

OCI/Equity - Distribution Account

Delta NPV

Effective portion

Ineffective portion

0,00 0,00

Free-standing portion

[ Delta time value ]

P/L

Ineffective portion

Free-standing portion

[ Delta time value ]

OCI/Equity

Effective portion

Determine value of any free-standing portion of the derivative

Determine OCI/Equity target balance and amount to be posted to OCI/Equity

Post remainder of clearing OCI/Equity distribution account to P/L(ineffective portion of the hedge)

Distribution


1

2

3

4

1 1

2

2

3

4

4

5

5

3

Expiration and Reclassification

When? Hedge accounting ceases prospectively when any of the following occurs:

hedge fails an effectiveness test the hedged item is sold or settled the hedging instrument is sold, terminated or exercised management decides to revoke the designation for a hedge of a forecasted transaction, the forecasted transaction is no longer highly probable.

In customizing you can define, what should happen with the hedge relationship in the case of infectivity – to dissolve or to dedesignate

How? Manually – by reclassifying all or parts of the equity capital balances at once or one-off the part of it or Automatically – by reclassifying over multiple periods on a linear basis

What happens with the hedging instrument? As in IAS 39: All future fair value changes in a derivative hedging instrument are recognized in the income

statement. Future changes in the fair value of any non-derivative hedging instrument are accounted for as they would be without hedge accounting.

What happens with the hedged item? Future changes in the fair value of the hedged item are accounted for as they would be without hedge accounting








2.5. Risk Analyzers2.5.1. Introduction2.5.2. Credit Risk Analyzer2.5.3. Market Risk Analyzer2.5.4. Portfolio Analyzer

3. Summary

Agenda


Sensitivity analysis

Value-at-risk

Net present value

What-if analysis

Back-Testing

Multidimensionallimit management

Market data shifts and scenarios

Exposures

Risk Analyzers – Risk Analytics

Portfolio Returns Portfolio Benchmarking

Risk analytics is clever maths, but the hard slog is the integration.Risk Magazine“


Transaction Manager

Business-partner

Money MarketSecuritiesDerivativesForexCommodities

REPORTING:Externallymaintainedtransactions

General LedgerIntegration

CashManagem.

Analyzers

Market RiskAnalyzer

Portfolio Analyzer

Credit RiskAnalyzer

SAP Modules in Treasury Analyzers

Market DataFX Rates

Yield Curves

Indices

Volatilities

Market DataFX Rates

Yield Curves

Indices

Volatilities








3. Summary

Agenda


Process in Credit Risk Management

Deal

Limit check

O.K.

End-of-Day Processing

Exposure

8.5

632.3

688.1

12.3

Limit

10.5

700.7

716.7

4.8

Partner

Euro Bank

United Bank

Carlton

Brightline

Reporting

LimitLimit

Attributableamount

Attributableamount

Request

Start of workflow, when limit is ‘Breached’

T r a n s a c t i o n

M a n a g

ement

Util. in %

80.9%

90.3%

96.0%

256.3%

Free Limit

2.0

68.4

28.6

-7.5


Relative Limits

Can compare same key figures from different portfolios

or

Different key figures from the same portfolio

Can choose the ‘Utilization Portfolio’ and the ‘Reference Portfolio’. They can be same or different.

Limits can be defined as ‘Percentage’, ‘Absolute’ Or ‘Both Percentage and Absolute’

Choose Utilization Portfolio

Utilization Key Figure

Choose ReferencePortfolio

Reference KeyFigure

Define LimitsPercentage

Define LimitsAbsolute








3. Summary

Agenda


CM

Market Risk Analyzer – Risk Controlling

EDT

SAP

NON SAP - External

NPV, VaR, Exposures …

Results

Analysis/Reporting/Planning

Market data

Online data feed Simulated Shifts Scenarios

Pricing Engine

NPV,VaR ..

.

DatapoolTMCML


Consolidation LEVEL 1

ConsolidationLEVEL Risk factors

Consolidation LEVEL 2 . . .

3-month FIBOR EUR

6-month FIBOR EUR

12-month FIBOR EUR

1-year FIBOR EUR

3-year FIBOR EUR

SAP Stock

USD Spot

GBP Spot

3-month LIBOR GBP

6-month LIBOR GBP

1-year Swap USD

1-year Swap USD

Money market EUR

Capital market EUR

Stocks

Currencies

Interest GBP

Swap USD

Interest EUR

Currency

Interest

Risk Hierarchy

Defining the risk hierarchy and evaluation structure


Net Present Value Concept

Market data

Calculation Evaluations

Risk management

Saved market prices Real-time market prices Flexible scenarios Rule shifts

Mark-to-market Sensitivities

Duration Convexity Exposure

Crash/stress tests

Company Portfolio Profit center Product

Transaction data

Linear Debts Assets ....

Non-linear Options Caps ....

Price calculator(user exit)

NPV

Risk

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

1 M 2 Y 4 Y 6 Y 8 Y 10 Y

Yield curve 5 (+) Current. yield curve Yield curve 6 (long-term)

Base portfolioBonds/New York

Base portfolioBonds/Frankfurt

LEVEL 1Trading: Swaps

LEVEL 1Trading: Bonds

LEVEL 2Trading: Interest products


Value at Risk

Historical marketparameters

Calculation Evaluations

Risk management

Market interest rates Exchange rates Stock prices Volatilities Correlations

Historical simulation Monte Carlo

Full valuation Delta method Delta/gamma method

Variance/covariance Backtesting

0

5

10

15

20

25

30

35

40

45

50

< -

95

< -

85

<-7

5

< -

65

< -

55

<-4

5

<-3

5

<-2

5

<-1

5

<-5 <5

< 1

5

< 2

5

< 3

5

< 4

5

< 5

5

< 6

5

< 7

5

< 8

5

< 5

00

No. Date NPV Risk Confidence Interval

1 Feb 81 483.9 -134.32 May 81 524.8 -93.3 99.0%3 Mar 80 530.6 -87.54 Feb 90 538.9 -79.25 Feb 80 543.8 -74.36 Feb 74 546.8 -71.3 97,5%7 Jun 82 557.5 -60.68 May 83 559.8 -58.39 Oct 72 560.5 -57.710 Feb 94 562.6 -55.511 May 79 564.2 -53.912 Oct 79 565.5 -52.613 Feb 85 569.1 -49.0 95.0%

Company Portfolio Profit center Product

Transaction data

Bal. sheet Debts Assets ....

Non-linear Options Caps ....

Price calculator(user exit)

Base portfolioBonds/New York

Base portfolioBonds/Frankfurt

LEVEL 1Trading: Swaps

LEVEL 1Trading: Bonds

LEVEL 2Trading: Interest products


Net Present Value Calculation

Variable cash flows

Floating rate bond,Variable loans

Caps/FloorsOptionsSwaptions

Swaps,FRAs

Market Risk Analytics – Net Present Value (NPV) Calculation

1.Calculation of forward rates using the assigned yield curve

2.Calculation of future cash flows

3.Discounting

Option price formulas,for example: Black & Scholes Binomial (C-R-R) Garman/Kolhagen Hull-White

Fixed cash flows Uncertain cash flows

Straight bonds,Fixed-rate loans,Money market

Discounting with zerobond discounting factors of the relevant yield curves

Non-Linear InstrumentsLinear Instruments


Market Risk Analytics – Value at Risk

Reporting & Backtesting

Analysis of risk factor contributions

Value at RiskMethods and Algorithms

Historical Simulation

Monte Carlo Simulation

Variance-Covariance

(aka „Analytical Method“)

Full ValuationX X

Delta ApproachX X X

Delta-Gamma Approach X X X

Calculation Alternatives


USD interest rate

EUR/USD

DowJones

Simulated changesto risk factors

Position

Delta/Gamma

1 2 3 4

Present value

Changes to present values of positions

Opportunity

Frequency

Risk

Confidence interval

Distribution of position changes

VaR

VaR Simulation Approaches


Portfolio Hierarchy B Key Figure Set 2

12-19-05


12-18-05


02-28-05


01-31-05

Market Risk Analytics – Reporting Results Database (RDB)

RDB is used to store calculated key figures for later evaluation

Key figures are calculated in an end-of-day batch run

Stored results remain available and can be archived

Key figures are stored for individual transactions as well as aggregated according to desired portfolio hierarchies

RDB reports are based on the AIS

Portfolio Hierarchy A Key Figure Set 1

12-17-05 Portfolio Hierarchy B Key Figure Set 2

12-31-05

Results Database

(RDB)

Analyzer Information

System (AIS)


Results Database – Risk Cockpit

Compliance Reporting – IFRS 7 Reporting Categories – Market Risks

Standard reports for compliance to IFRS 7 –Market risk section.

Reports related to exposures for: Currency risks Interest rate risks

Fair Value Changes reports for risks: Currency risks Interest rate risks Commodity price risks Security price risks









3. Summary

Agenda


Building organizational structures

Asset allocation Business transactions

Investment strategy Determination of benchmark Improvement and alignment

Reporting and revision

Risk adjustment Performance measurement Benchmarking

Portfolio Analyzer

Portfolio Analyzer

SAP Treasury and Risk

Management


Performance Analytics – Benchmarking Reporting







2.5. Risk Analyzers

3. Summary

Agenda

Quick Facts –


The SAP Treasury and Risk Management application is

part of Treasury applications from SAP

The application helps you make more effective

decisions utilizing timely information on current market

conditions

It lets you optimize your hedging and risk management

processes through exposure management for operational

FX and commodity exposures

SAP Treasury and Risk Management increases

transparency by having operational and treasury

exposures evaluated for market risk

It supports standard financial instruments and offers

integrated and automated straight-through processing,

as well as state of the art risk management capabilities

Furthermore, the application helps to comply with legal

regulations and compliance requirements


Further Information

SAP Public Web http://www.sap.com/treasury

SAP Service Marketplace (log-on required)

https://service.sap.com/erp-treasury

Documentation on SAP Help Portal http://help.sap.com

(SAP ERP >> SAP ERP Central Component >> SAP ERP Enhancement Packages)

Training / SAP Education http://www.sap.com/education

User Groups http://www.asug.com

http://www.dsag.de

http://www.sap.com/communities/usergroups.epx for more

Contact Your SAP Account and Consulting Engagement Manager


Thank you!

Documents

Solution Overview Presentation - SAP Treasury and Risk Management