FSC010 Business Processes in Treasury & Risk Management

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1 Business Processes in Treasury & Risk Management SAP ERP - Financials Course Version: 98 Course Duration: 5 Day(s) Publication Date: 2015 Publication Time:

2 Copyright Copyright SAP SE. All rights reserved. No part of this publication may be reproduced or transmitted in any form or for any purpose without the express permission of SAP SE. The information contained herein may be changed without prior notice. Some software products marketed by SAP SE and its distributors contain proprietary software components of other software vendors. Trademarks Microsoft, WINDOWS, NT, EXCEL, Word, PowerPoint and SQL Server are registered trademarks of Microsoft Corporation. IBM, DB2, OS/2, DB2/6000, Parallel Sysplex, MVS/ESA, RS/6000, AIX, S/390, AS/400, OS/390, and OS/400 are registered trademarks of IBM Corporation. ORACLE is a registered trademark of ORACLE Corporation. INFORMIX -OnLine for SAP and INFORMIX Dynamic ServerTM are registered trademarks of Informix Software Incorporated. UNIX, X/Open, OSF/1, and Motif are registered trademarks of the Open Group. Citrix, the Citrix logo, ICA, Program Neighborhood, MetaFrame, WinFrame, VideoFrame, MultiWin and other Citrix product names referenced herein are trademarks of Citrix Systems, Inc. HTML, DHTML, XML, XHTML are trademarks or registered trademarks of W3C, World Wide Web Consortium, Massachusetts Institute of Technology. JAVA is a registered trademark of Sun Microsystems, Inc. JAVASCRIPT is a registered trademark of Sun Microsystems, Inc., used under license for technology invented and implemented by Netscape. SAP, SAP Logo, R/2, RIVA, R/3, SAP ArchiveLink, SAP Business Workflow, WebFlow, SAP EarlyWatch, BAPI, SAPPHIRE, Management Cockpit, mysap.com Logo and mysap.com are trademarks or registered trademarks of SAP SE in Germany and in several other countries all over the world. All other products mentioned are trademarks or registered trademarks of their respective companies. Disclaimer THESE MATERIALS ARE PROVIDED BY SAP ON AN "AS IS" BASIS, AND SAP EXPRESSLY DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS OR APPLIED, INCLUDING WITHOUT LIMITATION WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO THESE MATERIALS AND THE SERVICE, INFORMATION, TEXT, GRAPHICS, LINKS, OR ANY OTHER MATERIALS AND PRODUCTS CONTAINED HEREIN. IN NO EVENT SHALL SAP BE LIABLE FOR ANY DIRECT, INDIRECT, SPECIAL, INCIDENTAL, CONSEQUENTIAL, OR PUNITIVE DAMAGES OF ANY KIND WHATSOEVER, INCLUDING WITHOUT LIMITATION LOST REVENUES OR LOST PROFITS, WHICH MAY RESULT FROM THE USE OF THESE MATERIALS OR INCLUDED SOFTWARE COMPONENTS. g

3 Contents Contents Course Overview... Course Goals... Course Objectives... v v v Unit 1: Overview SAP Treasury... 1 Treasury and Risk Management: Overview... 1 Core Treasury Process... 1 Connection to Other SAP Modules and Non-SAP... 1 Process Overview Risk Management... 2 Unit 2: General Master Data... 3 General Master Data... 3 Unit 3: Transaction Manager: Money Market Trading (End-to-End Process)... 4 Introduction to Money Market... 4 Money Market Trading Functions... 4 Middle Office Functions... 4 Back Office Functions (Example: Fixed-Term Deposit)... 5 Accounting Functions (Example: Fixed-Term Deposit)... 5 Payment Program... 5 Valuation... 5 Special Functions... 5 Cash Management Integration... 6 Reporting... 6 Unit 4: Transaction Manager: Foreign Exchange Trading (Delta Process)... 7 Introduction to Foreign Exchange Trading... 7 Front Office Functions... 7 Foreign Exchange Accounting Functions... 7 Currency Valuation Functions... 8 Reporting... 8 Unit 5: Transaction Manager: Derivative Trading (Delta Process)... 9 Introduction to Derivative Financial Instruments... 9 Controlling Exchange Rate Risks Using OTC Currency Options... 9 Controlling Interest Rate Risks Using Derivatives SAP SE. All rights reserved. iii

4 Contents Controlling Interest and FX Risk Unit 6: Transaction Manager: Commodity Trading (Delta Process) Introduction to Commodities Commodity-Specific Master Data Commodity Trading Function Margin Management Unit 7: Transaction Manager: Hedge Management (Short Overview) Transaction Manager: Hedge Management (Short Overview) Unit 8: Transaction Manager: Securities Management (End-to-End Process)...14 Securities Management: Overview Master Data Trading and Middle Office Functions Accounting and Closing Operations Position Management Unit 9: Market Data Management...16 Market Data Management Unit 10: Analyzer Basic Settings (Short Overview)...17 Overview Risk Management Analysis Structure and Basic Settings Evaluation Types Unit 11: Market Risk Analyzer...18 NPV / Sensitivity Analysis Value-at-Risk Evaluations Results Data Base Unit 12: Credit Risk Analyzer...20 CRA Functional Approach CRA Process (Limit Process) CRA Basic Terms Additional Limit Management Functions SAP SE. All rights reserved. iv

5 Course Overview Course Overview The course provides an initial overview of the Transaction Manager, Market Risk Analyzer and Credit Risk Analyzer components. Target Audience This course is intended for the following audiences: Project leaders Project team members Consultants Users Course Prerequisites Required Knowledge None Recommended Knowledge SAP01 SAP Overview SAPFIN SAP Financials Financial Instruments (Money Market, Foreign Exchange, Commodity, Security, Derivatives) Course Goals This course will prepare the participant to: Create and manage process-oriented transactions in Transaction Manager, Market Risk, Credit Risk, Portfolio and Accounting Analyzer Configure and carry out typical business processes in these areas Understand the core Treasury process To get an overview about the different Treasury processes (Money Market, Foreign Exchange, Derivate, Security, Commodity) Course Objectives After completing this course, the participant will be able to: Use the support tools for back-office processing Describe the interrelationships in the SAP Transaction Manager application Set up the necessary structures for managing liquidity in the short, medium and long term 2015 SAP SE. All rights reserved. v

7 Unit 1 Overview SAP Treasury Unit Overview This lesson include an introduction to SAP Treasury and Risk Management. Additionally, the following topics are discussed: Core Treasury Processes Connection to other SAP modules and non SAP systems Process Overview Risk Management Lesson: Treasury and Risk Management: Overview Provide an overview of SAP Treasury and Risk Management Explain the various processes and the standard functions within Treasury Give an overview of the Transaction Manager Give an overview of the Market Risk Analyzer Give an overview of the Credit Risk Analyzer Lesson: Core Treasury Process Describe the full Treasury process Describe the different sub processes Know the difference between Money Market, Foreign Exchange, Commodities, Derivatives, and Securities Lesson: Connection to Other SAP Modules and Non-SAP Describe the connection to Loans Management Identify the connection points to other SAP modules 2015 SAP SE. All rights reserved. 1

8 Understand the reporting opportunities within SAP Treasury and Risk Management (TRM) Lesson: Process Overview Risk Management Provide an overview of the different risk processes Explain the Market Risk Management process Explain the Credit Risk Management process Explain the Portfolio Analyzer process Explain the Accounting Analyzer process Explain the Hedge and Exposure Management functionality 2015 SAP SE. All rights reserved. 2

9 Unit 2 General Master Data Unit Overview In this unit, you will learn how to create master data settings for house banks and business partners. Lesson: General Master Data Set up House Bank settings Process the SAP business partners Explain the role types defined in the business partner and create business partner relationships Set up standing instructions and define authorizations for the business partner Differentiate between banks in general, business partner banks, and house banks 2015 SAP SE. All rights reserved. 3

10 Unit 3 Transaction Manager: Money Market Trading (End-to-End Process) Unit Overview In this unit, you will learn how to create the individual money market products in the trading area and which functions are available in middle and back office processing. Integration with Cash Management and Financial Accounting is also explained, as well as additional functions such as rollover, reversal, or the automatic generation of mirror transactions. Lesson: Introduction to Money Market Explain the money market product types in Transaction Manager and describe how they are used in business. Provide an example of an cash flow structure Lesson: Money Market Trading Functions Perform the trading activities for capturing individual money market products Lesson: Middle Office Functions Use internal and external correspondence Provide an overview about the new Correspondence Monitor Explain the deal release workflow 2015 SAP SE. All rights reserved. 4

11 Lesson: Back Office Functions (Example: Fixed-Term Deposit) Perform back office activities for money market trading and use the tools that support back office processing Lesson: Accounting Functions (Example: Fixed-Term Deposit) Use the posting function for transfer to Accounting and explain the posting logic Lesson: Payment Program Describe the different variants and functions of the payment program Use the treasury payment program Lesson: Valuation Overview relevant market risk factors for money market transactions Explain the operative and parallel accounting in TRM Structure of Position Management procedure Lesson: Special Functions Use the rollover, accrual/deferral, and reversal functions, as well as the function for automatically generating mirror transactions, and explain when and why they are used SAP SE. All rights reserved. 5

12 Lesson: Cash Management Integration Explain the Cash Management structure and integration Lesson: Reporting Explain the structure of the standard information system, selected standard reports, and the principle of drilldown reporting Use important standard reports 2015 SAP SE. All rights reserved. 6

13 Unit 4 Transaction Manager: Foreign Exchange Trading (Delta Process) Unit Overview In this unit, you will learn about the financial instruments provided by the Transaction Manager in the area of foreign exchange, and how these can be used to hedge against currency risk (foreign exchange). The architecture and functionality of the parallel valuation areas that you can use to map a number of accounting principles in the subledger and general ledger are also explained. In addition to this, the tools for preparing and executing key date valuations are also introduced. Lesson: Introduction to Foreign Exchange Trading Name the product types in foreign exchange trading and the most important business operations and functions in Trading, Back Office, and Accounting Process delta view in connection to money market Lesson: Front Office Functions Perform front-office processing for a spot or forward transaction and a foreign exchange swap. Lesson: Foreign Exchange Accounting Functions Transfer the flows from the foreign exchange transaction to Financial Accounting using the accounting functions 2015 SAP SE. All rights reserved. 7

15 Unit 5 Transaction Manager: Derivative Trading (Delta Process) Unit Overview In this unit, you will learn about the financial instruments provided by the Transaction Manager in the areas of derivatives, and how these can be used to hedge against currency risk (foreign exchange, derivatives) or interest rate risk (derivatives). Lesson: Introduction to Derivative Financial Instruments Provide an overview of the derivative financial instruments supported by Transaction Manager. Lesson: Controlling Exchange Rate Risks Using OTC Currency Options Explain the various instruments for hedging against risks derived from currency fluctuations Map these instruments in Transaction Manager Lesson: Controlling Interest Rate Risks Using Derivatives Explain the various instruments for hedging against interest rate risks Map these instruments in Transaction Manager 2015 SAP SE. All rights reserved. 9

17 Unit 6 Transaction Manager: Commodity Trading (Delta Process) Unit Overview In this unit, you will learn about the financial instruments provided by the Transaction Manager in the areas of Commodities, and how these can be used to hedge against price risk. You will learn the difference between the money market and commodities and get an overview of the additional master data settings. Lesson: Introduction to Commodities Differentiate between transaction and Future Account Management Explain the various processes and the standard functions within Treasury for Commodities Explain the different Product Types and Product Structures Lesson: Commodity-Specific Master Data Set up a commodity ID Set up a Commodity Class Set up Future Accounts Lesson: Commodity Trading Function Create Commodity Future transactions 2015 SAP SE. All rights reserved. 11

19 Unit 7 Transaction Manager: Hedge Management (Short Overview) Unit Overview In this unit, you will learn how to use the Hedge Management functionality provided by the Transaction Manager, to hedge against interest, currency and price risks. Lesson: Transaction Manager: Hedge Management (Short Overview) Understand Hedge Management (cash flow hedge, fair value hedge and hedge for net investment) Create a Hedge Relationship Perform an Effectiveness Test (prospective, retrospective) 2015 SAP SE. All rights reserved. 13

20 Unit 8 Transaction Manager: Securities Management (End-to-End Process) Unit Overview This unit deals with the back office management of securities using the Transaction Manager. Lesson: Securities Management: Overview Provide an overview of securities management Name available product types Provide an overview transaction and position management Lesson: Master Data Create business partners in different roles Maintain class master data, including basic data, conditions, and other data Set up securities accounts and portfolios, if required, to manage your positions Understand and create position indicators Lesson: Trading and Middle Office Functions Trade securities transactions Use the Collective Processing function for entering security transactions Provide an overview about Position Management 2015 SAP SE. All rights reserved. 14

21 Lesson: Accounting and Closing Operations Familiarize yourself with the interface to accounting and the necessary closing operations Differentiate posting out of the transaction and position management Create interest accruals and perform a valuation run Lesson: Position Management Explain and perform position management in Transaction Manager Carry out a security account transfer Process corporate actions 2015 SAP SE. All rights reserved. 15

22 Unit 9 Market Data Management Unit Overview In this unit, you will learn which type of market data is required for carrying out valuation and a risk reporting. Lesson: Market Data Management Enter different types of market data Understand the structure of the Market Data Management system 2015 SAP SE. All rights reserved. 16

23 Unit 10 Analyzer Basic Settings (Short Overview) Unit Overview In this lesson, you will learn which basis settings are required before you can use the different Analyzers (Market, Credit, Portfolio, Accounting Analyzer) Lesson: Overview Risk Management Explain the risk type matrix (allocation of the different risk types) Define a risk controlling process Lesson: Analysis Structure and Basic Settings Provide a general explanation of the analysis structure and basic settings for the Market Risk Analyzer Lesson: Evaluation Types Understand the relevance of the Evaluation Type Create a specification of relevant market data for evaluation 2015 SAP SE. All rights reserved. 17

24 Unit 11 Market Risk Analyzer Unit Overview Hint: The central task of the Market Risk Analyzer is to analyze market risks and determine the net present values of the financial transactions you manage. First, you need to integrate the financial transactions from the Transaction Manager in the Market Risk Analyzer and assign characteristics to them in the process to enable reporting across freely definable portfolio hierarchies (see the lesson Analysis Structure and Basic Settings). To determine the net present values and market risks of managed financial transactions, you need market data. The kind of market data that exists and how this data is imported into the SAP system is explained in the lesson about Price Parameters. The lessons NPV / Sensitivity Analysis and Value-at-Risk Evaluations contain an overview of the determination of risk measures as well as the calculation of net present values. Lesson: NPV / Sensitivity Analysis Explain and execute NPV and sensitivity analyses Perform ALM analyses Calculate sensitivity key figures Perform Grid Analysis Define and use market data scenario and shifts Lesson: Value-at-Risk Evaluations Structure risk factors Define risk hierarchies 2015 SAP SE. All rights reserved. 18

25 Explain value-at-risk evaluations Differentiate between Monte Carlo simulation, the variance/covariance approach, and historical simulation Explain how back testing works Lesson: Results Data Base Understand the architecture of the Results Data Base Explain reporting in the Results Data Base Perform evaluations in the Results Data Base 2015 SAP SE. All rights reserved. 19

26 Unit 12 Credit Risk Analyzer Unit Overview This unit takes a closer look at the Credit Risk Analyzer. The Credit Risk Analyzer is the central limit management module in Transaction Manager and Loans Management. Prerequisites To use the full scope of functions provided by the Credit Risk Analyzer, you need to activate them and create an analysis structure in Customizing. In this respect, the Credit Risk Analyzer functions are linked to those of the Market Risk and Portfolio Analyzer. Lesson: CRA Functional Approach Explain the functional approach of the CRA Distinguish between credit risks and settlement risks Lesson: CRA Process (Limit Process) Explain the CRA process (limit process) Define and check limits Make the connection between creating a transaction and determining the attributable amount Use end-of-day processing in a target-oriented way Understand exposure determination Lesson: CRA Basic Terms Explain the basic terms of CRA Create a limit structure from individual limit types 2015 SAP SE. All rights reserved. 20

27 Create limit types from standard characteristics and characteristics you have defined yourself Understand attribution amount determination Define n-dimensional limit structures Describe the determination procedure Lesson: Additional Limit Management Functions Explain the additional Limit Management functions Include business partner relationships in the setting up of limit structures Provide an overview of release workflows 2015 SAP SE. All rights reserved. 21

AC505 Product Cost Planning

AC505 Product Cost Planning Product Cost Planning SAP ERP - Financials Course Version: 95 Course Duration: 5 Day(s) Publication Date: 18-02-2011 Publication Time: 1353 Copyright Copyright SAP AG. All rights reserved. No part of this