Trade Repository Reporting

Transcription

1 Trade Repository Reporting

2 Overview: EMIR / Dodd-Frank-Act At the Pittsburgh summit in September 2009, the leaders of the G20 made a strong commitment to regulatory reform of the market for OTC derivatives. In particular, they declared that: All standardized OTC derivative contracts should be traded on exchanges or electronic trading platforms, where appropriate, and cleared through central counterparties by end-2012 at the latest. OTC derivative contracts should be reported to trade repositories. In EU this led to the «European Market Infrastructure Regulation» (EMIR) and in USA the «Dodd Frank Wall Street Reform and Consumer Protection Act» (Dodd-Frank-Act / DFA). Both initiatives contain obligations regarding: Central Clearing of derivative trades Clearing Threshold Reporting Reporting of derivatives trades to Trade Repositories 2011 SAP AG. All rights reserved. Customer 2

3 Overview: Categorization Companies according EMIR EMIR Article 2 (Definitions) paragraph 8 and 9 EMIR Article 10 (Non-financial counterparties) paragraph 1 FC NFC+ NFC- Financial counterparty Non-financial counterparty above clearing threshold Non-financial counterparty below clearing threshold From: The Consultation Paper, Draft Technical Standards for the Regulation on OTC Derivatives, CCPs and Trade Repositories, from ESMA (European Securities and Markets Authority) issued on 25 June, 2012 (ESMA/2012/379); 2011 SAP AG. All rights reserved. Customer 3

4 Overview: Relevance according EMIR Financial Company (FC) Non-Financial Company (NFC+) Non-Financial Company (NFC-) Central Clearing Clearing Threshold Reporting ( ) Trade Repository 2011 SAP AG. All rights reserved. Customer 4

5 Business Overview Outgoing Trade Repository Messages OTC Financial Transactions Assignment Generation Trade Repository Object (TARO) Application Server Transfer Trade Repository Incoming Status Messages Business Characteristics Functionality not only for EMIR Flexibility allows and enables trade repository reporting of different types/countries/companies Consider new fields (UTI, UPI, LEI,...) Store financial transaction data within trade repository object Create XML messages (DMEE tool) and support other file formats Store trade repository message within DMS Trade repository messages are stored on application server Receive status/error messages from trade repository Connection between application server and trade repository is middleware task and not part of SAP solution 2011 SAP AG. All rights reserved. Customer 5

6 Definition Legal Basis Laws and regulations govern, for example, what companies have to report to authorities. The laws and regulations that a company applies are referred to as the legal basis in the SAP system. Example: EMIR, Dodd-Frank Act Trade Repository Organization collecting messages for a legal basis. Example: REGIS-TR, DTCC Trade Repository Object (TARO) The Trade Repository Object (TARO) contains all data of a UTI transmitted via a trade repository message to the trade repository. A TARO consists of two parts: administrative data (TARO admin) reporting data of the UTI (TARO content) 2011 SAP AG. All rights reserved. Customer 6

7 Definition Unique Trade Identifier (UTI) The UTI is the unique identifier (global) of a financial transaction. Legal Entity Identifier (LEI) The LEI is the unique identifier (global) of a legal entity (e.g. business partner) SAP AG. All rights reserved. Customer 7

8 Customizing: Entities Legal Basis EMIR Trade Repository Assign Company Codes / Product Types / Transaction Types REPEU A A A REPUS A A SAP AG. All rights reserved. Customer 8

9 Customizing: Path Customizing path: Financial Supply Chain Management Treasury and Risk Management Transaction Manager General Settings Information System Trade Repository Reporting 2011 SAP AG. All rights reserved. Customer 9

10 Customizing: Define Legal Basis Legal basis was introduced with Clearing Threshold Reporting. Within this customizing activity you just define the legal basis SAP AG. All rights reserved. Customer 10

11 Customizing: Define Trade Repositories Within this customizing activity you define a trade repository and assign it to a legal basis. Settings for the trade repository are done within Define Settings for Trade Repositories customizing activity SAP AG. All rights reserved. Customer 11

12 Customizing: Define Product Classifications - Product Classification Type The Product Classification Type identifies a set of product classifications. The Product Classification allows to characterize financial instruments according to criteria which are freely configurable. Some product classification types of financial instruments belong together. Each of these product classification types has its own product classifications which are assigned to the product types. To classify a financial transaction both product classification types are needed. In this case you define two product classification types and one of the two product classification types needs to be declared the superordinate classification type SAP AG. All rights reserved. Customer 12

13 Customizing: Define Product Classifications - Product Classifications The Product Classification allows to characterize financial instruments according to criteria which are freely configurable SAP AG. All rights reserved. Customer 13

14 Customizing: Define Product Classifications - Assign Product Classifications to Product Types Product Classification have to be assigned to product type and transaction type. If you leave transaction type blank the entry is valid for all transaction types. Always the most specific entry is used SAP AG. All rights reserved. Customer 14

15 Customizing: Define Settings for Trade Repositories In this customizing activity you make additional settings for the specific trade repositories to apply to the standards of the trade repositories. Button Detail or doubleclick for detail settings for a trade repository 2011 SAP AG. All rights reserved. Customer 15

16 Customizing: Define Settings for Trade Repositories - Settings for Trade Repository Generation Rule (how changes in financial transactions are handled after the first TARO has been sent): One TARO per Financial Transaction If not sent an already existing TARO will be changed One TARO per Date/Time of Change A new TARO including all changes will be created One TARO per Field Change For every field change a separate TARO will be created Communicate Term End to Trade Repository This checkbox controls whether a TARO should be created which reports the termination of a contract at maturity or not SAP AG. All rights reserved. Customer 16

17 Customizing: Define Settings for Trade Repositories - Settings for Trade Repository Valuation Update (how changes in market values should be reported): No Valuation Update Valuation Update Separately Market value changes are reported in separate messages. Normal trade repository message will not contain market value information. Valuation messages are triggered via system transaction FTR_TARO_PROCESS with scope Update Valuation or Update TAROs and Valuation. Valuation Update Not Separately Normal trade repository messages will contain market value information. File Settings You can define a logical folder or physical folder for outgoing messages as well as incoming messages. Additionally a file prefix can be set SAP AG. All rights reserved. Customer 17

18 Customizing: Define Settings for Trade Repositories - Reporting Company Codes Here you define for a trade repository for which company codes, product type and transaction type a trade repository message should be send. Under Settings for Trade Repository you have to mark for which trade repository the Reporting Company Codes should be shown. It is possible to mark many/all trade repositories to get an overview which financial transactions are send to which trade repository. If you leave product type or transaction type blank the entry is valid for all product types or transaction types. Always the most specific entry is used. When you do no assignment the according financial transaction will be not reported to a trade repository SAP AG. All rights reserved. Customer 18

19 Customizing: Define Settings for Trade Repositories - Allowed Business Partner ID Categories Within trade repository message business partner involved in a financial transaction have to be identified. The highest ranked ID category is choosen and business partner data for this ID category are read. In case this ID category is not maintained for the business partner the same is done with next ranked ID category until data can be read. For category FS0006 also data maintained via system transaction FTR_BP_BIC is considered SAP AG. All rights reserved. Customer 19

20 Customizing: Define Settings for Trade Repositories - Enter Identifier Codes for BP ID Categories Within trade repository message the ID category can be named different as within SAP system. Here you can enter the external identifier code for the ID category SAP AG. All rights reserved. Customer 20

21 Customizing: Define Settings for Trade Repositories - Allowed Product Classification Types Here you can assign the product classification to the trade repository. In case for a financial transaction the highest ranked product classification does not contain an entry the next ranked product classification is used SAP AG. All rights reserved. Customer 21

22 Customizing: Define Settings for Trade Repositories - Enter Taxonomies for Product Classifications Within trade repository message the taxonomy can be named different as within SAP system. Here you can enter the external used taxonomy SAP AG. All rights reserved. Customer 22

23 Customizing: Define Settings for Trade Repositories - Assign Price Types With assigning price type to the trade repository you define market value of which price type should be used within trade repository message SAP AG. All rights reserved. Customer 23

24 Customizing: BAdI For all BAdIs SAP deliver implementation. In case you enhance TARO content data with own fields or you create your own trade repository messages you can/must create your own BAdI implementation. Most BAdIs have filter trade repository. In case many BAdI implementation exists you have to set filter that each trade repository is assigned to exactly one BAdI. Fill TARO content data (BADI_TLR_TARO_FILL_CONTENT) Wtih this BAdI TARO content data is filled and validated based on financial transaction data. Fill TARO derived content data (BADI_TLR_TARO_FILL_DER_CONTENT) Based on TARO content data some data can be derived, e.g. master data. This data is not persisted within TARO. With this BAdI TARO derived content data is filled and validated based on TARO content data SAP AG. All rights reserved. Customer 24

25 Customizing: BAdI Create trade repository message (BADI_TLR_TARO_FILE_CREATE) With this BAdI the trade repository message is created based on TARO content data and TARO derived content data. SAP BAdI implementation uses Data Medium Exchange Engine (DMEE) to create XML message. Import trade repository message (BADI_TLR_TARO_INBOUND) Wihin import of trade repository messages this BAdI is called to interprete message and provide data to update TARO. Default Trade ID (FTR_TR_DEFAULT_TRADE_ID) With this BAdI you can do a presetting of Trade ID within your financial transaction. For this BAdI no SAP implementation exists SAP AG. All rights reserved. Customer 25

26 Customizing: Define Derivation of Field Values for TARO - Derivation Rules for Filling the TARO Content After BAdI Fill TARO Content Data additionally derivation tool is called to fill TARO content data. In case SAP s way to fill TARO content data does not fit your needs or you define some own TARO content fields you can also derive these fields SAP AG. All rights reserved. Customer 26

27 Menu SAP Easy Access Menu: Accounting Financial Supply Chain Management Treasury and Risk Management Transaction Manager Information System Reports Regulatory Reporting Trade Repository Reporting 2011 SAP AG. All rights reserved. Customer 27

28 Technical Overview SAP Functionality Creation & Change Process Send FTR_TARO_SEND FTR_TARO_MONITOR Trade Repository FTR_CREATE FTR_EDIT FTR_TARO_PROCESS FTR_TARO_MONITOR TARO DMS Application Server Monitoring & Manually Enrich Import FTR_TARO_MONITOR FTR_TARO_IMPORT 2011 SAP AG. All rights reserved. Customer 28

29 Creation & Change Process Create Financial Transaction (transaction FTR_CREATE) Edit Financial Transaction (transaction FTR_EDIT) For all product types: Button to navigate to TARO Monitor Area to enter trade repository data (only visible when financial transaction is relevant for trade repository) 2011 SAP AG. All rights reserved. Customer 29

30 Update TARO (transaction FTR_TARO_PROCESS) Creation & Change Process Normally creating or changing TARO is triggered when financial transactions are processed. With this report you can trigger the same process, e.g. when the reported data is not part of the financial transaction itself (e.g. market value), when you have to report already existing financial transactions or when an error occured during the normal process SAP AG. All rights reserved. Customer 30

31 Update TARO (transaction FTR_TARO_PROCESS) Creation & Change Process When you execute with processing mode Manual result screen show selected TARO. You can choose your TAROs and Start Process. In processing mode Direct for all selected TARO Start Process is automatically done. Column Status indicate which TAROs were processed. Details for TARO (e.g. log) you must view with TARO Monitor. Scope of Update Update Trade repository message are processed without processing market value data. Valuation Update Changes in market value are done in separate message. Only these messages are processed. Update Including Valuation Trade repository messages are processed including market value data SAP AG. All rights reserved. Customer 31

32 Send TARO (transaction FTR_TARO_SEND) Send With this report you can send TARO with status Created or Send Failed. Column Status indicate which TAROs were processed. Details for TARO (e.g. log) you must view with TARO Monitor. You can run this report in batch mode e.g. every evening SAP AG. All rights reserved. Customer 32

33 Import Incoming Messages (transaction FTR_TARO_IMPORT) Import With this report you can import incoming trade repository messages stored on application server. Alternatively for exceptional cases or for testing you can also import messages (single or multiple) from your PC SAP AG. All rights reserved. Customer 33

34 TARO Monitor (transaction FTR_TARO_MONITOR) Monitor & Enrich TARO Monitor was build as single point of entry for manually processing of TAROs and for reporting of TAROs. On selection screen you specify which TAROs you want to see. Result screen shows selected TARO and allows various functions SAP AG. All rights reserved. Customer 34

35 TARO Monitor - Log Monitor & Enrich All TARO changes are written to the log. Doubleclick a log shows related messages 2011 SAP AG. All rights reserved. Customer 35

36 TARO Monitor - Preview / Files Monitor & Enrich Preview shows how trade repository message would look like when you send current TARO. Files show all already sent or received trade repository messages. Via Display you can view this file. For storing and displaying files Document Management System (DMS) is used SAP AG. All rights reserved. Customer 36

37 TARO Monitor - Send Monitor & Enrich Document.XML Management System (DMS) Application Server Send creates the trade repository message (within SAP BAdI implementation an XML message), put this message for later reference to Document Management System (DMS) and finally stores it on application server in the folder specified in customizing SAP AG. All rights reserved. Customer 37

38 TARO Monitor - Change Content Monitor & Enrich For exceptional cases you can manually change TARO content data. After pressing button Content the content data will be shown and via button Change you can switch to change mode, do your changes and save them via button Save SAP AG. All rights reserved. Customer 38

39 TARO Monitor - Transaction Monitor & Enrich Show Transaction display the financial transaction of the TARO. All TAROs of a Transaction shows all TARO for the financial transaction of the marked TARO SAP AG. All rights reserved. Customer 39

40 TARO Monitor - Change Status Monitor & Enrich In exceptional cases you can manually change the status according to status schema. Only allowed status changes are displayed SAP AG. All rights reserved. Customer 40

41 TARO Monitor - Complete Monitor & Enrich If the creation of a TARO is incomplete, the status is set to Created Incomplete. From status Created Incomplete it can be processed again (e.g. when customizing was adjusted). If successful, it will receive status Created, otherwise it will remain in status Created Incomplete SAP AG. All rights reserved. Customer 41

42 Technical Overview more details Creation & Change Process Trade Repository FTR_CREATE FTR_EDIT FTR_TARO_PROCESS FTR_TARO_MONITOR Impl. EMIR Impl. EMIR DMEE Impl. EMIR Send BADI TARO Create Derivation Tool TARO BADI Fill Derived Content BADI File Create FTR_TARO_SEND FTR_TARO_MONITOR Monitoring & Manually Enrich FTR_TARO_MONITOR BADI File Import Impl. EMIR DMS Import Application Server FTR_TARO_IMPORT 2011 SAP AG. All rights reserved. Customer 42

43 Authority Object T_TLR_REP Authority object T_TLR_REP has a three level hierarchy: Read Check if you are allowed to view TARO with TARO Monitor. Change Check if you are allowed to change TARO content. Admin Check if you are allowed to execute further functions (e.g. Send, Change Status) SAP AG. All rights reserved. Customer 43

44 Status handling for Trade Repository Objects Process Send Created Created Incomplete Manual Automatic Import Sent Send failed Obsolete Accepted Rejected Reconcilled Reconcillliation failed Rejection accepted 2011 SAP AG. All rights reserved. Customer 44

45 Status Handling for Trade Register objects Status descriptions 01 Created - TARO has been successfully created and is complete 02 Created Incomplete - TARO has been successfully created but is not yet complete see log for details. 03 Sent TARO has been sent successfully to the trade repository 04 Send failed TARO message could not be sent to the trade repository 05 Rejected The TARO message sent was rejected by the trade repository 06 Rejection approved Rejection has been (manually) approved 07 Accepted The TARO message sent has been approved by the trade repository 08 Obsolete TARO has been manually set to obsolete 09 Reconciled TARO was reconciled with the counterparty s message to the trade repository 10 Reconciliation failed TARO reconciliation with the counterparty s message failed A TARO can be changes while having status 01 (created), 02 (created incomplete) or 04 (send failed). Otherwise it has to be set to one of these statuses manually before it can be changed and sent again SAP AG. All rights reserved. Customer 45

46 Status Handling for Trade Register objects Automatic actions P Process When a TARO is created, the first status is set with action process. If the creation is successful and the TARO is complete, the status is set to created, otherwise it will be set to status created incomplete. From status created incomplete it can be processed again. If successful, it will receive status created, otherwise it will remain in status created incomplete. S Send This action is processed when sending a TARO message to the trade repository. If successful, it will be set to status Sent and can no longer be changed. If the send action fails, the status will be set to Send failed. The TARO can be adjusted and sent again. Sending from status send failed will again result in status Sent if successful or Send failed if unsuccessful. I Import Trade Rpository can send a technical response or a business response. If the outgoing message was technically accepted by the trade repository (import was successful), the status will be set to Accepted, otherwise it will be set to status Rejected. If the outgoing message was accepted from business point of view, the status will be set to Reconciled otherwise it will be set to status Reconciliation failed SAP AG. All rights reserved. Customer 46

47 Status Handling for Trade Register objects Manual actions initiated from the monitor Set to Send failed In order to be able to change a TARO and send it again, it can be set to Send failed manually from statuses Rejected or Sent. Set to Rejection approved To indicate that a rejection has been recognized and can only be corrected by creating a new TARO or a new TARO has already be created, a rejected message can be set to Rejection approved manually. A TARO in status Rejection approved can never be processed again. Set to Obsolete In many sitiuations a TARO can be set to Obsolete manually. It might already have been replaced by a new TARO or it has indeed become obsolete. This can only be done if no valid version has ever reached the trade register, this is from status Created incomplete, Send failed or Rejected. A TARO in status Obsolete can never be processed again SAP AG. All rights reserved. Customer 47

48 Availability The functionality can be activated with Business Function FIN_TRM_LR_FI_AN_3 Shipped with EhP 5 SP 11 (EA-FINSERV SP 12) EhP 6 SP 08 EhP 6 on HANA SP 03 Alternatively you can follow description of SAP note SAP recommends not to use this note and directly use the support package. System versions lower than EhP5 cannot be supported SAP AG. All rights reserved. Customer 48

49 Enterprise Business Functions in Treasury & Risk Management with EhP6 Log2TRM-Intergration TRM, Financial Risk Management for Commodities 2 (LOG_TRM_INT) TRM, Transaction Management Localization for France (FIN_TRM_INS_LOCFR) TRM, Central Counterparty Clearing (FIN_TRM_CCC) (FIN_TRM_COMM_RM_2) TRM, Correspondence Framework 2 EhP6 TRM, Hedge Accounting for Positions 2, Additional Scenarios (FIN_TRM_INS_HM_2) TRM, New Instruments, Accounting Enhancements, Reporting (FIN_TRM_LR_FI_AN_3) TRM, Financial Risk Management for Commodities (FIN_TRM_COMM_RM) (FIN_TRM_CORR_FW_2) TRM, Correspondence Framework (FIN_TRM_CORR_FW) EhP5 TRM, Hedge Accounting for Positions (FIN_TRM_INS_HM) TRM, Hedge and Exposure Management, New Financial Instrument (FIN_TRM_LR_FI_AN_2) TM, Integration into Funds Management (FIN_TRM_PSM_INTEGRATION) EhP4 TRM, Hedge Management, New Instruments, New Key Figures (FIN_TRM_LR_FI_AN) EhP3 Financial Services (EA-FS) Public Services (EA-PS) ECC SAP AG. All rights reserved. Customer 49