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� Some software products marketed by SAP AG and its distributors contain proprietary software components of other software vendors.

� Microsoft, Windows, Outlook, and PowerPoint are registered trademarks of Microsoft Corporation. � IBM, DB2, DB2 Universal Database, OS/2, Parallel Sysplex, MVS/ESA, AIX, S/390, AS/400,

OS/390, OS/400, iSeries, pSeries, xSeries, zSeries, z/OS, AFP, Intelligent Miner, WebSphere, Netfinity, Tivoli, and Informix are trademarks or registered trademarks of IBM Corporation in the United States and/or other countries.

� Oracle is a registered trademark of Oracle Corporation. � UNIX, X/Open, OSF/1, and Motif are registered trademarks of the Open Group. � Citrix, ICA, Program Neighborhood, MetaFrame, WinFrame, VideoFrame, and MultiWin are

trademarks or registered trademarks of Citrix Systems, Inc. � HTML, XML, XHTML and W3C 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. � MaxDB is a trademark of MySQL AB, Sweden. � SAP, R/3, mySAP, mySAP.com, xApps, xApp, SAP NetWeaver and other SAP products and

services mentioned herein as well as their respective logos are trademarks or registered trademarks of SAP AG in Germany and in several other countries all over the world. All other product and service names mentioned are the trademarks of their respective companies. Data contained in this document serves informational purposes only. National product specifications may vary.

� The information in this document is proprietary to SAP. No part of this document may be reproduced, copied, or transmitted in any form or for any purpose without the express prior written permission of SAP AG.

� This document is a preliminary version and not subject to your license agreement or any other agreement with SAP. This document contains only intended strategies, developments, and functionalities of the SAP® product and is not intended to be binding upon SAP to any particular course of business, product strategy, and/or development. Please note that this document is subject to change and may be changed by SAP at any time without notice.

� SAP assumes no responsibility for errors or omissions in this document. SAP does not warrant the accuracy or completeness of the information, text, graphics, links, or other items contained within this material. This document is provided without a warranty of any kind, either express or implied, including but not limited to the implied warranties of merchantability, fitness for a particular purpose, or non-infringement.

� SAP shall have no liability for damages of any kind including without limitation direct, special, indirect, or consequential damages that may result from the use of these materials. This limitation shall not apply in cases of intent or gross negligence.

� The statutory liability for personal injury and defective products is not affected. SAP has no control over the information that you may access through the use of hot links contained in these materials and does not endorse your use of third-party Web pages nor provide any warranty whatsoever relating to third-party Web pages.

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� You are a member of a project team, which will make both basic and all other settings required for mapping financial transactions in corporate finance management.


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standard functionsz Process your SAP business partnerz Explain the role categories defined in the business partner

and create business partner relationshipsz Set up standing instructions and authorize business

partnersz Differentiate between banks in general, business

partner banks and house banksz Explain the reporting options

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� From a strategic point of view, the analysis and trading process is the starting point for the various Treasury processes. For example, the risk positions of the risk objectives you have set are identified and analyzed.

� Once you have decided to complete certain financial transactions, you enter the trading processes for these transactions in Transaction Manager. Transaction Manager also supports the management of other transactions and the generated financial positions.

� A range of documentation and control functions are available for all Treasury activities. You can perform evaluations for specific instruments or across the whole system to ensure that the various documentary and control tasks of financial accounting and the treasury are conducted accurately.


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� SAP Treasury tasks and their distribution in both areas of Transaction Manager and Risk Management can collectively be derived from the company objectives: with Transaction Manager you can optimize yields and cost structures, and with Risk Management secure against market and credit risks.

� Transaction Manager supports financial transaction and financial position management. � You can use Market Risk Analyzer to analyze interest rates, currency ands stock risks. � Credit Risk Analyzer helps you assess credit risks and includes an Online Limit Check.


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� As an integrated subledger, SAP Treasury and Risk Management is closely linked to the remaining product portfolio.

� It uses the central business partner so that it is not necessary to manage it in the system unnecessarily.

� It is not integrated with the In-House Cash and, if desired, you can use it to centrally manage payments.

� The liquidity effects can be evaluated in real time in Cash Management. The items of Cash Management can be evaluated in many standard reports of SAP Treasury and Risk Management together with the Treasury transactions.

� The relevant items and results are directly updated to Financial Accounting. � Using SAP NetWeaver it is possible to integrate other external systems (for example trading

platforms, house banks and market data information systems) into mySAP ERP SAP Treasury and Risk Management.


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� Comprehensive management of financial transactions and positions � Trading and back office support � Monitoring, checking, and releasing � Data transfer to financial accounting

(including accruals/deferrals and valuations) � Flexible configuration of company-specific transaction and position management processes � Assignment of financial transactions to portfolios or management in securities accounts � Flexible reporting and portfolio analysis � Datafeed Interface


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� Contracting financial transactions is one of the fundamental tasks of many financial departments. Depending on corporate policy, emphasis may be placed on providing an internal service for sibling companies or on actively investing liquid funds, financing planned investments, or hedging existing risks in the financial markets.

� Transaction Manager provides you with the necessary tools for all related transactions, from creating to transferring relevant finance accounting data. This supports both conventional treasury departments with a trading-related focus and asset management departments. This gives you the advantage of being able to execute all types of transactions - from short-term financing to strategic long-term investments - all on the same platform.


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� The central functions of Transaction Manager are: y Structuring financial transactions (example: the product categories Deposits, Overnight Money

and so on) y Central data (example: business partner with all authorizations and the bank data for the business

partner’s payment details) y Central functions (see slide).

� Transaction Manager also supports standardized interfaces for Financial Accounting, Cash and Liquidity Management, Market Risk Analyzer, Credit Risk Analyzer, Market Data Binding.


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� Within short-term transactions, PRQH\�PDUNHW�RU�IRUHLJQ�H[FKDQJH�WUDQVDFWLRQV provide the option of bridging liquidity deficits or surpluses. For mid- and long-term, investments and borrowings are represented by VHFXULWLHV transactions.

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� In transaction and position management, the following areas are differentiated: y In Trading, you create transactions and exercise rights. y In Back Office, you settle transactions, that is, you check entered transactions and carry out

position management-related processes, such as securities transfers. y In Accounting, you carry out all bookkeeping for relevant activities in the subledger and transfer

posting information to the Financial Accounting general ledger. � This process actively support the principle of dual control, triple control or quadruple control.


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� Position management procedure: defines how the position management is to be handled in the parallel area

� Evaluation class: indirect balance sheet layout - AFS, trading


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� In addition to conventional financial management tasks, such as cash management, ensuring liquidity, and liquidity management, FRQWUROOLQJ�PDUNHW�ULVN plays a crucial role in ensuring a company’s competitiveness. The Market Risk Analyzer offers comprehensive position analysis functions, such as mark-to-market valuation for financial transactions,

� Additionally, ULVN�RU�SHUIRUPDQFH�ILJXUHV, such as exposure, future value, effective interest rate and effective rate, internal rate of return, sensitivity, and value at risk can be determined. When you run these reports, you can incorporate both contracted positions and fictitious financial transactions in the calculations,

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� The tightening of regulations on risk control confirms the growing importance of analyzing and limiting insolvency risk (KonTraG - German Business Supervision and Transparency Act). System support is also necessary for measuring, analyzing, controlling and limiting counterparty default risk for other business considerations.

� &UHGLW�5LVN�$QDO\]HU is designed to meet all of these requirements with the objective of providing you with comprehensive support for controlling counterparty default risks. The first release covers the specific risks related to your company’s financial transactions. Further releases will concentrate on integrating the sales/accounts receivable area. This will enable company management to recognize credit risks when they arise and avoid them.


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� You are a member of a project team, which will make both basic settings and all other settings required for mapping financial transactions in Treasury and Risk Management.


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� A EXVLQHVV�SDUWQHU is a person, organization or group of persons/organizations with which your company can have a variety of relationships.

� Business partners� are divided LQWR�YDULRXV�FDWHJRULHV, which each have different attributes. FM differentiates between

- Persons (examples: private individual, broker) - Organizations (examples: bank, company) - Groups (examples: non-trading partnership, shared apartment)


SAP AG 2006

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� In 7UHDVXU\�DQG�5LVN�0DQDJHPHQW, you conclude financial transactions with a business partner. Typical partners include banks or a central treasury department. You create a master record for each business partner.

� The XVHU�LQWHUIDFH for business partner data was fully revised as part of the Enjoy project. The screen layout has been restructured and you can now navigate between several tabs containing individual business partner views.

� The GDWD you can maintain for a EXVLQHVV�SDUWQHU is split into two areas: - General role data

is centrally stored for all roles. The amount of accessible data may vary according to role category, depending on the settings in Customizing.

- Company code-dependent data is data which only applies for the role category in the respective company code.


SAP AG 2006

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� To create a new business partner, you must enter a BP role, the business partner type and the grouping on the initial screen.

� The grouping is defined in Customizing and is used to classify business partners according to any criteria.


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� Relationships can exist between different business partners. You can map these relationships on the 5HODWLRQVKLSV tab page.

� The UHODWLRQVKLS�FDWHJRULHV�\RX�FDQ�FKRRVH�IURP are predefined in the system and depend on the business partner classification. Example: "Is subsidiary of" for an organization, or "Is married to" for a person.

� You can refine the relationship categories by GHILQLQJ�GLIIHUHQW�UHODWLRQVKLS�W\SHV. The specific relationship type is dependent on the relationship category already chosen.

� ,QJRLQJ�UHODWLRQVKLSV�RI�D�EXVLQHVV�SDUWQHU are all the relationships entered in the master data for the other partner.

� 2XWJRLQJ�UHODWLRQVKLSV are all the relationships with other business partners entered in the master data for that particular business partner.


SAP AG 2006

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� 6WDQGLQJ�,QVWUXFWLRQV are master agreements concluded with a business partner. Standing instructions for business partners concerning payment details, correspondence and derived flows are included in tab pages in the maintenance of business partners. By integrating standing instructions in the business partner data, they have also been linked to release workflow - business partner. You can also access the standing instructions with a separate menu path.

� 0DVWHU�DJUHHPHQWV can be made according to: y $XWKRUL]DWLRQV

Which types of financial transactions are permitted with a business partner? y 3D\PHQW�GHWDLOV�

For transactions with business partner A => Payment details of BP A as default values for the transaction

y &RUUHVSRQGHQFH�For transactions with business partner A => predefined: For which transaction is which correspondence created?

y 'HULYHG�IORZV�For transactions with business partner A => predefined: If in the transaction with BP A, flow X is generated, tax/commission in the amount of y% is to be calculated


SAP AG 2006

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� In order to make use of a business partner (BP), you must - Create the BP, - Release the BP for use and - Authorize the BP as a partner for specific financial transactions.

y You can only grant WUDQVDFWLRQ�DXWKRUL]DWLRQV if the business partner - once set up - is released and is not designated for deletion.

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- Contract type - Product category - Product type - Transaction type

� You have to assign authorization to each business partner and LQ�HDFK�FRPSDQ\�FRGH.


SAP AG 2006

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� 3D\PHQW�GHWDLOV include all information required to conclude payments, that is, your own (house bank) account data and, where applicable, business partner bank details. You can process different payments in different currencies for each business partner. You can assign any payment details as standing instructions for a transaction. You can assign your instructions on the contract type, product type up to transaction type levels. When concluding a transaction with BP A, the payment details assigned to the relevant transaction are drawn automatically from the standing instructions and proposed as default values. This saves you making many manual entries.

� 6WDQGLQJ�LQVWUXFWLRQV�IRU�FRUUHVSRQGHQFH control how external correspondence, that is, correspondence with a (particular) business partner is to be handled. You can choose - by determining any level from contract type to transaction type - whether correspondence with the business partner for a particular transaction should be in print, by fax, e-mail, IDoc or Swift form. These details must be specified if correspondence is to be exchanged with a business partner.

� You can use GHULYHG�IORZV in the money market, foreign exchange, derivatives and securities areas to simplify calculation of taxation amounts. To generate derived flows, you must assign a derivation procedure to the relevant partner.


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� For VWUDLJKW�WKURXJK�SURFHVVLQJ of financial transactions, it is important to maintain the standing instructions in the business partner.

� You can maintain VWDQGLQJ�LQVWUXFWLRQV for payment details, correspondence, transaction authorizations and the derived flows.

� 6WDQGLQJ�LQVWUXFWLRQV principally serve to minimize the effort required for entering data in the financial transaction. The information about payment details and correspondence serve as the default value and can be changed when entering the transaction.


SAP AG 2006

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� The system uses the house bank and the account ID defined in the EXVLQHVV�SDUWQHU�SD\PHQW�GHWDLOV to determine the bank account to which the posting is being made.

� After creating the payment details, you must not forget to DVVLJQ them. � This allows you to control separate accounts for different products and payment directions. � The system supports PXOWLSOH�SD\PHQW�PHWKRGV levels. By entering a bank chain, you can process

payments using several banks. Up to three intermediate banks are supported.


SAP AG 2006

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� &RUUHVSRQGHQFH serves to document and match concluded financial transactions. � You can define FRUUHVSRQGHQFH as internal correspondence types (such as dealing slips) and

external correspondence types (such as confirmations). By performing a correspondence run, you can confirm all the financial transactions you have concluded with a partner in a given period. You can print the generated data or have it sent directly from the system by fax. You can also use the FRUUHVSRQGHQFH�PHGLD of e-mail and IDoc. To send e-mails, you must set up the communication interface SAPconnect. For money market and foreign exchange transactions, you can generate SWIFT files MT320 (fixed-term deposits) and MT300 (forex). A user exit allows you to use the FX Match function for outgoing confirmations (MT320 only).

� You can control H[WHUQDO�FRUUHVSRQGHQFH�W\SHV with SDUWQHU�VSHFLILF standing instructions for correspondence. Control of internal correspondence types is not partner-specific.�

� You can determine ZKHQ�FRUUHVSRQGHQFH�LV�FDUULHG�RXW with the Customizing settings for product and transaction types and activities. You can also specify whether correspondence should be generated automatically when a transaction is created, changed, or reversed (that is, as soon as the transaction is saved). Correspondence that has been generated is stored in the financial transaction data.

� The system also keeps a record of the FRQILUPDWLRQ�VWDWXV in the transaction. This includes information about when the confirmation was sent/received, the relevant activity, the user, the form used, and the output type of incoming or outgoing confirmations.


SAP AG 2006

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� You control the (external) correspondence with a business partner by defining standing instructions for correspondence. In the VWDQGLQJ�LQVWUXFWLRQV�IRU�FRUUHVSRQGHQFH, you assign correspondence media and parameters to the external correspondence types for a business partner. You can make this assignment at several levels: contract type, product category up to transaction type.

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� &RUUHVSRQGHQFH�SDUDPHWHUV� �Correspondence is automatically sent to the business partner’s standard address. If you want to use a different address for a business partner, save it in the $OWHUQDWLYH�DGGUHVV field. If you require counterconfirmation from your business partner, flag the Counterconf. field. (Prerequisite: Customizing is set up to allow automatic correspondence).

� &RUUHVSRQGHQFH�WKDW�KDV�EHHQ�JHQHUDWHG is stored in the financial transaction data.


SAP AG 2006

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� When you SURFHVV�WKH�RULJLQDO�IORZ, the system automatically generates the flows to be derived. � Example: An interest income tax of 30% (tax 1) is deducted from the nominal interest (flow type),

and a reunification tax of 5.5% (tax 2) is deducted from tax 1 (in other words, 1.65% of the nominal interest amount).

� The interest condition of the transaction generates an interest flow of type 1200. At the same time, due to the GHULYDWLRQ�SURFHGXUH, the system adds other flows to the cash flow:

- Interest income tax (flow type 1800) - Tax 2 (flow type 1801)

� You can then process DOO�IORZ�W\SHV (original and derived). For example, you could offset the appropriate amounts when you make the interest posting.


SAP AG 2006

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� In the application, you specify when a particular derivation procedure should apply for a certain business partner. You can assign the derivation procedure at different levels (from contract type to transaction type).

� If you create a transaction with a business partner, to which you have assigned a derivation procedure (at the corresponding level), the system generates additional flows on the basis of the derivation rules you have defined.


SAP AG 2006

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� The bank directory must contain the PDVWHU�GDWD�RI�DOO�EDQNV required for processing payments. These include your own house banks and the business partner banks.

� You can use HQWHUHG�EDQN�GDWD (name, address, bank code) - as “Partner bank” to maintain business partner bank details and - as “House bank” to maintain your own bank details with the appropriate link to Financial

Accounting.


SAP AG 2006

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� The bank details of each EXVLQHVV�SDUWQHU are maintained by entering WKH�UHOHYDQW�EDQN�GHWDLOV; such as the country, appropriate bank key and account. Each individual bank detail is identified with the partner bank key (Partn. bank).

Example: Entering “ B1” encodes that: Business partner A has account number 18889 with bank B with bank key 100 500 00.

� When PDLQWDLQLQJ�EXVLQHVV�SDUWQHU�EDQN�GHWDLOV, you can enter the bank country and key to draw the bank description from the bank data pool, if this data has already been created. If in bank details, a bank (country and bank key), which has not yet been created in the bank data pool, is entered, a dialog-box enabling the creation of general bank data appears automatically, so that the new bank can be added to the pool.


SAP AG 2006

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� As a rule, an LQWHUQDO�JHQHUDO�OHGJHU is kept in Financial Accounting for each house bank account. The link between the (external) house bank account and the (internal) general ledger is created by the appropriate assignment.


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� In addition to business data entries, Transaction and Position Management also processes payment details, that is, data required for processing payments: y R: Payment flow direction (“ +” : incoming payment; "-": outgoing payment) y HBank: Enter the house bank, with which the payments for this transaction are to be

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After completing these exercises, you will be able to:

• Create a new business partner to which you can assign appropriate roles and functions.

You want to create a new business partner with which you can conclude financial transactions. To do this, you must assign the role "Counterparty" to your partner.

1-1 In future, you want to conclude transactions in your company code FS## with business partner BP##. In order to do so, create a business partner called “ BP##” (business partner “ BP##” is an organization). Use the GPEX grouping (external number assignment) and select role “ TR0151 - Counterparty.” Save the entry for your new business partner. Then enter the following data:��

)LHOG�1DPH�RU�'DWD�7\SH� 9DOXH

Name as appropriate

Street, house number as appropriate

Search Term 1 as appropriate

Postal Code, City as appropriate

Country DE

�Select “ English” as the language in the communication field.

Then let the system check your entries.

1-2 You now want to navigate through the tab pages and get an overview of the other available fields for your business partner.

Click the different tab pages to get an overview of the other fields. ��(Note: In the general data, you can also choose F7 to open the next tab page.)�


1-3 To add more data to the master data of business partner BP## take the following steps:

1-3-1 If your business partner has a second, official address in addition to its business address:

Enter the additional address. Then define your first entered addresses as STANDARD/Default and your new address as BUSINESS. (Tab�$GGUHVV�2YHUYLHZ).

1-3-2 Assign credit standing "Preferable Credit Standing” to your business partner (Tab &UHGLW�3URILOH).

1-3-3 The legal form of your business partner is a joint-stock company. Enter this in your system. (Tab ,GHQWLILFDWLRQ�2UJDQLVDWLRQ�GDWD).

1-3-4 Your business partner's legal HQ is in Germany. Record this in the master data (tab /HJDO�'DWD).

1-4 You have another business partner, BP##A. Repeat exercise step 1-1 to create this second business partner as an organisation, but this time use the General role (000000 – General Business Partner).

1-5 Your business partner BP## became a subsidiary of business partner BP##A at the beginning of the month. Enter this in the system.

1-6 You can conduct all money market and foreign exchange transactions with business partner BP##. The derivatives area only permits interest rate swaps with BP##: Assign appropriate transaction authorizations to the BP in Applications under 6SHFLDO�)XQFWLRQV�

�6WDQGLQJ�,QVWUXFWLRQV (Use your company code FS##).

(Alternatively, you can also assign transaction authorizations in change/display mode using the “ Counterparty” role (“ Company Code” button).)

1-7 You want to print correspondence confirmations for all money market and foreign exchange transactions with business partner BP##, Assign the appropriate correspondence type “ PRINT” to the BP in the application using 6SHFLDO�)XQFWLRQV�Æ��6WDQGLQJ�,QVWUXFWLRQV�(correspondence type: confirmation).


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1-1 In future, you want to conclude transactions in your company code FS## with business partner BP##. In order to do so, create a business partner called “ BP##” (business partner “ BP##” is an organization). Use the GPEX grouping (external number assignment) and select role “ TR0151.” Save the entry for your new business partner. Then enter the following data:

)LHOG�1DPH�RU�'DWD�7\SH�� 9DOXH

Name as appropriate




Country DE

Select (QJOLVK as the language in the communication field.

Then let the system check your entries.

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In the standard toolbar, choose “ Organization” .

Enter the following data:


Business Partner BP## (## is your PC or Group Number)

Grouping GPEX External Number Assignment

Create in GP Role TR0151 Counterparty

�You will be asked “ Do you want to save the business partner?” Click YES to save the data. The message “ Business Partner BP## created” will appear in the status bar.

Now enter the remaining data for your new business partner:


Name as appropriate




Country DE

Select (QJOLVK as the language in the communication field.

��Check your entries using the &KHFN button (“ scales” symbol). The message, “ Data of business partner is error-free” , should appear in the status bar.

Save your data.

1-2 You now want to navigate around the tab pages and get an overview of the other available fields for your business partner.

Click the different tab pages to get an overview of the other fields. (Note: you can also open the next tab page by pressing F7 in General Data.)


1-3 To add more data to the master data of business partner BP## take the following steps:

1-3-1 If your business partner has a second, official address in addition to its business address: Enter the additional address. Define the second address as BUSINESS. (Tab�$GGUHVV�2YHUYLHZ). Go to the “ Address Overview” tab page in change mode. You will see that an address has already been entered. Choose "Create" to call the dialog box &RXQWHUSDUW\�&KDQJH��$GGUHVV� Enter a complete, new address with the appropriate data. Make sure that the country is DE Germany and the language is English. Confirm these settings with (QWHU (green checkmark). You return to the $GGUHVV�2YHUYLHZ tab. Assign the relevant address usage to the second address. This is available in the lower area of the screen (you may need to scroll down).

Double-click the required address usage. This would be STANDARD for the first address. You will see all addresses entered so far. Select Address 1 and confirm the dialog box with &RQWLQXH. The first address has now been assigned to the STANDARD address usage. Repeat the procedure for the second address, but this time assign it to the business address usage.

6DYH�business partner BP## by choosing the “ Disk” button in the standard toolbar. The message, “ Changes have been saved” , will appear on the status bar.

1-3-2 Assign credit standing "Preferable Credit Standing” to your business partner.

Go to the &UHGLW�3URILOH tab page in change mode.

Enter the following values:


Credit Standing 0 - VIP – Preferable Credit Standing

6DYH�business partner BP## by choosing the “ Disk” button in the standard toolbar.

1-3-3 The legal form of your business partner is a joint-stock company. Enter this in your system. (,QGHQWLILFDWLRQ�tab, under 2UJDQLVDWLRQ��

Go to the ,GHQWLILFDWLRQ tab page in change mode.



Legal form 01 - Co- Joint-stock company



1-3-4 Your business partner’s legal HQ is in Germany. Record this in the master data.

Go to the /HJDO�'DWD tab page.



Country DE - Germany


1-4 You have another business partner, BP##A. Repeat exercise step 1-1 to create this second business partner, but this time use the General role. (000000 – General Business Partner). Follow the instructions of solutions 1-1. Fill in the required fields as usual and make sure to select the “ General” role.

Note 1: To get from one business partner to another, choose *RWR�→�,QLWLDO�6FUHHQ�� Note 2: There is no credit data to be maintained for this business partner.

1-5 Your business partner BP## became a subsidiary of business partner BP##A at the beginning of the month. Enter this in the system.

In change mode, choose 5HODWLRQVKLSV� in the application toolbar. No relationships are found.



Relationship Cat. FFSB002 “ Is subsidiary of”

Relationship to BP BP##A

From First of the current month

Choose &UHDWH on the right side of the screen.

Confirm the dialog box with &RQWLQXH (green checkmark).

You return to the overview screen showing the connection between BP## and business partner BP##A.



1-6 You can conduct all money market and foreign exchange transactions with business partner BP##. The derivatives area only permits interest rate swaps with BP##: Assign appropriate transaction authorizations to the BP in Applications under 6SHFLDO�)XQFWLRQV� �6WDQGLQJ�,QVWUXFWLRQV� (Use your company code FS##).

(Alternatively, you can also assign transaction authorizations in change mode using the “ Counterparty” role (“ Company Code” button).)

On the SAP Easy Access screen, choose Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�%XVLQHVV�3DUWQHUV��Æ�6SHFLDO�)XQFWLRQV��Æ�6WDQGLQJ�,QVWUXFWLRQV�Æ�7UDQVDFWLRQ�$XWKRUL]DWLRQ��7%,��



Bus Partner BP## (## is your PC or Group Number)

Company Code FS##

�Do not enter any further selections, instead choose ENTER.

The available authorizations are displayed on the lower part of your screen.

You can click each area and assign authorization separately or you can set up the same authorizations for all business contacts in this category at the upper level.

Set the foreign exchange and derivatives indicator since all transactions of this type should normally be permitted.

In the derivatives area, set only the indicator for interest rate swaps (IRS).


Money Market X - select indicator

Foreign exchange X - select indicator

Derivates CAP/FLOOR SWAP

62a Interest rate swap (IRS)

Do not select indicator Do not select indicator Do not select indicator X – Set indicator

6DYH�business partner BP## by choosing the “ Disk” button in the standard toolbar. The message “ Changes have been saved” will appear in the status bar.


1-7 You want to print correspondence confirmations for all money market and foreign exchange transactions with business partner BP##, Assign the appropriate correspondence type “ PRINT” to the BP in Applications under 6SHFLDO�)XQFWLRQV�

�6WDQGLQJ�,QVWUXFWLRQV�(correspondence type: confirmation).

On the SAP Easy Access screen, choose Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�%XVLQHVV�3DUWQHU��Æ�6SHFLDO�)XQFWLRQV��Æ�6WDQGLQJ�,QVWUXFWLRQV�Æ�&RUUHVSRQGHQFH��7%,�� Do not enter any further selection options, instead choose ENTER.



Company Code FS##

Correspondence type 001 – Confirmation

The 6,�&RUUHVSRQGHQFH tab provides an overview of the possible transaction types.

Field Name or Data Type Value

Money Market X – select indicator for PRINT

Foreign exchange X – select indicator for PRINT

Derivates Interest rate swaps 62a interest rate swap (IRS)

Do not select indicator Do not select indicator X – select indicator for PRINT

6DYH�business partner BP## by choosing the “ Disk” button in the standard toolbar. The message “ Changes have been saved” will appear in the status bar.


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� In the Trading area, the main functions for entering and changing financial transaction data are consolidated. To map financial transactions efficiently, you first have to make basic settings: y ,Q�ZKLFK�RUJDQL]DWLRQDO�XQLW��FRPSDQ\�FRGH� is the financial transaction concluded?

This setting enables companies with complex organizational structures, such as those with central treasury divisions, to differentiate between the various company areas.

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� Transaction Management offers various support tools. � Using the )LHOG�VHOHFWLRQ�FRQWURO you can control many of the visible fields. This enables you to set

up the appearance of the display screens for transaction management to suit your business. � You group the visible fields into field groups according to different business criteria. Each of the

field groups available can be assigned an attribute, which determines the appearance of the screen. This means that you can specify whether you want field groups to be suppressed, displayed, or to be defined as required entries.

� You make the assignment in Customizing.


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� When you create a Money Market transaction, you represent a contract for investing or borrowing short term funds. You enter which trading object (product type) should be invested or borrowed with which partner in which currency.


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� When you create a financial transaction, flows are automatically generated, such as the flows for principle increase, nominal interest and final repayment.

� The structure contains only product type-specific information, such as the amount, term and interest structure. Here, you can use various key codes for entering amounts and dates (for example, M = million, T = thousand, 0 = today, ++2 = 2 months).

� From here, you can branch to the entry screens of general transaction management. Tabstrips help you navigate between the screens Administration: Information about portfolio assignment, account assignment references for position bookings, general valuation classes Other Flows: You can add other flows to the automatically generated flows manually (charges, commission and so on). Status: Information about correspondence, process, release status ...

� Under Payment Details, you enter the relevant payment details for this transaction. If the payment methods are maintained as standing instructions for a specific business partner, they appear as default values and can be modified manually.

� You can also activate the date check to establish whether a particular due date falls on a working day or not.


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� When defining the product type, you can make a relevant Customizing entry for the interest rate calculation method.

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displayed if a condition of the type "interest capitalization" has been assigned to the relevant transaction type.

� You have the option of suppressing and displaying detailed information as necessary. (Suppress or display interest structure)

� You can also calculate interest amounts exponentially. � The payment rate describes a percentage rate that is applied to the calculated condition amount. The

cash flow, therefore, does not show the calculated condition amount, but rather the condition amount multiplied by the payment rate and shown as a percentage.


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� The bank or bank clearing account to be posted to is determined using the house bank and the account ID stored in the business partner’s payment details.

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� There is a 5HSHWLWLYH�&RGH column in the transaction payment details and the Standing Instructions. This is used (primarily in the USA) for simplification of recurring payments.


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� Depending on its type, a condition position is characterized by amounts or percentages and calculation bases, as well as calendar data and date updates.

� The principal task of conditions is the automated generation of flows. Therefore, the flow types that you assign to condition types should show changes in the payment flows and should be elements of the cash flow.


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� The cash flow of financial transactions forms the basis for all trading, transaction and position management processes as well as evaluation activities.

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building blocks, which are stored centrally, to calculate interest and repayment schedules etc. � These FiMa building blocks generate or calculate a series of activities known as cash flows (payment

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� Flow types allow you to define additional flows, such as charges and commissions (as absolutes or percentages) for individual product types. These are then recorded for the individual transactions.


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� Even if the payment details of a business partner are unknown when you create a transaction, and are only entered in Back Office, for example, the transaction data remains stored in Cash and Liquidity Management.

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� Each activity within a business transaction (contract, settlement, and so on) is displayed in Cash Management. You can view and analyze the activity using a separate level.

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� For each product type and activity category, you can maintain the planning levels of G/L accounts or G/L and subledger accounts, where the information is to be displayed, in Customizing.

� ([DPSOH: Concluded time deposit transaction: Level TB - Time deposit (Pre-)posted time deposit transaction: Level B5 - Bank clearing account After receipt of bank statement: Level F0 - Bank account


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� Here, you can see a typical process describing the interaction between Transaction Manager and Cash and Liquidity Management and also the posting in Financial Accounting.

� Payments are generally triggered by the business partner (bank) and processed further with the automatic bank statement in Cash and Liquidity Management.


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� Collective Processing enables systematic transaction management. This facility displays all the business activities you select on the basis of shared criteria in a list with brief descriptions of each transaction and provides the necessary processing functions.

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determine the columns or rows to be displayed, sorted and consolidated and save these layouts for later use.


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� Using the "Offer" activity category, you can group and store quotations from different banks with a reference.

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� You manage simulations using a separate number range. You assign the number range to the relevant transaction type in the simulations number range field in Customizing for the transaction types.

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� With deposits at notice, the cash flow can only be generated for a set period, since the end of term is only fixed when notice is given. For deposits at notice for which no notice has been given, it is therefore necessary to update the cash flow periodically.


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� You can store master agreements in the system and use these to define company standards for concluding Money Market transactions. These contain specific information about company codes, business partners, terms, as well as minimum and maximum volumes by currency.

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� To enable the different interest and repayment calculation procedures, you must describe the financial mathematical structure of the interest rate instrument. Descriptions of interest rate instruments must include the following: - Transaction amount, currency, and flow type - Term - Interest rate structure: ,QWHUHVW�IRUP��LQWHUHVW�FDOFXODWLRQ�PHWKRG��IUHTXHQF\��LQWHUHVW�SHULRG�XSGDWH�HWF��,Q�LQWHUHVW�VWUXFWXUH��VRPH�RI�WKH�GHVFULEHG�DWWULEXWHV�DUH�GHSHQGHQW�RQ�WKH�VHOHFWHG�LQWHUHVW�IRUP��)RU�H[DPSOH��\RX�FDQ�HQWHU�DQ��LQWHUHVW�UHIHUHQFH�IRU�YDULDEOH�LQWHUHVW�RU�D�SHUFHQWDJH�UDWH�IRU�D�IL[HG�LQWHUHVW�IRUP�� - Repayment structure:��,Q�5HSD\PHQW�VWUXFWXUH��VRPH�HQWLUHV�DUH�GHSHQGHQW�RQ�WKH�VHOHFWHG�UHSD\PHQW�IRUP��1R�DGGLWLRQDO�GHWDLOV�DUH�UHTXLUHG�IRU�ILQDO�UHSD\PHQWV�

� To process an interest transaction, you must particularly specify details of the interest and repayment

structures, which constitute the basis of the financial mathematical calculation of the cash flow.


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� Note that IORZ�W\SHV must be assigned to the appropriate product type/transaction type.


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� A IDFLOLW\ is used by a lender and one or more borrowers to agree general terms (= credit line) for a series of drawings against credit. The lender can name more than one borrowing party entitled to draw on the credit line. These borrowers may have variable drawing rights as far as time limits and amounts are concerned, right up to the agreed credit limit.

� Any utilization of this credit facility is called a GUDZLQJ.


SAP AG 2006

)DFLOLW\&UHDWLQJ�DQG�6HWWOLQJ�D�)DFLOLW\�

$VVLJQLQJ )LQDQFLDO�7UDQVDFWLRQV• Checking that a facility adheres to the master agreement

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� If you use a certain portion of a facility’s credit line, this is represented by a financial transaction in Transaction Management.

� The financial transaction is assigned to the facility as it is entered or processed. � During the assignment process, the system checks that the transaction characteristics correspond with

the master agreement stored for the facility.


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� Depending on the way in which your company is organized, financial transactions can be forwarded to the Back Office area once they have been created in Trading. Back-office processing contains control and change functions, so that any entries made can be checked here and changed as necessary. Post-processing includes the following functions: y Enhancing transaction data, for example, adding information that is relevant for the back office. y Preparing postings and payments, for example, checking the accounts to be used later in the

automated processes. If you have not already done so, you must now assign an account assignment reference and payment details to the financial transaction. Without this information, the CFM flow cannot be posted in Financial Accounting (see account assignment reference).

y Generating correspondence in the form of dealing slips, letters of confirmation, or confirmation files.

� By saving the settlement activity, the system changes the activity category of the transaction in order to document that it has been checked and processed in Back Office-processing.

� If a transaction has activity category "WITH settlement activities", the contract can be posted only after the settlement.


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� Just as in Trading, you can call up and correct information about entered transactions. � You can check, change, or add information that is relevant for posting and payment. If you have not

already done so, you must now assign an account assignment reference and payment details to the financial transaction. Without this information, the flow cannot be posted in Financial Accounting (see account assignment reference).

� You can have the account assignment reference or the payment details of the particular business partner appear as default values. You can add to or change these default values. Account assignment references are created independently of valuation area. You can assign account assignment references to positions variably and independently of valuation area, or control account determination variably according to valuation area and account assignment reference.


SAP AG 2006

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� This indicator specifies the position management and valuation parameters at company code level, and allocates the account assignment reference to a position.

� The position indicator can be created manually or automatically by the system.


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� The History function enables you to view the previous activity sequence for a selected transaction. You can call up a list of the activities and these are either active, reversed, or have been replaced by a subsequent activity.

� The transaction history allows you to trace each activity and its relevant details. � The system also stores significant changes to transactions in change documents. This provides a

record of how and when a user corrected or changed the structure characteristics of any transaction.


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� Correspondence serves to document and match concluded financial transactions. � You can define correspondence as internal correspondence types (such as dealing slips) and external

correspondence types (such as confirmations). By performing a correspondence run, you can confirm all the financial transactions you have concluded with a partner in a given period. You can print the generated data or have it sent directly from the system by fax. You can also use e-mail and IDoc. To send e-mails, you must set up the communication interface SAPconnect. For money market and foreign exchange transactions, you can generate SWIFT files MT320 (fixed-term deposits) and MT300 (forex).

� You can control H[WHUQDO�FRUUHVSRQGHQFH�W\SHV with SDUWQHU�VSHFLILF standing instructions for correspondence. Control of internal correspondence types is independent of the business partner.

� The system also keeps a record of the confirmation status in the transaction. This includes information about when the confirmation was sent/received, the relevant activity, the user, the form used, and the output type of incoming or outgoing confirmations.


SAP AG 2006

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� You can determine whether or not counterconfirmation is required for external correspondence for each business partner (in the Standing Instructions).

� The system updates the confirmation status of the business transaction on the Status tab page: Ö executed, reconciled (counterconfirmation has been received and matched).

� You can archive correspondence optically. To do this, you must set the 2SWLFDO�$UFKLYLQJ indicator in Customizing (choose 'HILQH�&RUUHVSRQGHQFH�7\SHV) for the correspondence type you require. However, you must use an external optical archiving for this. You can access archived correspondence from the transaction display. If you are in display/change mode for a transaction, you can display correspondence activities by choosing *RWR. By double-clicking a line, you can activate the Archive Link monitor and display the document.

� The Correspondence Monitor provides the following additional processing and monitoring functions, which build on existing correspondence overviews: • Overview of the current processing status • Setting the counterconfirmation status to PDWFKHG directly from the (manual match) monitor • Option to execute planned correspondence directly from the monitor • Option to repeat previously generated correspondence ...


SAP AG 2006

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� To document the connections between Treasury transactions or objects, you can define links in the administrative data of a transaction. To do this, you use fields in which you can enter any reference terms or numbers and then select these for subsequent evaluations.

� A reference between transactions documents a relationship between "n" transactions. A reference category provides the purpose of a reference.

� Some references are formed automatically. These include relationships between transactions resulting from processing activities (rollover) or which are elements of a transaction (currency swap).

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List Viewer, you can flexibly modify the layout and sorting and, if necessary, store it as your own layout.


SAP AG 2006

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� For financial transactions with variable interest, you carry out an interest rate adjustment periodically. You fix the interest rate to the current value of a reference interest rate.

� The interest rate adjustment can be done either manually or automatically. With manual interest rate adjustment, use the reference rate to enter the interest rate value for each transaction. With automatic adjustment, the system checks in a table whether the current interest value is available for a reference interest rate.

� Use the ,QWHUHVW�5DWH�$GMXVWPHQW tab page to get an overview of all the adjustment data that has been entered for the transaction.

� A function is available for reversing interest-fixing. � For variable interest rates, you can enter the interest rate for the first period as soon as you enter

interest conditions. This means that the interest rate need not be adjusted for the first interest period. � The Information System provides a Money Market Interest Rate Adjustment Plan to monitor

deadlines.


SAP AG 2006

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� After the transactions have been entered in Trading, checked and completed in back office processing, they are accounted. Functions for the transfer to Financial accounting - such as posting reports or posting in position management are brought together here. The Treasury subledger relies on some Financial accounting functions. Financial transactions and positions must be handled accurately to guarantee the correctness of the final processes. Accounting, therefore, incorporates tasks, such as the periodic accrual/deferral of expenses and revenue and valuation activities.

� You can only post transactions which have reached contract or settlement status (depending on the processing category) at the internal level (system level).

� If you do not wish to post certain financial transaction flows yet, you can block the posting of these flows.


SAP AG 2006

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� The information required for posting is transferred to Financial Accounting with an interface. The posting logic is based on the flow types generated, the account assignment reference of the financial transaction, and the account determination defined by the user.

� You can post individual flows either to G/L accounts or to customer accounts. Payment transactions are generally posted to relevant clearing accounts. You can then process the items on these clearing accounts using the functions provided by Cash and Liquidity Management (account statements) or Financial Accounting (payment program). For Money Market, Foreign Exchange and Derivatives, you have the option of using an extended payment program (payment requests). In this case, Treasury first generates payment requests which are then paid individually or jointly using the payment program. The following four combinations are possible: y G/L accounts without payment requests y G/L accounts with payment requests y Customers without payment requests y Customers with payment requests


SAP AG 2006

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� Posting transfers the settled financial transactions to Financial Accounting. You can only post transactions which have reached contract or settlement status (depending on the processing category) at the internal level (system level).

� Prior to posting, the transaction flows and/or positions to be posted are selected. You can have the system carry out a test run in order to check the accuracy of the posting entries in the posting log. When you execute the posting, flows and related documents are transferred to Financial Accounting.

� Postings to the SAP Financial Accounting module take place online. � The FI document numbers are displayed. � When you post a transaction, the system generates a posting log. If you double-click a posting line

you can access the relevant posting document. � If you do not wish to post certain financial transaction flows yet, you can block the posting of these

flows.


SAP AG 2006

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� Back office processing of financial transactions (money market, foreign exchange, derivatives, securities) generate transaction processes which must be entered in Accounting. These automatic postings and the relevant offsetting postings to FI accounts may be carried out online. The accounts to which the flows are to be booked are set in accounts by the account determination.

� The posting specifications control how the individual business transactions are posted. These specifications contain the rules for posting and account determination for update type. You make the relevant settings within system configuration.

� The appropriate posting specifications for each flow to be booked are determined by applying the update type. Each update type is assigned exact posting specifications.

� The document type and the posting keys for the debit and credit sides of the posting included in the posting specifications contains control information which is passed on directly to Financial Accounting. In addition, the posting specifications with the posting category and the account symbols include the relevant information for determining the actual G/L and subledger accounts with the Treasury posting interface.


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� In addition to the main flows at the start of term or during rollovers, you can enter other capital increases and decreases during the term. This enables you to represent repayment schedules, for example.


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� You can rollover existing transactions using the same transaction number, and, where applicable, change some of the conditions.

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� Example for fixed-term deposits: y Deposit in t1 y Rollover in t2 y Repayment in t3


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• Set up a time deposit in Transaction Manager

You want to take advantage of the favorable conditions at your house bank to invest in a fixed-term deposit.

2-1 Create an external fixed-term deposit (investment) as a contract in your company code (FS##). Choose the Deutsche Bank (1000) as your business partner. This is your house bank, that is, you have at least one current account here.

Choose the following transaction data:

Amount: EUR 50 M, Interest rate: 2.6 %, Term: 3 months starting from today Int calculation method: Act/360 (Interest) frequency: "At end of term"

Then check

- The conditions (button), - The cash flow (tab page), - The payment details (tab page).

Save the financial transaction and note the transaction number for later settlement and posting activities.

Transaction number:_______________________ �

2-2 Check your entries in the cash position (Grouping: "ACBANKEN").

At which level is the fixed-term deposit displayed?

To which account has the transaction been posted?


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2-1 Create an external fixed-term deposit (investment) as a contract in your company code (FS##).

Choose the Deutsche Bank (1000) as your business partner. This is your house bank, that is, you have at least one current account here.

Choose the following transaction data: Amount: EUR 50 M, Int rate: 2.6 %, Term: 3 months starting from today Interest calculation method: Act/360 (Interest) frequency: "At end of term"

Then check - conditions (button), - cash flow (tab page), - payment details (tab page).


Transaction number:_______________________

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Company Code FS##

Product Type 51A – Fixed-term deposit: External

Transaction Type 51A – 100 –

Partner 1000

Set the &RQWUDFW indicator.

Choose ENTER.�Enter the following values on the 6WUXFWXUH tab page:


Flow Type Accept the default value “1100”

Amount 50 M (EUR 50 million)

Start of term +0 (current date)

End of term ++3 (3 months calculated from today)

Percentage Rate 2,6 (%)

Int.calc.method Act/360

Frequency At end of term

Choose &KHFN in the application toolbar to check the entered data.

You should receive the following message in the status bar: “Check carried out successfully”

1RZ�FKHFN�WKH�FRQGLWLRQV��*HW�DQ�RYHUYLHZ�RI�WKH�GHWDLOV�RI�WKH�FKRVHQ�FRQGLWLRQ�W\SHV� Choose &RQGLWLRQV in the application toolbar. You can view the entered data by double-clicking the condition type.

Choose the green arrow (twice) to return to the 6WUXFWXUDO�'DWD� 1RZ�JHW�DQ�RYHUYLHZ�RI�WKH�FDVK�IORZ��Choose the &DVK�IORZ tab page. Choose 6HOHFW�OD\RXW� ��&DOFXODWLRQ�YLHZ� )LQG�RXW�WKH�SD\PHQW�GHWDLOV��Choose the 3D\PHQW�'HWDLOV tab page. Double-click a line to display the details for the relevant payment details.

6DYH�\RXU�IL[HG�WHUP�GHSRVLW��6DYH�your fixed-term deposit by choosing the “Disk” button in the standard tool bar.

The message “Fixed-term deposit XY created in company code FS##” is displayed in the status bar.



2-2 Check your entries in the cash position (Grouping: "ACBANKEN").

In SAP Easy Access select: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW��Æ�&DVK�DQG�/LTXLGLW\�0DQDJHPHQW��Æ�&DVK�0DQDJHPHQW��Æ�,QIRUPDWLRQ�6\VWHP��Æ�5HSRUWV�IRU�&DVK�0DQDJHPHQW��Æ�/LTXLGLW\�$QDO\VHV��Æ�&DVK�3RVLWLRQ��))�$� After you enter the grouping “ ACBANKEN” , you can display all input fields by choosing $OO�6HOHFWLRQV�(+) in the application toolbar.


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Company Code FS##

Cash Position X - select indicator

Grouping ACBANKEN

Display as of Today's date

Display in EUR

Delta Display with Balances Select (Use button: All selections)

Account Instead of AccountName

X - select indicator

Display currency view Do not select indicator

Choose ([HFXWH (“ Clock“ or F8)

$W�ZKLFK�OHYHO�LV�WKH�IL[HG�WHUP�GHSRVLW�GLVSOD\HG"�Place the cursor on the amount field and choose /HYHOV in the application toolbar. The entered fixed-term deposit is displayed at the TB (time deposit) level.

7R�ZKLFK�DFFRXQW�KDV�WKH�WUDQVDFWLRQ�EHHQ�SRVWHG"�Place the cursor on the amount field and select $FFRXQWV in the application toolbar. The amount is now posted to account 113100.


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Create a fixed-term deposit using fast entry

Use the favorable conditions to invest in another fixed-term deposit.

3-1 Create another fixed-term deposit as a contract (external fixed-term deposit: 51A) in your company code (FS##). Use the IDVW�HQWU\ and the input help for the amount field and the term.

Choose the Deutsche Bank (1000) as your business partner.


Amount: EUR 30 M, Interest rate: 3% End of term: 25.12.JJ (Caution: For entry in December, enter 21.01.YY+1) Interest Calculation Method: Act/360 (Interest) frequency: Monthly

Check the financial transaction. If the working day check is active, use the selected date.



3-2 Check your entries in the cash position (Grouping: “ ACBANKEN” ).


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3-1 Create another fixed-term deposit as a contract (external fixed-term deposit: 51A) in your company code (FS##).

Use the IDVW�HQWU\ and the input help for the amount field and the term.



Amount: EUR 30 M, Interest rate: 3% End of term: 25.12.YY Interest calculation method: Act/360 (Interest) frequency: Monthly

Check the financial transaction. If the working day check is active, use the selected date.

Save the financial transaction and note the transaction number for later settlement and posting activities. Transaction number:_______________________

In SAP Easy Access select

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Company Code FS##

Product Type 51A

Transaction Type 100 – Investment

Partner 1000

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StartTerm +0 (as of today)

End of Term 25.12.YY (for entry in December, enter 25.01.YY+1)

Amount/Currency 30m – EUR 30 million

Interest rate 3

Int.calc.method Act/360 (2)

Frequency Monthly (3)

With rollover Payment (0)

Calculation period Start inclusive

The system performs a working day check and lets you choose from a dialog box. Confirm the selected date by choosing &RS\ (green checkmark).

Save your data by choosing the “ Disk” icon.

Note: Select 'HWDLOV in the application toolbar to view additional information about this transaction and enter more data. Transaction number:_______________________


3-2 Check your entries in the cash position (Grouping: “ ACBANKEN” ).

Follow the menu path

Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�&DVK�DQG�/LTXLGLW\�0DQDJHPHQW�Æ�&DVK�0DQDJHPHQW�Æ�,QIRUPDWLRQ�6\VWHP�Æ�5HSRUWV�IRU�&DVK�0DQDJHPHQW�Æ�/LTXLGLW\�$QDO\VHV�Æ�&DVK�3RVLWLRQ��))�$��Enter the following data:


Company Code FS##

Cash Position select

Grouping BANKEN

Display as of Today's date

Display in EUR

Select $OO�6HOHFWLRQV�in the application toolbar. You can now enter additional data.


Delta Display with Balances Select (Use button: All selections)



Display Currency Overview Do not select indicator

Choose ([HFXWH (“ Clock“ icon in the application toolbar or F8).

You can see your created transaction under the abbreviated term “ CITIBANK” (Citibank).

The cash flow of this transaction generates a planned record, which flows via the 7%�7LPH�'HSRVLW level into liquidity management (cash position) for Cash Manager. Place the cursor on “ CITIBANK” and select /HYHOV in the application toolbar. If you want to view the posted account in Financial Accounting, place the cursor on the 7LPH�'HSRVLW line and choose $FFRXQWV in the application toolbar.


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• Create an interest rate instrument with variable interest form

• Execute an interest rate adjustment

• Create an interest rate instrument with fixed interest form and repayment in installments.

You want to create both an interest rate instrument with variable interest form and an interest rate instrument with fixed interest form.

4-1 Create an�H[WHUQDO�LQWHUHVW�UDWH�LQVWUXPHQW��LQYHVWPHQW) with YDULDEOH interest form�as a contract in your company code (FS##). Choose the Deutsche Bank (1000) as your business partner. This is your house bank, that is, you have at least one current account here.


Amount: EUR 10 M Term: 1 year calculated from today Reference interest rate: EUREUR01YM

With variable interest, the interest rate for the first period is already known in many cases, so that a fixing or an interest rate adjustment is made only for the following periods. You can enter the known interest rate in field 1. Interest rate.

1. Interest rate: 4% Interest calculation method: Act/360 (Interest) frequency: Monthly All: 1 months Final repayment

Then check the following: - The conditions (button), - The cash flow (tab page), - The payment details (tab page).




4-2

4-2-1 Settle the created interest transaction (choose 6HWWOH from the menu).

4-2-2 Carry out a manual interest rate adjustment for the 2nd interest rate fixing date. Choose an interest rate (for example, 5%).

Alternative: You can also view the interest rate adjustments for the relevant transaction on the ,QWHUHVW�UDWH�DGMXVWPHQW tab.

(Note: You can individually determine the planned record update strategy and perspective of the interest cash flow in Customizing.

4-2-3 Display the created interest rate instrument and view the FDVK�IORZ and LQWHUHVW�UDWH�DGMXVWPHQW tab pages.

4-3 Create another interest rate instrument (investment) with fixed interest form and installment repayment�as a contract in your company code (FS##). Choose the Deutsche Bank (1000) as your business partner.

Enter the following transaction data:

Amount: EUR 12 M Term: 1 year from today Percentage rate: 4% Interest calculation method: 360/360 (Interest) frequency: Monthly All: 1 months

Repayment form: Installment repayment Repayment amount: EUR 1 M Frequency: Monthly All: 1 months

Then check - the condition details, - the cash flow, - the payment details.




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4-1 Create an H[WHUQDO�LQWHUHVW�UDWH�LQVWUXPHQW �LQYHVWPHQW��LQWHUHVW�UDWH�LQVWUXPHQW��H[WHUQDO) with YDULDEOH interest form�as a contract in your company code (FS##).

Choose the Deutsche Bank (1000) as your business partner. This is your house bank, that is, you have at least one current account here.


Amount: EUR 10 M Term: 1 year calculated from today Reference interest rate: EUREUR01YM�

With variable interest, the interest rate for the first period is already known in many cases, so that a fixing or an interest rate adjustment is made only for the following periods. You can enter the known interest rate in field 1. Interest rate.

1. Interest rate: 4% Interest calculation method: Act/360 (Interest) frequency: Monthly All: 1 Months Repayment form: Final repayment

Then check the following: - The conditions (button), - The cash flow (tab page), - The payment details (tab page).




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Company Code FS##

Product Type 55A


Partner 1000

Set the &RQWUDFW indicator. Select ENTER. Enter the following values on the 6WUXFWXUH tab page:


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Flow Type Accept the default value “ 1100”

Start of Term +0 (as of today)

End of Term ++12

Amount 10m – EUR 10 million

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Interest form variable (2)

Condition Type Accept the default value “ 1200”

Ref. Int. Rate EUREUR01YM

1st. Interest rate 5



Every 1 - months (2)

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Repayment form: “ 1120” - Final repayment

Contract Date Is proposed


Choose “ Check” in the application toolbar to check the entered data.

The message “ Check carried out successfully” is displayed in the status bar.

Choose &RQGLWLRQV in the application toolbar to display a list of all condition types for this transaction.

You can view detailed information about any of the displayed condition types by double-clicking the condition type.

Select %DFN twice in the standard tool bar to return to your interest rate instrument (tab page: 6WUXFWXUH).

You can change the layout on the &DVK�IORZ tab page. Choose the layout “ Calculation view” by clicking the appropriate icon. This displays all conditions, that is, cash flows valid for this transaction. You can also create other layouts if necessary.

Your house bank and account ID data is automatically transferred to the 3D\PHQW�'HWDLOV tab page from Business Partner (Standing Instructions).

Save your transaction by choosing 6DYH (disk icon) in the standard tool bar. Transaction number:_______________________�

4-2

4-2-1 Settle the created interest transaction (choose 6HWWOH from the menu).

Select: →�Accounting → Financial Supply Chain Management → Treasury and Risk Management → Transaction Manager → Money Market → Trading → Edit Financial Transaction (FTR_EDIT)




Company Code FS##

Transaction Enter your transaction code from exercise 4-1.

Choose Settle.

�Briefly check the trader’s data and save the transaction by choosing the “ Disk” button in the standard toolbar. The status bar displays the message “ Interest rate instrument … in company code FS## is changed” .

4-2-2 Carry out a manual interest rate adjustment for the second interest rate fixing date. Choose an interest rate (for example, 5%). Alternative: You can also view the interest rate adjustments for the relevant transaction on the “ Interest rate adjustment” tab. (Note: You can individually determine the planned record update strategy and perspective of the interest cash flow in Customizing.)

Select: → Accounting → Financial Supply Chain Management → Treasury and Risk Management → Transaction Manager → Money Market → Back Office → Variable Interest Calculation → Interest Rate Adjustment → Create (TI10)



Company Code FS##

Transaction Enter your transaction code from exercise 4-1.

Select enter.

Details of the interest rate adjustment are displayed on the lower part of your screen. You can also enter an interest rate for the proposed date here.




Interest rate As appropriate (or 5%)

Save your interest rate adjustment by choosing the “'LVN�6DYH” button in the standard tool bar. The message “ Manual interest rate adjustment created” appears in the status bar.�

4-2-3 Display the created interest rate instrument and view the FDVK�IORZ and LQWHUHVW�UDWH�DGMXVWPHQW tab pages.

Select: Æ�$FFRXQWLQJ�Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�0RQH\�0DUNHW�Æ�%DFN�2IILFH�Æ�(GLW�)LQDQFLDO�7UDQVDFWLRQ��)75B(',7� �(QWHU�WKH�FRPSDQ\�FRGH�DQG�WUDQVDFWLRQ�QXPEHU�DV�XVXDO��&KRRVH�'LVSOD\��

�View your transaction data by using the &DVK�IORZ and ,QW�UDWH�DGM� tab pages. During the interest rate adjustment, the status bar displays the message “ Interest rate adjustment displayed as saved and not determined again” .

You determine the planned record update strategy in Customizing. This determines with which values any interest rate flows that are not yet fixed are to be displayed, for example, in the cash flow.

4-3 Create another interest rate instrument (investment) with fixed interest form and installment repayment�as a contract in your company code.###

Choose the Deutsche Bank (1000) as your business partner. Choose the following transaction data: Amount: EUR 12 M Term: 1 year calculated from today Percentage rate: 4% Interest calculation method: 360/360 (Interest) frequency: Monthly All: 1 month Repayment form: Installment repayment Repayment amount: EUR 1 M Frequency: Monthly All: 1 month


Then check - the condition details, - the cash flow, - the payment details.



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Company Code FS##

Product Type 55A


Business Partner 1000


Set the &RQWUDFW indicator. Select enter. Enter the following values on the 6WUXFWXUH tab page:


)L[HG�$VVHW

Flow Type Accept the default value “ 1100”

Start of Term +0 (as of today)

End of Term ++12


,QWHUHVW�6WUXFWXUH

Interest form fixed

Condition Type Accept the default value “ 1200”

Interest Rate/Percentage Rate 4


5HSD\PHQW�6WUXFWXUH

Repayment form: Instalment repayment (2)

Repayment amount EUR 1 M


Every 1 month (2)

Choose &KHFN in the application toolbar to verify the entered data.

The status bar displays the message “ Check carried out successfully” .

The application toolbar includes the &RQGLWLRQV button. Choose this button to display a list of all condition types for this transaction.

You can view detailed information about the displayed condition type by double-clicking the condition type.

Choose %DFN in the standard tool bar to return to your interest rate instrument (tab page: 6WUXFWXUH).

You can change the layout on the &DVK�IORZ tab page. Choose the layout “ Calculation view” by clicking the appropriate icon. This displays all conditions, that is, cash flows valid for this transaction. You can also create other layouts if necessary.

Your house bank and account ID data is automatically transferred to the 3D\PHQW�'HWDLOV tab page from Business Partner (Standing Instructions).

Save your transaction by choosing 6DYH (disk icon) in the standard tool bar. (If this system displays a dialog box indicating a transaction limit check, continue by choosing ENTER.) Transaction number:_______________________�


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• Perform a confirmation (OPTIONAL)

• Settle the transaction

After you create the fixed-term deposit, back office processing occurs.

Confirmation letters are written here and the transaction is settled and checked.

5-1� Optional: Using the function &UHDWH�&RUUHVSRQGHQFH�RQ�%DVLV�RI�3ODQQHG�5HFRUGV, display a preview of the confirmation letter for the fixed-term deposit from exercise “ Trading: Fixed-Term Deposit Investment 1” (exercise 2).

5-2 Optional: First, check the correspondence status of the transaction (on the 6WDWXV tab page). The confirmation should still be UHTXLUHG. Generate an actual version. Confirmation status is now ([HFXWHG. Display the letter using Spool.

Note: The Correspondence Monitor (TBZ11) is very helpful in this area, since it is clearly laid out and easy to use.

5-3 Optional: Assume that the counterconfirmation has been received from the counterparty. Save this in the system and check the correspondence status again.

By choosing *RWR in the financial transaction, you access information about the confirmation and counterconfirmation letters.

5-4 Settle the transaction from the exercise, “ Trading: Fixed-Term Deposit Investment 1” (2-1). Note the change in activity category.

Make sure to check the payment details and the position indicator in 0HQX� ��(QYLURQPHQW by entering the account assignment reference.


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5-1 Optional: Using the function “ Create Correspondence on Basis of Planned Records” , display a preview of the confirmation letter for the fixed-term deposit from exercise “ Trading: Fixed-Term Deposit Investment 1” (exercise 2).

Select:

Æ�$FFRXQWLQJ�Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�0RQH\�0DUNHW�Æ�%DFN�2IILFH�Æ�&RUUHVSRQGHQFH�Æ�2XWJRLQJ�&RUUHVSRQGHQFH��7%=��Enter the following values:�)LHOG�1DPH�RU�'DWD�7\SH 9DOXH

Company Code FS##

Transaction Transaction number from exercise 2-1

Correspondence type 001 Confirmation

All other required fields are predefined.

Make sure that the 3ULQWHU and 3UHYLHZ indicators are selected in the Output control area. Choose ([HFXWH (“ Clock” icon or F8) to start the report.

(You can now compare this data with your transaction values in a second session - see exercise 5-2.)

Make sure that the letter was only previewed and not actually generated. No print request was made. You need to follow further steps to do this. See exercise 5-2.


5-2 Optional: First, check the correspondence status of the transaction (on the 6WDWXV tab page). The confirmation should still be UHTXLUHG. Generate an actual version. Confirmation status is now ([HFXWHG. Display the letter using Spool. Note: The Correspondence Monitor (TBZ11) is very helpful in this area, since it is clearly laid out and easy to use.

Select:

Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�0RQH\�0DUNHW�Æ�7UDGLQJ�Æ�(GLW�)LQDQFLDO�7UDQVDFWLRQ��)75B(',7� Enter the following data:


Company Code FS##

Transaction Transaction number from exercise 2-1

Choose 'LVSOD\.

The 6WDWXV tab page displays the message “ Confirmation required” . To execute the confirmation after the check, the 2XWSXW�LPPHGLDWHO\ indicator must be selected in the Output Control area. Printing is started when the report is executed anew. You can find the confirmation letter in Spool.

The procedure is as follows:

Call up the report for creating correspondence based on planned records again and select the following values: the 2XWSXW�LPPHGLDWHO\ indicator must be selected in the Output Control. Printing is started when the report is executed anew. You can find the confirmation letter in Spool.

Using the menu, choose 6\VWHP�→��2ZQ�6SRRO�5HTXHVWV (select and choose 'LVSOD\�JODVVHV�� If you check the confirmation status in your transaction once more, you will see that it is ([HFXWHG.


5-3 Optional: Assume that the counterconfirmation has been received from the counterparty. Save this in the system and check the correspondence status again.� By choosing *RWR in the financial transaction, you access information about the confirmation and counterconfirmation letters.

The &RXQWHUFRQILUPDWLRQ field is in the correspondence status of your transaction. This is UHTXLUHG for your transaction.

Choose the following path: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�0RQH\�0DUNHW�Æ�%DFN�2IILFH�Æ�&RUUHVSRQGHQFH�Æ�,QFRPLQJ�&RQILUPDWLRQV��0DQXDO��±��7%=��



Company Code FS##

Partner 1000

Currency EUR


Direction - (Outflow)

Start of Term See exercise 2-1 (+0; current date)

End of Term See exercise 2-1 (+3; 3 months calculated from today)

Int. rate See exercise 2-1 (2,6)

Select Enter. The assigned transaction is called up automatically and shown in the lower part of the screen.

Select 6$9( to counterconfirm the transaction. The system displays the message “ Transaction xxxx counterconfirmed!”

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5-4 Settle the transaction from the exercise, “ Trading: Fixed-Term Deposit Investment 1” (2-1). Note the change in activity category. Make sure to check the payment details and the position indicator in 0HQX�Æ�(QYLURQPHQW by entering the account assignment reference.

Select: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�0RQH\�0DUNHW�Æ�7UDGLQJ�Æ�(GLW�)LQDQFLDO�7UDQVDFWLRQ��)75B(',7� Display the transaction and choose 6HWWOH.

You can see the change in activity type in the upper right hand part of the screen.

Check the entries on the 3D\PHQW�'HWDLOV tab page and generate the position indicator using MenuÆ Environment.

(Account assignment reference MM510VC01)

Choose the green arrow to return to the transaction data.

Choose 6DYH to save the transaction.

The status bar displays the message “ Fixed-term deposit … changed in company code FS##” .


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• Process the fixed-term deposit in accounting

In Treasury Accounting, you have to take certain steps to transfer the transaction flows to FI (Financial Accounting).

6-1 Post the transaction from the exercise, “ Trading: Fixed-Term Deposit Investment 1” (2-1).

Your first posting should only relate to the fixed-term deposit (position posting).

(In the Application area, choose 0RQH\�0DUNHW� Carry out a test run prior to the update run.

Note: Prior to posting, the transaction must be settled and monitored in the back office (see exercise 5-4).

6-2 Check the posting log and the posting document in Financial Accounting.

6-3 Do you see a change in Cash Management after posting? Show the cash position to reveal that levels have been changed.

6-4 In the second step - at the end of the term - you should also post the interest payment and repayment amounts.


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6-1� Post the transaction from the exercise “ Trading: Fixed-Term Deposit Investment 1” (see exercise 5-4). Your first posting should only relate to the fixed-term deposit (position posting). (In the application area, choose Money Market) Carry out a test run prior to the update run.

Note: Prior to posting, the transaction must be settled and monitored in the back office.��Select:

Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�0RQH\�0DUNHW�Æ�$FFRXQWLQJ�Æ�3RVWLQJ�Æ�3RVW�)ORZV��7%%��Enter the following values:�)LHOG�1DPH�RU�'DWD�7\SH 9DOXH

Company Code FS##

Transaction Transaction number from exercise 2

Up To And Including Due Date Today

Before executing, make sure that the 7HVW�UXQ indicator is selected in the�3RVWLQJ�FRQWURO�area and that 3RVW�$OO�9DOXDWLRQ�$UHDV is activated.


Test Run X - select indicator

Post all Valuation Areas X - select indicator

Choose ([HFXWH� A dialog box appears containing a link, double-click this to go to the posting log.


If the data is correct, perform an update run.


Test Run Do not select indicator


Choose ([HFXWH�

The system displays the data for the different valuation areas. Remain at this location within the system.

6-2 Check the posting log and the posting document in Financial Accounting.�In the posting log, you will see update type 00�� relevant for posting. Debit and credit postings have been generated for this. The posted accounts are also displayed. Now check the financial accounting document by double-clicking the FI reference number in the top right corner of the screen (second row).

The system displays the 'RFXPHQW�LQ�)LQDQFLDO�$FFRXQWLQJ dialog box. Double-click $FFRXQWLQJ�'RFXPHQW. You will see the standard document overview of the )LQDQFLDO�$FFRXQWLQJ area. You can display information about the origin of the data in the document header (choose 'LVSOD\�'RFXPHQW�+HDGHU).


6-3 Do you see a change in Cash Management after posting? Show the cash position to reveal that levels have been changed.�

Yes, there were changes in Cash Management. Choose the following:

Æ��$FFRXQWLQJ��Æ��)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ��&DVK�DQG�/LTXLGLW\�0DQDJHPHQW�Æ��&DVK�0DQDJHPHQW�Æ��,QIRUPDWLRQ�6\VWHP�Æ��5HSRUWV�IRU�&DVK�0DQDJHPHQW�Æ��/LTXLGLW\�$QDO\VHV�Æ��&DVK�3RVLWLRQ��))�$��Enter the following values:�)LHOG�1DPH�RU�'DWD�7\SH 9DOXH

Company Code FS##

Cash Position select

Grouping ACBANKEN

Display as of Day transaction was created

Display in EUR

Select $OO�6HOHFWLRQV�in the application toolbar.

You can now enter additional data.


Delta Display with Balances X – select indicator



Display Currency Overview Do not select indicator

Choose ([HFXWH (“ Clock“ icon in the application toolbar or F8).


You can see your created transaction under the abbreviated term '(876&+( (Deutsche Bank).

Your financial transaction can no longer be found at level TB (Time Deposit), but at level B5 (Interim Postings). You can navigate to the levels and to the account view as usual (see exercise 3).

6-4 In a second step - at the end of the term - you also want to post the interest payment and repayment amounts. Proceed as described in steps 6-1 to 6-2. Ensure that the due date is correct.

When posting flows (TBB1), enter the due date or a later date in the 8S�7R�$QG�,QFOXGLQJ�'XH�'DWH�field.

Select:

Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�0RQH\�0DUNHW�Æ�$FFRXQWLQJ�Æ�3RVWLQJ�Æ�3RVW�)ORZV��7%%��(QWHU�WKH�IROORZLQJ�YDOXHV��)LHOG�1DPH�RU�'DWD�7\SH 9DOXH

Company Code FS##


Up To And Including Due Date Due date

The cash position reports the cash flows of interest and repayments at a later time (see last column).


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• Rollover a money market transaction

• Perform a reversal

Due to rising interest rates, you decide to extend the transaction for another three months. At the same time, the interest rate increases by 0.5%. Consequently, you have to carry out a reversal.

7-1 Settle the contract (financial transaction) from exercise 3, “ Trading: Fixed-Term Deposit Investment 2” , and post the flows from principal increase.

7-2 In December, you decide to extend the transaction for an additional three months due to rising interest rates. At the same time, the interest rate increases by 0.5%.

Roll over your transaction. Use fast processing (Collective Processing – TM20).

7-3 Take a look at the transaction history.

(If you also had to change the interest payment method for the above transaction, how would you do this in the system?)

7-4 Reverse the rollover.

Now take a look at the new transaction history. Which procedure is now active after the reversal?


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7-1� Settle the contract (financial transaction) from exercise 3, “ Trading: Fixed-Term Deposit Investment 2” , and post the flows from the principal increase. �

To settle the transaction, select: Æ Accounting Æ Financial Supply Chain Management Æ Treasury and Risk Management Æ Transaction Manager Æ Money Market Æ Trading�Æ Edit Financial Transaction (FTR_EDIT)

�Call your transaction and choose 6HWWOH� Choose 6DYH in the standard toolbar (disk symbol). The transaction is settled.�The status bar displays the message “ Fixed-term deposit … changed in company code FS##” .

To post the principal increase of fixed-term deposit 2, select:

Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�0RQH\�0DUNHW�Æ�$FFRXQWLQJ�Æ�3RVWLQJ�Æ�3RVW�)ORZV��7%%��

Enter the data as usual (see exercise 6). In the 8S�7R�$QG�,QFOXGLQJ�'XH�'DWH field, enter 7RGD\� Perform a test run and then an update run.


7-2 In December, you decide to extend the transaction for an additional three months due to rising interest rates. At the same time, the interest rate increases by 0.5%. Roll over your transaction. Use Time Deposit - Fast Processing (Collective Processing – TM20).

For rollovers with fast processing, choose the following path:

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Company Code FS##


End of Term Is proposed

Choose ([HFXWH� You are now in “ Time Deposit - Fast Processing” :

�Enter the following data:�)LHOG�1DPH�RU�'DWD�7\SH 9DOXH

Interest rate – new 3,1

Term End - new ++3

Save your data.

The message “ 1 transaction(s) have been changed” appears in the status toolbar.

(Note - if the amount is to be changed: Enter the total amount for amount change when entering the rollover dates using fast processing.)


Alternatively, choose: Æ�0RQH\�0DUNHW�Æ�7UDGLQJ�Æ�(GLW�)LQDQFLDO�7UDQVDFWLRQ��)75B(',7� �(Note - if the amount were to change: The delta amount would be entered when the amount is changed when entering the rollover dates.)

7-3 Take a look at the transaction history.

(If you also had to change the interest payment method for the above transaction - how would you do this in the system?)

To view the transaction history, select: Æ�Accounting Æ Financial Supply Chain Management Æ Treasury and Risk Management Æ Transaction Manager Æ Money Market Æ Trading Æ Edit Financial Transaction (FTR_EDIT)

Enter your company code and transaction number. Select�+LVWRU\� Double-click an individual row to view the transaction details.��This transaction has recorded procedures. The rollover is the active procedure and is therefore current and valid.� (If the interest payment method must be changed (for example payment, capitalization or deferral), the new interest payment method are entered at the same time as entering the rollover dates).

7-4 Reverse the rollover. Now take a look at the revised transaction history. Which procedure is now active after the reversal? To reverse the rollover Æ Accounting Æ Financial Supply Chain Management Æ Treasury and Risk Management Æ Transaction Manager Æ Money Market Æ Trading Æ Edit Financial Transaction (FTR_EDIT)

�


Choose your financial transaction and your company code and choose Reverse.

Enter a reason for the reversal (for example, 01- Reversal due to processing error by clerk).

Save your data.

The message “ Fixed-term deposit....reversed” appears in the status bar.

View the history in the same manner as previously described. (See exercise 7-3).

Activity 2 – Contract settlement is active.


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• Perform an interest accrual/deferral on a key date.

You have to accrue/defer interest at the end of the quarter/year. To do this, use the accrual/deferral run.

8-1 Create a new fixed-term deposit with a term that goes beyond the end of the next quarter/year.

Settle this fixed-term deposit. Then post only the principal increase and not the interest that is due at the end of the term.

8-2 Carry out an interest accrual/deferral at the end of the next quarter or 31.12.YY. Carry out the postings�immediately.

8-3 Take a look at the cash flow in the transaction. Note that you can select classification 1 to 2 (structure characteristics, accrual/deferral, valuation, transfer posting) by choosing “ 6HW�)LOWHU” .


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8-1 Create a new fixed-term deposit with a term that goes beyond the end of the next quarter/year. Settle this fixed-term deposit. Then post only the principal increase and not the interest that is due at the end of the term.�

Solution Create fixed-term deposit – see exercise 2 (Term end: example ++5) Settle and post fixed-term deposit - see exercise 6 Adjust the term of the financial transaction according to the exercise requirements.

8-2 Carry out an interest accrual/deferral at the end of the next quarter or 31.12.YY. Carry out the postings�immediately.

To perform Interest Accrual/Deferral, choose Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�0RQH\�0DUNHW��Æ $FFRXQWLQJ�Æ $FFUXDO�'HIHUUDO�Æ ([HFXWH��7%%��



Company Code FS##

Transaction Transaction number

Key date to the end of the quarter

Postg date of accrual/deferral End of Quarter

Posting Date of Reset End of Quarter +1

Post immediately X – select indicator

Post All Valuation Areas X – select indicator

Test Run X – select indicator


Accruals/deferrals are reset methods. Therefore, you must also enter the reset posting date for the next day when selecting the accrual/deferral report. Also enter the posting date for the accrual/deferral.

Note that all valuation areas must be posted (select indicator).

Choose ([HFXWH in the application tool bar. Perform a test run and then an update run. You will receive a log, in which you can view the planned accruals/deferrals. You can also check these by choosing “ Logs and Messages” (in the application tool bar).

8-3 Take a look at the cash flow in the transaction. Note that you can select classification 1 to 2 (structure characteristics, accrual/deferral, valuation, transfer posting) by choosing “ 6HW�)LOWHU” .

To calculate the cash flow as usual, choose Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�0RQH\�0DUNHW��Æ�7UDGLQJ�Æ�(GLW�)LQDQFLDO�7UDQVDFWLRQ��)75B(',7� Display the transaction.

Go to the &DVK�IORZ�tab page. The 6HW�)LOWHU icon is on the upper bar on the &DVK�)ORZ tab. Select the )ORZ�7\SH column. Choose the 6HW�)LOWHU icon and enlarge the classification from 1 to 2 (that is, interval 1 to 2).

Choose ENTER; the accrual/deferral flows will appear in the cash flow.

The accrual/deferral flows are already posted!

Note that you can select the classification (structure characteristics, accrual/deferral, valuation, transfer posting) by choosing 6HW�)LOWHU.


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� Unlike in money market, condition types are not necessary in foreign exchange trading.


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� The Position Monitor: y Enables you to summarize information from Cash and Liquidity Management and Transaction

Manager in one report y Gives you a clear view of the individual currencies of the foreign exchange position of your

company � You can use the Position Monitor function in foreign exchange trading to get a quick, up-to-date

overview of the current foreign currency risk from all transactions that you have created in the Transaction Manager. You can include foreign currency bank accounts.

� With the Position Monitor, you can combine the cash flows from Cash and Liquidity Management and the financial transactions (funds and foreign exchange transactions, securities, and derivatives) from Transaction Manager. This gives you a complete view of the foreign exchange position in all relevant currencies in your company. You can select the data that should be taken from Cash and Liquidity Management and you also decide the transactions that should be displayed in combination with this data.

� You can divide time in the report into convenient segments. In addition, the net present value is calculated for payment flows on the basis of the latest fair values.


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� On the entry screen, you enter further transaction data for contract conclusion, currencies, payment amounts, rate, value date, etc.

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� From here, you can branch to the entry screens of general transaction management. Tab strips help you navigate between the screens.

� $GPLQLVWUDWLRQ�Information about portfolio assignment, account assignment references for position posting. 2WKHU�)ORZV�You can add other flows to the automatically generated flows manually (charges, commission an so on). 3D\PHQW�'HWDLOV Entry of payment details that are relevant for this transaction. If the payment details are maintained as standing instructions for a business partner, they appear as default values.

� Using Memos, you can store additional information for each activity. � Other available functions include fast processing, collective processing, rollover, premature

settlement, reversal, transaction history and deadline monitoring.


SAP AG 2006

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� The Cash Settlement function enables you to enter cash settlements for foreign currency transactions. The main flows are then locked for posting.

� For the cash settlement, the current rate is drawn from the rates table. However, the values can be changed manually.

� If you wish to use the cash settlement function, you must check the appropriate indicator when making the Customizing settings for the product type.


SAP AG 2006

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� In the field 6SRW�GD\V (see 'HILQH�/HDGLQJ�&XUUHQF\), you can store the number of days between the conclusion of the contract and the value date of the forex transaction.

� As a rule, the number of working days is two. Depending on the particular currency pair, this number can vary. You should only make an entry here if a rule other than two days commonly applies to a particular currency pair in the international foreign exchange market.

� If the flag 'DWH�VWULQJ is checked (see 'HILQH�8VHU�'DWD), the date strings you enter (for example, ++1 for one month) in the value date fields in forex and currency option entry are interpreted and calculated from the spot day and not from the date of conclusion of the contract.

� Example Conclusion of the contract 08.03.YYYY. The flag 'DWH�VWULQJ is not set. An entry of +2 determines the date 10.03.YYYY for the currency pair EUR/USD. If the flag is checked, the system determines the date 12.03.YYYY.


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� Foreign exchange swap transactions are an important part of foreign exchange management. When a foreign exchange swap is created, a spot transaction and a forward transaction are created simultaneously in the SAP system. The foreign currency bought today is sold at a later date, or the foreign currency sold today is bought back at a later date.

� The entry of foreign exchange swaps enables combined entry of a foreign exchange spot transaction and a forward exchange transaction.

� The forward rate is automatically determined using a premium or discount which has been entered. The criteria for the authorized business partners just as for the payment details correspond to those of spot and forward transactions. To speed up entry, there are convenient copy functions available. You can use these to copy data from the first transaction (spot and/or forward) to the relevant field of the second transaction (forward and/or swap).


SAP AG 2006

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� ,QWHUQDO�)RUH[�7UDGLQJ is a process for entering foreign exchange transactions locally from the view of the company code entering the transactions.

� A subsidiary company can use the 7UDQVDFWLRQ�&ORVH function to request an exchange rate for a foreign exchange transaction (spot exchange, forward exchange, foreign exchange swap) from the head office. You can accept this exchange rate and close the transaction.

� In transaction closing, the rate is automatically created from the view of the head office in the company code of the head office. You can also create this transaction in the company code of the subsidiary as a PLUURU�WUDQVDFWLRQ.

� In addition to entering internal foreign exchange transactions, you can also use the report ([FKDQJH�5DWH�2YHUYLHZ�IRU�,QWHUQDO�)RUHLJQ�([FKDQJH�7UDQVDFWLRQV. This gives you an overview of the current exchange rates for each currency. You can also use this report to check that Customizing and the market data are complete.


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� With the functions Premature Back Office Processing or Rollover, the system generates two individual transactions that are linked by a swap unit. One transaction serves to offset the original forward exchange transaction (with identical, reversed conditions so as to avoid exchange rate gains/losses), the other transaction (as a new transaction) enables the desired adjustment of the term while retaining the same amounts. The relationship of the swap to the original forward transaction is documented through the assignment of the individual transactions to a common finance project with an identical project number. This project number is stored in the administrative data. Whenever a part of the swap is to be changed, the system displays a warning message to refer to the relationship with the second swap component.

� With this change in transaction data, you can use premature back-office processing or back order processing and a rollover to split a forward exchange transaction into separate transactions. With the liquidity effect, financial income and expenditure from rollovers can be generated on the old rate basis and included in the extended transaction as a premium. In this case also, the pairing of the swap components is done by means of the finance project.

� If the flag 1HZ�EDVH is checked for the forex attributes, you can enter a current rate for those transactions that are using the function. If the field has the initial value, then the rate of the rolled over or prematurely processed original transaction is used as the forward rate for the netting transaction. You cannot change the rate for this rolled over/prematurely processed transaction that is based on the old rate.


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� Prior to posting, the transaction flows and/or positions to be posted are selected. You can have the system carry out a test run in order to check the accuracy of the posting entries in the posting log. When you execute the posting, flows and related documents are transferred to Financial Accounting.


you can access the relevant posting document. � If you do not wish to post certain financial transaction flows yet, you can block the posting of these

flows.


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� Transactions that are entered in Transaction Management of the various Treasury modules are then distributed to the various parallel valuation areas with a distributor from parallel position management.


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� Transactions that are entered in Transaction Management of the various Treasury modules are then distributed to the various parallel valuation areas with a distributor from parallel position management.


SAP AG 2006

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� You enter the general valuation class when you enter a contract. It is an important link in the procedure chain for assigning transactions to the correct positions.


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� You define various YDOXDWLRQ�DUHDV in order to manage parallel valuation according to US GAAP or/and IAS, for example. For each valuation view (accounting rule) supported by the system, you have to set up a parallel valuation area in addition to the operative valuation area in Customizing.

� You define the valuation classes for the parallel valuation areas in three steps: First you define the JHQHUDO�YDOXDWLRQ�FODVVHV. These are independent of the valuation areas. Then you define the YDOXDWLRQ�FODVVHV for each valuation area. You then assign the general valuation class to the relevant valuation class for each valuation area. The advantage of this procedure is that you can use a common, general term (such as "trading" in the interface for entering the operative transaction. In the background, this term is then mapped to the specific valuation classes used for accounting purposes.


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� For each valuation view (accounting rule) supported by the system, you have to set up a parallel valuation area in addition to the operative valuation area in Customizing.

� Note: The parallel valuation area 001 has a special role.


SAP AG 2006

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� The relevant valuation areas are assigned to the TR accounting codes. In this way, the valuation areas are defined implicitly IRU�HDFK�FRPSDQ\�FRGH�

� There are two alternatives for the update to FI: y 3RVWLQJ�WR�WKH�JHQHUDO�OHGJHU�

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y 3RVWLQJ�WR�D�VSHFLDO�OHGJHU�You need not set up parallel accounts in the general ledger if you set up a separate VSHFLDO�OHGJHU per valuation area, in which all business transactions for this valuation area are posted.

� In the parallel valuation areas, you can explicitly exclude product categories from the update in position management.


SAP AG 2006

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� The valuation class has two characteristics:

y The general valuation class serves as an indicator for the trader as to where the position is to be assigned.

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different classifications. Examples of valuation classes include fixed assets, current assets (HGB-German Commercial Code), or also held-for-trading or available-for-sale (IAS).


SAP AG 2006

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� The position management procedure determines how positions are managed and valued in the parallel valuation areas.

� In order to comply with the legal requirements of the relevant accounting rules, you have to first define the necessary procedures to be carried out as part of a NH\�GDWH�YDOXDWLRQ.

� You then set the sequence of the key date valuation procedures within the position management procedures. In this way, you can combine the relevant procedures for DPRUWL]DWLRQV��RQH�VWHS�SULFH�YDOXDWLRQV��VHFXULW\�SULFH�YDOXDWLRQV�DQG�IRUHLJQ�FXUUHQF\�YDOXDWLRQV according to the relevant accounting rules.

� You can assign position management procedures dependent on different factors (for example, valuation area, valuation class, product type).


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:ULWH�GRZQ�UXOH � The write-down rule decides how a negative difference between market and book value for a

valuation step:is dealt with in a key date valuation. � 1R�:ULWH�'RZQ: No flows are generated. � :ULWH�'RZQ�WR�0DUNHW�9DOXH��A write down is generated for the difference between the book and

market value. � :ULWH�'RZQ�WR�3XUFKDVH�9DOXH: If the market value lies below the purchase value plus the previous

amortization, then a write down is only generated for the difference between both amounts. :ULWH�XS�UXOH � The write-up rule decides how a positive difference between market and book value for a valuation

step:is dealt with in a key date valuation. � 1R�:ULWH�8S: No flows are generated � :ULWH�XS�WR�PDUNHW�YDOXH�A write-up is generated for the difference between the market and book

value. � :ULWH�8S�WR�3XUFKDVH�9DOXH: If the market value lies below the purchase value plus the previous

amortization, then a write down is only generated for the difference between both amounts.


SAP AG 2006

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� The sequence of the steps in a valuation is established in the definition of the position management procedure.

� In the position management procedures, you define which valuation steps are performed in which order. For this, the previously defined valuation procedures are grouped into one position management procedure.


SAP AG 2006

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Assign position management procedure:

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� Certain influencing factors are assigned to position management procedures: � When assigning the SRVLWLRQ�PDQDJHPHQW�SURFHGXUH, you can use the criteria YDOXDWLRQ�DUHD��

DFFRXQWLQJ�FRGH��SURGXFW�FDWHJRU\��SURGXFW�W\SH��YDOXDWLRQ�FODVV�DQG�WUDQVDFWLRQ�W\SH, for example. � For all newly created positions, the position management procedure is initially derived from the data

stored here. You can change this default value manually using the transaction 0DLQWDLQ�3RVLWLRQ�0DQDJHPHQW�SURFHGXUHV (TPM50).

� To ensure that a position management procedure is found in all cases, you can define a default procedure (where all influencing factors have their initial value).


SAP AG 2006

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�,Ò= Derivatives��Ó= Foreign ExchangeÔ ¥h¨= Loans¥[¥= Money Market�,Ò= Securities�= Valuation��= Valuation reset�,��= Treasury ledger transactions (PG, PL, translations and

reconciliation flows, valuation, etc.)

Update types aremanaged Õ�Ö�×�Ø�Ù�ÙÚ Ø�Û�Ü�Ý Þ�Ù in a table.

z The identification of the new update types has been taken from the old flow types: ß ([DPSOH��8SGDWH�W\SH );��

� FX = Foreign exchange

� 1000 = Flow type forex purchase

� + = + sign

�

� You create the update types in the IMG activity 'HILQH�8SGDWH�7\SHV, specifying a short and long name for each one.

� In the sample Customizing, update types are defined, assigned to usages and specified for the different usages. SAP recommends that you use the sample Customizing settings delivered with the system as the basis for making your own settings.

� Update types are similar to flow types. They describe and classify flows. � Update types are used comprehensively in the parallel valuation areas. � The new term has been created because the existing flow type is not used and interpreted uniformly.

2EMHFWLYH��Uniform view of the flows � The update types are no longer dependent on the modules and have an implicit direction.

This means, for example, that incoming and outgoing charges must be represented as two different update types.

� The new update types consist of the definition itself and a language-dependent text. No further indicators are defined directly with the update types.


SAP AG 2006

'HILQH�XSGDWH�W\SHV

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� For the individual usages, you must first define the required update types and then assign them. You assign update types for derived business transactions and valuations for each position management procedure. In account determination, the posting system is defined using the assignment of the posting logic to the update type. Using different update types therefore enables you to differentiate between the position management procedures.


SAP AG 2006

$GGLWLRQDO�,QIRUPDWLRQ�$ERXW�&XVWRPL]LQJ�'HULYHG�%XVLQHVV�7UDQVDFWLRQV

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� Based on the assigned position management procedure, GHULYHG�EXVLQHVV�WUDQVDFWLRQV are then

calculated for each parallel valuation area. The derived flows include UDWH�JDLQV�DQG�UDWH�ORVV�IORZV��The determination can be done RQOLQH or RIIOLQH.� y Online processing:

For each position-changing business transaction, the derived business transactions are updated LPPHGLDWHO\.

y Offline processing: The derived business transactions must be generated manually using a report (Transaction TPM27).�

� If the status control is set to 6WDWXV�3ODQ, the derived business transactions are held as SODQ�UHFRUGV; these become DFWXDO�UHFRUGV when they are “fixed”.


SAP AG 2006

'HILQH�DFFRXQW�DVVLJQPHQW�UHIHUHQFHV

'HILQH�DFFRXQW�DVVLJQPHQW�UHIHUHQFH�GHWHUPLQDWLRQ

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� The account assignment reference controls which G/L account in FI the positions are to be posted to. � Within the parallel valuation areas, the account assignment references no longer contain the

(original) information as to which account is to be posted to; however, the account assignment reference can be used as a factor (besides position currency and valuation area) to determine the relevant account.

� The account assignment references for the parallel valuation areas can be determined automatically. Here we distinguish between: y OTC financial transactions (Money Market/Foreign Exchange/Derivatives) y Securities / listed derivatives y Loans


SAP AG 2006

Acct. assig. ref. Name of account assignment reference... ...IAS_AFS_AKT IAS - Available for Sale - StocksIAS_AFS_AKT IAS - Available for Sale - BondsIAS_HTM_AKT IAS - Held to Maturity - StocksIAS_HTM_AKT IAS - Held to Maturity - BondsIAS_TRA_AKT IAS - Trading - StocksIAS_TRA_AKT IAS - Trading - Bonds... ...

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à Within the parallel valuation areas, you initially GHILQH account assignment references ZLWKRXW specifying a

balance sheet account. In the context of account determination, you can assign the balance sheet accounts using a similar systematic to the one used for account assignment references. The account assignment references for the parallel valuation areas can be determined automatically. You can use GHULYDWLRQ�UXOHV and/or DVVLJQPHQWV� à

When you are using '(5,9$7,21�58/(6, characteristics serve to control the account assignment references in the form of “If-then relationships”. y ([DPSOH�You should determine the account assignment reference in accordance with the characteristics YDOXDWLRQ�DUHD��

YDOXDWLRQ�FODVV�DQG�SURGXFW�FDWHJRU\. If necessary, you can further restrict these assignments using conditions (for example, if you use the characteristic company code in a condition, you can restrict the validity area of an assignment to a specific company code). à

$//2&$7,216 are used for relatively fixed assignment scenarios. y You FDQ define a value in the source field, which is then used during the account assignment reference. y You define the account assignment reference as the target field. y You use a constant to explicitly assign the account assignment reference that is used for the target field

$$B5() (account assignment reference in the parallel valuation area).


SAP AG 2006

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00�� ,QYHVWPHQW�,QFUHDVH ��3RVLWLRQ WR�EDQN FOHDULQJ$VVLJQPHQW RI*�/�$FFRXQWV WR�DFFRXQW V\PEROV$FFW�V\PERO $F$V5HI 9DO$UHD *�/�DFFW��%DODQFH 10001 113113

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� First the DFFRXQW�V\PEROV�DUH�GHILQHG in abstract form. These account symbols are valid IRU�DOO�YDOXDWLRQ�DUHDV� Since the account assignment references in the parallel valuation areas QR�ORQJHU contain the (original) information as to which account is to be posted to, you must also define an account symbol for the position.

� All the required SRVWLQJ�VSHFLILFDWLRQV are first GHILQHG DEVWUDFWO\ and then DVVLJQHG�WR�WKH�XSGDWH�W\SHV. This simplifies the process as it reduces the number of Customizing entries.

� This assignment is YDOLG IRU�DOO�YDOXDWLRQ�DUHDV��If you wish to post business transactions in the individual valuation areas in a different way to these assignments, you can make different DVVLJQPHQWV�RI�XSGDWH�W\SHV�WR�SRVWLQJ�VSHFLILFDWLRQV for the individual valuation areas.

� Finally, you assign the *�/�DFFRXQWV WR the defined DFFRXQW�V\PEROV. Here, the criteria YDOXDWLRQ�DUHD, DFFRXQW�DVVLJQPHQW�UHIHUHQFH�DQG�RU�FXUUHQF\ can be used for controlling the G/L account postings.


SAP AG 2006



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SAP AG 2006

3RVLWLRQ�0DQDJHPHQW��9DOXDWLRQ

z .H\�GDWH�YDOXDWLRQ: The position is valued on a key date – the realtime datafeed can provide the required valuation rates. Key date valuation is carried out with transaction 730�.

z 5HDOL]HG SURILW�ORVV� For positions that are closed, the realized gain/loss is determined using the principle of VLQJOH�YDOXDWLRQ of transactions. This is calculated by taking the difference between the forward rate based on the conclusion of the contract and theposted rate on the value date.Realized gains/losses are posted with the derived business transactions (TPM18).

You can perform the following foreign currency valuations:

�


SAP AG 2006

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� In the 7RROV�RI�WKH�0DUNHW�5LVN�$QDO\]HU area, you can store net present value (NPV) figures (determined with the mark-to-market valuation) in the OTC NPV table.

� You must calculate and save a net present value for the relevant key date before the valuation run for all positions for which you wish to carry out a mark-to-Market valuation. The key date valuation then access this net present value.

� Transaction TPM60 performs the calculation and saving.


SAP AG 2006

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� The key date valuation is carried out on the basis of the position management procedure that is determined for the relevant position. With the parallel valuation areas, you have three options for key date valuation. y <HDU�HQG�YDOXDWLRQ��ZLWKRXW�UHVHW� �

This key date valuation without reset is typically used in the context of annual accounting. Key date valuation permanently changes the book value of the position. The book value after the key date valuation is the starting point for all subsequent calculations of rate gains, for example, as well as for future valuations.

y 0LG�<HDU�9DOXDWLRQ�:LWKRXW�5HVHW�y 0LG�\HDU�YDOXDWLRQ�ZLWK�UHVHW�

You can use this valuation category for monthly or quarterly accounts. The results of the valuation are reset on the same date as the key date valuation. The key date valuation with reset, therefore, does not change the position permanently, but only for the period between the valuation key date and the reset key date.

� In the case of a valuation with reset, the reset automatically occurs and is posted in the same run as the valuation. The reset key date is one day after the valuation key date.


SAP AG 2006

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� The key date valuation can be done with or without reset. The valuation is controlled by the 9DOXDWLRQ�FDWHJRU\.

� The following valuation categories are available: y Year-end valuation y Mid-year valuation with reset y Mid-year valuation without reset y Manual valuation with reset y Manual valuation without reset


SAP AG 2006

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� For key date valuation, all relevant valuation steps defined in the position management procedure are performed; for example, amortization, security and forex valuation.


SAP AG 2006

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:ULWH�GRZQ�UXOH��8QUHDOL]HG�ORVVHV��- Write-down to market value

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Or - Write-up to market valueOr - Write-up to purchase value

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:ULWH�GRZQ�UXOH � The write-down rule decides how a negative difference between market and book value for a

valuation step:is dealt with in a key date valuation. � 1R�:ULWH�'RZQ: No flows are generated � :ULWH�'RZQ�WR�0DUNHW�9DOXH��A write down is generated for the difference between the book and

market value. � :ULWH�'RZQ�WR�3XUFKDVH�9DOXH: If the market value lies below the purchase value plus the previous

amortization, then a write down is only generated for the difference between both amounts. :ULWH�XS�UXOH � The write-up rule decides how a positive difference between market and book value for a valuation

step:is dealt with in a key date valuation. � 1R�:ULWH�8S: No flows are generated � :ULWH�XS�WR�PDUNHW�YDOXH�A write-up is generated for the difference between the market and book

value. � :ULWH�8S�WR�3XUFKDVH�9DOXH: If the market value lies below the purchase value plus the previous

amortization, then a write down is only generated for the difference between both amounts.


SAP AG 2006

In the position management procedures, you define the basic rules for how positions are managed, that is, how positions are to be valued.

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SAP AG 2006

- Accounting code - Valuation area- Valuation class- Product category- Product type- Transaction type- Portfolio- Sec. acct group

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� If you conclude financial transactions with a business partner that is also one of the company’s house banks, you do not usually make active payments.

� Instead, the business partner posts the relevant postings to the bank account. The flows “preposted” by Transaction Manager to the bank clearing accounts are then cleared with the aid of the electronic account statement.


SAP AG 2006

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� If you conclude transactions with a partner for whom you do not have a house bank account, you can generate payment requests which are processed by a special payment program. This option applies to cases where the payment details are known, but where you do not want each transaction to result in a physical payment. This function also enables you to make joint payments for groups of transactions.

� Examples of use of the extended payment program: y Several transactions are concluded with a business partner that is not a house bank y When a fixed-term deposit is posted, a payment request is generated simultaneously y All transactions are managed in the payment request clearing account y Payments can be grouped together/netted y When payment is due, a payment run is triggered in Accounting and the payment amount is

transferred to the bank clearing account y A payment medium is generated simultaneously and is passed on to the house bank y When the bank statement is received a day later, the payment amount is posted to the bank

account.


SAP AG 2006

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� Use of the four alternatives - Examples: y Transactions with the house bank are usually processed as pure G/L account postings. y Transactions with a partner that is not a house bank, without using a customer account. Payment

using the payment program for payment requests. 3D\PHQW�UHTXHVWV are documents for generating payment media. They are usually generated automatically when you post flows that are due. The payments are then made individually or jointly using the payment program for payment requests (F111).

y Transactions with a bank that is not a house bank, which you want to pay using the FI payment program and using a customer account.

y Transactions with a partner that is not a house bank, using a customer account. Payments made with the payment program for payment requests in order to use the netting option.


SAP AG 2006

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� In the transaction, you enter the information required for processing payments on the Payment details tab.

� In the case of a pure G/L account posting, you must enter the following: y R: Direction of the flow (inflow, outflow) y Curr.: Currency of the flow y House bank: House bank key (ID) y Account ID: Account key at the house bank


SAP AG 2003

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� To use the payment program for payment requests, you must enter the following data: y D: Direction of the flow (inflow, outflow) y Curr.: Currency of the flow y House bank: House bank key (ID) y Account ID: Account key at the house bank y Payment transaction: Blank = G/L account posting, or X = customer account posting y Payer/payee: Person receiving the payment (usually the business partner) y Partner bank: Partner bank ID (encodes the bank details – bank and account –

of the payee) y Payment request: Blank = Do not generate a payment request

X = Generate a SD\PHQW�UHTXHVW y Individual payment: Blank = This payment flow may be settled together with other

flows, for example for netting purposes y Payment methods: List of payment methods used to process payments in the

payment run � If you post payments using the payment program for payment requests, you can define in

Customizing which bank account should be used - the bank account specified in the payment details for the CFM transaction, or the bank account found using account determination for the payment program.


SAP AG 2006


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� The payment program for payment requests has the following functions: y Processes payment requests (PR): Automatic selection of requests y Generation of payment documents (customer accounts / vendor accounts / G/L accounts):

Transfer posting to the relevant bank (sub-)accounts for each house bank and currency y Generation of payment data y Generation of payment lists and logs y "Print programs" write this payment data to payment media, such as checks.

� Usually, you carry out a payment proposal run first. The run creates a proposal data set, which you

can edit before the actual run.


SAP AG 2006

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� One of the options is to make postings to customer accounts and use the FI payment program. This option is used in the loans area, for example. Together with the account determination function in the Treasury posting interface, you can control whether payment activities involve a flow of funds. You can post transactions directly to the payer/ee to generate relevant payment documents using the payment program.

� The payment program has the following )XQFWLRQV: y Automatic selection of the items to paid, taking account of exceptions (such as

blocked items) y Generation of payment documents (debit/credit) y Generation of payment data y Generation of payment lists and logs y Print programs write this payment data to payment media, such as checks.

� Usually, you carry out a payment proposal run first. The run creates a proposal data set, which you can edit before the actual run.


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borrowing in EUR� You balance the open payment amounts and only pay or receive the net

amounts.� Advantage: Saving transaction costs or bank charges

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� All netting transactions are explicit arrangements between the business partners in order to simplify the handling of payments.

� Transactions are blocked against changes to any relevant fields (particularly due dates, amounts, house bank and payment data)

� You can net transactions in the money market, foreign exchange, derivatives and securities areas, or across several of these areas.

� As a result of the LQWHJUDWLRQ�RI�VHFXULWLHV into Treasury Transaction Management, you can now create netting transactions with securities. These transactions can be netted with each other or in combination with other Treasury transactions from the money market, forex or derivatives areas.

� Payment requests have a special “Grouping term” field. You can use this field to control which payment requests are to be kept separate.

� All payment flows and/or their payment requests belonging to the same netting transaction are assigned the same unique grouping term and are, therefore, separated from other payment requests. These are not to be combined with other payment requests.

� Transactions linked by netting are referenced to each other by way of object links (reference key: KMP).


SAP AG 2006

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� Payment requests have a special “Grouping term” field. You can use this field to control which payment requests are to be kept separate.

� All the payment flows and payment requests linked to the same netting unit are given the same unique grouping term which separates them from other payment requests. These are not to be combined with other payment requests.


SAP AG 2006

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� Netting is a special form of joint payment of transactions. While you can always settle all transactions at once, netting only applies to an explicit subset of these transactions.

� The decision to create a netting transaction is usually made shortly before the payment flows are due, usually on the same day the transactions are posted. Only then do you know which transactions (for example, forward exchange and spot exchange transactions) are suitable for net payment.

� You can group flows in netting transactions if they share the following parameters: y Same company code y Same payer y Same payment date y Same payment methods y Same settings for other payment program criteria


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� The hedging instruments you choose will determine what you want to hedge against (elimination of the currency risk, interest rate risk, or price risk).

� Derivative financial instruments can roughly be divided into exchange transactions (upper half) and optional transactions (lower half) on the currency and interest side. The latter can also be further sub-divided into listed and OTC (Over The Counter) options.

� The building block concept applies here - this means that an instrument can be formed from another one or combined with others to form a new instrument.


SAP AG 2006


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� Using an RSWLRQ provides the flexibility to both reduce the risk of loss and at the same time to profit from favorable market trends. Options therefore represent a type of insurance. A premium is paid or collected for this.

� The use of FXUUHQF\�RSWLRQV is recommended when there are strong exchange rate fluctuations or when future expectations are very uncertain.

� 27&�FXUUHQF\�RSWLRQV can be assigned to both foreign exchange trading and to the area of derivative financial instruments, and can be created in both areas. The input logic for derivatives follows that of other option types so that you can branch from the option data to the separate input screen of the underlying transaction (in the case of currency options, the spot transaction).

� 27&�FXUUHQF\�RSWLRQV are asymmetric hedging instruments since rights and obligations are split unevenly between purchaser and seller. In contrast to listed instruments, the OTC (over-the-counter) options with user-defined structures are traded directly between business partners.


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� On the subsequent screen, you enter the term, the exercise and purchase premium for the option, in addition to the transaction data for the underlying spot exchange transaction.

� From here, you can branch to the entry screens of general transaction management. Tab strips help you navigate between the screens (Structure, Administration, Other flows, Payment details, Cash flow, Memos, Status).

� You can branch to the option price calculator to calculate the option premium.


SAP AG 2006

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� When you define the product types in Transaction Manager, you can include the related XQGHUO\LQJ�WUDQVDFWLRQV. In this way, a spot exchange transaction is entered as an underlying transaction in currency options, for example. In the case of physical exercise, the underlying transactions are normally generated automatically. This separation into two transactions allows you to specify different payment methods for the underlying transaction and the option.

� 2SWLRQ�W\SH��387�&$// �The internal view is focused not on the traded amount but rather on the risk currency. If you conclude an option - foreign currency against local currency, the put/call type is always determined dependent on the foreign currency. In the case of cross transactions (up to Release 4.5A), the type is determined dependent on the lead currency only. From Release 4.5B the following change is effective regarding cross transactions: If the local currency is a participating currency in the European Monetary Union, then the option type for cross transactions including a participating currency is not dependent on the lead currency but rather on the non-participating currency.


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� By choosing 0DUNHW�'DWD, load the current market data: spot rates, swap rates, interest rates for currency 1 and 2 as well as exchange rate volatility.

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� You can determine premiums for European and American standard options and also for European currency barrier options (exotic options).

� If you position the cursor on a premium and choose 6HQVLWLYLWLHV, the option sensitivities (delta, gamma, and so on) are calculated. You can have a list displayed with all key figures for all the calculated options.

� By specifying an option premium, you can determine the underlying volatility (implied volatility) by calculating backwards using the option price model.


SAP AG 2006

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� When the option is exercised, in the case of a cash settlement, the settlement amount is based on the difference between the strike price and the market price. In the case of physical exercise, the spot transaction is generated automatically from the underlying transaction (option).

� If the option is worthless, it is deleted. As with the exercise, it may be necessary - depending on the back-office processing category - for this expiration to be settled by the back-office processing area again.


SAP AG 2006

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� Currency barrier options are different from regular OTC options in that they have a defined upper and lower limit (instrike or outstrike). If the market exceeds or falls below these limits, the option either becomes effective or expires - depending on the option type. This barrier is specified in the financial transaction data.

� In Transaction Manager, you can see the basic categories traded on the market: These are: y Calls: Down&Out option expires below the outstrike

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� You can also enter double barrier options. These either come into existence or expire if two barriers are exceeded or fallen below.


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� The options are activated either for exercise or expiration by means of the knock-in/knock-out activities. Using the function Expiration/Barrier check, you can have the instrikes and outstrikes checked by currency barrier options. After comparing the transaction data with the relevant rates, the SAP system proposes a transaction (knock-in, knock-out, or expiration) to process the transaction further.

� To determine market-driven option prices, you can use the option price calculator. This takes the agreed barriers into account and also any rebates that are to be paid upon expiration of the option.


SAP AG 2006


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� Background: The buyer of a FRA anticipates higher interest rates for the reference period, while the seller anticipates lower interest rates.

� Example: FRA 3x9; Nominal amount 10M EUR FRA rate 5% (=> in 3 months for 6 months) Reference interest rate LIBOR 6 months Interest rate comparison in 3 months, Hedging period 6 months

6M LIBOR in 3 months = 6% => Settlement payment to the purchaser = Interest rate payment x Nom. amount x hedging period in days 360 x Discount factor

If the LIBOR rate was lower than the FRA rate, the purchaser would have to make the settlement payment.


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� A company will receive EUR 10M in 8 months and it wishes to invest this as 3-month money. The company expects falling interest rates. Therefore, at time t0 the company agrees an FRA with the bank for EUR 10M. The FRA will start in 8 months (t8) for a term of 3 months until (t11). The agreed interest rate is 5%; 8 months later (Fixing day = t8 minus 2 days):

The reference interest rate (3 months LIBOR) is 4.5%. Therefore, the bank is obliged to pay the company a settlement of EUR 10M x 0.5% x 90/360 = EUR 12,500 (this amount is still to be discounted). If the interest rate on the fixing day had been higher than the agreed interest rate of 5%, the company would have had to pay a relevant settlement as the FRA is a symmetrical financial instrument.


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� Forward rate agreements are financial instruments with which purchasers and sellers agree today on a fixed interest rate for a future time period. Amounts, currencies and terms can be determined by the parties to the contract; the interest rate reflects the forward interest rate curve.

� The FRA is based on a fictitious money market transaction in which the capital amount is merely used for calculation purposes. A ’8 x 11’ FRA has a contract period of three months and the term starts in eight months. At this point, the contract is also settled and paid out. The buyer of a FRA is looking for protection against rising interest rates, whereas the seller wants to hedge against falling interest rates. The entry in the SAP system is user-defined and is based on the trading conventions shown.


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� Background: Swaps offer comparative cost advantages; these are achieved by two partners on the basis of their different positions in different financial market segments and could not be achieved individually.


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� A company finances an existing investment with a fixed rate loan of 6.5%. The treasurer of the company expects falling interest rates and, therefore, agrees an interest rate swap with a bank. The company receives an annual fixed rate of 7.25% and pays a variable rate of 6 M LIBOR. The company incurs the following interest costs: y Interest expense of 6.5% and 6 M LIBOR y Interest revenue from Swap of 7.25%

equals an interest expense of 6 M LIBOR - 0.75%


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� You input the transaction data for the partner, transaction conclusion, term and the actual trading object (amount, currency, interest structure, etc.).

� You can also branch to other entry screens to enter detailed information. � There are conditions overviews available for the incoming and outgoing sides and also the detailed

information in each case. You can change the nominal amounts and also specify the interest rate adjustment conditions.

� In the ,QWHUHVW�UDWH�DGMXVWPHQW detail view, you can set the frequency with which the variable interest is to be calculated and on what day the value of the underlying reference interest rate is to be taken. An interest rate adjustment can be carried out at the start of the period, at regular intervals, or at specific times.

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� You can choose between standard update methods (rhythmic, unadjusted, adjusted) and�special update methods. Examples Update Method Calculation Date Due Date Unadjusted relative to due date EHIRUH shifting regular Adjusted relative to due date DIWHU shifting regular Regular regular regular Unadjusted (interest period) regular relative to calculation date EHIRUH shifting Adjusted (interest period) regular relative to calculation date DIWHU shifting

� As the table shows, for the “Adjusted” and “Unadjusted” methods, the calculation date is determined relative to the due date. For all other update methods with the supplement “Adjusted” or “Unadjusted”, the due date is determined relative to the calculation date. Contrast this with the “Unadjusted (interest period)” and “Adjusted (interest period)” above.

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� Background: Both are examples of a type of interest insurance. The purchaser of the Cap wants to hedge against rising interest rates. He agrees an interest rate upper limit for which he pays an “ insurance premium” . The purchaser of a Floor wants to have a minimum interest rate and agrees an interest rate lower limit for protection against falling interest rates.

� Caps or floors are a series of interest rate options that are exercised when a particular interest rate level is exceeded or is not reached. The exercise of the option right is regulated in such a way that the purchaser's declaration of intent is understood to be given automatically as soon as the favorable conditions apply.


SAP AG 2006

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1) Conclusion of the transaction (Entry and settlement)

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� A company has a variable loan liability of EUR 10M and has to pay interest at the LIBOR 6 month rate. The company expects that interest rates will stay roughly the same but does not rule out a rise. Therefore, it purchases a Cap. y Term: 07.01.YY until 06.30.YY+2 y Interest rate upper limit: 6,125 % y Nominal amount: EUR 10 million y Premium: 0.85 % = 85,000 UNI


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� You input a contract for purchasing or selling a Cap or Floor in the usual way. The important point here is the interest-related data such as interest rate upper limit/lower limit, reference interest rate, interest calculation method, frequency of interest rate adjustment, etc.

� A detail view is available: Interest, interest rate adjustment, and option premium. � In the Interest rate adjustment detail view, you can set the frequency with which the variable interest

is to be calculated and on what day the value of the underlying reference interest rate is to be taken. An interest rate adjustment can be carried out at the start of the period, at regular intervals, or at specific times.

� When you create the CAP/Floor, the system will propose a single premium as default. In the detail view: Option premium, you can generate several premium payments by setting a frequency.

� By choosing 5HYHUVH, you can reverse activities. � There is a QRWLFH�IXQFWLRQ for premature settlement of a swap or a Cap or Floor.


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� By purchasing a Cap, the purchaser is not relieved of having to pay the complete variable interest for the loan. However, the seller of the Cap is obliged to pay to the purchaser an amount equal to the excess of the variable interest rate over the agreed upper limit.


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� The amount of the interest payments that can result from derivative interest rate transactions is usually determined by a variable Index (reference interest rate). Two examples are the reference interest rates LIBOR_6_months and LIBOR_12_months. Today, these might have the values 4.75 percent and 5.23 percent. Future values are not known, however. An example of a derivative financial instrument is a plain vanilla swap with variable and fixed interest rates: Libor_6 in return for 5.5%, term 20 years with semiannual interest payments.

� In the derivative financial instruments application, when you create a swap, you can create flows for the fixed interest side and the variable side of the contract. These flows correspond to the term. You can determine the payment amounts on the IL[HG�LQWHUHVW�VLGH when you create the swap by using finance-mathematical rules. The future amounts on the YDULDEOH�VLGH are, by definition, unknown since the future reference interest rate percentage is unknown when the swap is created. For this reason, the activity “ LQWHUHVW�UDWH�DGMXVWPHQW” is necessary. This changes a plan interest rate (that is, a rate where the payment amount is unknown) into an actual interest rate (payment amount is known). This activity occurs at “ interest rate fixing” .

� The interest rate adjustment activity is usually run daily in a batch process. The function determines the plan interest rates that are to be converted to actual interest rates on a specific day (using the fixing date that is stored at the rate level). The function then determines the interest values per interest rate reference, calculates the amounts and writes the actual interest rates to the database. Following the interest rate adjustment, the plan interest rate is no longer available in the transaction. The result of the interest rate adjustment function is an interest rate fixing of the plan rate and generation of the actual interest rate.


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� In addition to using the reports delivered by SAP, you can define your own evaluations in the Information System.


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include reports from Cash and Liquidity Management for analyzing liquidity, reports from the Limit Management and Risk Analysis areas for controlling risk, and cross-application reports for analyzing your positions and revenue.

� For detailed analyses for supporting work processes in day-to-day business, see the menu option 5HSRUWV��!�2SHUDWLYH.

� Information about area-specific reporting is aggregated in the cross-application reporting section in the Transaction Manager Information System.

� The reporting tree displays a complete directory of all reports that are defined in Treasury and Risk Management and that can be assigned to users. Just as with transactions, you can assign reports to specific users (role-specific).


SAP AG 2006

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� The 0RQH\�0DUNHW�MRXUQDO enables you to call up an overview of the money market transactions stored in the system using flexible selection criteria. For each selection criteria you can define selection options (single values or interval, incl./excl.).

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� You can use the payment schedule to call up incoming and outgoing payments within a user-defined time period.

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� Furthermore, you can execute results controls using the position list for traders or business partners. The transaction types are sorted and listed according to conditions. In the position list, the positions for Money Market transactions are displayed by key date.

� You can also select Money Market transactions that have a certain term start or due date. � The connection to the SAP List Viewer provides you with a range of display options. You can

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• Set up a forward exchange transaction in the Transaction Manager

In three months, you must pay an invoice to the value of approximately USD 12 million and you want to take advantage of the current USD exchange rate. You therefore conclude a forward exchange transaction.

9-1 Create an order using a forward exchange transaction (USD-EUR).

Choose the Deutsche Bank (1000) as your business partner. Choose the following transaction data:

Amount: USD 12 M, Rate: USD 1.3 Value date: In 3 months

(Use the input help relating to the amount field and value date.) Note: Do not perform a cash settlement.



9-2 Execute the order and observe the change in the activity category. Then perform the settlement as well.

© SAP AG FSC010 4-105

9-3 ROLLING OVER a forward exchange transaction Assumption: The forward exchange transaction that is currently concluded should be extended by one month as the payment target (=sold-to party) was extended. The old forward exchange transaction will be closed on the old rate basis (= forward rate of the netting transaction is the forward rate of the original transaction)!

Enter a swap surcharge for the rollover transaction and save the rollover. Transaction number:_______________________

9-4 To obtain references of the transactions (original, netting, and rollover), use the PRL reference category. Specify which transaction numbers belong together.

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9-1 Create an order using a forward exchange transaction (USD-EUR). Choose the Deutsche Bank (1000) as your business partner. Choose the following transaction data: Amount: USD 12 M, Rate: USD 1.3 Value date: In 3 months

(Use the input help for the amount field and value date.) Note: Do not perform a cash settlement.



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� � � Enter the following data:�Field Name or Data Type Value

Company Code FS##

Product Type 60A - Forex: External

Transaction Type 102- Forex: External-Forward transaction


Order/Fixing X - select indicator

Choose ENTER.



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Buy - Currency USD

Buy - Amount 12 M

Sell - Currency EUR

Sale amount

5DWH�9DOXH�'DWH�DUHD

Rate 1,30

Value Date ++3

(Note: The status bar displays a message stating that market data may not be current. You can skip this message by choosing ENTER.)

When you confirm the entries by choosing ENTER, the system then automatically determines the offset amount (here: sales). Only then should you save.

To check whether the system automatically made entries in the 3RVLWLRQ�0DQDJHPHQW�3URFHGXUH and $FFRXQW�$VVLJQPHQW�5HIHUHQFH fields, choose (QYLURQPHQW� �3RVLWLRQ�,QGLFDWRU. Choose %DFN in the standard tool bar to exit the transaction. Check the cash flow on the &DVK�)ORZ tab page to see whether the flow types were used for buy and sell.

6DYH your financial transaction. Transaction number:_______________________

The status bar displays the message “ Forex transaction… saved in company code FS##” .

© SAP AG FSC010 4-108

9-2 Execute the order and observe the change in the activity category. Then perform the settlement as well. Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�)RUHLJQ�([FKDQJH�Æ�7UDGLQJ�Æ�&ROOHFWLYH�3URFHVVLQJ�Æ�2UGHU��7;$��

&KRRVH�\RXU�FRPSDQ\�FRGH�DQG�\RXU�WUDQVDFWLRQ��&KRRVH�(;(&87(��'RXEOH�FOLFN�WKH�VHOHFWHG�WUDQVDFWLRQ�WR�GLVSOD\�WKH��3D\PHQW�GHWDLOV��WDE�SDJH�DQG�YLHZ�WKH�GHWHUPLQHG�EDQN�GDWD�RI�\RXU�RZQ�KRXVH�EDQN��&KRRVH�%$&.�WR�UHWXUQ�WR�WKH�SUHYLRXV�VFUHHQ��6HOHFW�25'(5�(;(&87,21��6$9(�WKH�GDWD�E\�FKRRVLQJ�WKH�'LVN�LFRQ��7KH�WUDQVDFWLRQ�QRZ�KDV�WKH��&RQWUDFW��DFWLYLW\��7R�VHWWOH�WKH�FRQWUDFW��FKRRVH�Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�)RUHLJQ�([FKDQJH�Æ�7UDGLQJ�Æ�(GLW�)LQDQFLDO�7UDQVDFWLRQ��)75B(',7��(QWHU�WKH�IROORZLQJ�GDWD��Field Name or Data Type Value

Company Code FS##

Transaction Transaction number from Exercise 9-1

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© SAP AG FSC010 4-109

9-3 ROLLING OVER a forward exchange transaction Assumption: The forward exchange transaction that is currently concluded should be extended by one month as the payment target (=sold-to party) was extended. The old forward exchange transaction will be closed on the old rate basis (= forward rate of the netting transaction is the forward rate of the original transaction)!

Enter a swap surcharge for the rollover transaction and save the rollover. Note the new transaction number:_______________________

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Enter your transaction and company code as usual and choose 5ROO�2YHU� On the left side of the screen (1st Transaction), you can see the rate taken from the old transaction in the “ Spot” field, 1.30. For the rollover, raise the date in the “ Value date” field by exactly one month.

Enter a swap surcharge of 0.000085 in the 6ZDS field of the first transaction.

Save your data.

(Skip any messages that appear by choosing ENTER.)

The system issues a message indicating that the forward exchange transaction(s) was (were) saved or that the original transaction was automatically settled.

© SAP AG FSC010 4-110

9-4 To obtain references of the transactions (original, netting, and rollover), use the PRL reference category. Specify which transaction numbers belong together.

�&KRRVH��Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�)RUHLJQ�([FKDQJH�Æ�%DFN�2IILFH�Æ�5HIHUHQFH�Æ�&ROOHFWLYH�3URFHVVLQJ��7%5/� �Choose reference category PRL (Rollover of forex trans.).

Enter your company code (FS##). &KRRVH�([HFXWH� As a result, the related transaction numbers are displayed under a reference number unit.�

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• Settle and post transactions

Having created the forex transaction, continue in the Back Office.

Here, you settle or check the transaction. Then you post the transaction flows.

10-1� Enter an external forex spot transaction as a contract and settle the forex transaction.

Choose business partner 1000, product type: 60A, and transaction type 101.

The purchase is made in USD. The sale is made in EUR.

Use the suggested rate from the market data table.

Check that your entries are complete.

Note the change in activity category.

10-2 Carry out the posting for the forex transaction. Note the due date.

Carry out a test run prior to the update run.

Post all valuation areas.

10-3 Check the postings using transactions “ TPM20” (Posting Journal) and “ S_ALR_87015254“ (Forex: Posting Overview). Compare the different reporting evaluations.

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10-1 Enter an external forex spot transaction as a contract and settle the forex transaction. Choose business partner 1000, product type: 60A, and transaction type 101. The sale is made in EUR. Value date:+2 = two days from today Use the proposed rate from the market data table. Check that your entries are complete. Note the change in activity category.

To create the forex spot transaction as a contract, choose: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�)RUHLJQ�([FKDQJH��Æ�7UDGLQJ�Æ�&UHDWH�)LQDQFLDO�7UDQVDFWLRQ��)75B&5($7(�

Enter the structure data as described in Exercise 9. Use the initial data from this exercise description.

Save the contract and then settle the transaction as usual.

� � � Enter the following data:�)LHOG�1DPH�RU�'DWD�7\SH 9DOXH

Company Code FS##


Transaction Type 101- Forex: External Spot transaction


Order/Fixing X - select indicator

Choose ENTER.

© SAP AG FSC010 4-113



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Buy - Currency USD

Buy - Amount 12 M

Sell - Currency EUR

Sale amount

5DWH�YDOXH�GDWH�DUHD

Price (Un. quote) 1,30

Value Date ++3

Execute the order using the collective purchase order.

To settle the forex transaction, select: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�)RUHLJQ�([FKDQJH�Æ�7UDGLQJ�Æ�(GLW�)LQDQFLDO�7UDQVDFWLRQ��)75B(',7��&KHFN�WKDW�WKH�GDWD�LV�FRPSOHWH��

�6DYH your data.

© SAP AG FSC010 4-114

10-2 Carry out the posting for the forex transaction. Note the due date. Carry out a test run prior to the update run. Post all valuation areas.

To post the foreign exchange transaction, choose: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�)RUHLJQ�([FKDQJH�Æ�$FFRXQWLQJ�Æ�3RVWLQJ�Æ�([HFXWH��7%%��Enter the following data:


Company Code FS##


Up To and Including Due Date Adjust date

Carry out the posting in the test run and then in the update run.

Check WKH�SRVWLQJ�ORJ as usual (see exercise 6-1 and 6-2).

© SAP AG FSC010 4-115

10-3 Check the postings using transactions “ TPM20” (Posting Journal) and “ S_ALR_87015254“ (Forex: Posting Overview). Compare the different reporting evaluations.

Select: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�)RUHLJQ�([FKDQJH�Æ�,QIRUPDWLRQ�6\VWHP�Æ�$FFRXQWLQJ�Æ�3RVWLQJ�-RXUQDO��730��25�Æ )RUH[��3RVWLQJ�2YHUYLHZ��6B$/5B��Enter the following data:


Product Groups

Checkbox OTC Transaction

General accruals/deferrals

Company Code FS##

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For the “ Foreign Exchange” posting overview, enter the values in the same way as for the initial screen of the posting journal.

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• Evaluate a forward exchange transaction in Transaction Manager

In six months, you must pay an invoice to the value of approximately USD 10 million and you want to take advantage of the current USD exchange rate. You therefore conclude another forward exchange transaction. At the end of the quarter, you want to value your transactions �.H\�GDWH YDOXDWLRQ�� You then have to determine your realized gains and losses.

11-1 Create a contract (Activity: Contract) using a forward exchange transaction (USD - EUR) with product type 60A and transaction type 102 for your company code (FS##).



Amount: Buy USD 10 M, Rate: 1.3 Value date: In 6 months.

Use the input help for the amount field and value date.



11-2 Value your transaction at the end of the next two quarters. Have the system calculate the net present values of your transaction for the valuation key dates. Then carry out a mid-year valuation without reset for the valuation key dates.

On the due date, the forex transaction is realized and posted (all valuation areas.) You must then carry out a valuation to determine the gains/losses realized (= fixing derived business transactions) and in order to post.

© SAP AG FSC010 4-117

11-3 View the created postings in the Posting Journal and display a complete view of all created subledger cash flows with the transaction “ TPM13” (List of Position Flows).

Select all possible TRL flows:

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11-1 Create a contract (Activity: Contract) using a forward exchange transaction (USD - EUR) with product type 60A and transaction type 102 for your company code (FS##). Choose the Deutsche Bank (1000) as your business partner. Choose the following transaction data: Amount: Buy USD 10 M, Amount: Sale EUR Rate: 1.3 Value date: in 6 months Use the available input help for the amount field and value date. Save the financial transaction and note the transaction number for later settlement and posting activities. Transaction number:_______________________ To create a forward exchange transaction, proceed as follows: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�0RQH\�0DUNHW��Æ�7UDGLQJ�Æ�&UHDWH�)LQDQFLDO�7UDQVDFWLRQ��)75B&5($7(�

Ensure that the Activity-Contract indicator is set. Save your transaction and make a note of the transaction number.

Enter the following data: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH

Company Code FS##


Transaction Type 102- Forex: External-Forward transaction


Contract X - select indicator

© SAP AG FSC010 4-119

Choose ENTER.



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Buy - Currency USD

Buy - Amount 10M

Sell - Currency EUR

Sale amount

5DWH�YDOXH�GDWH�DUHD

Rate 1,30

Value Date ++6


© SAP AG FSC010 4-120

11-2 Value your transaction at the end of the next two quarters. Have the system calculate the net present values of your transaction for the valuation key dates. Then carry out a mid-year valuation without reset for the valuation key dates. On the due date, the forex transaction is realized and posted (all valuation areas.) You must then perform a valuation to determine and post the gains/losses realized (= fixing derived business transactions).

Execute each program twice (once for key date 1; once for key date 2)

To perform Interest Accrual/Deferral, choose Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�)RUHLJQ�H[FKDQJH��Æ $FFRXQWLQJ�Æ 9DOXDWLRQ�Æ 'HWHUPLQH�1HW�3UHVHQW�9DOXHV��730��

You are on the screen "Save NPVs from the Market Risk Analyzer” .



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*HQHUDO�VHOHFWLRQV

Company Code FS##

27&�7UDQVDFWLRQ


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Currency EUR

Evaluation type RM01

Key date Key date 1: End of the current quarter Key date 2: End of the next quarter

Indicator: Separate NPV (In/Out)

Selected


Price/NPV type 001 (Standard & Hedge Accounting)

Detail log X – select indicator

Perform a test run and then an update run. If you require more information, choose *RWR→�'HWDLO�/RJ��

© SAP AG FSC010 4-121

To valuate key dates, choose Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�)RUHLJQ�H[FKDQJH��Æ $FFRXQWLQJ�Æ 9DOXDWLRQ�Æ ([HFXWH�YDOXDWLRQ��730�� )LHOG�1DPH�RU�'DWD�7\SH 9DOXH

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Company Code FS##

27&�7UDQVDFWLRQ


Key date Key date 1: End of the current quarter Key date 2: End of the next quarter

Valuation Category Mid-Year Valuation Without Reset (3)


Detail log X – select indicator

Perform a test run and then an update run. The positions to be valuated are displayed. If you want to perform the valuation as displayed, choose ([HFXWH�YDOXDWLRQ in the application toolbar. The valuation log provides further information about the posting with various buttons in the application toolbar. Perform the steps for the second valuation as in the exercise description.

You can carry out a test run if you wish.

The forward exchange transaction is now due/cashed.

© SAP AG FSC010 4-122

To post the forward exchange transaction, choose Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�)RUHLJQ�([FKDQJH��Æ $FFRXQWLQJ�Æ 3RVWLQJ�Æ ([HFXWH��7%%��

Make sure that the posting is made for all valuation areas. To determine the realized gains and losses, choose Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�)RUHLJQ�([FKDQJH��Æ�$FFRXQWLQJ�Æ�'HULYHG�%XVLQHVV�7UDQVDFWLRQV�Æ�3RVW�DQG�)L[��730��



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Company Code FS##

27&�7UDQVDFWLRQ


TRL Date From TODAY until the final due date of the transaction

Test Run X – select indicator

Perform a test run and then an update run.

The positions to be valuated are displayed. If you want to perform the valuation as displayed, choose )L[ in the application toolbar.

You can carry out a test run if you wish.

© SAP AG FSC010 4-123

11-3 View the created postings in the Posting Journal and display a complete view of all created subledger cash flows with the transaction “ TPM13” (List of Position Flows). Select all possible TRL flows.

To valuate postings, choose Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�)RUHLJQ�([FKDQJH��Æ ,QIRUPDWLRQ�6\VWHP�Æ 3RVLWLRQ�7UHQG��Æ 3RVLWLRQ�)ORZ�/LVW��730�� )LHOG�1DPH�RU�'DWD�7\SH 9DOXH

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Company Code FS##

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TRL Date From/to date

Checkbox Scheduled Flows

Checkbox Fixed Flows

Checkbox Flows to Be Fixed

Checkbox Flows to Be Reversed

Checkbox Reversed flows

Checkbox Posting Information

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• Create an OTC currency option in SAP Transaction Manager using the foreign exchange module

You want to purchase a currency option. If this option gets to the exercise stage, you are entitled, but not obliged, to purchase USD from the Deutsche Bank.

12-1 Check whether there are transaction authorizations for this business partner (BP##) and this product type (76A) in the standing instructions. Choose the direct access using the business partner (transaction BP).

Create an OTC currency option (in the menu under Foreign Exchange) as a contract.

Choose your “ BP##” business partner as your business partner and 76A for the product type.


Purchase of a currency option (transaction type 100)

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6WUXFWXUH��([HUFLVH

Exercise Period ++3 (3 months from today)

Exercise Type European (1)

Settlement Physical exercise (1)

6WUXFWXUH��3UHPLXP

Payment date (premium) +2 (today plus 2 days)

Currency EUR

Amount 200 T (200,000)

6WUXFWXUH��6HWWOHPHQW

Contract Date today

8QGHUO\LQJ

Currency Pair USD/EUR

Amount (purchase) 3 M

Price (Un. quote) 1,3

Value Date +2 (two days after exercise)

Enter a premium of your choice.

Take a look at the cash flow. Which flows are shown?

Check the payment details and the position indicator.

If no payment details are created, add to the payment details for the option premium to be paid directly and manually in the financial transaction so that the option premium can be posted.

For this, use the following values:



Currency EUR


House Bank 1000

Account ID 1000 6DYH the transaction.

© SAP AG FSC010 4-126

12-2� Settle the contract using collective processing (TI91). Enter your company code and transaction number.

12-3 Post the option premium. Note the posting due date and make sure that all valuation areas are posted. Take a look at the Financial Accounting document.


12-4 You decide that the you want to exercise the option. Execute the activity.

Assumption: The exercise date has been reached - make the contract date and the exercise date the same as the date of the “ exercise period” .

Skip information messages with the “ Enter” key.

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12-1 Check whether there are transaction authorizations for this business partner (BP##) and this product type (76A) in the standing instructions. Choose the direct access using the business partner (transaction BP).

To switch from one business partner to another, choose the menu path *RWR�→�,QLWLDO�6FUHHQ.

Call the business partner in change mode in the “ Counterparty” role. Choose "Company Code“ to go to the company-code-specific data of the business partner. Switch to the “ SI: Authorizations” tab. You see that the business partner for the relevant product type is not authorized for the product type. In the "SI: Authorizations" tab, select the product type 76A and save the business partner. (Product type 76A is contained under 'HULYDWLYHV�→ 27&�2SWLRQV��If required, you can also use the %LQRFXODUV icon).

You can then create the OTC currency option.

To create the OTC currency option, choose:

Æ $FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ )RUHLJQ�([FKDQJH Æ�7UDGLQJ�Æ�&UHDWH�)LQDQFLDO�7UDQVDFWLRQ��)75B&5($7(�

Create an OTC currency option (in the menu under Foreign Exchange) as a contract.

Choose your “ BP##” business partner as your business partner and 76A for the product type.


Purchase of a currency option (transaction type 100)

On the subsequent dialog box, choose flow type ��±�2SWLRQ�3UHPLXP��27&��

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Exercise Type European (1)

Settlement Physical exercise (1)

6WUXFWXUH��3UHPLXP

Payment date (premium) +2 (today plus 2 days)

Currency EUR

Amount 200 T (200,000)

6WUXFWXUH�±�&RQWUDFW�'DWD

Contract Date Today

8QGHUO\LQJ

Currency Pair USD/EUR

Amount (purchase) 3 M

Rate 1,3

Value Date +2 (two days after exercise)

Take a look at the cash flow. Which flows are shown? (Because this is only an initial version of a currency option, only the option premium is displayed).


&KHFN�WKH�SD\PHQW�GHWDLOV�IRU�WKH�RSWLRQ�SUHPLXP�WR�EH�SDLG��

The following values must be entered:



Currency EUR

Take a look at the payment details in the detail view. To do this, double-click the relevant line.

Return to the overview display by choosing 3D\PHQW�GHWDLOV�RYHUYLHZ.

If no payment details are created, manually add to the payment details for the option premium to be paid in the financial transaction so that the option premium can be posted.

© SAP AG FSC010 4-129

For this, use the following values:



Currency EUR


House Bank 1000

Account ID 1000 6DYH the transaction.

Note the transaction number:_______________________

12-2 Settle the contract using collective processing (TI91). Enter your company code and transaction number.

7R�VHWWOH�XVLQJ�FROOHFWLYH�SURFHVVLQJ��FKRRVH��Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�)RUHLJQ�([FKDQJH��Æ�%DFN�2IILFH��Æ�&ROOHFWLYH�3URFHVVLQJ�Æ�27&�2SWLRQV��7,�,��Enter your company code and transaction number.��&KRRVH�([HFXWH��Select the transaction that you want to settle and choose 6HWWOH in the application toolbar.

Check and add to the payment details.

The following values must be entered:


House Bank 1000

Account ID 1000

6DYH your transaction. (Skip any messages that appear with the ENTER key.) Refresh your collective processing display. You see the changed condition of the activity category (ACat).

The category changes from 20 (contract) to 30 (settlement).

© SAP AG FSC010 4-130

12-3 Post the option premium. Note the posting due date and make sure that all valuation areas are posted. Take a look at the Financial Accounting document.


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Company Code FS##

Transaction Your transaction number

Up To and Including Due Date Due date of the premium

Test Run You can perform a test run and then an update run. After the update run, you can also view the document from here.


You can view the posting log as usual.

12-4 You decide that you want to exercise the option. Execute the activity. Assumption: The exercise date has been reached - make the contract date and the exercise date the same as the date of the “ exercise period” . Skip information messages by choosing ENTER.

To exercise the option, choose:

Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�)RUHLJQ�([FKDQJH�Æ�7UDGLQJ�Æ�(GLW�)LQDQFLDO�7UDQVDFWLRQ��)75B(',7� Enter the company code and transaction number as usual. Choose ([HUFLVH. Adjust the date details as described in the exercise. 6DYH the transaction.

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• Create an OTC currency option in the SAP Transaction Manager - using the derivative module

You want to sell a currency option.

If this option gets to the exercise stage, the bank is entitled, but not obliged to purchase USD from you.

13-1 Create an OTC currency option (in the menu under Derivatives) as a contract.

Choose the Deutsche Bank (1000) as your business partner and 76A for the product type (transaction type 100).

Choose the following transaction data: Sale of a currency call option

Premium Type: 1301 Option Premium (OTC)

Option Exercise Period: ++3 (3 months from today) Exercise: European Settlement: Physical exercise Contract Date: Today

Rate: for example, 2.20 Value Date: in 6 months Offset Currency: EUR Exercise Date: in 6 months minus 2 days��Premium�Value Date: in 2 days Currency: EUR




It may be necessary to provide business partner 1000 with authorization for these transactions. (see Exercise 1-6; Transaction Authorizations (TB16).

© SAP AG FSC010 4-132

13-2 Settle the contract using Collective Processing.

Post the option premium. Note the posting due date and make sure that all valuation areas are posted.


Take a look at the Financial Accounting document.

Optional – Enter a memo for accounting (such as “ Settle fee of EUR 10 separately” ).


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13-1 Create an OTC currency option (in the menu under Derivatives) as a contract.

Choose the Deutsche Bank (1000) as your business partner and 76A for the product type (transaction type 100).

Select the activity &RQWUDFW� Choose the following transaction data:

Sale of a currency call option

Premium Type: 1301 Option Premium (OTC)

Option Exercise Period: ++3 (3 months from today) Exercise: European Settlement: Physical exercise Contract Date: Today

Rate: For example, 2.20 Value Date: In 6 months Offset Currency: EUR Exercise Date: In 6 months minus 2 days��Premium�Value Date: In 2 days Currency: EUR




It may be necessary to provide business partner 1000 with authorization for these transactions. (see Exercise 1-6; Transaction Authorizations (TB16).

To create a currency option using the derivative module, choose:�Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�'HULYDWLYHV��Æ�7UDGLQJ�Æ�&UHDWH�)LQDQFLDO�7UDQVDFWLRQ��)75B&5($7(�

On the subsequent dialog box, choose flow type ��±�2SWLRQ�3UHPLXP��27&��

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Exercise Type European

Settlement Physical exercise

3UHPLXP

Payment Date +2 (today plus 2 days)

Currency EUR

Amount 200.000

Contract date is suggested

8QGHUO\LQJ

Purchase - Currency USD

Purchase - Amount 3 M

Sale - Currency EUR

Sale - Amount Leave blank (will be determined)

Rate 1,3

Value Date +2

Contract Date Will be automatically set based on the exercise period (three months from today)

Check the activity first using the &KHFN button in the application toolbar.

If a message appears, stating that the day is not a business day, select the following day with the right arrow key.

6DYH your data.


© SAP AG FSC010 4-135

13-2 Settle the contract using Collective Processing.

It may be necessary to edit the transaction (FTR_EDIT) and to execute the order (see button).

Post the option premium. Note the posting due date and make sure that all valuation areas are posted. Take a look at the Financial Accounting document. Carry out a test run prior to the update run.

Optional – Enter a memo for accounting (such as “ Settle fee of EUR 10 separately” ).

To settle using collective processing, choose:�Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�'HULYDWLYHV��Æ�%DFN�2IILFH��Æ�&ROOHFWLYH�3URFHVVLQJ�Æ�27&�2SWLRQV��7,��

Select your company code and financial transaction.

Choose�([HFXWH� Select the transaction and choose�6HWWOH in the application toolbar.

In the following overview on the relevant tab pages, check the “ underlying” data, the payment details (your own house bank) and the cash flow (in the “ Accounting view” layout). Select�(QYLURQPHQW� �3RVLWLRQ�,QGLFDWRU�and check the account assignment reference (the field must be filled). Go to the 0HPRV tab page and enter the specified text in the first row of the $FFRXQWLQJ row.�6DYH�the transaction�

Update the view in collective by choosing 5HIUHVK in the application toolbar (or F8).

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Company Code FS##

Transaction Your transaction number

Up To and Including Due Date Due date of the premium

Test Run You can perform a test run and then an update run. From here, you can view the document.


You can view the posting log as usual.

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• Set up a Forward Rate Agreement (FRA) as a contract in SAP Transaction Manager using the derivative module

You want to sell an FRA because you expect interest rates to fall.

14-1� Create a forward rate agreement (FRA) as a contract. You are the seller of the FRA, as you want to protect yourself against sinking interest. The goal is to agree on a quotation of 12x24 (lead time-total term) with the business partner.

Take the Deutsche Bank (1000) as your business partner (FRA buyer).

The product type is 63A.

The transaction type is 200 (sale).


Contract Date: TODAY Start of lead time: In 2 days Start of hedge period: 1 year after start of lead time End of hedge period: 2 years after start of lead time Base amount: EUR 10.000.000 Interest rate: 4.56 % p.a. Reference interest rate: EUREUR01YM Interest calculation method: Act/360 Calendar: 01

Interest rate fixing is to occur two days before the start of the hedging period.

Note the date.


&KHFN�WKH�FDVK�IORZ�DV�XVXDO��:KLFK�IORZV�DUH�UHOHYDQW�WR�WKH�SRVWLQJ"


Settle the contract using collective processing (TI92).

© SAP AG FSC010 4-138

14-2 Take a look at the interest rate adjustment schedule.

Carry out a manual interest rate adjustment. The interest rate fixing date is two days before the beginning of the hedge period. Choose a low interest rate (4.00 percent) so that you receive a settlement payment.

Then post the interest generated as a result of the interest rate adjustment. Take a look at the cash flow before and after the interest rate adjustment.

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14-1 Create a forward rate agreement (FRA) as a contract. You are the seller of the FRA, as you want to protect yourself against sinking interest. The goal is to agree on a quotation of 12x24 (lead time-total term) with the business partner.

Take the Deutsche Bank (1000) as your business partner (FRA buyer). The product type is 63A. The transaction type is 200 (sale).


Contract Date: TODAY Start of lead time: In 2 days Start of hedge period: 1 year after start of lead time End of hedge period: 2 years after start of lead time Base amount: EUR 10.000.000 Interest rate: 4.56 % p.a. Reference interest rate: EUREUR01YM Interest calculation method: Act/360 Calendar: 01 Interest rate fixing is to occur two days before the start of the hedge period. Note the date.


Check the cash flow as usual. Which flows are relevant to the posting?

© SAP AG FSC010 4-140

Settle the contract using collective processing (TI92). To create a forward rate agreement, choose: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�'HULYDWLYHV�Æ�7UDGLQJ�Æ�&UHDWH�)LQDQFLDO�7UDQVDFWLRQ��)75B&5($7(��

�6HOHFW�WKH�GDWD�IRU�\RXU�FRPSDQ\�FRGH��SURGXFW�W\SH��$��WUDQVDFWLRQ�W\SH��DQG�SDUWQHU��&KRRVH�([HFXWH��Enter the following data:


Start of Lead Time Today +2 days

Start of Hedge Period ++12

End of Hedge Period ++24

Base amount EUR 10 M

Int. rate 4,56

Ref. Int. Rate EUREUR01YM


Contract date Is proposed

Skip the messages by choosing ENTER.

Check the cash flow as usual (the�&DVK�IORZ�tab page). Which flows are relevant to the posting?�

Save the transaction.

© SAP AG FSC010 4-141

7R�VHWWOH�XVLQJ�FROOHFWLYH�SURFHVVLQJ��FKRRVH��Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�'HULYDWLYHV��Æ�7UDGLQJ��Æ�&ROOHFWLYH�3URFHVVLQJ�Æ�27&�,QWHUHVW�5DWH�,QVWUXPHQWV��7,�� Select the data for your company code. Choose�([HFXWH�(“ Clock“ or F8). All entered transactions are displayed in Collective Processing. �Click your FRA transaction to select it and then choose 6HWWOH in the application toolbar. After checking the cash flow and payment details, save the transaction. Update the collective processing view by pressing the appropriate button (or F8).�

14-2 Take a look at the interest rate adjustment schedule.

Carry out a manual interest rate adjustment. The interest rate fixing date is two days before the beginning of the hedge period. Choose a low interest rate (4.00 percent) so that you receive a settlement payment.

Then post the interest generated as a result of the interest rate adjustment. Take a look at the cash flow before and after the interest rate adjustment.

© SAP AG FSC010 4-142

To view the interest rate adjustment schedule, choose:

Æ��$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�'HULYDWH�Æ�,QIRUPDWLRQ�6\VWHP�Æ�7UDQVDFWLRQ�Æ�'HDGOLQH�0RQLWRULQJ�Æ�'HULYDWLYHV��,QWHUHVW�5DWH�$GMXVWPHQW�6FKHGXOH��7-��

Apply the interest adjustment schedule to your entire company code.

You will then see a total overview of your pending interest rate adjustments and those that have not yet been executed for the financial transactions that have a reference interest rate in their interest structure.

�To perform a manual interest rate adjustment, choose:�Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�'HULYDWLYHV�Æ�%DFN�2IILFH�Æ�9DULDEOH�,QWHUHVW�&DOFXODWLRQ�Æ�,QWHUHVW�5DWH�$GMXVWPHQW�Æ�&UHDWH��7,��

Enter a company code and your transaction number and choose ENTER.



Int. rate 4 (percent)

Choose ENTER.

Save the manual interest rate adjustment.

Return to the overview menu and choose %DFN�2IILFH� �(GLW�)LQDQFLDO�7UDQVDFWLRQ (FTR_EDIT) to display your transaction.

Check the cash flow. Choose the “ Posting view” layout and then the “ Calculation view” (choose the ” Select Layout” button).

Because of the currently low interest rate as compared with the interest rate of the original transaction, an incoming payment (settlement payment) is expected and therefore reported.

© SAP AG FSC010 4-143

To post the interest generated as a result of the interest rate adjustment, choose:�Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�'HULYDWLYHV��Æ�$FFRXQWLQJ�Æ�3RVWLQJ�Æ�([HFXWH��7%%��

Proceed as usual. Note the due date of the interest payment date. Post in all valuation areas.


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• Set up an interest rate swap as a contract in SAP Transaction Manager using the derivative module

You want to conclude an interest rate swap.

15-1 Create an interest rate swap (receiver swap) as a contract. The product type is 62A.

The transaction is 301.


Choose the following transaction data: Contract date: TODAY Start of term: Two days after contract date End of term: 4 years after start of lead time Nominal amount: EUR 5.000.000

Regulations concerning fixed amounts

Deutsche Bank pays the fixed amounts. Fixed interest rate: 6.53% p.a. Interest calc. method: 360/360 Frequency: Every 12 months

Regulations concerning variable amounts

You pay the variable amounts. Variable rate: EUREUR06MM Interest calc. method: Act/360 Spread: 0% p.a. Frequency: Every 6 months First due date: In 6 months

Remember to maintain the condition details. Update rule : “ Unadjusted” (for the INTEREST detail view)

© SAP AG FSC010 4-145

Shift the due date relative to the end of the interest period (days +/-). Choose the value 1-. Choose the shift rule “ Next working day modified” .


The reference date for the interest rate fixing date should always take place two working days before the beginning of the interest period.

Take a look at the complete cash flow. Choose the separate view of the outgoing interest and then the incoming interest. (You can choose different views in the layout, such as the calculation view and the interest rate adjustment view.)



Interest rate adjustment date - (minus) 2

15-2 Then settle the interest rate swap.

15-3 Perform the manual interest rate adjustments - for your company code only. Compare the fixing data with the details in the exercise. Take a look at the interest rate adjustment schedule.

Then post the interest generated as a result of the interest rate adjustment. Note the due date.

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15-1 Create an interest rate swap (receiver swap) as a contract. The product type is 62A. The transaction is 301.


Choose the following transaction data: Contract date: TODAY Start of term: Two days after contract date End of term: 4 years after start of lead time Nominal amount: EUR 5.000.000

Regulations concerning fixed amounts:

Deutsche Bank pays the fixed amounts. Fixed interest rate: 6,53% p.a. Interest calc. method: 360/360 Frequency: Every 12 months

Regulations concerning variable amounts

You pay the variable amounts. Variable rate: EUREUR06MM Interest calc. method: Actl/360 Spread: 0% p.a. Frequency: Every 6 months First due date: In 6 months

Remember to maintain the condition details. Update rule: “ Unadjusted” (for the INTEREST detail view) Shift the due date relative to the end of the interest period (days +/-). Choose the value 1-. Choose the shift rule “ Next working day modified” .


The reference date for the interest rate fixing date should always take place two working days before the beginning of the interest period.

© SAP AG FSC010 4-147

Take a look at the complete cash flow. Choose the separate view of the outgoing interest and then the incoming interest. (You can choose different views in the layout, such as the calculation view and the interest rate adjustment view.)




�Solution for creating an interest rate swap. Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�'HULYDWLYHV�Æ�7UDGLQJ�Æ�&UHDWH�)LQDQFLDO�7UDQVDFWLRQ��)75B&5($7(��_ Since the incoming interest is fixed, choose “ Receiver swap” .

� � �Enter the following values:


Company Code FS##

Product Type 62a

Transaction Type 301 – Interest rate swap (IRS)-Recipient


Activity – Contract X - select indicator

Choose ENTER.

© SAP AG FSC010 4-148



6WUXFWXUH��7HUP

Start Two days from today

End +++4 (4 years from today)

2XWJRLQJ�,QWHUHVW

Nominal amnt EUR 5 M

Effective from Two days from today

1st due date ++6 (6 months from today)

Freq.month 6

Var. Interest EUREUR06MM


,QFRPLQJ�,QWHUHVW

Nominal amnt 5m

Effective from two days from today

1st due date ++12 (12 months from today)

Freq.month 12

Fix. rate 6,53

Int.calc.method 360/360

Select &KHFN in the application toolbar to check the entered data.

On the 6WUXFWXUH tab page, in both the ,QFRPLQJ�,QWHUHVW�and 2XWJRLQJ�,QWHUHVW areas, choose ,QW� Check the following values for the outgoing and incoming interest pages:


Update – Rule Unadjusted

Frequency 6 or 12 months

Days +/- 1-

Due Date Is proposed (6 months and 2 days from today)

Working Day Next working day modified

Calendar 1 Is proposed

The end of the interest period is determined relative to the due date. It is determined before the due date is shifted (unadjusted) by the working day check.

© SAP AG FSC010 4-149

Choose %DFN in the standard tool bar to return to the overview.

(WARNING – This applies to outgoing and incoming interest!)

Choose the button ,QW��5DWH�$GM. on the 6WUXFWXUH tab page under outgoing interest. Enter the following values:



Confirm the data by choosing the green arrow and returning to the overview. Chow to check the payment details and the position indicator:

�Select the 3D\PHQW�'HWDLOV tab page. Double-click to go to the detail view.

To view the position indicator, choose 0HQX� ��(QYLURQPHQW and enter the account assignment reference.

Check the conditions for both sides (outgoing and incoming).

Choose &RQGLWLRQV�±�RXWJRLQJ�VLGH or &RQGLWLRQV�±�LQFRPLQJ�VLGH from the application toolbar on the overview screen. Double click an individual row to view the details screen.

Choose the &DVK�IORZ tab page. Choose�6HOHFW�OD\RXW to view the &DOFXODWLRQ�YLHZ.

If you want a separate display for the incoming or outgoing interest, choose the ,QFRPLQJ or 2XWJRLQJ tab pages.

Save your data by choosing the appropriate button.

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15-2 Then settle the interest rate swap.

7R�FUHDWH�DQ�LQWHUHVW�UDWH�VZDS��Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�'HULYDWLYHV��Æ�7UDGLQJ��Æ�&ROOHFWLYH�3URFHVVLQJ�Æ�27&�,QWHUHVW�5DWH�,QVWUXPHQWV��7,��

Select the data for your company code, product type 62A, transaction type 301 and partner 1000.

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Click the relevant activity to select it and choose 6HWWOH from the application toolbar.


15-3 Perform the manual interest rate adjustments - for your company code only. Compare the fixing data with the details in the exercise.

Take a look at the interest rate adjustment schedule.

Then post the interest generated as a result of the interest rate adjustment. Note the due date.

To view the interest rate adjustment schedule, choose:�Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�'HULYDWHV�Æ�,QIRUPDWLRQ�6\VWHP�Æ�7UDQVDFWLRQ�Æ�'HDGOLQH�0RQLWRULQJ�Æ�'HULYDWLYHV��,QWHUHVW�5DWH�$GMXVWPHQW�6FKHGXOH��7-��

Apply the interest adjustment schedule to your entire company code.

You will then see a total overview of your pending interest rate adjustments and those that have not yet been executed for the financial transactions that have a reference interest rate in their interest structure.

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To perform a manual interest rate adjustment, choose: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�'HULYDWLYHV�Æ�%DFN�2IILFH�Æ�9DULDEOH�,QWHUHVW�&DOFXODWLRQ�Æ�,QWHUHVW�5DWH�$GMXVWPHQW�Æ�&UHDWH��7,��

Enter your company code and transaction number.

In the display, you can see that the interest fixing takes place two days before the beginning of the interest period.



Int. rate 5 (percent)

Choose ENTER.

Save the manual interest rate adjustment.

Display the cash flow as usual. Choose the layout 3RVWLQJ�YLHZ��,QWHUHVW�5DWH�$GMXVWPHQW�9LHZ layout and then &DOFXODWLRQ�YLHZ.

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To post the interest generated as a result of the interest rate adjustment, choose:�Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�'HULYDWLYHV��Æ�$FFRXQWLQJ�Æ�3RVWLQJ�Æ�([HFXWH��7%%��

Proceed as usual. Note the due date of the interest payment date. Post in all valuation areas.



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� Securities Management enables you to manage securities transactions and positions. The resulting posting activities are transferred to the Financial Accounting module automatically.

� You are required to enter master data before you can use the management processes. For example, before you can represent the purchase (or sale) of a security in the system, you first have to enter its relevant structure and condition characteristics as a class.

� You can use master data as well as transactions and positions to create reports in the information system.


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<RX�FUHDWH�PDVWHU�GDWD�IRU�WKH�IROORZLQJ�DUHDV� � Business partner:

In addition to the minimum data entries (name and address) in the master record, you have to define the role of the business partner.

� Class: You have to enter master data for each security managed in the position. This is a prerequisite for any position changes in the trading and back office areas. Class master data contains the product-specific conditions and all the general structure characteristics for securities. Other entries include, for example, the exchanges for this security.

� Securities account: You manage and administer securities positions in securities accounts.

� Position indicator: You define the parameters for position management and valuation in the company code for each security by securities account.


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� To create complex financial instruments as well, the class information is generally categorized into various areas such as Basic Data or Condition Information. The initial screen for defining master data of a security never depends on the class or product type. Entering the ID number of a security uniquely defines the security you are creating. When you assign a relevant product type, the system adopts all the settings made for this product type. For example, you can set the control parameters for entering class master data according to the product type. You can enter class data in various statuses: inactive, active and obsolete. You can use the LQDFWLYH status if some of the class data you require is not yet available. You use the REVROHWH status to indicate classes that are no longer available for new transactions, but that still need to be available in the system in order to trace the history, for example.

� The following usually applies: y A short name for the security is displayed in evaluation reports. y You can delete class master data if no position indicators exist,

if neither planned nor actual records exist/have existed, and if no transactions exist/have existed.


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� The class master data for stocks consists of basic data, conditions, and other data. References (for example, between the subscription right and new stock) are generated automatically when you enter the data.

� Selected fields in the basic data for stocks are explained below: Issuer: Partner ID of the business partner (issuer role) Security type: for example: Bearer Security

Registered Security Registered Security with limited transferability

Quotation: Percentage-quoted Unit-quoted

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� The dividend entered for the stock simply represents an estimated item. We recommend that you enter the estimated dividend without the frequency only for the coming payment date.* If the company informs you of the current amount of the dividend payment you have to change the amount in the class master data and start the planned record with the updated information. Once the dividend amount has been entered, it can be processed using the automatic debit position function. y When you enter a frequency, the system calculates the dividend planned records for the following

periods in the cash flow. If the actual dividend amount varies from the updated estimated amount, you have to make adjustment postings manually when you post the incoming amount.


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� The entries for the exchange tell you at which exchange the class is traded. � Entering an exchange in the class master data is a prerequisite for importing market prices for

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right is exercised. y Sub.ratio- Numerator /

Sub.ratio- Denominator: The number of subscription rights that are needed to receive the number of new stocks entered in Subscription ratio denominator (such as five subscription rights for one new stock).

y Subscription period from/to: Period in which you can exercise the subscription right.


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y Nominal value: Nominal value per individual security. y Nominal per TU: The minimum nominal value that can be traded. y Quotation: Percentage-quoted

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to a working day. Example: 0: No shift 1: Next working day 3: Previous working day

y Shifting the due date to a working day makes it easier to reconcile accounts when interest payments are made. The calculation date is the basis for the calculating the financial mathematical transactions. It is fixed and is usually managed by calendar rule "0".


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Paymnt Date Description Amount NomCrcyFtype10/21/YY+1 Purchase 99.500,00 EUR 100021/10/YY+2 Nominal int. 6.000,00 EUR 500010/23/YY+3 Nominal int. 6.000,00 EUR 500010/22/YY+4 Nominal int. 6.000,00 EUR 500010/21/YY+5 Nominal int. 6.000,00 EUR 500010/21/YY+6 Nominal int. 6.000,00 EUR 5000

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� If a bond has been assigned a notice right for the issuer or the bondholder, you enter the relevant data.

� Conversion period from/until:Period in which you can give notice on the bond. � Notice rate: Price (unit-quoted stocks) or rate (percentage-quoted stocks), this is paid when the

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� For bonds with fixed interest rates that are subject to change (such as step-up bonds) you maintain condition items for each interest period with a different rate. Condition item entries are replaced by the entries for the next (similar) condition item depending on the "effective from" date. Example: step-up bond with bi-annual interest payment in the first year, followed by annual interest payments: 12.01.YYYY – 11.07.YYYY 4,0 % EUR 4.000 p.a EUR 2.000 on the interest date 12.07.YYYY – 11.01.YY+1 4,5 % EUR 4.500 p.a EUR 2.250 on the interest date 12.01.YY+1 - end 5,0 % EUR 5.000 p.a. EUR 5.000 on the interest date In this example, the frequency entered (6) does not affect the first condition item since this interest item (on frequency date 07/12/YYYY) is replaced by a new interest item (on 07/12/YYYY).


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� Variable-interest bonds have the condition types Variable interest and Interest rate adjustment. You have to enter a reference interest rate in the condition items area. Here, you may also be required to enter a markup or markdown on the reference interest rate in the percent field. You enter a minus sign (-) in field "+/-" for a reverse floater. The interest adjustment date is the date from which the condition entered is valid for the first time. You have to make specific settings in the details view for the interest adjustment dates. You can define a preferred fixing date for the interest fixing date. The following dates are valid: Effective from: Date from which the calculated interest is valid. Int. fx dte: Date on which the reference interest rate was determined (fixing date). PercFDte: The percentage fixing date is the effective-from date that is valid for this fixing period. A reference interest rate has been maintained for this date. Percent: The interest rate that has been defined in the system.

� If you have maintained the reference interest rate, the cash flow data is recalculated once the interest rate has been adjusted and the class master data is changed accordingly. To update the data to the database, you have to start the planned record update.


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� Securities accounts that you create in the SAP system are usually linked to an existing securities account at a bank. Selected fields for securities account master data are explained below:

Depository bank: Partner ID of the bank where the securities account is kept. You first create the bank as a business partner in the role of "depository bank".

Security account number: Number of the securities account at the depository bank.

Clearing account: Account number of the cash clearing account at the depository bank.

House bank: Name of the bank at which the cash clearing account of the new securities account is kept. You can provide details for multiple house banks for each settlement currency.

House bank account: Name of the cash clearing account in the SAP system

Lock type: You have to enter the blocking type if a restraint on disposal applies to the entire securities account.

Lock flag until: Date until which restraint on disposal applies for the securities account

Portfolio: Assigning the securities account to a portfolio.

Business area: The business area is taken from the securities account master data when you post a transaction. If the field is empty, the system takes the entry from the account assignment reference.

� You can delete securities account master data if there is no position indicator and no transactions exist/have existed.


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� Securities accounts are valuation and position management units. They are necessary for all financial transactions that require position management. Securities accounts enable functions such as securities account statements, position analysis, and securities account transfers. You can assign a securities account to a portfolio as a superior position-managing unit when you create securities account master data.

� Average positions are formed at the portfolio level.


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� In the securities account position indicator you can define different information relating to custody type, grouping of positions, or holding share. You can use this information for evaluation purposes as well to import characteristics for account assignment reference.


SAP AG 2003

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� Subledger position indicators enable you to specify, for example, how you want the positions of a particular ID number to be managed and evaluated.

� Key functions of the position indicator include, for example, allocating account assignment references (automatically if required) and assigning valuation and position management parameters. You can change the values suggested in the subledger position indicator for processes in account assignment reference and position management as long as there are no position postings present.

� You can create position indicators manually or automatically. The process you want can be set in Customizing.


SAP AG 2003

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� For each ID number you can enter multiple exchanges in the class master data for which you can maintain rates for this security.

� To value a security, the system uses the price from the price table of the exchange entered in this table.


SAP AG 2006


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� The organizational procedures of transaction management can be split up into several steps: y You can create a security transaction directly as a contract or create it first as an order. y The activity sequence to be followed is dependent on the processing category selected in

Customizing (with or without settlement). � Within transaction management, you can branch from any application to the partner management

functions in order to create, display, and change business partners, in addition to maintaining their payment details.

� Each activity within transaction management (contract, processing, and others) can be analyzed in Cash Management.


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� The 7UDQVDFWLRQ�0DQDJHPHQW functions enable you to manage transactions as orders, executed orders and contracts, and settled and posted transactions. You can map potential orders (order), orders that you conclude (execution or contract) and the securities transactions that you post (purchases and sales) in the system.

� You can create a security transaction initially as an 2UGHU or enter it directly as a &RQWUDFW.


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� When you create a securities transaction, you are mapping an order or contract through the purchase or sale of securities. You specify which class you want each business partner to purchase or sell.


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y The order date shows when the order was issued or created. � /LPLW�GDWD� Here, for example, you can enter a suitable maximum/minimum price and a date up to

which the order is effective.


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� If you want to execute a transaction after you have placed a securities purchase/sales order, you have to enter this change in the system. Then the order is executed. You have to add to or change the existing order entries by entering the actual transaction data. For example, you enter the actual execution price.

� The general valuation class helps you assign the position in the parallel valuation areas. � Date details (in the sample data, the system assumes you want to execute the order the day the order

is placed): y The position value date tells you when the position is available in the system (usually order date

plus two days). y The calculation date is relevant for financial mathematics in relation to the conditions. This date

enables you, for example, to calculate the interest accrued for interest-bearing securities and indicates the last day the vendor is entitled to earn interest (usually order date plus one day).

y When you execute an order, the payment date refers to the day you post the payment amount and the data is updated in Cash Management. (usually order date plus 2 days).

� The dates can be populated using rules specified in Customizing. � You can use rounding rules defined in Customizing for the accrued interest calculation.


SAP AG 2006

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� On the "Other flows" screen, the system automatically calculates the accrued interest for interest-bearing securities. For all types of securities, you can also create other flows, such as charges, brokerage, or commission, which accrue when you buy and sell securities.

� In Customizing, you define the other flows you are permitted to use.


SAP AG 2006

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� When you execute orders, enter contracts, and settle (new) transactions in transaction management, the system displays the transaction cash flow.

� For example, a purchase leads to an outgoing payment. The accrued interest is calculated on the basis of the condition entries which were defined (fixed) in the class master data for this ID number, as well as including the rounding rules, if required.

� The transaction cash flow is displayed on the SAP List Viewer. You can set it up flexibly and therefore adjust it to suit the particular requirements of your company. You can set up your own display variants.


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� A transaction can be in activity category "Contract" if y an order that you created earlier (with any necessary changes/additional data) has been executed

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y a contract has been created directly.


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� The securities account class cash flow displays all flows of a securities account class position relevant to cash flow. This may include condition details (such as interest calculation method, number of days, percentage, and so on).


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� All flows for a position are shown in the flow list including accounting flows or write-ups and write-downs. Each flow is shown with its status(planned or actual record).

� You can display all valuation areas in the flow list at the same time.


SAP AG 2006

Transaction category

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� The "Collective processing" function enables you to manage transactions efficiently. You can display information about the individual transactions depending on the criteria you select on the initial screen.

� You can display lists of orders, contracts, settlements, and expired orders and restrict each of your selections even more (for example, for the company code or securities account).


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� The collective processing list allows you to branch to the relevant transaction to display the (position) cash flow of the operative valuation area, or the history. It also has several important processing functions that enable you to change, execute, settle and reverse selected transactions.

� The collective processing function allows you to display lists flexibly using the SAP List Viewer.


SAP AG 2006


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� Before you post the transactions, you have to select the flows or positions of the transactions you want to post. You can have the system carry out a test run in order to check the accuracy of the posting entries in the posting log. When you execute the posting, flows and related documents are transferred to Financial Accounting.


you can access the relevant posting document. � You can post all valuation areas at once or just the flows of the operating valuation area (001). If you

post only the operative flows, the flows of the parallel valuation areas must be posted or fixed using a separate posting report.


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� To transfer your data to Financial Accounting you must ensure that the appropriate accounts and the

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� This is the same example as before. The nominal value is EUR 100 to 90. The charge for each transaction is EUR 1.

� The transaction is entered in Transaction Manager and as soon as the data is saved it is updated to the Treasury ledger. Using a special interface, the Distributor, the transaction data is updated to the relevant valuation area. First Valuation Area 001 is posted and it generates document 1.

� The first valuation area 001 is posted and generates Document 1. Valuation areas 002 and 003 can be updated at the same time as valuation area 001 or later. Documents 2 and 3 are generated.

� This example also contains valuation area 004, which is not updated to Financial Accounting. Therefore, the positions are only managed in the subledger and are not available in the general ledger.

� At the end of the period, key date evaluation occurs at market value. On the key date, the bond has a value of 93, which is displayed as an unrealized gain in valuation 001 (Document 4 is generated). In valuation area 002, the same transaction is valuated according to the Amortized Cost Method instead of the market value. The value of the amortization for this period of 1, this is displayed as an unrealized gain (Document 5 is generated). Valuation area 003 valuates this transaction according to the lowest value principle; as a result, the gain is not attributed.

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� The bank clearing account is read from the transaction. You can change this account in account determination when you post the transaction.


SAP AG 2006

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SAP AG 2006

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SAP AG 2006

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� Planned records must exist (such as planned records for interest received) before you can use the automatic debit positions function.

� To use the automatic debit positions function, you must first post all the activities that affect the position for the ID numbers and securities accounts you have selected up to the date when you want to perform automatic posting.

� There are two procedures for processing activities that recur regularly: y Alternative I:

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SAP AG 2006


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� The automatic debit position function processes planned records that are generated from the conditions and are for regularly occurring payments.


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� For automatic debit positions, you use selection criteria to select the relevant planned records. Entering a date in the 8S�WR�DQG�LQFOXGLQJ�GXH�GDWH field means that the system generates only planned records that are due up to this date.


SAP AG 2006

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� In the one-step procedure, the automatic debit position function transfers the selected planned records as actual records in CFM and automatically forwards the relevant posting records (in this case, directly via bank clearing) to Financial Accounting.


SAP AG 2006

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� 7ZR�VWHS�SURFHGXUH� y In the ILUVW�VWHS you use the automatic debit function to post the selected planned records. The

relevant posting records are automatically forwarded to G/L accounting in Financial Accounting (in this case, using the interim receivables account). [In G/L accounting in FI a cash receipt triggers a posting to the bank clearing account.]

y In the VHFRQG�VWHS you fix the planned records for the automatic debit function. The relevant posting records are transferred automatically to G/L accounting in FI. There it is possible to clear both the receivables account and the bank clearing account. The update types for the manual debit position function are generated in settlement currency and in position currency. This means, for example, that it is also possible to represent interest payments for Euro bonds in USD in the system.

� You generally use the manual debit position function to post-process and post activities that were created by the automatic debit position function. Whereas the automatic debit position function posts several activities at once, the manual debit position function only allows you to process one activity at a time.


SAP AG 2006


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� The relevant planned records are selected in the automatic debit position. Activities that have been posted are shown in the IL[HG status, and the interest is shown in SODQQHG.


SAP AG 2006

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� When you use the two-step procedure, the automatic debit position function posts the selected planned records and transfers the relevant posting records (in this case: via the interim receivables account) automatically to G/L accounting in Financial Accounting.

� You can configure your system (in Customizing) so that when you post the nominal interest the system posts the related tax flows automatically. The two-step process then collects all the related flows. This means that when tax flows are generated the system also generates the actual records for incoming payments.


SAP AG 2006


Pos.vl.dte UpdateType Description Status Nominal amnt Crcy SttmntAmnt Settlmt.curr.01/21/YYYY SE1000 Purchase fixed 200.000,00 EUR 200.000,00 EUR01/21/YYYY SE8702 Accrued interest fixed 7.200,00 EUR 7.200,00 EUR01/21/YYYY SE3012 Comm.not.cap. fixed 1.000,00 EUR 1.000,00 EUR02/16/YYYY SAM5000 Nom. interest fixed 12.000,00 EUR 12.000,00 EUR02/16/YYYY SAM6000 Nom. interest (IP) planned 12.000,00 EUR 12.000,00 EUR02/16/YY+1 SAM5000 Nom. interest planned 12.000,00 EUR 12.000,00 EUR

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� After automatic debit position, posting is carried out and the relevant activity is displayed as actual records.


SAP AG 2006

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� It is very important that you decide at which level you want to manage your securities positions. The main purpose of position management is to provide the basis for valuing your positions and determining price gains/losses.


SAP AG 2006

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� For position management regarding portfolios, the system defines portfolios that each have individual transactions assigned to them when the transactions are entered. Each securities account group represents a position-managing unit.

� Each portfolio is defined in Customizing and represents an organizational unit in the company code that enables financial transactions to be summarized to perform aggregated position analysis.


SAP AG 2003

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� To manage positions at securities account group level, you define portfolios to which you assign several securities accounts (with their respective positions). A securities account group is a superior unit for managing positions. This means that securities account positions belonging to a securities account group are seen as a single unit.

� A securities account group is an organizational unit within a company code that allows you to group certain financial transactions and positions and to perform aggregated position evaluations.

� You can also define the securities account groups you have created as a basis for valuation. � You define security account groups in Customizing. You assign securities accounts to a securities

account group when you create master data for the securities account.


SAP AG 2006

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� Position management at the securities account level means that you consider each securities account and its respective positions as a single unit.

� Securities accounts are valuation and position management units. They are needed for all financial transactions that require position management.

� You can use securities accounts to display securities account statements, evaluate positions, and transfer securities accounts. The securities accounts created in the system are usually related to real securities accounts managed at a bank.


SAP AG 2006

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SAP AG 2006

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� You perform accruals/deferrals to assign receipts and expenditures to the accounting period to which they belong.

� The accrual/deferral procedure describes how the expense and revenue accounts used are updated. The accrual/deferral activity is based on flows from selected business transactions that are relevant for accrual/deferral up to the specified key date. The system determines the accrual/deferral amount for each flow and generates the relevant accrual/deferral flows. You can execute the accrual/deferral run as a test run (accrual/deferral log) or you can post the accruals/deferrals immediately (accrual/deferral log and posting log).

� You can use the "Reverse accrual/deferral" function to reverse accruals/deferrals that have been posted or reset.

� If you used the reset procedure to perform accruals/deferrals, use the "Reset accrual/deferral" function to write back the accruals/deferrals.

� The amortized cost method is available in the Securities area as a special procedure for accruals/deferrals, in particular for discounted bonds.

� Customizing: Defining the accrual/deferral:

- Specify the linear accrual/deferral method - Assign the accrual/deferral flow types you want to generate as reference flows for the flows you want to accrue/defer.


SAP AG 2006

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� You can value securities positions on any key date. This key date valuation is the valuation of positions for accounting purposes and uses the prices on a particular key date.

� To value your positions, you first have to maintain the related security prices. If you want to value different positions, you use the classification according to price types (such as valuation, spot, middle, bid, ask or closing price) in the price table.

� You set up valuation parameters in Customizing.


SAP AG 2006

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� The key date valuation can be done with or without reset. The valuation is controlled by the “Valuation category”.

� The following valuation categories are available: y Year-end valuation y Mid-year valuation with reset y Mid-year valuation without reset y Manual valuation with reset y Manual valuation without reset


SAP AG 2006

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� For key date valuation, all relevant valuation steps defined in the position management procedure are performed - for example, amortization, security and forex valuation.


SAP AG 2006

Sec. write-up/write-down (LC):Sec. write-up/write-down (PC) * book exchange rate,

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Foreign crcy write-up/write-down: Compares old book value (PC) * exchange rate (depending on valuation rule: acquisition price, priceon key date, and so on)

Sec. write-up/write-down (PC): Compares unit * sec. price(depending on val. rule: acq. price, price on key date, and so on)

Sec. write-up/write-down (PC): Compares unit * sec. price(depending on valuation rule:acquisition price, price on key date, and so on)

Sec. write-up/write-down (LC):Sec. write-up/write-down (PC) * Book exchange rate,

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Sec. write-up/write-down (LC):Sec. write-up/write-down (PC) * book exchange rate,

��Total write-up/write-down (LC) -:Old book value (LC) -New book value (LC)

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� You can choose among three methods for valuing the performance of foreign currency securities. These differ in the way in which they calculate the profit/loss for the security and foreign currency components: y A two-step procedure that first calculates the profit/loss for the security component, and then for

the foreign currency component. y A two-step procedure that first calculates the profit/loss for the foreign currency component, and

then for the security component. y A one-step procedure that calculates the total profit/loss in the local currency.

� PC: Position currency � LC: Local currency


SAP AG 2006

ForeignForeign currencycurrency raterate

SecuritySecurity priceprice32 36 3932 36 39

1,801,80

1,701,70

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Security price Foreign currency rate Purchase (1,000 units) 39 1,80 Preperiod valuation 32 1,50 Current valuation 36 1,70

� In the preperiod, both the security and the foreign currency were written down. As a result of the

underlying valuation rules, you have to write-up the current foreign currency rate and security price for the current valuation. In doing this, you first calculate the profit/loss in the security, then in the foreign currency.


SAP AG 2006


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SAP AG 2006

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� You can represent the following activities in the &RUSRUDWH�$FWLRQV area: post subscription rights; transfer new stock; capital increases from retained earnings; stock splits; capital reductions; stock swaps; other corporate actions; convert issue currency.

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� You must also create the position indicators for all securities or securities accounts affected.


SAP AG 2006

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� You must also create the position indicators for all securities or securities accounts affected.


SAP AG 2006

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� For position-changing activities that affect several securities the relationship between the securities is represented by the relevant references, if required. Example: y You assign one reference to one subscription right; this entitles you to new stocks. y You link convertible bonds and warrants to the relevant underlying transaction. y You create a reference for the cum warrant to both the warrant bond ex and the warrant.


SAP AG 2006

� :DUUDQW��VWRFNV� :DUUDQW��LQWHUHVW� :DUUDQW��LQGH[� :DUUDQW��FXUUHQF\� 6XEVFULSWLRQ ULJKW� &RQYHUWLEOH ERQG� :DUUDQW�ERQGV� &DOODEOH ERQG� 3XWDEOH ERQG

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� Relationships between individual securities or particular rights are displayed as a reference. This is generated automatically when you enter the class master data once you have specified the ID number of the related security or the data for the right displayed.


SAP AG 2006

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� You have to satisfy the above prerequisites if you want to represent a capital increase in the system and execute the resulting transactions.

� PI: Position indicator CorpAct: Corporate Actions


SAP AG 2006

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� In the case of a capital increase, existing stockholders have the right (in Germany) to obtain new stocks in proportion to the number of stocks they currently hold. This enables existing stockholders to maintain their share of voting rights and compensates for any negative price trend resulting from the capital increase.

� The subscription right ratio indicates how many subscription rights are attached to an old stock. One old stock usually has one subscription right (ratio 1:1)

� The subscription ratio indicates how many subscription rights you require to obtain one new stock. Example: Capital increase from EUR 50 M to EUR 60 M. OK corresponds to a ratio of 50:10 or 5:1. 5 existing stocks to 5 subscription rights to 1 new stock.


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� The subscription price of the new stock is lower than the exchange price of the old stocks. As a result of this difference, the subscription right has a theoretical value equivalent to the difference between these two prices, taking into account the subscription right ratio.

� The total value of a securities account position is not affected by the capital increase. The resulting subscription rights simply shift the value amounts in the position.

The value of the subscription right for accounting purposes differs from the theoretical value if the book value of the old stock is lower than its market value. In this case, you have to determine the accounting value of the subscription right and, in doing so, bring the theoretical value into line with the book value of the old stock.

The book value of the old stocks is, on the one hand, reduced by the amount of the accounting value of the subscription right. On the other hand, the subscription right is posted in the position such that the total position value is identical before and after the capital increase.

The system makes adjustment postings to the old stock position required for book value markdowns automatically.

� Subscription right markdown occurs on the first day of the subscription period. The old stocks are traded as Subscription rights ex.


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� The theoretical value of the subscription right is determined using the above formula: Ka: current exchange price of the old stock

Kn: subscription price of the new stock m: old capital n: amount of capital increase m/n: Subscription ratio

� You convert the theoretical value of subscription rights for the subscription right markdown to the book value of the position in old stocks (value for accounting purposes).

Example: Old stocks position: purchased 200 units at EUR 300 Capital increase at a ratio of 5:1; (subscription right ratio 1:1) Subscription price EUR 100 Current exchange price for old stock: EUR 350


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� The old stocks position (ID number 111111) is marked down and the subscription rights position (ID number 222222) is posted, in both cases at an amount of 200 (subscription rights) x 35.71 EUR* (value for accounting purposes per subscription right) = 7,142.86 EUR* y Rounding difference; the system uses exact values for calculation.


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� You exercise subscription rights for all securities accounts in a company code. To follow selective strategies for individual securities accounts, you can first perform transfers, make additional purchases or sell subscription rights.

� When you exercise subscription rights, new stock is added to your position. You post new stocks at the value of the relevant subscription rights and the subscription price paid. Example: y Sale of 50 subscription rights. Subscription rights position: 150 units at EUR 35.71*. y Exercise 150 subscription rights to obtain 30 new stocks (subscription ratio 5:1)

with payment of EUR 3,000 (subscription price of EUR 100 per new stock). Exercise and post subscription rights (ID number 222222) at [150 x 35.71]* = EUR 5,357.15 *. Post new stocks (ID number 333333) at [5,357.15 + 30 x 100]= EUR 8,357.15 *.

y Rounding difference; the system uses exact values for calculation.


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� As soon as new stocks are aligned with old stocks, new stocks lose their status and are assigned to the old stocks position. When new stocks are transferred they are automatically assigned the ID number of the old stocks.

� After you select the new stocks at company code level, all positions of this class are displayed in all the securities accounts of the company code. The posting transfer then takes place within the outgoing payments securities account. A securities account transfer is recorded in a posting log.

� Example: 30 new stocks (ID number 333333) are transferred at a book value of 8,357.15 EUR to the old stocks position (ID number 111111).


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� After you enter the data for the source securities account and the posting date, the system displays an overview of the securities account position from which you can select any number of units to transfer to the target securities account. The system generates the flows required for the transfer and updates the position of the respective securities account.


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� A securities account transfer is recorded in a posting log.


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� The account assignment reference postings of a class are selected by identity numbers. The positions of the postings concerned are displayed by position management.

� The new account assignment reference and posting day are provided on the selection screen. Postings can be carried out for one particular area or all valuation areas.


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� The balance sheet transfer is recorded in a posting log.


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� A valuation class must be transferred to transfer an asset class or position management of a position. For this transfer, you must select a valuation area and the specific valuation classes on the initial screen.

� Valuation classes are transferred on the general valuation class level and are valid for all valuation areas.


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• Create class master data

• Set up securities accounts

• Define position indicators

You want to invest long-term funds in stocks and in a bond that has just been issued. Since this is the first time you are investing in both types of securities, you must first maintain class data. You want to manage some of the investments separately, and open another securities account at your house bank specifically for these purchases.

16-1 You want to purchase stocks of the Deutsche Bank AG. Before you enter the transaction, you have to create the relevant class master data:

Use the following ID number: DE0005140## (##=PC no./Group number).


On the %DVLF�GDWD tab page: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH

Issuer 1000

Nominal value 5

Issue currency EUR

Security type Regist. security

Stock category Common stock

Quotation Unit-quoted

Stock form Old stock


On the &RQGLWLRQV�tab page:�)LHOG�1DPH�RU�'DWD�7\SH 9DOXH

Eff. from 22.MM.YYYY

Amount 1,50

Due Date 22.MM.YYYY

Frequency Leave at 000

On the ([FKDQJHV tab page:


Listed X - select indicator

Exchange FFM

16-2 Preparatory data for exercise 19:

Create the following class: ID number: DE0008046##0. This is for a stock.


Go to the %DVLF�GDWD tab page: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH

Issuer BKDRBANKDE

Nominal value 5

Issue currency EUR





2Q�WKH�&RQGLWLRQV�WDE�SDJH� )LHOG�1DPH�RU�'DWD�7\SH 9DOXHV Eff. from 26.MM+3.YYYY

Amount 0,75

Due Date 26.MM+3.YYYY



2Q�WKH�([FKDQJHV�WDE�SDJH��)LHOG�1DPH�RU�'DWD�7\SH 9DOXHV Listed X - select indicator

Exchange FFM

16-3 Enter the class master data for the following step-up bond, which is repayable in full upon maturity: ID number: XS0001136## Product type: 04I Description: Step-Up Bond ## Classification: Bank Bonds Rating: Eff. from 15.03.YYYY-1 ; S&P; Aa Issuer: 1000 Issue currency: EUR Nominal value: 1000 Nominal per TU: 1000 Issue currency: 15.03.YYYY Term: 10 years Issue price: 100 % Conditions: from 15.03.YYYY-1 4 % from 15.03.YYYY 5 % from 15.03.YYYY+1 6%, whereby payments will now be made every 6 months Interest rate calculation method: act/actP

Make sure that the due date always falls on a working day.

Exchange: FFM (Frankfurt/Main)

Use the cash flow to check that the conditions have been entered correctly.

16-4 You have opened a new securities account at the Deutsche Bank. Enter the securities account master data in the system: Securities account: Acc A## Depository Bank 1000 Clearing Account: 444556## Account number: 75352## House bank for EUR payments: 1000 House bank account for EUR payments: 1000 House bank for USD payments: 1000 House bank account for USD payments: 1050


16-5 You want to purchase Deutsche Bank stocks for your new securities account. You want to create the position indicator manually.

Company Code: FS## General valuation class: 0001 ID number: DE0005140## Securities account: Acc A## Portfolio Portfolio1 Check whether an entry has been made in the account assignment reference and the position management procedure.


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16-1 You want to purchase stocks of the Deutsche Bank AG. Before you enter the transaction, you have to create the relevant class master data: Use the following ID number: DE0005140## (##=PC no./Group number). Enter the following data: Go to the %DVLF�GDWD tab page:


Issuer 1000

Nominal value 5

Issue currency EUR




Stock form Old stock On the &RQGLWLRQV tab page:



Amount 1,50

Due Date 22.MM.YYYY

Frequency Leave at 000 On the ([FKDQJHV tab page:



Exchange FFM


Creating the stock

To create the stock, choose:

Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�0DVWHU�'DWD�Æ�&ODVV��):==��

� � � Enter the following data:�)LHOG�1DPH�RU�'DWD�7\SH 9DOXH

ID Number DE0005140##

Choose &UHDWH (on the left of the ID number). A dialog box appears.

�)LHOG�1DPH�RU�'DWD�7\SH 9DOXH

ID number DE0005140##

Product Type 01A Stocks

Short description Dt. Bank AG

Long name Deutsche Bank AG

Without reference X - select indicator

Choose &UHDWH�

Go to the %DVLF�'DWD�tab page. Enter the following data:


Issuer 1000

Nominal value 5

Issue currency EUR






Go to the &RQGLWLRQV tab page. The dividend is suggested (taken from the product type).



Amount 1,50

Due Date 22.MM.YYYY


Select the ([FKDQJHV tab page.

Choose ,QVHUW�5RZ on the lower left edge of the screen.

You now have an open row to enter data.




Exchange FFM

Save your data by selecting 6DYH in the standard toolbar.

16-3 Preparatory data for exercise 19:

Create the following class: ID number: DE0008046##0. This is for a stock.� Enter the following data:

Go to the %DVLF�GDWD tab page:


Issuer BKDRBANKDE

Nominal value 5

Issue currency EUR






On the &RQGLWLRQV tab page:


Eff. from 26.MM+3.YYYY

Amount 0,75



On the ([FKDQJHV tab page:



Exchange FFM

To create the class master data for a stock:

To create the stock, choose:




ID Number DE0008046##0

Choose &UHDWH (on the left of the ID number). A dialog box appears.



ID number DE0008046##0

Product Type 01A Stocks

Short description Dresdner Bank

Long name Dresdner Bank


Choose &UHDWH�


Go to the %DVLF�GDWD tab page. Enter the following data:


Issuer BKDRBANKDE

Nominal value 5

Issue currency EUR





Go to the &RQGLWLRQV tab page. The dividend is suggested (taken from the product type).


Eff. from 26.MM+3.YYYY

Amount 0,75



Go to the ([FKDQJHV tab page.






Exchange FFM

Choose 6DYH to save the class data.�


16-3 Enter the class master data for the following step-up bond, which is repayable in full upon maturity: ID number: XS0001136## Product type: 04I Description: Step-Up Bond ## Classification: Bank Bonds Rating: Eff. from 15.03.YYYY-1 ; S&P; Aa Issuer: 1000 Issue currency: EUR Nominal value: 1000 Nominal per TU: 1000 Issue currency: 15.03.YYYY Term: 10 years Issue price: 100 % Conditions: from 15.03.YYYY-1 4 % from 15.03.YYYY 5 % from 15.03.YYYY+1 6%, whereby payments will now be made every 6 months Interest rate calculation method: act/actP

Make sure that the due date always falls on a working day.

Exchange: FFM (Frankfurt/Main)

Use the cash flow to check that the conditions have been entered correctly.

To create the class master data for a step-up bond:




ID Number XS0001136##


In the subsequent dialog box, enter the following data:


Product Type 04I

Short description Step-Up Bond ##

Long name Step-Up Bond ##


Choose &UHDWH� Go to the 6HDUFK�WHUPV tab page.


Classification Bank bonds

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Eff. from 15.03.YYYY-1

Institute Standard and Poor’s

Rating Aa

Go to the %DVLF�GDWD tab page.


,VVXH �Issuer 1000

Issue currency EUR

Nominal value 1.000

Nominal per TU 1.000

Issue start 15.03.YYYY-1

End of term 15.03.YYYY-1+ 10

End of term Set the checkmark

Issue rate 100

6WUXFWXUH �Quotation Percentage-quoted


Go to the &RQGLWLRQV tab page.

Here you will find various pre-defined values. Interest rates and the final payment for condition items are displayed. Change the following value for the interest rate conditions:


Int.calc.method Act/ActP (ISMA)

Enter or confirm the following values:


Interest – eff. from 15.03.YYYY-1

Interest – Percent 4

Calculation date 14.03.YYYY

Due Date 15.03.YYYY

Frequency 012

Check the detailed information about this interest condition by selecting the row and clicking 'HWDLO (on the lower part of the screen).

An overview with two tab pages is displayed. Go to the 'DWHV tab page and enter the following values:


Calendar 01

CR- Calendar rule (up to due date)

2 (next working day modified)

Calendar data is required for the working day check in the calendar rule.

Select %DFN in the standard tool bar to return to the overview.

Select ENTER to fill/update several fields.

Add a row to the condition items by selecting ,QVHUW�URZ.

Select condition type 100 (interest) and choose &RS\.

The new row is displayed.

© SAP AG FSC010 5-100

Enter the following values in the new row:


Interest – eff. from 15.03.YYYY



Due Date 15.03.YYYY

Frequency 012




Calendar 01



Choose ,QVHUW�URZ to add another new line to the condition items.

The new row is displayed.

Enter the following values in the new row:


Interest – eff. from 03/15/JJJJ+1



Due Date 15.03.YYYY

Frequency 006

Before leaving the &RQGLWLRQV tab page, make sure that Calendar 01 is stored for each of the existing conditions .


© SAP AG FSC010 5-101



Calendar 01



To display and check the cash flow for this class, choose &DVK�)ORZ in the application tool bar. You can view the planned purchase and condition flows arising from the previously maintained condition types.

Return to your class creation transaction and select the ([FKDQJHV tab page.






Exchange FFM


© SAP AG FSC010 5-102

16-4 You have opened a new securities account at the Deutsche Bank. Enter the securities account master data in the system:

Securities account: Acc A## Depository Bank 1000 Clearing Account: 444556## Account number: 75352## House bank for EUR payments: 1000 House bank account for EUR payments: 1000 House bank for USD payments: 1000 House bank account for USD payments: 1050

Creating a securities account

To create the securities account, select:

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Company Code FS##

Sec. Acct ACC A##

© SAP AG FSC010 5-103

Choose�&UHDWH�

Create without copy by choosing &UHDWH (green checkmark) in the dialog box.



Securities account Acc A##

Depository bank 1000

Clearing account 444556##

Sec. acct number 75352##

Payment Currency EUR

House Bank 1000

House bank – Account 1000

Insert a new row by selecting the appropriate pushbutton.



Pymnt Crcy USD

House Bank 1000

House bank – Account 1050

Go to the 2WKHU tab page.��Enter the following values:


portfolio PORTFOLIO1

Choose 6DYH to save the securities account master data.

The securities account is created. ��

© SAP AG FSC010 5-104

16-5 You want to purchase Deutsche Bank stocks for your new securities account. You want to create the position indicator manually.

Company Code: FS## General valuation class: 0001 - Exchange for valuation: ID number: DE0005140## Securities account: Acc A## Portfolio Portfolio1

�Check whether an entry has been made in account assignment reference and position management procedure.

To create the position indicator, select: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�0DVWHU�'DWD�Æ�3RVLWLRQ�,QGLFDWRU�Æ�&UHDWH��730��$��



Securities X – select indicator

Company Code FS##

Gen. Valuation Class 0001 – Trading IFRS/US-GAAP

ID number DE0005140##

Sec. Acct ACC A##

portfolio PORTFOLIO1

Choose ENTER.

Verify that the fields Position Management Procedure and the Account Assignment Reference are filled in the 6XEOHGJHU�3RVLWLRQ�,QGLFDWRU area of the next screen.

Choose 6DYH to save the data.

© SAP AG FSC010 5-105

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• Enter security transactions: Orders – Contracts

• Settle security transactions

• Reverse transactions

You want to increase your stock position using our long-term measures. You place an order with your house bank to purchase 30,000 Deutsche Bank shares. The bank executes the order and charges a broker's fee. After the transaction has been posted, you discover that incorrect data was entered. You have to correct this. You carry out a check using the cash flow. You also want to purchase fixed interest securities.

17-1 You placed an order to purchase 30,000 units of Deutsche Bank stocks on 05.MM.YYYY. (ID number: DE0005140## ). Enter this activity in the system. Note the transaction number ________________ . �

First, enter the transaction as an order.

��

17-2 The bank confirms the order at a price of EUR 115, with the value date 2 days after the order was placed.

Enter this in the system and assume that the transaction is for securities account “Acc A##” with position value date 07.MM. YYYY. A position is posted only once this contract has been entered.

© SAP AG FSC010 5-106

17-3 You later find out that there was an error in the date(s) entered for the Deutsche Bank stock purchase. It is important that the position value date for this purchase is 08.MM. YYYY relevant. Correct this. • Use the 6HFXULWLHV�collective processing function to call up the orders, contracts

and settlements for your company code.

• Select the relevant order execution and change the transaction.

17-4 Settle the transaction.

17-5 Preparatory data for Exercise 19:

Now purchase stocks (1000 units) of class DE0008046##0, which you created in exercise 16-2, at EUR 75 per unit (value date: 10.MM.YYYY)


Then settle the transaction.

17-6 Now purchase fixed interest securities of the class, which you created in exercise 16-3.

Use business partner 1000.

Create the transaction with a nominal amount of EUR 1 million at 102%.

(Position value date and payment date: 10.MM.YYYY Calculation date: one day earlier – inclusive)

Check the accrued interest calculation.


Calculate the transaction as described in exercise 17-4.

17-7 Using the cash flow in the HGB or IFRS valuation areas, obtain an overview of the position trend of your securities. To do this, use the &ROOHFWLYH�3URFHVVLQJ function.

Also look at the details for the number of units/acquisition price/book price.

© SAP AG FSC010 5-107

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17-1 You placed an order to purchase 30,000 units of Deutsche Bank stocks on 05.MM.YYYY. (ID number: DE0005140## ). Enter this activity in the system. Note the transaction number ________________ .

)LUVW��HQWHU�WKH�WUDQVDFWLRQ�DV�DQ�RUGHU��

To enter the order, choose: Æ $FFRXQWLQJ��→ )LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�→�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�→�7UDQVDFWLRQ�0DQDJHU�→ 6HFXULWLHV →�7UDGLQJ�→�&UHDWH�)LQDQFLDO�7UDQVDFWLRQ��)75B&5($7(� Enter the following values:


Company Code FS##

Product Type 01A

Transaction Type 100 – Stocks-Purchase



Activity – Order X - select indicator

Choose ENTER.

_ First, enter the transaction as an order.

© SAP AG FSC010 5-108



Flow Type 0100 - Purchase (trans.)

Sec. Acct ACC A##

Order Date MM/05/JJJJ

Number of Units 30.000

Limit price 116 EUR

Save the order by selecting 6DYH in the standard toolbar.

17-2 The bank confirms the order at a price of EUR 115, with the value date 2 days after the order was placed. Enter this in the system and assume that the transaction is for securities account “Acc A##” with position value date 07.MM.YYYY. A position is posted only after this contract has been entered.

To enter this contract, choose: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�7UDGLQJ�Æ�(GLW�)LQDQFLDO�7UDQVDFWLRQ��)75B(',7�� Enter the following values:


Company Code FS##

Transaction Your transaction number from exercise 17-1

Choose Execute.

© SAP AG FSC010 5-109




,QYHQWRU\

Securities Account ACC A##

General Valuation Class 1 Trading IFRS/US-GAAP

'DWH�'HWDLOV

Position Value Date 07.MM.YYYY

Calculation Date 07.MM.YYYY

Payment Date 07.MM.YYYY

$PRXQWV

Number of Units 30,000 (taken from the order data)

Price (Un. quote) 115

Save the transaction by choosing 6DYH in the standard toolbar.

17-3 You later find out that there was an error in the date(s) entered for the Deutsche Bank stock purchase. It is important that the position value date for this purchase is 08.MM. YYYY relevant. Correct this.

• Use the 6HFXULWLHV�collective processing function to call up the orders, contracts and settlements for your company code.

• Select the relevant order execution and change the transaction.

To change the transaction: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�7UDGLQJ�Æ�&ROOHFWLYH�3URFHVVLQJ�Æ�6HFXULWLHV��76��

© SAP AG FSC010 5-110

Enter or check the following values:


Company Code FS##

Select one transaction.

Select the transaction by positioning the cursor and selecting &KDQJH in the application toolbar.

The transaction is displayed.

Change the following values:


'DWH�'HWDLOV




Save the data by selecting 6DYH in the application toolbar.

You will be taken back to Collective Processing.

You will receive the new data when you refresh the data with the appropriate button in the application toolbar.

17-4 Settle the transaction.

To settle the transaction, select: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�7UDGLQJ�Æ�&ROOHFWLYH�3URFHVVLQJ�Æ�6HFXULWLHV��76��

Select your company code.

Select your transaction.

Choose 6HWWOH in the application tool bar.

Select 6DYH in the standard toolbar to execute the settlement.

© SAP AG FSC010 5-111

Alternatively, you can select: Æ�6HFXULWLHV�Æ�7UDGLQJ�Æ�(GLW�)LQDQFLDO�7UDQVDFWLRQ��)75B(',7�� Enter the following values:


Company Code FS##

Transaction Your transaction number from exercise 17-1

Choose 6HWWOH.

Save the displayed data by choosing 6DYH in the standard toolbar.

The transaction is settled.

17-5 Preparatory data for exercise 19: Now purchase stocks (1000 units) of class DE0008046##0, which you created in exercise 16-2, at EUR 75 per unit (value date, calculation date and payment date: 10.MM.JJJJ). Then settle the transaction.

To help you, use the solution for exercise 17-2 (Purchasing Stocks) and exercise 17-4 (Settlement).


17-6 Now purchase fixed interest securities of the class, which you created in exercise 16-3. Use business partner 1000. Create the transaction with a nominal amount of EUR 1 million at 102%. (Position value date and payment date: 10.MM.YYYY Calculation date: one day earlier – inclusive) Check the accrued interest calculation.

© SAP AG FSC010 5-112

To purchase fixed-interest securities, choose: Æ�$FFRXQWLQJ��→ )LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�→�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�→�7UDQVDFWLRQ�0DQDJHU�→ 6HFXULWLHV →�7UDGLQJ�→�&UHDWH�)LQDQFLDO�7UDQVDFWLRQ��)75B&5($7(� Enter the following values:


Company Code FS##

Product Type 04I

Transaction Type 100 – Fixed-interest bonds-Purchase


ID Number XS0001136##


Choose ENTER.

On the 6WUXFWXUH�tab, enter or confirm the following values:



Sec. Acct ACC A##

General Valuation Class 1 IFRS/US-GAAP: Available for Sale /HGB: UV

'DWH�'HWDLOV


Calculation Date 09.MMJJJJ

Inclusive indicator X - select indicator


$PRXQWV

Nominal amnt 1.000.000 EUR

Price (% Quot.) 102 %

Check the calculated accrued interest flow and the net payment amount on the 2WKHU�IORZV tab page.

© SAP AG FSC010 5-113

Save the securities transaction by choosing 6DYH in the standard toolbar.


Then settle the transaction as described in exercise 17-4.

17-7 Using the cash flow in the OPERATIONAL or IFRS valuation areas, obtain an overview of the position trend of your securities. To do this, use the &ROOHFWLYH�3URFHVVLQJ function. Also look at the details for the number of units/acquisition price/book price.

Select Collective Processing to display the cash flow for the valuation areas (TS00). Restrict the selection to your company code.

Your transactions are displayed. Select the relevant transaction. Select &DVK�IORZ to view the requested data. In this overview, 3RVLWLRQ and 9DOXDWLRQ�$UHDV buttons are available in the application toolbar. You have the choice between IFRS and OPERATIONAL for the valuation areas.

In each case, you can view a list of planned position flows (subledger – cash flow).

© SAP AG FSC010 5-114

�([HUFLVHV��

8QLW�� 7UDQVDFWLRQ�0DQDJHU��6HFXULWLHV�7RSLF�� $FFRXQWLQJ�


• Post transactions

• Enter postings manually

• Use the different debit position procedures

• Valuate positions for accounting purposes

The bank charges a commission fee, which you have to post. One of the postings must be reversed.

You valuate your security position at the end of the month.

18-1 You post settled transactions in the accounting area. Post the transaction for DOO�YDOXDWLRQ�DUHDV.

18-2 The bank charges a commission fee of EUR 1,000 with value date 11.MM.YYYY.

You want to enter this charge in the securities module and decide to post it to securities account “Acc A##” for the Deutsche Bank stock (ID no.: 5140##).

Post this flow manually with value date/position value date 11.MM.YYYY.

Display the posting journal for this ID number.

18-3 Your bank notifies you by telefax that the commission amount was incorrect. Due to a typing error, you have been charged EUR 1,000 instead of EUR 100.

Correct this mistake:

18-3-1 Reverse the posted charge (entering a reversal reason).

18-3-2 Enter the charge of 100 EUR, value date 11.MM.YYYY. Save the process ZLWKRXW�SRVWLQJ.

© SAP AG FSC010 5-115

18-4

18-4-1 The manual debit position of the charge is executed, so that the charge is posted.

18-4-2 You also wish to post dividends with value date 22.MM.YYYY. Use the automatic debit position function to do this.

18-5 At the end of the month, you want to value your position. Carry out a “mid-year valuation without reset”. For this key date valuation (Date: last day of the current month) a price rate must be maintained in the system. After the update run, check the relevant changes to the planned records in the cash flow for the valuation areas 001 IFRS and 002 OPERATIONAL.

18-5-1 Perform the accounting valuation: To do this, enter the current price of EUR 110 on the Frankfurt Stock Exchange as the valuation price for Deutsche Bank stock.

18-5-2 Check the log in the simulation (valuation test run).

18-5-3 After the update run, the cash flow (of the valuation areas) displays the posted write-down amount.

Use transaction TPM13.

18-6 As stock prices increase, you decide to sell part of your stock and realize your gains. You sell 20,000 units of Deutsche Bank stocks on 25.MM.YYYY at a price rate of 120 EUR.

18-6-1 Enter the order in the system.


18-6-2 Check and settle the transaction in the back office.

18-6-3 Then post the transaction for all valuation areas. Check the posted profit.

18-7 Display the transaction. Check the generated price gain in the cash flow of valuation areas 001 IFRS and 002 OPERATIONAL. To do this, use the &ROOHFWLYH�3URFHVVLQJ function.

© SAP AG FSC010 5-116

�6ROXWLRQV��

8QLW�� 7UDQVDFWLRQ�0DQDJHU��6HFXULWLHV�7RSLF� $FFRXQWLQJ��

18-1 You post settled transactions in the accounting area. Post the transaction for DOO�YDOXDWLRQ�DUHDV.

To settle the transaction, choose:

Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�$FFRXQWLQJ�Æ�7UDQVDFWLRQ�Æ�3RVW��7%%��

Ensure that you only select securities and that all valuation areas are posted. Perform a test run and then an update run. The posting log displays an overview of all posted flows.

© SAP AG FSC010 5-117

18-2 The bank charges a fee of EUR 1,000 with value date 11.MM.YYYY. You want to enter this charge in the securities module and decide to post it to securities account “Acc A##” for the Deutsche Bank stock (DE0005140##). Post this flow manually with value date/position value date 11.MM.YYYY. Display the posting journal for this ID number.

To execute the manual posting, choose:

Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�%DFN�2IILFH�Æ�6HFXULWLHV�$FFRXQW�0DQDJHPHQW�Æ�3D\PHQWV�Æ�0DQXDO�3RVWLQJ��):%6��



Company Code FS##


Sec. Acct ACC A##

Choose ENTER.


Date Details 11.MM.YYYY

Now add a row (select ,QVHUW�RWKHU�IORZ).

The dialog box 0DQXDO�3RVWLQJ��3URFHVV�)ORZ appears. Select SE3015 as the update type (Charge).

Enter 1,000 EUR as the settlement amount.

Choose &RS\� Save the data by selecting 3RVW�in the application toolbar.

The posting log is displayed.

You can find the posting journal in Accounting in the securities information system (TPM20).

Select the required values and view the posting log. As usual, you can set the layout as you wish.

You can view the securities account class cash flow by selecting 6HFXULWLHV� �%DFN�2IILFH� �6HFXULWLHV�$FFRXQW�0DQDJHPHQW� �3RVLWLRQ�,QIRUPDWLRQ� �6HFXULWLHV�$FFRXQW�&DVK�)ORZ (TPM40). The charge is now posted.

© SAP AG FSC010 5-118

18-3 Your bank notifies you by telefax that the commission amount was incorrect. Due to a typing error, you have been charged EUR 1,000 instead of EUR 100. Correct this mistake:

18-3-1 Reverse the posted charge (entering a reversal reason).

To correct the transaction, choose:

Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�%DFN�2IILFH�Æ�6HFXULWLHV�$FFRXQW�0DQDJHPHQW�Æ�3D\PHQWV�Æ�5HYHUVH�'HELW�3RVLWLRQ��):2(=��



Company Code FS##

Sec. Acct ACC A##


Click the selected row and select 5HYHUVH�EXVLQHVV�WUDQVDFWLRQ.

On the next screen, enter the following values in the 3RVWLQJ�&RQWURO area:

)LHOG�1DPH�RU�'DWD�7\SH

9DOXH

Reason for Reversal Process.error

FI Reversal Date Date of the original operation is proposed

Save your data by selecting 5HYHUVH in the standard tool bar. The data is saved and posted in Financial Accounting. The reversal log is displayed.

(You can verify that the original process is no longer displayed using TPM40.)

© SAP AG FSC010 5-119

18-3-2 Enter the charge of 100 EUR, value date 11.MM.YYYY. Save the process ZLWKRXW�SRVWLQJ.

Call up the transaction as described in exercise 18-2. However, now enter 100 as the settlement amount.

There are two alternatives: 1. In practice, the activity is posted immediately (see exercise 18-2). 2. You can also save your data first and then post the flow with the debit position in a second step. Take alternative 2 by selecting 6DYH�:LWKRXW�3RVWLQJ.

(The cash flow (TPM40) still displays the charge as 6FKHGXOHG and not )L[HG.)

18-4

18-4-1 The manual debit position of the charge is executed, so that the charge is posted. To execute the manual posting, choose:

Æ�$FFRXWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�%DFN�2IILFH�Æ�6HFXULWLHV�$FFRXQW�0DQDJHPHQW�Æ�3D\PHQW�Æ�0DQXDO�'HELW�3RVLWLRQ��):=(��



&RPSDQ\�&RGH )6��

,'�1XPEHU '(��

6HF��$FFW $&&�$��

Choose ENTER.

Select the required activity (Charge) and choose 3RVW�EXVLQHVV�WUDQVDFWLRQ. The fields are predefined. Simply choose 6DYH to post the activity.

You can view interesting information in the posting log.

© SAP AG FSC010 5-120

18-4-2 You also wish to post dividends with value date 22.MM.YYYY. Use the automatic debit position function to do this.

To execute the automatic posting, select:

Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�%DFN�2IILFH�Æ�6HFXULWLHV�$FFRXQW�0DQDJHPHQW�Æ�3D\PHQWV�Æ�$XWRPDWLF�'HELW�3RVLWLRQ��):62��



Company Code FS##

Up To and Including Due Date 22.MM.YYYY

You can perform a test run and then an update run.

18-5 At the end of the month, you want to value your position. Carry out a “mid-year valuation without reset”. For this key date valuation (Date: last day of the current month) a price rate must be maintained in the system. After the update run, check the relevant changes to the planned records in the cash flow for the valuation areas 001 IFRS and 002 OPERATIONAL.

18-5-1 Perform the accounting valuation: To do this, enter the current price of EUR 110 on the Frankfurt Stock Exchange as the valuation price for Deutsche Bank stock.

To valuate the position, choose:

Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�%DVLF�)XQFWLRQV�Æ�0DUNHW�'DWD�0DQDJHPHQW�Æ�0DQXDO�0DUNHW�'DWD�(QWU\�Æ�6HFXULWLHV�DQG�,QGH[HV�Æ�(QWHU�6HFXULW\�3ULFHV��):��RU�6B$/5B��



Exchange FFM

© SAP AG FSC010 5-121

Choose &KDQJH.



Rate date Last day of the current month

Rate type: 01 Market price

Market value: 110

Save the data.

Confirm warning messages by choosing (QWHU�

18-5-2 Check the log in the simulation (valuation test run).

To perform the valuation, choose: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�$FFRXQWLQJ�Æ�9DOXDWLRQ�Æ�([HFXWH�9DOXDWLRQ��730��.D\�'DWH�9DOXDWLRQ��



Product Groups - Securities X - select indicator

Company Code FS##


Key date Last day of the current month

Valuation Category Mid-Year Valuation Without Reset

Perform a test run and then an update run. Possible processes are displayed. If the 6WDWXV column is empty, a valuation has not yet been performed. (After a valuation for the key date has been performed, a green symbol is displayed in the status field and a further valuation is no longer possible.) To perform the valuation, select ([HFXWH�YDOXDWLRQ in the application toolbar.

© SAP AG FSC010 5-122

18-5-3 After the update run, the cash flow (of the valuation areas) displays the posted write-down amount. Use transaction TPM13.

To display the cash flow for the valuation areas:

Transaction call TPM13

Or Æ�6HFXULWLHV Æ�,QIRUPDWLRQ�6\VWHP� Æ�3RVLWLRQ�7UHQG� Æ�3RVLWLRQ�)ORZ�/LVW

18-6 As stock prices increase, you decide to sell part of your stock and realize your gains. You sell 20,000 units of Deutsche Bank stocks on 25.MM.YYYY at a rate of 120 EUR.

18-6-1 Enter the order in the system.

To enter this contract, choose: Æ $FFRXQWLQJ��→ )LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�→�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�→�7UDQVDFWLRQ�0DQDJHU�→ 6HFXULWLHV →�7UDGLQJ�→�&UHDWH�)LQDQFLDO�7UDQVDFWLRQ��)75B&5($7(� Enter the following data:


Company Code FS##

Product Type 01A

Transaction Type 200




Choose ENTER.

© SAP AG FSC010 5-123


Enter the following values on the 6WUXFWXUH tab page.


Flow Type Sale (transaction)

Sec. Acct ACC A##

General Valuation Class Trading IFRS/US-GAAP




$PRXQWV

Number of Units 20.000

Rate 120

Check the quantity position before saving. On the 6WUXFWXUH tab, choose 4XDQWLW\�3RVLWLRQ. Check that you have 30,000 units “Without transaction“ and 10,000 units with transaction in the position.

Save the activity as usual.


18-6-2 Check and settle the transaction in the back office.

Proceed as described in detail in exercise 17-4.

18-6-3 Then post the transaction for all valuation areas. Check the posted profit. Proceed as described in detail in exercise 18-1.

18-7 Display the transaction. Check the generated price gain in the cash flow of valuation areas 001 IFRS and 002 OPERATIONAL. Choose the &DVK�)ORZ button of the &ROOHFWLYH�3URFHVVLQJ function. Proceed as described in detail in exercise 17-7.

© SAP AG FSC010 5-124

�([HUFLVHV��

8QLW�� 7UDQVDFWLRQ�0DQDJHU��6HFXULWLHV�7RSLF�� 3RVLWLRQ�0DQDJHPHQW�


• Enter a capital increase as a corporate action

A corporation in which you hold stocks performs a capital increase. You post the subscription rights to which you are entitled, and decide to exercise all of them. You later bring the new stocks into line with the old stocks.

19-1 You purchased 1000 units of Dresdner Bank stocks, with ID number

DE0008046##0, at EUR 75 in securities account Deuba Acc2 (see exercise 17-5).

Use the securities account cash flow to check this activity.

19-2 Due to a capital increase by the Dresdner Bank, you are entitled to subscription rights to purchase new stocks.

Create the following class master data:

19-2-1 New stock: ID number: DE0008046##2

Use the Copy function to copy the old stock (ID number DE0008046##0). (Also copy the basic data, conditions, and exchanges.) You must make changes to the stock form (new stock).

19-2-2 Create the subscription right as follows (use product type 03A):

ID number: DE0008046##6 Issuer BKDRBANKDE Issue currency: EUR ID number of underlying: DE0008046##2 Subscription price: 65 EUR Subscription ratio: 20 : 1 Subscription period: 14.MM+1.YYYY – 28.MM+1.YYYY Exchange: FFM

�

© SAP AG FSC010 5-125

19-3

19-3-1 On the first day the subscription rights are traded (14.MM+1.YYYY), you post the subscription rights to which you are entitled with value date and position value date 14.MM+1.YYYY. Create the relevant corporate action and activate the process. When you enter the corporate action, make sure that you take into account the price of the reference stock (EUR 80) and the dividend disadvantage (EUR 0.75). The subscription ratio is 1:1.

Note the corporate action ID number (CA number) ___________�

You must also maintain the position indicator for subscription right postings. You can do this in two ways 1. You can create the position indicator manually (as described in exercise 16-5) or

2. you have the system create it automatically with the corporate action posting.

19-3-2 The corporate action is posted in your company code. The posting log displays the posted subscription rights and the subscription right markdown of EUR 636.16 for the old stocks.

The theoretical value of the subscription right is determines as follows: 75 * 0.678570 / 80 =: EUR 0.63616

For 1000 stocks with 1000 subscription rights you post subscription rights worth EUR 636.16 and subtract the relevant markdown for the old stocks.

19-3-3 Check the procedures in the IFRS and OPERATIONAL cash flows for both the old stock and the subscription right.

Position:

- Old stock cash flow: DE0008046##0: 1000 units at (75 – 0.63616) = EUR 74.36384. - Subscription right cash flow: DE0008046##6: 1000 units at EUR 0.63616.

© SAP AG FSC010 5-126

19-4 On 18.MM+1.YYYY, you decide to exercise all the subscription rights. The new stocks are posted when you exercise the subscription rights. The security right, which was generated by subscription right link to new stock is also displayed. This was carried out when the class data was created in exercise 19-2.

Remember to create a position indicator before you post the new stock. You can do this in two ways 1. You can create the position indicator manually (as described in exercise 16-5) or

2. you have the system create it automatically with the exercising rights posting. �

When you exercise the subscription rights you obtain 50 new stocks at a total value of EUR 3,886.16. (50 stocks at a subscription price of EUR 65 (= EUR 3,250) plus the subscription right value of EUR 636.16).

�

19-5 Assume that the new stock equals the old stock on 01.MM+2.YYYY.

19-5-1 Transfer this new stock to the securities account of the old stock as a corporate action.

Note the number of the corporate action _______.

19-5-2 Post the corporate action in your company code. When you have transferred the new stock, check the cash flow of both the new and old stock.

�

© SAP AG FSC010 5-127

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8QLW�� 7UDQVDFWLRQ�0DQDJHU��6HFXULWLHV�7RSLF� 3RVLWLRQ�0DQDJHPHQW��

19-1 You purchased 1000 units of Dresdner Bank stocks, with ID number DE0008046##0, at EUR 75 in securities account Deuba Acc2 (see exercise 17-5). Use the securities account cash flow to check this activity. To display the “ Securities Account Cash Flow”, choose: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�%DFN�2IILFH�Æ�6HFXULWLHV�$FFRXQW�0DQDJHPHQW��Æ�3RVLWLRQ�,QIRUPDWLRQ�Æ�6HFXULWLHV�$FFRXQW�&DVK�)ORZ��730��



Company Code FS##


Sec. Acct ACC A##

You can see the purchase of 1,000 shares with a total value of EUR 75,000 in the position.

© SAP AG FSC010 5-128

19-2 Due to a capital increase by the Dresdner Bank, you are entitled to subscription rights to purchase new stocks.

Create the following class master data:

19-2-1 New stock: ID number: DE0008046##2

Use the Copy function to copy the old stock (ID number DE0008046##0). (Also copy the basic data, conditions, and exchanges.)

You must make changes to the stock form (new stock).�

To create new stock as a class, select: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�0DVWHU�'DWD�Æ�&ODVV��):==��

Enter the ID number of the new class.


ID number (new class!) DE0008046##2

Choose &5($7( on the displayed screen.

A dialog box appears.

Set the :LWK�UHIHUHQFH indicator.

The dialog box expands to display the &RS\�5HIHUHQFH area. Enter the ID number of the class intended as the template (DE0008046##0).

Enter the ID number of the new class.


Short name Dresdner NS

Long name Dresdner New Stock


Copy reference DE0008046##0

(Also copy the basic data, conditions and exchanges.) Set the relevant indicator in the lower left area of the screen.

© SAP AG FSC010 5-129


Basic Data X - select indicator

Conditions X - select indicator

Exchanges X - select indicator

Choose &RS\ in the lower area of the dialog box.

Before saving, change the stock form to 1HZ�VWRFN�(%DVLF�GDWD tab page).


Stock form New stock


19-2-2 Create the subscription right as follows (use product type 03A): ID number: DE0008046##6 Issuer BKDRBANKDE Issue currency: EUR ID number of underlying: DE0008046##2 Subscription price: 65 EUR Subscription ratio: 20 : 1 Subscription period: 14.MM+1.YYYY – 28.MM+1.YYYY Exchange: FFM

��To create the subscription right, select: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�0DVWHU�'DWD�Æ�&ODVV��):==��

Enter the subscription right ID number:



Choose &UHDWH on the displayed screen.

A dialog box appears.

© SAP AG FSC010 5-130

Select product type 03A.


Product Type 03A

Short name SubscRight DrBa

Long name Subscription Right Dresdner Bank


Choose &UHDWH�in the lower area of the dialog box.

Before saving, enter the following values:

%DVLF�GDWD tab page:


Issuer BKDRBANKDE

Issue currency EUR

Add a new line for the subscription periods using ,QVHUW�5RZ� )LHOG�1DPH�RU�'DWD�7\SH 9DOXH

Subscription Right ID entered automatically

Underlying ID number (ID no.underlying)

DE0008046##2

Subscription ratio numerator (SubRatNumer)

20

Subscription ratio denominator (SubRatDenom)

1

Subscription price 65

Currency EUR

Subscript. period from 14.MM+1.YYYY

Subscript. period to 28.MM+1.YYYY

Description Choose your own

Go to the ([FKDQJHV tab page.


Exchange FFM


© SAP AG FSC010 5-131

19-3

19-3-1 On the first day the subscription rights are traded (14.MM+1.YYYY), you post the subscription rights to which you are entitled with value date and position value date 14.MM+1.YYYY. Create the relevant corporate action and activate the process.

When you enter the corporate action, make sure that you take into account the price of the reference stock (EUR 80) and the dividend disadvantage (EUR 0.75). The subscription right ratio is 1:1. Write down the corporate action number (CA number) ___________

�

You must also maintain the position indicator for subscription right postings. You can do this in two ways 1. You can create the position indicator manually (as described in exercise 16-5) or

2. You have the system create it automatically with the corporate action posting.

�

To create the corporate action, select: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�6HFXULWLHV�Æ�%DFN�2IILFH�Æ�&RUSRUDWH�$FWLRQV��):.��

© SAP AG FSC010 5-132



CA number Leave blank

CA cat. Post subscription rights

CA type 70 – entered automatically

Choose &UHDWH� )LHOG�1DPH�RU�'DWD�7\SH 9DOXH

Key date 14.MM+1.YYYY


ID subscription right DE0008046##6

Old stock ID DE0008046##0

Subscription right ratio 1:1

Divid. adv/disadv EUR 0,75

Market price old stock 80

The subscription right value is entered automatically when you choose ENTER.

Theoretical value of the subscription right: 80 - (65 + 0.75) / 20+1 = EUR 0.678571

Activate the corporate action by selecting $FWLYDWH in the application toolbar. This also saves the corporate action.

Note the CA number ________________

© SAP AG FSC010 5-133

19-3-2 The corporate action is posted in your company code. The posting log displays the posted subscription rights and the subscription right markdown of EUR 636.16 for the old stocks.

The theoretical value of the subscription right is determines as follows: 75 * 0.678570 / 80 =: EUR 0.63616

For 1000 stocks with 1000 subscription rights you post subscription rights worth EUR 636.16 and subtract the relevant markdown for the old stocks.

To post a corporate action, choose Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�$FFRXQWLQJ�Æ�&RUSRUDWH�$FWLRQ�Æ�3RVW��):.%�



&RUSRUDWH�DFWLRQ�QXPEHU ��&RPSDQ\�&RGH FS##


19-3-3 Check the procedures in the IFRS and OPERATIONAL cash flows for both the old stock and the subscription right.

�

Position:

- Old stock cash flow: DE0008046##0: 1000 units at (75 – 0.63616) = EUR 74.36384. - Subscription right cash flow: DE0008046##6: 1000 units at EUR 0.63616.

To display the cash flow, choose: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�,QIRUPDWLRQ�6\VWHP�Æ�5HSRUWV�Æ�3RVLWLRQ�7UHQG�Æ�3RVLWLRQ�)ORZ�/LVW��730��

© SAP AG FSC010 5-134



Product Groups - Securities X - select indicator

Company Code FS##

Valuation Area First, 001 (IFRS) then 002 (OPERATIONAL)


and DE0008046##6 (select 0XOWLSOH�6HOHFWLRQ on the right, next to the entry field.)

Choose ([HFXWH� You can modify the layout of the displayed list as required in the usual way.

You can see that, following the corporate action, the acquisition value of the old stock has been reduced by the theoretical value of the subscription right. The subscription right is also displayed.

19-4 On 18.MM+1.YYYY, you decide to exercise all the subscription rights. The new stocks are posted when you exercise the subscription rights. The system also displays the security right, which was generated by subscription right link to new stock. This was carried out when the class data was created in exercise 19-2.

Remember to create a position indicator before you post the new stock. You can do this in two ways 1. You can create the position indicator manually (as described in exercise 16-5) or

2. You have the system create it automatically with the exercising rights posting.

�

�

When you exercise the subscription rights you obtain 50 new stocks at a total value of EUR 3,886.16. (50 stocks at a subscription price of EUR 65 (= EUR 3,250) plus the subscription right value of EUR 636.16). �

© SAP AG FSC010 5-135

To exercise subscription rights, choose: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�7UDGLQJ�Æ�6HFXULW\�5LJKW�Æ�([HUFLVH��):(5�

Use the navigation tree on the left side of the screen to display existing rights. Choose ID number DE0008046##6 under 6XEVFULSWLRQ�ULJKW. The data for the subscription right appears on the left side of the screen.



.H\�GDWH ��00��<<<<

Select ENTER and the subscription right position is displayed in the lower part of the screen, since the entered key date falls within the subscription period of the respective right.

Perform a test run by selecting 7HVW�5XQ�in the application toolbar. However, you must first select the position.

To execute the update run, choose 6DYH. The system produces a log for the procedure.

EUR 3,250 subscription price; Total posting amounts: Subscription price EUR 3,250.00 Subsc. right value EUR 636,16 Total EUR 3.886,16

Cash flow for subscription rights (DE0008046##6): No position as at 18.MM+1.YYYY Cash flow for new stock (8046##2): 50 units at EUR 77.7232 (= EUR 3,886.16 for 50 units).

© SAP AG FSC010 5-136

19-5 Assume that the new stock equals the old stock on 01.MM+2.YYYY.

19-5-1 Transfer this new stock to the securities account of the old stock as a corporate action.

To transfer the new stock, choose: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�%DFN�2IILFH�Æ�&RUSRUDWH�$FWLRQV��):.��



CA number Leave blank

CA cat. Transfer new stock to old stock

CA type 60 – entered automatically

Choose &UHDWH� Enter the following data:


Key date 01.MM+2.YYYY


New stock ID DE0008046##2

Old stock ID DE0008046##0

Activate the corporate action by selecting $FWLYDWH in the application toolbar. This also saves the corporate action.

Note the ID number ________________

© SAP AG FSC010 5-137

19-5-2 Post the corporate action in your company code.

When you have transferred the new stock, check the cash flow of both the new and old stock.

To post a corporate action, choose Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�7UDQVDFWLRQ�0DQDJHU�Æ�6HFXULWLHV�Æ�$FFRXQWLQJ�Æ�&RUSRUDWH�$FWLRQ�Æ�3RVW��):.%�



&RUSRUDWH�DFWLRQ�QXPEHU ��&RPSDQ\�&RGH FS##


Posting log: Clear new stock EUR 3,886.16 Post old stock EUR 3,886.16

�

Cash flow new stock (DE0008046##2): No position as at 01.MM.YYYY Cash flow old stock (DE0008046##0): On 01.MM.YYYY: Position 1,050 units at 74.523810

1000 old stocks + 50 new stocks = 1,050 units. 1000 old stocks book value 75,000.00 ./. SR markdown 636.16 + 50 new stocks 3,886.16 ___________________________________ 1,050 stocks 78,250.00 1 stock 74,523810


SAP AG 2006

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� Risk management focuses on limiting taking undue risks and distributing the sum of risks taken optimally among the individual sources of risk.


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can define as many reference interest rates in as many currencies as you like. � The reference interest rates are defined by currency, interest calculation method (such as 360E/360,

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When you assign an interest rate to a yield curve, you define what interest rate structure is used to calculate forward interest rates in case that interest rate is used as the reference interest rate in products such as floating rate bonds, swaps, or caps. Then you can decouple the calculation of the forward interest rates from the curve that is used as a basis to calculate the zero bond discounting factors.

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SAP AG 2006

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� Yield curves that are similar on a business level can be grouped into yield curve types. Then you can set the interest rate calculation method for each currency. You can define the valuation rule for transactions regardless of currency, since the system uses the yield curve needed when specifying the yield curve type in relation to the currency of a single transaction.

� A yield curve type can indicate a market segment (swap market, government bond market) or the determination of the opportunity interest (in the sense of an internal market of the central fund manager).


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SAP AG 2003

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� The DQDO\VLV�VWUXFWXUH is the technical vehicle for all characteristics in risk management. You can define multiple analysis structures and assign multiple characteristics to them. Each client has exactly one analysis structure enabled.

� The analysis structure forms the basis for the summarization levels that can be analyzed as part of the NPV, value-at-risk, gap, and ALM procedures. Each data pool transaction contains a finance object that allows assignments to the relevant portfolios of the summarization levels (views). Before the data interfaces are implemented, you must derive the analysis structure from the internal requirements. Otherwise you may have to adjust the transfer of the characteristics if they are not transferred completely.

� You can redefine characteristics or copy them from the risk management field catalog or the profitability analysis field catalog. You can also use characteristics that are already present in the SAP system in reference tables. This procedure always is preferred from an integration perspective (copying criteria and entities) over creating new characteristics. For characteristics that you define, you must also define values of those characteristics.

� Each transaction in the data pool has a ILQDQFH�REMHFW assigned to it. The finance object contains the corresponding transaction values for all characteristics of the analysis structure. The GHULYDWLRQ�RI�FKDUDFWHULVWLFV can be used to find the values of characteristics automatically.


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� You create characteristics independently of the data structures of the analysis structure. � To create characteristics, you have the following methods available:

y Copy from a reference table y Define your own characteristics (with your own value maintenance, without value maintenance,

related to a data element) y Copy from the field catalog of bank profitability analysis

� You define the analysis structure by selecting some of the characteristics from previously defined characteristics.

� Groups of characteristics also are supported (dependent characteristics such as trader and company code). You can define the grouping for your own defined fields or copy it from the properties of a table field. Grouped characteristics always must be placed in a common analysis structure.

� You also can use currencies as characteristics and refer to the TCURC table. Previously this was possible only by manually maintaining the corresponding values.


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drill down on the analyzed results of an investment structure by values of the characteristics. � $WWHQWLRQ: There is only one view in Corporate Finance Management that remains hidden. It is

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� For overall bank control, you can create a structure that makes it possible to differentiate between assets and liabilities in relation to the transactions on the balance sheet. In addition, transactions off the balance sheet can be managed in their own portfolios.


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� The derivation of characteristics in risk analysis allows for characteristics with values to be provided automatically and controlled with rules.

� As of SAP Accounting in Release 4.0, you use a uniform tool for deriving characteristics in risk analysis and in bank profitability analysis.

� In risk analysis, the derivation of characteristics for copying finance objects runs and effects the analysis parameters of the finance object.

� You must enable derivation for an analysis structure. Derivation of characters used for the results area can be executed during the data transfer to the risk management data pool. The field contents are transferred that are present in the analysis structure as well as the results area.


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� Evaluation types collect and contain evaluation-specific information related to using market data. � You can define evaluation types generally so that one and the same basis for evaluation applies to all

financial products. � Evaluation types can be defined specifically for individual financial products (specific to valuation

rules).


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� The valuation rule represents a central control instrument for evaluations. In the finance object, the valuation rule is an optional field. If it is not defined directly in the finance object, you can find it through other identities defined in Customizing.

� The valuation rule is relevant for controlling the evaluation. As part of the general settings, defaults are set for market segment assignments or stocks are mapped to stock indexes. The valuation rule also influences the datafeed control and the summarized display of cash flow transactions by evaluation type. Depending on the valuation rule, it can override the general evaluation settings in the evaluation type for certain transactions. The valuation rule gains significance only when this function is used. If there are no settings defined for the valuation rule in the evaluation type, there is no reason to define different valuation rules. All transactions are analyzed according to the settings of the evaluation type.


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� 0DUN�WR�0DUNHW means valuing a position at the price that can currently be attained on the market. For long positions this means determining the achievable disposal price. For short positions it means determining the repurchase value.


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tables and are observed from the historical status of the transactions. � If the evaluation date is after today, the latest market data found is interpreted as valid for the

evaluation date and the forward data is calculated from this date. +RUL]RQ � Date when the results are calculated (evaluation date). All cash flows after this date are included in

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� Time when the scenarios used are assumed to be valid.


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� In this example, the valuation of a payment flow leads to a net present value of EUR 618.1 million.


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� For a parallel shift of +1% of the yield curve, the net present value (NPV) is EUR 521.7 million in scenario 1. There is a risk of EUR 96.4 million. If the interest decreases by 1%, the same cash flow has an NPV of EUR 720.1 million and an opportunity of EUR 102.0 million.


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0DFDXOD\�GXUDWLRQ� The Macaulay duration describes the term of the investment after which both inverse effects from rate changes and reinvestment success balance out exactly. This point in time is used as a planning horizon, and the investor istherefore immune to changes in interest.

0RGLILHG�GXUDWLRQ��The modified duration indicates how much of a percentage change in the value of an interest instrument occurs when the interest level changes by one percentage point. The modified duration therefore describes the elasticity of the NPV to changes in interest.

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� The risk of a fixed-interest security – apart from borrower's credit rating and market efficiency – is the change in the market interest rate during the term (LQWHUHVW�UDWH�ULVN). The interest rate risk can be divided into two basic components: the reinvestment risk and the price risk.

� All repayments of an investment (repayment flows, interest, and compound interest) are subject to UHLQYHVWPHQW�ULVN when the repayments are before the investor's planning horizon. For example, when market interest rates are decreasing, coupon payments are reinvested only at a lower interest rate. If the due date of the investment passes the planning horizon, there is also a SULFH�ULVN, since the price during the term is determined by the market interest rate.

� Changes in market interest rates effect both of these revenue components of an investment inversely: Rising interest means price losses on one hand, rising reinvestment revenue on the other. The key sensitivity figures support quantification and simple management of the risks and opportunities due to changes in interest rates.

� For optional products, the Macaulay duration, modified duration, and convexity key figures are not calculated because it does not make business sense.


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� You can combine any two risk factors in the evaluation matrix. You then have the option of spacing the grid as you like so that you can determine which constellation of changes in underlying transactions and volatility for complex option portfolios can be determined that results in the highest portfolio risk.

� The evaluation matrix represents a possible procedure for determining back-up collateral of equity capital for option price risks and is formulated accordingly in the Basel market risk paper and the European Capital Adequacy Directive (in Germany, Basic Rule I).


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� You can define the issue of risk calculation in consolidation levels for each node individually. There are basic default aggregation types for the risks in the hierarchy that can be changed for individual nodes. It then makes sense to count on a correlated risk, but for stocks you must perform an addition of the risk aspects with the correct plus/minus signs.

� You can account for volatility risks in the risk hierarchy by grouping the volatility risks of individual risk factors into as many risk nodes as necessary. For example, you can group the interest volatility risks by curve into an overall interest volatility risk, or the volatility risk of various exchange rates, security prices, stocks, or stock indexes. The volatility aspects are aggregated into an overall market risk.

� Volatility risks are calculated only within the historical simulation since the underlying assumption of normal distribution for determining variance and covariance is not valid for volatilities.


SAP AG 2003

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� The +LVWRULFDO�6LPXODWLRQ provides various procedures for determining Value-at-Risk. You can use the Historical Simulation to arrange the *DLQV�DQG�/RVVHV and the corresponding confidence level is used to determine the Value-at-Risk key figure. For example, to calculate a drift into the risk aspect, you also can choose 'RXEOLQJ�RI�WKH�JDLQV�DQG�ORVVHV�as a base, so that the determination of the Value-at-Risk is based on an even distribution. Another procedure for determining Value-at-Risk is using the DVVXPSWLRQ�RI�D�QRUPDO�GLVWULEXWLRQ as a basis for the gains and losses calculated.

� The variance/covariance calculation is based on the method suggested by J.P. Morgan/RiskMetrics. You can determine volatilities and correlations in the risk analysis from SAP Banking or read them in as data records such as those values from J.P. Morgan.


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y Instead of counting the discrete gains and losses, you can assume that they are distributed normally. The Value at Risk is then determined accordingly.


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� In GHOWD�HYDOXDWLRQ NPV changes are simulated by applying the historical changes in market price to a standardized change in NPV. The advantage of this approximation is that this procedures is less calculation-intensive. However, the assumption that the NPV function is linear leads to inaccuracies especially in the range of option transactions.

� The GHOWD�JDPPD�FDOFXODWLRQ returns more accurate calculation results than the Delta evaluation at a significantly higher calculation speed than Complete Evaluation. You can calculate the gamma add-on specifically by product or single transactions.

� You can define these methods by product through the valuation rule in the FRPELQDWLRQ�SURFHGXUH as well. To prevent the settings specific to the valuation rule from being ignored, you must enter the combination procedure in the VaR type in Customizing.


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� It is unrealistic to assume a linear relation between NPV and change in market price, especially for optional instruments. You must evaluate portfolios with a large portion of optional instruments using a full analysis.


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� Because you cannot assume that volatilities are distributed normally, the calculation of variance/covariance values do not provide any volatility risks.


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� Backtesting is a procedure required by oversight law to check internal models. In backtesting, the value at risk calculated in t1 is compared to the change to the portfolio from time t1 when the real change in market price is considered.


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� The Results Database provides the opportunity for an outlier analysis according to the guidelines of the Basel committee. You can perform this analysis for the entire portfolio and for each node of the portfolio hierarchy. The outliers are highlighted in red in the list.

� The following displays are also available: y Value-at-Risk and distribution of gains and losses y QQ plot y PP plot

� Backtesting is the ex-post check of the Value-at-Risk values against the actual changes in portfolio value. Backtesting checks how adequately the calculated Value-at-Risk predicted the risk.

� The Basel Committee for Banking Supervision requires an ex-post comparison for internal models of capital adequacy. The sum of the exceptions (realized gains/losses > VaR) of the last 250 days of trading (1 day as a holding period, 99% confidence level) is compared to the specifications.

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• The evaluation results are available for the long term, even for different releases, and can be archived.

• You can add to and correct the results at a later time. This is necessary for a change in transaction position or for errors in evaluation.


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single items. � You can compare periods of key figures ("historical development"). � You can display the saved calculation bases. These are not effected by changes made later to the

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� You can use the Results Database to evaluate the VaR of a Portfolio for various confidence levels, holding periods, and VaR procedures (such as historical simulations, variance/covariance, or Monte Carlo simulations).


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changes may be made to the procedures for single records. y You cannot assign the NPV basic key figure to a procedure for single records. y Key figures of type Symmetrical Shift in Interest may not be added to the procedure for final

results. y Key figures that are not in the associated procedure for single records cannot be used in the

procedure for final records.


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• Create a portfolio hierarchy

• Perform and analyze an NPV analysis.

• Perform and analyze a sensitivity analysis

The portfolio hierarchy describes the evaluation levels within MRA standard reporting and determines the depth of evaluation by its structure of levels. You can use the NPV analysis to calculate the Mark-to-Market values of single transactions.

20-1 Create a new portfolio hierarchy. Choose your own characteristics to reflect the depth of evaluation.

Assign the number 9## to your portfolio (## stands for your group number).

Choose company code, contract type, and product type as characteristics for your portfolio hierarchy.

20-2 Create a fixed-term deposit as usual.


20-3 Perform an NPV analysis.

You have several options in the system.

In Scenario 20-3-1 it is assumed that the market data is present in the market data tables in the system.

In 20-3-2, the current market data is read from a datafeed for the evaluation and used as a basis for the evaluation.

20-3-1 Perform an NPV analysis (evaluation type: RM01 – Standard (only Middle)).

Search for the transaction just created in the opened analysis and display the detail log of the evaluation, the calculation details, and the detailed information on the transaction.


20-3-2 OPTIONAL – Use current market data from the datafeed to perform an NPV analysis (Evaluation type: RM02 – Standard (only Middle) VWDWeb). Unlike exercise section a.), the evaluation is performed with market data shifts. You can use this to study the sensitivity of your portfolio to changes in interest or volatility.

Use the options in the SAP List Viewer (subtotals, different layouts, expansion, and summary).

20-4 Perform a sensitivity analysis. In the opened analysis, search for the transaction you created in Exercise 20/2 . Display different key figures (such as Macaulay Duration, Fisher-Weil Duration) and information on how to calculate them. (For example, use the layout to show other characteristics and key figures in the details list.)

20-5 In contrast to NPV and value-at-risk analyses, where NPVs and time values are used to present risks, the gap analysis uses position and maturity volumes as well as cash flows and liquidities by key dates or periods and presents the gap items with relation to currency and liquidity risks. Perform an ALM single value analysis for your financial transactions (gap analysis).

Analyze your entire portfolio with and without consideration of the non-balance sheet transactions.

Check your portfolio by capital commitment and fixed-rate interest period.


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20-1 Create a new portfolio hierarchy. Choose your own characteristics to reflect the depth of evaluation. Assign the number 9## to your portfolio (## stands for your group number).

Choose company code, contract type, and product type as characteristics for your portfolio hierarchy.

�To create a new portfolio hierarchy, choose:

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Portfolio Hierarchy 9##

Authorization Group Leave blank

Filter Leave blank

Short description Hierarchy group ##

Portfolio 9##

Long Text company code/contract type/product type

�Choose ENTER.

Highlight your portfolio hierarchy by clicking the appropriate line (left side of the screen).

Double-click “Structure” in the Dialog Structure area.

Choose 1HZ�(QWULHV�


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Characteristic Company Code

Sort 1

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Characteristic Contract Type

Sort 2

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Characteristic Product Type

Sort 3

Save your data by choosing 6DYH in the standard toolbar.

The overview screen “Generation of Portfolio Hierarchy” appears.

You can display the detailed information for creating the portfolio hierarchy here.

Choose %DFN until you reach the SAP Easy Access Menu.

20-2 Create a fixed-term deposit as usual.

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Enter the following data: Field Name or Data Type Value

Company Code FS##

Product Type 51A



Choose ENTER.

To create the transaction, enter the following values: Field Name or Data Type Value

Amount EUR 500,000.00

Start of Term Today (0)

End of Term +3 months (++3)

Int. rate 2.1 (percent)

Save your data by choosing 6DYH in the standard toolbar. Transaction number:_______________________

20-3 Perform an NPV analysis. You have several options in the system. In Scenario 20-3-1 it is assumed that the market data is present in the market data tables in the system. In 20-3-2, the current market data is imported for the evaluation using a datafeed and used as a basis for the evaluation.

20-3-1 Perform an NPV analysis (evaluation type: RM01 – Standard only Middle Rates). Search for the transaction just created in the opened analysis and display the detail log of the evaluation, the calculation details, and the detailed information about the transaction.


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Evaluation currency EUR


Evaluation date Today (proposed)

Horizon Today (proposed)


Go to the &KDUDFWHULVWLFV tab page.


Company Code FS##

(Additional Information: You can use the &KDUDFWHULVWLFV tab to enter selection criteria to restrict the reports further (such as limiting them to the company code of course FSC010 with FS##). You also can select a particular transaction number, a business partner or portfolio.)

Choose ([HFXWH in the application tool bar.

If there are problems with executing the evaluation, you will receive a log that displays error and warning messages. This is a new session, which means that the results of the single value analysis are already available in another session. (Exit the log – close it by ending the session or choosing %DFN. If the evaluation runs without any problems, the system takes you directly to the “Single Value Analysis” screen. The overview on the right side of the screen is empty at first.

In the dialog structure on the left side of the screen click the node that contains the data of your company code. This selects the transactions assigned to this node and displays them.


Transactions highlighted in red have not been evaluated because of missing market data.

The fixed-term deposit that you created in the previous exercise is displayed.

Double-click the fixed-term deposit to select it. You then see the detailed information from the underlying transaction.

If required, go back to the “Single value analysis” overview.

'HWDLO�ORJ�Highlight your transaction again and choose 'HWDLO�/RJ on the toolbar on the right side of the screen. A dialog box appears.

Choose *UDSKLFDO�/LVW. The list provides an overview of information about discounting the cash flow of the selected transaction to calculate the total NPV. It displays other key figures (such as clean price, duration key figures, and “Greeks”) by transaction type.

To exit the log, choose %DFN.

&DOFXODWLRQ�%DVHV�Highlight your transaction again and choose “&DOF��%DVHV” in the toolbar on the right side of the screen.

On the left side of the screen you can navigate as usual among the market data types. Select &XUUHQW� ��<OG�&XUYHV� ��''�00�<<<<��IRU�H[DPSOH�� Double-click the last level.

On the right side of the screen you will see the grid points for the evaluation of the underlying yield curve. The zero coupon values and the zero bond discounting factors are also listed. For values between the grid points, the interpolated values are given.


20-3-2 – OPTIONAL – Use current market data from the datafeed to perform an NPV analysis (Evaluation type: RM02 – Standard only Middle Rates VWDWeb). Unlike exercise section a.), the evaluation is performed with market data shifts. You can use this to study the sensitivity of your portfolio to changes in interest or volatility.

Use the options in the SAP List Viewer (subtotals, different layouts, expansion, and summary).

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2000000000

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Key figure NPV (proposed)

Include Differences X - select indicator


During the execution, messages on the datafeed interface are displayed in the status bar.

As in the previous exercise, you receive the log or the direct view of the “ Single Value Analysis” .

You can navigate here as described in the previous exercise.

In addition to the transaction market values based on current market data, the list provides the market data based on the underlying market data shifts and the differences.

Use the selection options of various layouts (such as FSC010) or create your own layout (create user-defined layouts individually and name them as follows: Group##).

Use the options for summarizing and expanding. Use the characteristics from the analysis structure that you displayed to form subtotals.


20-4 Perform a sensitivity analysis. Search for the transaction you created in the opened analysis. Display different key figures (such as Macaulay Duration, Fisher-Weil Duration) and information about how to calculate them. (For example, use the layout to show other characteristics and key figures in the details list.)

To perform the sensitivity analysis, choose →�$FFRXQWLQJ��→�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�→�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�→�0DUNHW�5LVN�$QDO\]HU��→�,QIRUPDWLRQ�6\VWHP��→�6HQVLWLYLW\�$QDO\VLV�→�6HQVLWLYLW\�.H\�)LJXUHV��$,66�









Company Code FS##


If there are problems with executing the evaluation, you will receive a log that displays error and warning messages. This is a new session, which means that the results of the single value analysis are already available in another session. (Exit the log – close it by ending the session or choosing %DFN.) If the evaluation runs without any problems, the system takes you directly to the “ Sensitivity Key Figures DD.MM.YYYY Current Market Data” screen.

The following key figures are displayed based on the selected portfolio hierarchy: (Macaulay duration, Fisher-Weil duration, convexity, sensitivity per basis point (PVBP)).

At the top of the screen you can expand the portfolio hierarchy nodes and display the calculated key figures on the subnodes.


To display the transactions assigned to this node in the detail view (at the bottom of the screen), double-click a key figure value.

To navigate to the single transactions, double-click the line. For information about the calculations, select the 'HWDLO�/RJ button.

To display the underlying market data of the calculations, select &DOF��%DVHV� You can use the layout to show other characteristics and key figures in the details list. The normal functions of the SAP List Viewer are available.

20-5 In contrast to NPV and value-at-risk analyses, where NPVs and time values are used to present risks, the gap analysis uses position and maturity volumes as well as cash flows and liquidities by key dates or periods and presents the gap items in relation to currency and liquidity risks.

Perform an ALM single value analysis for your financial transactions (gap analysis).

Analyze your entire portfolio with and without consideration of the non-balance sheet transactions.

Check your portfolio by capital commitment and fixed-rate interest period.

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Go to the (YDOXDWLRQ�3DUDPHWHUV tab page.


Date of Evaluation +1 (today plus 1 day)

Horizon +1 (today plus 1 day)


ALM evaluation type RM01

Maturity Band 2


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Company Code FS##


If there are problems with executing the evaluation, you will receive a log that displays error and warning messages. This is a new session, which means that the results of the ALM single value analysis are already available in another session. (Exit the log – close it by ending the session or choosing %DFN. If the evaluation runs without any problems, the system takes you directly to the “ Display of Results of ALM Single Value Analysis” screen.

The portfolio hierarchy is displayed on the left side of the screen. You can use the portfolio hierarchy to select subportfolios. To select the transactions of your company code, double-click your company code on the left side of the screen (subportfolio). All the transactions in your company code are displayed irrespective of their contract type or product type. The report provides the following evaluations (tab pages): - Average Position - Key Date Position - Maturity Evaluation - Cash Flow Evaluation - Liquidity Evaluation - Currency Liquidity - Net Interest Income Evaluation

Average position: The Average Position section of the report displays in the maturity band the transactions selected through the portfolio hierarchy. It also calculates the average active and passive interest rates. The average position of each period and the gap items are displayed.

Key Date Position: The Key Date Position section of the report displays the key date positions for the key date of each maturity band. It also calculates the gap items and the average active and passive interest rates of the key dates. Maturity Evaluation: The Maturity Evaluation section of the report displays the capital processes by the defined maturity date. It also calculates the gap items and the active and passive interest rates of the capital processes.


Cash Flow Evaluation:

You can use the position and process view to present the interest rate risk as calculated cash flows differentiated by currency or as various currencies grouped together. Volume inflow and outflow and interest payments corresponding to the interest commitment of the underlying items are included in the displayed cash flows. Interest rates are not shown.

Liquidity Evaluation:

The liquidity evaluation primarily deals with capital commitments, meaning that this evaluation involves the interest and capital payments corresponding to the capital commitment of the underlying transactions.

The liquidity evaluation does not include capital payments that do not flow in reality and that serve only as a basis for interest calculations for certain transactions (such as nominal capital for FRAs or for swaps without capital exchange), although these payments are displayed in the other evaluations.

The liquidity evaluation includes incoming and outgoing payments, payment gaps, and cumulative payment gaps from liquidity flows, but does not include interest rates.

Currency Liquidity: Similar to the liquidity evaluation display, but without conversion to the evaluation currency.

Interest Result Evaluation The Net Interest Income Evaluation section of the report displays the active and passive volumes in the maturity band. It also lists the interest revenue of the active and passive sides of the maturity band and the resulting balance. (Note: 7KH�³'DWD�5HOHYDQW�IRU�'LVSOD\´�EXWWRQ�LQ�WKH�DSSOLFDWLRQ�WRROEDU�SURYLGHV�PDQ\�RSWLRQV�IRU�VWUXFWXULQJ�WKH�GLVSOD\HG�GDWD��VXFK�DV�GLVSOD\LQJ�WUDQVDFWLRQV�RQ�DQG�RII�WKH�EDODQFH�VKHHW��LQWHUHVW�FRPPLWPHQW�RU�FDSLWDO�FRPPLWPHQW��FDVK�IORZV�WR�EH�GLVSOD\HG��

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• Perform a value-at-risk evaluation in the results database

21-1

21-1-1 Call the Analyzer Information System with the variant FSC010. Display the subportfolios of the portfolio hierarchy.

21-1-2 Analyze the historical trend of a key figure for the period 01/01/2005 to 06/30/2005.

21-1-3 Display the single record for a selected node in the portfolio hierarchy. Branch from the single position display to the transaction.

21-1-4 Display the single record of a financial object and branch to the detail log of the single record calculations.

21-1-5 Display the calculation bases (market data) of a key figure.

21-1-6 Display the risk hierarchy for closer analysis of the calculated Value-at-Risk. Analyze the profit/loss distribution for a selected node in the risk hierarchy.


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21-1 Call the Analyzer Information System with the variant FSC010. Display the subportfolios of the portfolio hierarchy.

�To create a new portfolio hierarchy, choose:

Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�0DUNHW�5LVN�$QDO\]HU��Æ�,QIRUPDWLRQ�6\VWHP�Æ�$QDO\]HU�,QIRUPDWLRQ�6\VWHP��$,6B67'5(3�

Run the report with the parameters of the FSC010 variant (*HW�9DULDQW«��


)LHOG�QDPH�RU�GDWD�W\SH 9DOXHV Portfolio hierarchy 400 Portfolio hierarchy node Leave empty Key dates 30.06.2005 Initial layout RM002 Remaining layout fields Leave empty

Run the report by choosing ([HFXWH (or F8).

You can see the portfolio hierarchy in the top left area of the screen. You can see the calculated key figures in the top right area of the screen. The lower area of the screen displays the tabs Single Records, Risk Hierarchy and Matur. Band.

Choose 3RUWIROLR�+LHUDUFK\�LQ�)XOO�6FUHHQ�0RGH in the application toolbar.

Analyze the key figure “ VaR-HS (95/1)“ . When you add the values of the individual nodes (product type), you discover that this is a non-additive key figure, that is, the total value on the top node is smaller than the sum of the subnodes.


Highlight the top node from the portfolio hierarchy: 5HVXOW� Choose ([SDQG�VXEWUHH to expand the portfolio hierarchy. The system displays the values for the different key figures at subportfolio level.

21-2 Analyze the historical trend of a key figure for the period 01/01/2005 to 30/06/2005.

Select the key figure “ NPV (gen.)” on the top node of the portfolio hierarchy. Choose +LVWRULFDO�7UHQG�

Enter the following parameters: )LHOG�QDPH�RU�GDWD�W\SH 9DOXH Start date 01.01.2005 End date 30.06.2005 Time periods daily

Choose 'HWDLOV to display the calculated values. The system displays two values.

Exit the display by closing the window.

Choose 6WDQGDUG�'LVSOD\ in the application toolbar.

21-3 Display the single records for any node of the hierarchy. Go to the single records display in the financial transaction.

Double-click the key figure “ NPV (gen.)” on the top node of the portfolio hierarchy to display the single records with the calculated key figures. The single records then appear in the lower half of the screen.

Double-click one of these single record items to drilldown to the transaction. Choose %DFN to return to the results database.

21-4 Display the single record of a financial object and branch to the detail log of the single record calculations.

Select a calculated key figure in the single positions display. Choose 6LQJOH�5HFRUGV. The dialog-box displays single record numbers for the selected value. Branch from the dialog-box to the detail log by clicking a selected single record number. You can now view the detailed calculations of the key figure. To exit the log, choose %DFN.

21-5 Display the calculation bases (market data) of a key figure.

Select any key figure in the single record display and choose &DOFXODWLRQ�%DVHV� By clicking “ Print Preview” in the application toolbar, the following window displays all relevant market data. To exit the display, choose %DFN.


21-6 Display the risk hierarchy for closer analysis of the calculated Value-at-Risk. Analyze the profit/loss distribution for a selected node in the risk hierarchy.

Select the 5LVN�+LHUDUFK\ tab page to analyze the calculated Value-at-Risk. Choose ,QWHUHVW�5DWH on the left side of the risk hierarchy screen. Expand the EUR currency subnode to see on which node of the risk hierarchy the VaR occurs.

Select the upper node of the key figure “ VaR-HS (99/10)” in the risk hierarchy area. Select 3�/ in the risk hierarchy application toolbar. The generated profit and loss is displayed on the left side of the following screen. The generated values are graphically represented on the right side of the screen and shown in relation to normal frequency distribution on the lower part of the screen. Click the Profit/Loss column on the left side of the screen. Choose 6RUW�LQ�$VFHQGLQJ�2UGHU to sort the values. The smallest value of the calculated distribution represents the Value-at-Risk on the basis of the key figure definition (period and level of confidence). This value is also displayed in the risk hierarchy. To exit the screen, choose %DFN.


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� 7UHDVXU\�DQG�5LVN�0DQDJHPHQW�The tightening of regulations on risk control confirms the growing importance of analyzing and limiting insolvency risk. It also makes business sense to have system support for measuring, analyzing and managing or limiting counterparty default risks.

� SAP’s Credit Risk Analyzer incorporates central limit management functions, enabling you to set limits for counterparty default risk and monitor them online. You can then let the system calculate the settlement and default risks arising from your activities on the financial and capital markets, as well as classical credit risks. By defining differentiated upper risk limits, you can restrict potential losses on financial transactions as a result of business partner insolvency. In the same way you are able to have control over traders by using a system of limits.

� The default risk and limit system contains an extensive range of standard reports for evaluation and analysis purposes. This system is linked to the SAP drilldown tool and SAP query. You can display all the existing utilizations in aggregated form for any given key date and, with the appropriate system settings, take business partner relationships into account. This allows you to track limit utilization over time and see exactly which transactions affect it. You can monitor all trading activities, therefore providing you with a high level of security.


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� The default risk and limit system support the quantification of various risk positions and default risks in line with the current market position. The risk exposures (attributable amounts) from the individual transactions then are compared with the centrally-defined limits.

� The exposures are calculated as part of end-of-day processing, and can be updated during the day using the integrated default risk limit check. This means that traders can use the integrated limit check before concluding each transaction to determine online the exposure linked to the financial transaction. They then can let the system check this exposure against limits stored centrally in Limit Management. Once the transaction has been concluded, the exposure automatically increases the utilization of the affected limits. As a basis for the integrated limit check, all the financial positions must be valued consistently. The system displays the result of the limit check and generates a log for later evaluations.


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period, market value change period) uniformly. � Transactions that are evaluated according to different methods within a uniform business perspective

(for example, supervisory law) must be assigned to different default risk rules.


SAP AG 2006

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� Another important factor in determining the attributable amount is the GHIDXOW�ULVN�UXOH. This rule specifies which criteria to use to determine the market value change period and the risk commitment period of a transaction. You can choose “Term end of the transaction” or “Fixed rate period of the transaction” among others. The Recovery Rate determination is also defined in the default risk rule.


SAP AG 2006

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� The limit type is the key limit management instrument. You must first define limit types in the system settings before you can create limits and calculate the relevant limit utilizations.


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� You can combine multiple limit characteristics to create multidimensional limit types. � You have the option of combining various limit characteristics when you define a limit type, which

provides many opportunities to restrict your default risks and to monitor your trader activities. The limit specification then is defined in a combination of limit characteristics values. In the example above, Trader Bauer was allowed to take a maximum default risk of one million Euros in the Foreign Exchange Transactions product type. It was irrelevant which business partner was involved in the transaction.

� If you define a three-dimensional limit type, you can also take the business partner into consideration. Then you can ensure that your money market trader does not exceed a certain exposure with a business partner. You can do this, for example, by defining a limit type with the characteristics of Trader, Limit Product Group, and Business Partner and by determining an amount limit for the exposure.


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� You can assign the limit characteristics listed above either individually or in any combination to a limit type: y The business partner can be interpreted as the counterparty or the issuer. y The monitoring unit is a free field in the transaction data and you can enter anything you want in

it. A limit can be assigned to all transactions having the same field assignments. y You can use a user exit to derive up to 15 customer characteristics from existing limit

characteristics. This enables you, for example, to create a limit for the Latin America country group, against which every transaction with business partners in this region would be checked. In this case, Latin America would be a value of the customer characteristic "geographic country group".

� 1RWH� The characteristics, "country for country risk", "internal organizational unit," and "country rating" characteristics are available in the banking solution only.

� Generated characteristics are characteristics that are generated in the active analysis structure of the Market Risk components and are placed and used in Limit Management. These characteristics are user-defined.


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� The limit utilization of a single record or transaction is the risk amount that was defined with the use of the attributable amount determination for a single financial transaction.

� Using limit characteristics and their values, the utilizations of the single records are added to those of the totals records or the limit.

� Hence the utilization of a limit is the total of the attributable amounts of all transactions that were attributed to the limit on the basis of their characteristic values. This amount is compared to the corresponding limit amount as part of the integrated default risk limit check and reporting or drilldown. During this process the attributable amounts from all financial transactions are updated in the relevant limits.

� Newly concluded transactions increase the existing limit utilization either through the single transaction check (or the integrated default risk limit check) or through the end-of-day processing. Such transactions are dependent on the selected limit characteristics.


SAP AG 2006


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� When you define single- and multi-dimensional limit types, you enable the creation of a hierarchical limit specification structure.

� The number of dimensions in the hierarchy tree increases at lower levels. � Note that each business partner is assigned exactly one country and one industry. It is therefore

unnecessary to combine the business partner with these characteristics.


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� The &UHGLW�5LVN�$QDO\]HU supports an LQWHJUDWHG GHIDXOW�ULVN�OLPLW�FKHFN (IALP). Traders can use this function to determine the transaction risk and check the transaction against the limits defined in Limit Management before the transaction is finalized.

� Once a transaction has been concluded, the exposure automatically increases the utilization of the affected limits. As a basis for the integrated limit check, all the financial positions must be valued consistently. The system displays the result of the limit check. To do this, limit utilizations are determined from the single transaction exposure calculated on the basis of current market data. They are then updated in Limit Management. In addition to the utilizations for each specified limit, the system also generates individual records for each transaction. You can therefore see the impact of individual transactions on the total utilization and use this information as a basis for changing financial transactions during the course of the day.

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� You can use an evaluation type (see appendix) to determine which market data is used for calculating NPVs.


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� The country risk in the country of incorporation for the parent group is not affected by transactions with foreign subsidiaries.


SAP AG 2006

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• Specify and create limits

• Perform an online limit check

• Use the standard reporting tool

The limit characteristic values assigned to the limit type define limits and update limit utilizations.

22-1 Preparation Activity:

To calculate the limits adequately and to avoid exceeding the limit the first time you create a limit, the volume of trading transactions you created in the last four days in your company code FS## is determined as part of the preparation activities. Open the “ NPV analysis” report from the Market Risk Analyzer section (use the “ CRA-Bestand” variant)(Exercise 2—3).

Enter the following data: )LHOG�1DPH�RU�'DWD�7\SH 9DOXHV Company Code FS##

Write down the total from the 1RP��$PW�LQ�(YDO��&UF\ column: __________________

22-2 Create a new limit specification for limit types 201(DP20: CoCod/BP (Nominal) Gro) and 121 (DP12: CoCod/BP (Stlmt.Risk)).

Enter the following data: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH Company Code FS## Business Partner 1000


Enter the following specified values: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH Valid From Date Yesterday Valid To (internal) 31.12.9999 Limit Currency EUR Internal Limit Amnt (Amount from Exercise 22-

1)+1 million Critical Limit Utilization 90 % Max. Risk Commit Per. Mth 9999 Limit check

22-3 CAUTION: Only start this exercise after the instructor has triggered end-of-day processing.

Create a fixed-term deposit and execute an online limit check before you save this transaction. Open the last transaction tab and check the utilization of the limit you just created.

Enter the following data: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH Company Code FS## Product Type 51A Transaction Type 100 Business Partner 1000

Enter the following data: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH Flow Type 1100 (proposed) Amount 500.000,00 Start of Term Today’s date End of Term +3 months Interest Structure – Percentage Rate

2 %

Int.calc.method Act/360 (proposed) Frequency At end of term Shift due date to end of term X - select indicator

Write down the number of the fixed-term deposit __________________ .

Keep the report screen open (for further activities, open a new session).


22-4 Use standard reporting for limit utilizations to check the limit exposure. Select the “ TRAINING” variant.

To execute this action, you open a second session (since the report display is updated later online).

After you select the “ TRAINING” variant, enter the following values on the 'LUHFW�&KDUDFWHULVWLFV tab page: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH Company Code FS## Business Partner 1000

Exit the exposure and go to the transaction.

Use the detail log for calculating limits to check how the attributable amount was generated.

From the overview of limit utilizations, open the single utilizations and view the transactions that are responsible for using the limit.

22-5 Create a second fixed-term deposit to increase the limit utilization. Perform an online limit check as part of creating a transaction and check the utilizations more closely. Leave the open report from section 21-4 and use the first session from exercise 21-3 to enter the second transaction.


Enter the following data: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH Flow Type 1100 (proposed) Amount 450.000,00 Start of Term Today's date End of Term +3 months Interest Structure – Percentage Rate

2 %




22-6 Return to the session with the open report on the limit utilizations and choose “ Refresh” to refresh the display. You can see the traffic light for the limit utilization change from green to yellow. Check the individual utilizations of the limit.

22-7 Create a third fixed-term deposit to cause the limit to be exceeded. Leave the report from section 21-6 open and use the session from exercise 21-5 to enter the third transaction.


Enter the following data: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH Flow Type 1100 (proposed) Amount 100.000,00 Start of Term Today's date End of Term +3 months Interest Structure – Percentage Rate

2 %



22-8 Return to the session with the open report on the limit utilizations and choose “ Refresh” to refresh the display. You can see the traffic light for the limit utilization change from yellow to red. Check the individual utilizations of the limit.�


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22-1 Preparatory Activity To calculate the limits adequately and to avoid exceeding the limit the first time you create a limit, the volume of trading transactions you created in the last four days in your company code FS## is determined as part of the preparation activities.

�Open the “ NPV analysis” report from the Market Risk Analyzer section (use the “ CRA-Bestand” variant) (Exercise 20-3). Write down the total from the 1RP��$PW�LQ�(YDO��&UF\ column: __________________ .

�For the evaluation, select the following menu path: Æ�$FFRXWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�0DUNHW�5LVN�$QDO\]HU��Æ�,QIRUPDWLRQ�6\VWHP Æ�0DUN�WR�0DUNHW Æ�139�$QDO\VLV��-%5;��

Choose *HW�9DULDQW«�to select the “ CRA-Bestand” variant in the application toolbar.


Enter the following data: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH Company Code FS##

Start the report by selecting ([HFXWH.

Write down the total from the 1RP��$PW�LQ�(YDO��&UF\ column: __________________.


22-2 Create a new limit specification for limit types 201(DP20: CoCod/BP (Nominal) Gro) and 121 (DP12: CoCod/BP (Stlmt.Risk)).

To create a new limit template, choose: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�&UHGLW�5LVN�$QDO\]HU��Æ�0DVWHU�'DWD��Æ�/LPLWV��Æ�0DLQWDLQ��7%/��

You are now in a table. Choose�&UHDWH�OLPLWV�

A dialog box appears. Enter the following data: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH Company Code FS## Business Partner 1000

Choose &RQWLQXH�

Enter the following specified values: )LHOG�1DPH�RU�'DWD�7\SH 9DOXHV Valid From Date Yesterday Valid To (internal) 31.12.9999 Limit Currency EUR Internal Limit Amnt (Amount from Exercise 22-

1)+1 million Critical Limit Utilization 90 % Max. Risk Commit Per. Mth 9999 Limit check

Save the data.

Choose %DFN to return to the initial screen and repeat the whole process for Limit type 121.

Use the same amounts, limits, and so on.

(CAUTION: After this exercise, the instructor will centrally trigger end-of-day processing (KLNACHT)). When the instructor has done this you can continue with Exercise 22-3.


22-3 CAUTION: Only start this exercise after the instructor has triggered end-of-day processing.

Create a fixed-term deposit as the contract and execute an online limit check before you save this transaction. Open the last transaction tab and check the utilization of the limit you just created.


Keep the report screen open (for further activities, open a new session).

To create a fixed-term deposit, choose: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�0RQH\�0DUNHW��Æ�7UDGLQJ�Æ�&UHDWH�)LQDQFLDO�7UDQVDFWLRQ��)75B&5($7(�


Choose ENTER.

Enter the following data: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH Flow Type 1100 (proposed) Amount 500.000,00 Start of Term Today’s date Validity Period End +3 months Interest Structure – Percentage Rate

2 %


Switch to the 'HIDXOW�5LVN�/LPLW tab page.


To perform the online check, click /LPLW�8WLOL]DWLRQ�'HWDLOV in the )XQFWLRQV area of the screen. Check the attribution of this transaction against the limit you maintained in section 21-2 of the exercise.

In the list you see the utilized amount and the remaining difference between it and the limit maintained. When the traffic light is green, you can see that no limit is exceeded and nothing has approached the limit.

Close the window.


In the dialog box that appears, choose &RQWLQXH�to confirm that no limit has been exceeded.

The status bar displays the message “ Fixed-term deposit xxxxxx created in company code FS##” .

Write down the number and keep this screen open (for further activities, open a new session).

22-4 Use standard reporting for limit utilizations to check the limit exposure. Select the “ TRAINING” variant.

To execute this action, open a second session (since the report display is updated later online).

Exit the exposure and go to the transaction.

Use the detail log for calculating limits to check how the attributable amount was generated.

From the overview of limit utilizations, open the single utilizations and view the transactions that are responsible for using the limit.

To check the limit exposure, choose Æ�$FFRXQWLQJ�Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW��Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW�Æ�&UHGLW�5LVN�$QDO\]HU��Æ�,QIRUPDWLRQ�6\VWHP��Æ�5HSRUWLQJ��Æ�8WLOL]DWLRQV��Æ�2YHUYLHZ��6HOHFWLRQ�8VLQJ�$OO�&KDUDFWHULVWLFV��7%/%� Select *HW�9DULDQW« to select the “ TRAINING” variant in the application toolbar.


After you select the “ TRAINING” variant, enter the following values on the 'LUHFW�&KDUDFWHULVWLFV tab page: )LHOG�1DPH�RU�'DWD�7\SH 9DOXHV Company Code FS## Business Partner 1000

Run the report.

In the open report, check the limit amount, utilization, and remaining available limit.

The list displays the validity date of the limit and the associated limit amount plus the percent limit. In the two right-hand columns you can read the utilization amount of the transactions you entered and the remaining limit.

Double-click the first data field of a line/the line to select it. You reach the list of the single utilizations.

From the list you can determine the attributable amount for each single transaction. Highlight the row of the transaction most recently created and choose $WWULEXWDEOH�DPRXQW�GHWHUPLQDWLRQ in the application toolbar. In the log that appears, double-click the first row that appears on the left side of the screen under 'HWHUPLQDWLRQ�'HWDLOV. The details are displayed. You see the creation of the attributable amount and potential formula components.

To exit the log, click %DFN.

You are back in the overview 6LQJOH�8WLOL]DWLRQ�5HFRUGV. Leave the selection on the (last created) transaction and choose 0DVWHU�'DWD� This displays the transaction you created in section 21-3.

Select %DFN in the standard toolbar to exit the screen. You are back in the 6LQJOH�8WLOL]DWLRQ�5HFRUGV display.

Choose %DFN to go to the display of the limit utilizations (2YHUYLHZ�RI�/LPLW�8WLOL]DWLRQV�±�6HOHFWLRQ�8VLQJ�$OO�&KDUDFWHULVWLFV). Leave this screen open.


22-5 Create a second fixed-term deposit to increase the limit utilization. Perform an online limit check as part of creating a transaction and check the utilizations more closely. Leave the open report from section 21-4 and use the first session from exercise 21-3 to enter the second transaction.


To create a fixed-term deposit, choose: Æ�$FFRXQWLQJ��Æ�)LQDQFLDO�6XSSO\�&KDLQ�0DQDJHPHQW�Æ�7UHDVXU\�DQG�5LVN�0DQDJHPHQW��Æ�7UDQVDFWLRQ�0DQDJHU��Æ�0RQH\�0DUNHW��Æ�7UDGLQJ�Æ�&UHDWH�)LQDQFLDO�7UDQVDFWLRQ��)75B&5($7(�

Enter the following data: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH Company Code FS## Product Type 51A Transaction Type 100 –

Investmemt Business Partner 1000

Choose ENTER.

Enter the following data: )LHOG�1DPH�RU�'DWD�7\SH 9DOXH Flow Type 1100 (proposed) Amount 450.000,00 Start of Term Today's date Validity Period End +3 months Interest Structure – Percentage Rate

2 %


Switch to the 'HIDXOW�ULVN�OLPLW tab page.

To perform the online check, click /LPLW�8WLOL]DWLRQ�'HWDLOV in the )XQFWLRQV area of the screen.


Check the attribution of this transaction against the limit you maintained in section 21-2 of the exercise. In the list you see the utilized amount and the remaining difference between it and the limit maintained. When the traffic light is yellow, you can see that no limit is exceeded, but the boundary of 90% that you entered has been exceeded. The limit has not been exceeded, but the warning or tolerance boundary has been crossed.

Close the window.


In the dialog box screen that appears, choose &RQWLQXH to confirm that no limit has been exceeded but that the warning boundary has been exceeded.


Write down the number and keep this screen open (for further activities, open a new session).


22-6 Return to the session with the open report on the limit utilizations and choose “ Refresh” to refresh the display. You can see the traffic light for the limit utilization change from green to yellow. Check the individual utilizations of the limit.

Change to the specified session.

Continue as described in section 21-4. After completing the exercise, leave this session open also.

22-7 Create a third fixed-term deposit to cause the limit to be exceeded. Leave the report from section 21-6 open and use the session from exercise 21-5 to enter the third transaction.


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Enter the following data: Field Name or Data Type Value Company Code FS## Product Type 51A Transaction Type 100 Business Partner 1000

Choose (QWHU.

Enter the following data: Field Name or Data Type Value Flow Type 1100 (proposed) Amount 100.000,00 Start of Term Today’s date End of Term +3 months Interest Structure – percentage Rate

2 %


Switch to the 'HIDXOW�ULVN�OLPLW tab page.

To perform the online check, click /LPLW�8WLOL]DWLRQ�'HWDLOV in the )XQFWLRQV area of the screen. Check the attribution of this transaction against the limit you maintained in section 21-2 of the exercise. In the list you see the utilized amount and the remaining difference between it and the limit maintained. When the traffic light is red, you can see that the limit has been exceeded.

Close the window.

Save the transaction. In the dialog box that appears, choose &RQWLQXH�to confirm that a limit has been exceeded.


Write down the number and keep this screen open.



22-8 Return to the session with the open report on the limit utilizations and choose “ Refresh” to refresh the display. You can see the traffic light for the limit utilization change from yellow to red. Check the individual utilizations of the limit.


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� A FOLHQW is an organizationally independent unit in the system. Each client has its own data environment and as a consequence, its own master and flow data, assigned user masters, and specific Customizing parameters.

� To enable users to log on to the system, a user master record must be created for them for the relevant client. For reasons of access protection, a password is required to log on. The user cannot see the password as it is entered (the system displays asterisks only).

� SAP systems are multilingually structured. The language for the current session is set with the /DQJXDJH entry field.

� Multiple logons are logged as of SAP R/3 Release 4.6. This is for security reasons as well as licensing reasons. After the first logon, additional logons by the same user trigger a message that offers the user three choices: y End the existing session(s), continue with logon y Leave the existing session(s) alone, continue with logon (will be logged) y Terminate logon

� You can define your own text to be displayed on the logon screen in different ways. For more, see SAP note 205487.


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� Before a user of the SAP system can work with XVHU�VSHFLILF�PHQXV or PHQXV�UHODWHG�WR�WKH�ZRUNSODFH, UROHV must be set up with the Profile Generator.

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� 6WDQGDUG�WRROEDU� The buttons in the standard toolbar are displayed on each SAP screen. The buttons that you cannot currently use are grayed out depending on the application. If you hold the cursor over a button for a moment, a little flag will appear with the name or meaning of the relevant button. Here you can see the corresponding function key setting. The DSSOLFDWLRQ�WRROEDU displays the buttons that you can use in the current application.

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y Using the keyboard (ALT + the underlined letter of the desired menu option) y By entering a WUDQVDFWLRQ�FRGH LQ�WKH�FRPPDQG�ILHOG:

Each function (not each screen) in SAP systems is assigned a transaction code (T-code). The assigned transaction code can be called from every screen of the system. For example, to display the customer master record, you can enter “/n” and the relevant transaction code: “/nsu3”. You can determine the current transaction code with the 6WDWXV entry in the 6\VWHP menu for the running processing. Other possible entries: - “/n” ends the running transaction. - “/i” deletes the current session. - “/osm04” opens a new session and branches to the entered transaction (SM04).

� You can also reach the command field with the keyboard. With the combination CTRL+TAB, the cursor jumps from one (input) field group to the next. You can jump within a field group with TAB.

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� You can use )� to display information about possible entries. You can also access the F4 help by choosing the button directly to the right of the selected field.

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SAP Library

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� SAP systems offer detailed online help. You can access help from every screen of the system. You can always request help by choosing the +HOS menu or the relevant button (yellow question mark).

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� You can access the +HOS�3RUWDO directly under http://help.sap.com.


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� Several roles or functions can be assigned to one business partner. A role (= role category) specifies the characteristics a business partner must have before you can perform certain transaction activities with that partner. The functions of the business partner in financial transactions are described in business partner roles (categories).

� The role category�also determines the ULJKWV�DQG�REOLJDWLRQV�of the business partner in a given business transaction. Example: A business partner can act as a FRXQWHUSDUW\.


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z )RUZDUG�7UDQVDFWLRQV� Settlement of the transaction on the arranged date

(usually 1-12 months)� Settlement rate/forward rate (also outright rate) is fixed upon

conclusion of the transaction� 3XUSRVH� hedging of exchange rate risks – reliable calculation

basis, especially in international trade

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� With VSRW�WUDQVDFWLRQV, internationally traded currencies are bought or sold against other currencies on the value date.

� With IRUZDUG�WUDQVDFWLRQV, however, they are traded at a certain time in the future, and the relevant markup or markdown to calculate the forward rate is added. The back office processing of foreign exchange transactions requires that the authorized banks are defined in the system as authorized business partners with corresponding payment details.


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� In forex valuation, in the case of valuation at the current forward rate or with swap/swap comparisons, the term of the swap is no longer determined as the period between the key date and the due date of the transaction, but rather as the period between the spot date (calculated from the key date) and the due date of the transaction.

� If you select the field 3HUIRUP�SRVWLQJ�LPPHGLDWHO\, the flows generated by the valuation are posted immediately. Otherwise, the flows must be posted later using the appropriate functions.


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� This is an example for the following scenario: y Creating and reversing provisions y Showing realized loss

� In the valuation 30.04.YY there is an unrealized gain. This, however, does not have to be disclosed according to German trade and tax law.


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� In Germany, unrealized gains and asset provisions are not disclosed.


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� The final valuation of forward exchange transactions is carried out with the help of a currency clearing account. The update is carried out based on the forward rate that is fixed in the transaction. The foreign currency amount is translated at the current rate of exchange.

� The difference (realized gain/loss) is determined by the closing valuation, it is held in Treasury as a valuation flow, and is transferred to Financial Accounting during the posting run.

� In order to determine the (profits and/or ) losses made, you must first post the transactions.


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� ([DPSOH�FDOO� For a USD/EUR call at the strike price of 1.80, the purchaser has the right to obtain a particular USD amount at the strike price from the seller. The purchaser will only exercise this right if the market price is higher than the strike price at the time of exercise or within the exercise period. This way, the purchaser can acquire the foreign currency amount cheaper using the option than on the market.

� ([DPSOH�3XW� For a USD/EUR put at the strike price of 1.80, the purchaser acquires the right to sell a particular USD amount to the seller at the strike price. The purchaser will only exercise this right if the market price at the time of exercise or within the exercise period is less than the strike price. In this case the purchaser can obtain a higher price for the foreign currency amount using the option than the price on the market.

� %DFNJURXQG� The purchaser of a call wishes to hedge against rising prices and the purchaser of a put hedges against falling prices. The vendor reckons with the opposite price development and wants to improve his or her position by collecting the option premium.

� There are two categories of EDUULHU�RSWLRQV - knock-in options and knock-out options. With knock-in options, the option right only comes into effect when the market price falls below (Down & In) or rises above (Up & In) the barrier. With knock-out options, the existing option right expires when the trigger price is touched (Down & Out, or Up & Out).


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z 0DVWHU�'DWD� Maintain class data/assign exchanges� Futures account� Futures account - class position

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� In principle, the application does not refer to any specific exchange or any specific financial product. You make the system aware of the exchanges and products by means of Customizing.

� The exchange, as the institution that enables the free trade of contracts between partners, collects insurance payments from the trading parties in the form of additional (initial), premium, spread/non-spread, and marginal payments. These payments put the exchange in a position to offset all the contracts of all participants in the market. They payment amounts are the result of different calculation algorithms depending on the product type. With futures and future-styled options, the gains and losses are calculated daily as a Variation margin and cleared immediately.


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� Futures are forward exchange transactions with standardized structures. The standardized contract elements are stored in the class data.

� You process the master data for futures using the same transaction as for the class data in the securities area. This means that you automatically have the use of functions that were also available for the securities class data. These functions include assignment of secondary indexes, integrated assignment of exchanges and the copying function.


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� A futures account is a management unit that is used in position management. It is required for futures because they must be managed just as all other positions. As a rule, the futures accounts defined in the system correspond to the real futures accounts held at the bank.

� Before you can set up a futures account, the futures account bank must be defined as a business partner in the role of a depository bank.

� In the back-office area for listed derivatives, you can see the reports “Futures Account Cash Flow” and “Position in Futures Account”.

� In order to manage classes in a futures account, you need the class position in the futures account. You can find the information for margin calculation in the class position for the futures account. To enable a position with margin calculation to be managed, you must select IXWXUH�VW\OH as the settlement method when you make product type Customizing settings for futures. You also enter the exchange and the rate category for the margin calculation. This data does not then have to be entered in the posting report.

� The same account assignment reference is used for a class position in a futures account in the case of all Open and Close transactions.


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� In the context of these transactions, the terms purchase and sale do not describe the increase or decrease in positions; rather, they define the direction of a forward transaction. Positions are therefore built up whether you purchase or sell.

� Open transactions refer to the build-up of positions whereas Close transactions refer to the reduction of positions.

� The decrease in the position is brought about by a counter-transaction with the same class, and the counter-transaction is identified as an offsetting transaction (Closing). This facility to leave the market again at any time without obtaining the consent of the counterparty is one of the two important characteristics that distinguish listed options and futures from the options and forwards traded in the OTC area. The second characteristic is the strict standardization of contract contents.

� Futures are managed in Single Position Management. Each Open generates a new single position. This can be closed by one or more (part) Close transactions.


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� Futures are subject to the future-style settlement method. This means that by comparing the current settlement price with the previous day’s price (on the first day with the cost price), the price change of each position is determined. The difference is converted to the number of ticks. This number multiplied by the tick value results in an amount that is immediately debited from or credited to the margin account. The YDULDWLRQ�PDUJLQ represents the daily gains and losses in the mark-to-market valuation method. In this sense, it is not a margin. The variation margin is, therefore, not a valuation but a settlement method using the daily valuation at market prices. The variation margin method should prevent unmanageable payables/receivables amounts building up between the counterparties over a long period of time. The payables/receivables are, therefore, reconciled immediately on the day they arise. The maximum loss is thus only one day’s fluctuation. In the variation margin process, although the amounts are credited to/debited from the margin account daily, and even discounted, they are unrealized gains/losses. The position itself is pending. Consequently, in accounting you must differentiate these amounts clearly from those amounts that have arisen as realized gains/losses from the closing of positions. As far as the margin management posting is concerned, we distinguish between the variation margin and the close margin. In the case of a close transaction, the margin flow is stored as “ scheduled” and then updated automatically when changes occur in closing. In order to fix the flows, you must post the margin flows with report TPM25. This report is for posting closing flows only. A prerequisite, however, is that all business transactions (Open/Close) are already posted.

� In addition to the margin calculation, futures can be calculated in the same way as the other transactions.


SAP AG 2006

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� Class master data for FRQYHUWLEOH�ERQGV consists of basic data, conditions, and additional entries. Selected fields in the basic data screen for convertible bonds are explained below: y Reference security The security that can be used as a reference for the conversion. y Conversion period from/to: Period in which conversion is possible. y Conversion ratio - numerator/

denominator: The Conversion ratio numerator tells you how many units of nominal value of the bond are required to convert it into the given number of stocks in Conversion ratio denominator.

Example: A nominal value of (2 x 100) 200 EUR is converted into 1 stock.

y Conversion premium: The amount to be paid for each stock in the case of a conversion.


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� The class master data for warrant bonds consists of basic data, conditions, and other data. � Selected fields in the basic data screen for warrant bonds are explained below:

y CUM/EX bond: Indicates whether the bond is traded with a warrant (cum) or without a warrant (ex)

y Number of warrants: Indicates how many warrants are attached to a bond per unit of nominal value. Example: 5 warrants are attached to a nominal amount of EUR 1000 of the bond.


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� Class master data for warrants consists of basic data and reference entries, if they are required. � Below is a description of selected fields in the basic data screen for warrants (in this case, equity

warrants): y Option category: 1: Call

2: Put y Settlement: 1: Cash settlement

2: Delivery y Option rat. numer. / The number of warrants that you require y Option ratio denom: in order to trade the number of units of basis values entered in the

"Option ratio - Denominator" field.

y Exercise type: 1: European 2: American

y Exercise minimum: Number of warrants to be exercised at minimum as stated in the issuing conditions.

y Exercise price: The amount to be paid for the underlying value when you exercise the warrant.

� At this point, you are not required to enter the "Option category" and the "Settlement type" in the structure characteristics when you create the class master data for a warrant. You can add this data later when you exercise the warrant.


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� You can restrict the disposition for each securities account for y Part of the position of a particular security y The total position of a particular security y The whole securities account position.


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� For manual valuation, the security prices are not read (maintained for each exchange), but read from a special table.

� Values are specified for each SRVLWLRQ in the table to which the position is to be written up or down. (to be maintained with the TRLV_VALV_MANUAL VAL maintenance view or transaction TPM74). The prices here are not specified for each unit or as a nominal price, but for each position managed by the Transaction Manager.

� Manual evaluation does not support amortizations.


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� For a capital increase from retained earnings, open retained earnings are converted into capital stock. All stockholders therefore have the right to bonus stocks in proportion to the numbers of stocks they currently hold. The ratio indicates how many (old) stocks you require to obtain one bonus stock.

� To execute a capital increase from retained earnings, you select the positions of all securities accounts in a company code. The number of units managed in the securities accounts is adjusted on the basis of the subscription ratio and the individual book value is corrected accordingly.


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� A stock split leads to an increase in the number of stocks for fixed stock capital, and reduces the nominal value per stock. The split ratio indicates the ratio by which the nominal value is reduced.

� You execute a stock split for the relevant ID number in the company code. The system automatically adjusts the number of stocks and the book price. You have to maintain the nominal value reduction as well as the dividend adjustment amount manually in the class master data. The system automatically recalculates the cash flow on the basis of the data that has changed.

� Since you can enter your own split ratio, you can also represent reverse splits in the system, for which the split reduces the number of stocks.


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� You execute a capital reduction to reduce the stock capital (or common stock) to compensate for losses, repay capital or convert stock capital to reserves. A capital reduction leads either to a reduction in the nominal value per unit or (more commonly) to a grouping of stocks.

� A capital reduction is represented in the system as a group of stocks. The ratio indicates the ratio of old stock capital to new stock capital. You select the positions affected by the reduction for the entire company code and display them for each securities account. The number of units and the book values are adjusted according to the subscription ratio entered.

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� When you perform a stock swap, you swap stocks belonging to two issuers or swap different stock forms of an issuer (such as preference stocks against common stocks).

� The position of stocks to be swapped is reduced in the system and the position of stocks to be received is increased by an identical book value in the same securities account. The system automatically recalculates the cash flow for the relevant securities on the basis of the data that has changed.

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� You represent the activities above using the ([HUFLVH�VHFXULW\�ULJKWV function. � The exercise rights function contains header data, data on the rights and the position. The header data includes relevant class information for the securities. The rights data lists the various

options you have of exercising the right. The position data includes, for example, the number of units to be exercised or the nominal amount.

� You can use a specific reversal function to reverse these activities.

© SAP AG FSC010 10-12

SAP AG 2006

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� You can convert convertible bonds to stocks of the issuer concerned within a certain time period. � If you exercise a conversion right, the system determines the number of stocks to be obtained and, if

required, the premium to be paid according to the share you have selected for conversion. When you convert them, the bond position decreases and the stock position increases according to the conversion ratio. The book values of the positions are updated on the basis of the book prices at the time of the conversion (and the premium, if required). The planned flows of the cash flows are adjusted according to the changed positions.

© SAP AG FSC010 10-13

SAP AG 2006

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� Warrants guarantee the right to purchase or sell an underlying transaction against a payment amount determined at issue at a certain time or within a certain period of time. Underlyings are units (for example, stocks), currencies, or interest transactions. You can create both traditional warrants within warrant bonds and covered warrants in the equity warrants function.

� When you exercise a warrant, the system displays information on the related underlyings. If the cash settlement is planned, the cash settlement is calculated per subscription unit on the basis of the current price of the underlyings to be entered. In the case of delivery, the system generates the flows for the corresponding principal change.

� Warrants that have not been exercised can be exercised as expiration by means of the ([HUFLVH�ULJKWV function.

© SAP AG FSC010 10-14

SAP AG 2006

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� Warrant bonds provide you with an option that enables you to reference stocks belonging to the issuer. You can trade bonds and options together (warrant bond cum), or separately (warrant bond ex, warrant).

� You enter warrant bonds cum, warrant bonds ex, and warrants each as a class in the system. � When you detach a warrant, the old position of the warrant bond cum decreases and the position of

the warrant bond ex and the warrants increases. The book values of the positions are updated on the basis of the book prices when they are detached. The planned flows of the cash flows are adjusted according to the changed positions. You exercise warrants as described earlier.

© SAP AG FSC010 10-15

SAP AG 2006

&DOFXODWLRQ�RI�)RUZDUG�,QWHUHVW�5DWHV

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� Forward interest rates reflect the interest calculation of future investments or borrowing transactions, determined by today’s yield structure. For normal yield structure, the forward interest rates corresponding to the term lie above the coupon yields (and vice versa with an inverse yield structure).

� Forward interest rates are required for the evaluation of y FRAs y Swaps y Caps/Floors y Floaters y Loans.

© SAP AG FSC010 10-16

SAP AG 2003

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� 9RODWLOLW\�W\SHV represent the previous volatility concept that specifies volatility types depending on the option type. Volatility types are assigned to transactions in the evaluation type on the (YDOXDWLRQ�W\SH� and 9DOXDWLRQ�5XOH�6SHFLILF�views.

� 9RODWLOLW\�QDPHV now allow you to define abstract volatility types that can be assigned to the financing options with the evaluation type and the valuation rule during the valuation. By defining evaluation types, both volatility procedures can be used on the option price valuation. Volatility names are assigned to transactions in the evaluation type on the 9DOXDWLRQ�5XOH�6SHFLILF� view.

© SAP AG FSC010 10-17

SAP AG 2006

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� The moneyness factory describes generally how far an option is out of or in the money.

© SAP AG FSC010 10-18

SAP AG 2006

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� You can change yield curves graphically in scenario maintenance. In doing so, new values can be assigned to the curve by changing the interpolation, by rotating it or switching to the mirror image, as well as with individual or total shifts. The change is carried out by directly editing the graphic.

� You can save the changes as numerical values after when you are finished.

© SAP AG FSC010 10-19

SAP AG 2006

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� The examples listed above show the changes you can make to the yield curves graphically: y 0LUURU�LPDJH: For the mirror image, a grid point is fixed to the yield curve which an (imaginary)

horizontal mirror axis runs through. The original yield curve is reflected over this axis. y 5RWDWLRQ (with shift): First a grid point is fixed to the yield curve as a center of rotation. Then the

rotation is carried around the previously fixed center of rotation by shifting another grid point.

© SAP AG FSC010 10-20

SAP AG 2006

z Manual entryz File interfacez Datafeedz The following price information can be, among other things, imported into the SAP

system with a GDWDIHHG:z Exchange ratesz Securities pricesz Reference interest ratesz Index valuesz Volatilities

z To be able to use the datafeed link, you must maintain the RFC connection which ensures the communication with the data provider. Data can be transferred between the external program and the SAP datafeed module V\QFKURQRXVO\ or DV\QFKURQRXVO\.

z The application departments must maintain the WUDQVODWLRQ�WDEOH that maps the descriptions of prices of the data provider to the descriptions of the prices in the SAP system.

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SAP AG 2006

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� The figure displays a portfolio hierarchy of the EUDQFK and EDQN�SURGXFW characteristics.

© SAP AG FSC010 10-22

SAP AG 2006

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z 3D\PHQW�IORZV�IURP�WKH�RSHUDWLQJ�EXVLQHVV�DFWLYLW\�FRQWDLQ�FXUUHQF\�DQG�LQWHUHVW�UDWH�ULVNV�

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� The purpose of the Cash and Liquidity Management connection is to transfer future payment flows from the cash position and to provide the liquidity forecast for risk analysis. The FDVK�SRVLWLRQ displays the short-term-oriented view for monitoring the liquidity of the bank accounts. Information about customers and vendors and about subledgers can be evaluated in mid- and long-term with the OLTXLGLW\�IRUHFDVW. These cash flows can be evaluated via their integration with risk analysis and together with existing hedge transactions, can display open risk positions of individual currencies.

� On the side of the risk analysis, the generated cash flows are stored in the transaction form of the risk object (see the appendix). The only elementary transaction used is transaction form 100 (Fixed Cash Flow) to which all cash flows with a corresponding due date are assigned. So that the created risk objects can be used in the evaluations, a financial object is automatically created for each risk object. With suitable analysis characteristic values, risk objects can be used flexibly in the evaluations and in reporting.

© SAP AG FSC010 10-23

SAP AG 2006

W � W �

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� The user can specify for each evaluation run whether the historical changes are to be transferred based on DEVROXWH, UHODWLYH, or ORJDULWKPLF changes to the current marked price parameters.

© SAP AG FSC010 10-24

SAP AG 2006

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� You must maintain a financial object for each transaction in the data pool that contains information specific to risk analysis for this transaction. The characteristic values are also stored in the financial object to ensure the transaction’s assignment to views and portfolio hierarchies. You must supply all characteristics of the analysis structure with values for each transaction. If you do not, the characteristics will be flagged as QRW�DVVLJQHG in the portfolio hierarchy. Financial objects link information necessary for reporting (characteristic values) with the information necessary for valuation (valuation rules, evaluation types),described in the following.

� Financial objects can be created manually by transferring data from remote systems, or automatically with automatic financial object integration.

� With the automatic financial object integration function, the financial object data can either be entered or derived immediately when entering master data. This function is available for the following transaction categories: risk objects, BCA accounts, variable transactions, loans, money market/forex/derivatives, securities account class positions, class positions in a futures account.

� In order to use automatic financial object integration, you must set the indicator )2�LQWHJUDWLRQ�DFWLYH in the IMG of the risk analysis for the transaction. The general part of the financial object is created when the analysis parameters are generated.

© SAP AG FSC010 10-25

SAP AG 2006

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� There is a financial object for each transaction that is relevant for default risk. � The financial object can have up to six parts, each of which contains certain component-specific

data: y General part y RM part (market risk analysis and ALM) y Single transaction costing part y External key figures y Additional data y Limit part (default risk and limit system)

� To determine attributable amounts within Treasury and Risk Management, the default risk limit part must be activated for the relevant transactions.

� To be able to determine an attributable amount for counterparty/issuer risk and/or country risk, the corresponding indicator must be set (&RXQWHUSDUW\�5LVN�$FWLYH or &RXQWU\�5LVN�$FWLYH).

� The following slide explains the functions of the fields in the limit part. � * The country risk function is only available in mySAP Banking.

© SAP AG FSC010 10-26

SAP AG 2006

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� In the Default Risk and Limit System, certain information about collateral is required to enable the system to calculate attributable amounts correctly, and record secondary risk appropriately. Only collateral data that is relevant for these purposes is entered in the SAP system. Seen from a general business perspective, collateral has far more complex data.

� The Default Risk and Limit System distinguishes between the following levels of collateral

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� General administration of collateral should be done by an external data processing system. To ensure consistent datasets, we recommend that you set up an interface between the SAP Limit System and your collateral management system. You can link the systems by using the RFC-enabled module KLSI01_SI_SAVE_RFC.

� Changes are logged in the form of change documents.

© SAP AG FSC010 10-27

SAP AG 2006

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� You can now ORFN�OLPLWV with little effort. A report is available to you with which you can lock all or individual limit types that contain limit characteristics that have been previously defined. For example, you can lock or unlock all limits that affect a certain business partner. This places you in the position to react extremely quickly if changes to the business framework (such as the downgrading of a business partner’s rating) are required.

© SAP AG FSC010 10-28

SAP AG 2006

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� The reservation function enables you to reserve a free limit for a certain period. The attributable amounts can either be calculated by using basic key figures, or entered with the reservation.

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� Transaction release includes the following components: y Integration of organization management into SAP Business Workflow (structure, task distribution

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y Integration of release management in SAP Business Workflow (release process flow, consideration of the release strategies (during the workflow) that can be customized in Treasury)

� The release procedure deals with release and checking procedures within the organizational framework.

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SAP AG 2006

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� In Customizing, you can set the relevant procedure depending on the company code, the product type, and the transaction type.

� In the release conditions, depending on the activity category and activity, you enter the release step and an instruction regarding the transaction release.

� The release steps define how many people are required to release an object (for example, one release step: dual control principle (one processor, one person responsible for the release).

� You use the transaction release to define what the application does while the transaction is in the release workflow (for example, ongoing transaction during the release workflow is not permitted).


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� Make the standard Customizing settings for the workflow. � Display standard role 20000034 (TRTMTR_DEAL): The standard role describes the responsibilities

for the individual approval steps. For each individual approval, the employee must be found in the system. To do this, a standard role has been built into the Workflow definition. However, this is still empty. To define the employees for an approval step, you have to FUHDWH�D�UHVSRQVLELOLW\ in the standard role and DVVLJQ�LW�WR�D�XVHU�SRVLWLRQ. Change the responsibilities so that the "current approval step" is set to the relevant value, and the "release steps" are set to the maximum number).

� You have the option of entering several users or positions that are to be notified if deadlines are exceeded (standard role 20000035).

� Since this workflow is triggered by an event, you must activate the event linkage of the workflow used.

� For more information about the release workflow, see the IMG documentation. � A reporting overview is available that enables you to see, for each Treasury transaction,

the release that was processed, when it was processed, and by whom.


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� Business Application Programming Interface


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transactions• For example: creating, changing, displaying and reversing

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� Note the release information.


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� For financial transaction management, the following new BAPI interfaces are provided for CFM: y FixedTermDeposit y DepositAtNotice y CommercialPaper y CashFlowTransaction y InterestRateInstrument y ForeignExchange y SecurityTransaction

� These business objects contain BAPI methods for creating, changing, displaying and reversing a financial transaction.

� Depending on the product category of the business object, there are also additional BAPI methods for rolling over, terminating or processing main flows.


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� To record an impairment you must maintain the rate that is to be depreciated in a table. � Use transaction TPM73 to maintain the VALV_SP_VAL_SEC table. � You can enter the following fields:

y For bonds (percentage-quoted securities): Valuation area, valuation class, company code, ID number, relevant category (securities account, lot, securities account group, portfolio) security price type (defined in the customized impairment procedure), key date, type (3=Impairment), and security price.

y For stocks (unit-quoted stocks): The same as for percentage-quoted securities but with the security currency included.

y For loans: Valuation area, valuation class, company code, contract, net present value type (defined in the customized impairment procedure), key date, type (3=impairment), net present value, and currency of the net present value.


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� You use transaction TPM70 to post the impairments.


SAP AG 2006


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� Possible valuations (revaluation reserves titles) are reset and the impairment is recorded. � After the impairment is recorded, the amortizations are set for other valuations. Write-ups and write-

downs after the impairment continue running normally within the key date valuation.


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� You use transaction TPM71 to reverse recorded impairments.