This comprehensive book provides you with detailed descriptions of the functions and usage of SAP Treasury and Risk Management. Readers will be introduced to all of the standard functional areas, including possible solutions for specific problems, and the most important Customizing settings. Significant attention is paid to reporting, risk management, and integration with other SAP applications and components, including SAP ERP Financial Accounting And the New General Ledger. The authors provide a wide range of tips, tricks, and notes on how you can optimize and use your Treasury system using BAPIs and BAdIs.

Drawing upon a wide array of screenshots, charts, and real-life examples, the book describes the areas of transaction management, position management, market data, and hedge management in great detail. In addition, it discusses topics such as risk and performance analysis as well as reporting with the Information System. Separate chapters deal with the interfaces and integration with system tools, and offer solutions to meet legal and regulatory compliance requirements. The book is based on the most current release, SAP ERP 6.0.

Highlights

• Master Data
• Transaction Management
• Position Management
• Integration with other SAP Components
• Market Data
• Hedge Management
• Reporting
• Risk and Performance Analysis
• Interfaces and Extensions
• Sarbanes-Oxley Act and GDPdU (German Principles on Data Access and the Examination of Digital Documents)
• Integration and System Tools

About the Author(s)

Sönke Jarré, Reinhold Lövenich, Andreas Martin, and Klaus G. Müller work in the Treasury and Risk Management area at SAP AG. After many years of work in the area of application development, they have a profound understanding of the architecture and usage of SAP Treasury and Risk Management.

Table of Contents

1 Introduction ... 15
... 1.1 Dear Reader ... 15
... 1.2 Topics of this Book ... 18
... 1.3 Overview of Financial Instruments ... 22
... 1.4 History of Treasury and Risk Management ... 26
... 1.5 Development of Functions in Recent Releases ... 27

2 Master Data ... 31
... 2.1 Central Customizing Terms ... 32
... 2.2 Product Master Data ... 36
... 2.3 Business Partners ... 45
... 2.4 Organizational Elements ... 51

3 Transaction Management ... 55
... 3.1 Financial Transaction ... 56
... 3.2 Trading ... 90
... 3.3 Back Office Processing ... 98
... 3.4 Operative Reporting ... 113
... 3.5 Architecture ... 119
... 3.6 Specific Topics ... 128

4 Position Management ... 139
... 4.1 Basic Terms ... 140
... 4.2 External Position Management ... 147
... 4.3 Basic Principles of Internal Position Management ... 182
... 4.4 Processes of Internal Position Management ... 213

5 Integration with Other Modules ... 257
... 5.1 Operative Valuation Area ... 258
... 5.2 Financial Accounting ... 259
... 5.3 Processing Payments ... 287
... 5.4 Cash Management ... 297

6 Market Data ... 301
... 6.1 Foreign Exchange Rates and Foreign Exchange Swap Rates ... 301
... 6.2 Security Prices ... 303
... 6.3 Reference Interest Rates and Yield Curves ... 308
... 6.4 Indexes ... 319
... 6.5 Volatilities ... 320
... 6.6 Correlations ... 327
... 6.7 Net Present Value Repository ... 328
... 6.8 Scenarios and Market Data Shifts ... 332
... 6.9 Market Data Interface ... 335

7 Hedge Management ... 347
... 7.1 From Exposure to Hedge Accounting ... 348
... 7.2 Customizing in Hedge Management and Hedge Accounting ... 373
... 7.3 Exposure Entry Types ... 389
... 7.4 Exposure Management ... 395
... 7.5 Implementation Guide ... 411

8 Reporting with the Information System ... 415
... 8.1 Logical Databases ... 416
... 8.2 SAP Queries and Drilldown Reports ... 452
... 8.3 LDB_PROCESS and RAPIs ... 458
... 8.4 SAP NetWeaver BI ... 466

9 Portfolio Controlling with the Analyzers ... 475
... 9.1 The Analyzer Family ... 476
... 9.2 Basic Principles, Architecture, and Data Retention ... 479
... 9.3 Common Control and Structuring Entities ... 520
... 9.4 Value at Risk ... 538
... 9.5 Online Analyses of the Market Risk Analyzer ... 552
... 9.6 The Results Database of the Market Risk Analyzer and Portfolio Analyzer ... 557
... 9.7 Credit Risk Analyzer ... 613
... 9.8 Tools: Parallel Processing ... 639

10 Interfaces and Enhancements ... 641
... 10.1 BAPI ... 642
... 10.2 XI Message ... 653
... 10.3 Enhancements ... 662

11 Legal Regulations ... 671
... 11.1 Sarbanes-Oxley Act ... 672
... 11.2 Tax Authority Requirements ... 674

12 Integration and System Tools ... 681
... 12.1 The Attribute Derivation Tool ... 681
... 12.2 Legacy Data Transfer ... 686
... 12.3 Initialization ... 693
... 12.4 Migration ... 697
... 12.5 Archiving ... 699

Appendix ... 701
... A The Authors ... 703
... B Acknowledgments ... 705

Index ... 707