SAP标准的Treasury培训文档

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1、SAP AGR/3 Treasury ROverview of Treasury Functionsbank databusinesspartnermarket dataUS$DEMDownloadMarket Risk Management:interest/currency exposure mark-to-market valuation risk analysis/simulation value-at-riskCash Management:electronic banking liquidity status integrated operational systems contr

2、ol functionsTreasury/Loans Management managing financial deals and positions transfer to Financial Accounting flexible reporting datafeed interfaceLogisticsMarket RiskManagementSAP TREASURYTreasuryManagementCashManagementTreasury ProcessIndustries1980l R/3 Launchl IS-IS/DARWIN project for Loans,Secu

3、rities,Real Estatetoday1992199319941996l Money Market,Forex,Derivatives projectl Market Risk Management projectl Audit l Market releaseCountries1980l R/3 Launchl IS-IS/DARWIN project for Loans,Securities,Real Estate1992199319941996l Money Market,Forex,Derivatives projectl Market Risk Management proj

4、ectl Auditl Market releasetodayCustomersl Trade and industrynMultinational corporations:wBroad range of functions across the whole treasury areawVarious organizational structures,such as centralized/decentralized treasurywCovers special national features,such as electronic banking formatswCustomers:

5、Shell,Daimler Benz,Petrofina,Burda,.nMedium-sized companieswAll functions available,regardless of company sizewUniform user interface simplifies training and usabilitywThe Treasury workstation concept allows scaled integration into the existing system environment using predefined interfacesCustomers

6、l Providers of financial servicesnInsurance companieswManagement of securities,loans and real estatewIntegrated portfolio and risk managementwCustomers:Munich Re,Schweizer Rente,Aachener Mnchner,.nBankswTreasury master data used by SAP BankingwTreasury Management is used as a basis for managing loan

7、s given and loans taken by mortgage banks(customer project)1)%of all companies surveyed Source:Price Waterhouse Top 500 Survey(Germany)Main Targets of Treasury 1 To ensure liquidity 95 2To optimize financing costs 92 3To optimize yields on financial assets74 4To hedge costs(e.g.against possible exch

8、ange rate fluctuations)61 5To hedge sales(e.g.against possible exchange rate fluctuations)52 6To contribute to profit through active management of open positions 301)1 using SAP Cash ManagementLiquidity Management Target%Cash Management:FunctionsComprehensive analysis of liquidity situationData tran

9、sfer from operative systems:Financials,Logistics and Treasury Management Electronic banking functionsCash position:daily bank account balances by value date,payment advicesCash concentration:concentrated bank accountsCash pooling:interest paid on bank accountsLiquidity forecast:expected inflows/outf

10、lows from customers and vendors,planned dataMonitoring value dates,payment advices,conditions,checks cashed,.Electronic Bankingl Link to payment programl Manual/automatic account statementsnVarious formats supportednPostings to G/L and customer/vendor accountsl Bank PollingnProcesses current bank in

11、formationAim:Monitoring bank account movementscomparing value datesreconciling payment advice andaccount or bank statementcashed checks analysisaccount interest comparing bank conditionsControl FunctionsMonitoring correct paymentsprocessing for planningGrouping:Banks 09/01 09/02 09/03 _BANKA 90 130

12、60BANKB 40-20-30-:Cash PositionAccounts:Subledger 09/01 09/02 09/03 _Account 1 10 30 10-Account 2 20 70 20-Account 3 10 20-50Level:BANKA 09/01 09/02 09/03 _F0 Subledger 40 80 20B2 Incoming checks 60 60 60B1 Outgoing checks 10-10-20-Current bank account balances/balances per value date(bank postings,

13、payment advices)Accounts managed in local/foreign currency Planning horizon 0-5 daysDocumentation and audit functions Current liquidity position on bank accounts per specific date Status before concentration after concentrationBank 112005Bank 21005Bank 34001337Bank 4-350313501350Cash ConcentrationCl

14、earing proposal in accordance with selection criteriaInteractive manual adjustmentCredit transfers and correspondence Concentrated bank accounts Liquidity ForecastGroups:-Customers with similar payment history-Customers of particular interestLevels:-Balances specified according to level Integrated d

15、ata basis including customers,vendors and planned itemsExpected cash inflows/outflows over a planning horizon of 1-24 weeksSupport for optimizing financial investment and borrowing Monitoring liquidity situationTreasury Workstation.R/2R/3R/3AnalysisLiquidityMarket risksFinancial transactionsTradingB

16、ack officeFinancial AccountingR/3TreasuryWorkstationFI-ALEFI-ALERFCTR-CM-ALECompany 2Company code 2External bank 2External bank 2External banksExternal bank 2Company 3Company code 3Central TreasuryCompany code 1Company 4Company code 4Liquidity statusCompany codes 2+3Liquidity statusCompany codes 1-4

17、internal financial transactionsexternal financial transactionsexternal financialtransactionsCorporate Group Evaluations Implementation StrategiesTraditional approach with Financial AccountingProcess-oriented with Logistics:Materials Management/Sales&DistributionMMSDTraditional approach with Financia

18、l AccountingRationalization:Electronic BankingProcess-oriented with Logistics:Materials Management/Sales&DistributionMMSDIntegrationGoods receiptOrderIntegration of LogisticsCash Position and Liquidity ForecastMarketinformationCash Position and Liquidity ForecastCash Management DecisionMarketinforma

19、tionIntegration with other SAP modulesMMSDMarketinformationTreasury and Market Risk ManagementPriority Target%1To ensure liquidity952To optimize financing costs 923To optimize yields on financial assets 744To hedge costs(e.g.against possible exchange rate fluctuations)615To hedge sales(e.g.against p

20、ossible exchange rate fluctuations)526To contribute to profit through active management of open positions30Market RiskManagementImplementation of SAP Treasury ManagementTreasury and Market Risk Management1To ensure liquidity952To optimize financing costs 923To optimize yields on financial assets 744

21、To hedge costs(e.g.against possible exchange rate fluctuations)615To hedge sales(e.g.against possible exchange rate fluctuations)526To contribute to profit through active management of open positions30Treasury Management:FunctionsComplete financial transaction and position managementSupport of tradi

22、ng and back office functionsFunctions to track,check and release transactionsData transfer to Financial Accounting(including accrual/deferral and valuation)Flexible settings to accommodate company-specific transaction and position managementprocessesFinancial transactions assigned to portfolios or m

23、anaged in securities accountsFlexible reporting and portfolio analysisDatafeed interfaceSelection of Product TypesMoney marketSecuritiesLoansForexl lFixed-termdepositsl lDeposits atnoticel lCommercial Paper l lStocksl lSubscript.rightsl lInvestmentcertificatesl lBondsl lConvertiblebondsl lWarrant bo

24、ndsl lWarrantsl lMortgageloansl lBorrowersnote loansl lPolicy loansl lForexspotdealsl lForwardexchangedealsl lForeign exchangeswapsl lCap/Floorl lFRAl lSwaps-Interest rate-Currency-Cross currency int.ratel lOTC options/futures-Currency-Currency barrier-Interest rate-Stockl lSwaption,IRGHedginginstru

25、mentsInvestment/Borrowinginstruments Derivative instrumentsInstrumentsMethodsMeasurementsIdentificationof appropriatefinancialtransactionsSimulationof alternativeresultsSelection of analternativeTradingBack officeAccountingReportingInternal:-liquidity status-risk positionExternal:-market dataAnalysi

26、s and Trading ProcessTransaction and Position Management ProcessPostingsPayment activitiesReversalsAccruals/deferralsValuation Create order/contract Exercise/expiration Give notice Rollovers Exercise rightsUser authorizationLimit managementRelease Settlement/Control Interest rate adjustment Netting

27、References Confirmation letters Securities account transfers Corporate actionsTrading Supportl Company-specific organizational structures represented in the system,internal and external transactions l Uniform trading screen with aids for data entry and processing as well as fast entry templatesl Tra

28、der and user authorizations for financial instruments and functions,change documentsl Limit managementl Standing instructions for specific business partners or organizational units allow bank details and payment details to be assigned to transactions automatically Partner dataMarket dataStanding Ins

29、tructions Payment details Correspondence Derived flows-Entry and editing functions-Valuation toolsstanding instructions NPV calculatorcopying functionsoption price calculator shortcuts and tree structuresetc.fast entrycollective/fast processing-Automatic checks-dealer slip working days-limit managem

30、enttrader and business partner-change documentsauthorizationBasis forupdating Cash Management updating Financial Accounting via flexible account determinationtriggering paymentupdating itemsaccrued/deferred interestpayment initiationforeign currency valuationyield calculation Financial Transactions:

31、Cash FlowInvestment4/1/YY 1m DEM madeInterest 7/1/YY 10,000 DEM anticipatedRepayment 7/1/YY 1m DEM anticipated Cash flow(example)Product typeTransaction typeBusiness partnerTransfer flowValuation flowAccrual/deferral flowFlows describing structure characteristicsPaymentinformationPostinginformationC

32、alculation basesCurrenciesBal.sheet acctTraderTermInterestRepaymentSequence Defined using Processing CategorieslOrder expirationlTerminationlContract settlementlExercise/expirationsettlementlKnock-in/knock-out settlementlTermination settlementlExercise/expirationlKnock-in/knock-outlTerminationwith/w

33、ithoutorderExample:Derivativeswith/withoutsettlementContractContractExercise/expirationContractAlternativewithout settlementwith/withoutorderExample:Currency optionContractContractAlternativewith settlementTradingBack officeExample:Currency barrier option with knock-inContract settlementKnock-in set

34、tlementExercise/expiration settlementContractKnock-inExercise/expirationOther Examples for Processing Categories with/withoutorderFinancial Transactions in Cash Management51A SAP AGTB0001 Assign Cash Management levels Fixed-term deposit Subledger time dep.10 Contract 10/0210/03 10/03later10/05 Cash

35、Management:Display LevelsLeDescription TBBalancexxx,xxx xxx,xxxxxx,xxxxxx,xxx132,323 xxx,xxx xxx,xxxxxx,xxxxxx,xxx.xxx,xxx xxx,xxx xxx,xxxxxx,xxxxxx,xxxxxx,xxx xxx,xxx xxx,xxxxxx,xxxxxx,xxxTime deposits10/0210/03 10/04 10/05 laterBack Office Supportl Check financial transactions upon settlementnStru

36、cture characteristics and allocation to portfolios/finance projectsnPayment detailsl Collective processing and editing functionsl Confirmation management/confirmation status nOutgoing confirmations,option of generating S.W.I.F.T.files and link to FX-Match via user exitnEnter and match incoming confi

37、rmations,evaluate overdue counterconfirmationsl Monitor limit utilization as part of end-of-day processingl Netting of financial transactions(payment netting)Back Office ProcessingConfirmationConfirmationAccountingCollective processingNettingReferencesInterest rate adjustmentsSecurities acct transfe

38、rsCorporate actionsConfirmation management (incoming/outgoing)Payment detailsCurr.BankAcct.Settlement/control Payment detailsCorrespondencee.g.confirmation letter,SWIFTFaxe.g.dealing slipExternalInternalConfirmationConfirmationTransaction SettlementCurrencyPayer/eePartnerbank IDPmntmeth.Paymentactiv

39、ityHousebankAcct IDPaymentdetails IDAccount assignment referenceDB000001 Deutsche BankFixed-term depositG/L account:113113DEMUSDDEMCOUNTERP.2.T.BANKBBANKB.X.GIROUSD.010102Business Partner-Payment DetailsFixed-term deposit in DEM at COUNTERPARTYForex purchasein USDOur house bank:Bank BCurrencyPayer/e

40、ePartnerbank IDPmntmeth.PaymentactivityHousebankAcctIDAllocationsIncomingOutgoingPayment details ID010102DEMUSDDEMCOUNTERPARTY.2.T.BANKBBANKB.X.GIROUSD.Fixed-term dep.Deposit at noticeMoney marketForex.010101Foreign exchange01Transfer to Financial Accountingl Posting release optionl Flexible account

41、 determination at flow type levell Flows transferred to Financial Accountingl Direct posting to clearing accounts,clearing via account statementl Make payments using the extended payment program:nGenerate and process payment requestsnPayment netting,flexible settings for payment methodsl Range of po

42、sting evaluationsAccountingFI interfaceSelection of transactionsand flows relevant for postingPosting:Account Determination Fixed-term deposit 1 month 3.5%Acct assignment ref.DB000001Fxd-term dep.acct 113113DepositFinalrepayment D1,000,000 C1,000,000Interest earned 273100Nominalinterest D C 3,750Ban

43、k clearing acct 113100FT depositNominal int.Finalrepayment D C 1,000,000 3,7501,000,000Debit Bal.sht Credit Bank Debit Bank Credit Bal.sht Debit Bank Credit Int.earned Flow typePosting details1100-1120+1200+Sept 1st1100-Fixed-term deposit 1,000,000Oct 1st1120+Final repayment1,000,000Oct 1st1200+Nomi

44、nal interest 3,750Balance sheet account acc.toaccount assignment referencePosting using Clearing Accountsfixed-term deposit via activity at fixed-term deposit levelpost flows to clearing accountchange to clearing accountschange to bank account levelclearing entry via account statementPayment Transac

45、tion Handling Fixed-term depositAccount statement from bank.using clearing accountsFixed-term dep.account(Deuba)House bank account(Deuba)100 m100 mHouse bankDEUBABank clearing account100 m100 mPosting using Payment ProgramPaymentadviceBank transferEurocheckCheckPaymentsummaryIDOCPayment Transaction

46、Handling1st fixed-term deposit2nd fixed-term deposit.using a clearing account for payment requestsFixed-term dep.account(Citi)House bank account(Deuba)100 m150 mHouse bankDEUBAPayment request clearing acctBank clearing account150 m150 m50 m100 m50 m150 mpayment(trigger payment request run)account st

47、atement from bankCross-Application Reporting Common reportingstructureData selection,definition oflayoutIndividual reportingJournalMaturitylistRevenuelistDrilldown reporting structuresPARTNERPRODUCT TYPE Borrowing/sale1PRODUCT TYPE2PARTNERCURRENCYPRODUCT TYPECURRENCYCompany codeTraderProduct typePor

48、tfolioSecurities accountXPartnerTransactionCurrencyAccount assignment referenceXXInvestm./purchaseXPARTNERCURRENCYMultidimensional Flexible Reporting3PARTNERPRODUCT TYPECURRENCYDatafeed ArchitectureSAP Datafeed ProviderSelectiverefreshRequestRequestReplyReplyRFCInformationprovidersExternalinterfacep

49、rogramDatafeedServerLogDatafeedserverOperativeSAP tablesIdentify suitable financial transactionsSimulate alternative resultsSelection of analternativeRisk Management Process in R/3SDUS$DEMDatafeedMMRisk controllingTradingBack officeAccountingReportingValue at riskMark-to-marketSensitivitiesCrash sce

50、nariosInternal:-risk positionExternal:-market dataRisk ManagementlMarket risk managementlSelection of instrumentslAuthorization concept at user,business partner and trader levellLimit management(money market,forex)lHedging strategieslMacro hedgelPortfolio hedgelMicro hedge(release not yet specified)

51、l Information procurementnInterest and currency exposurenMark-to-market,effective interest nratenSensitivities,cash flow analysesnValue at riskl Assessment of possible solutionsnSimulationnWhat-if analysesnCrash scenariosl Transform risk using Treasury ManagementMark Risk Management:Functions Extens

52、ive risk valuation and controlMarket Risk Management:System OverviewCalculationIntegrated Market Risk ManagementControl panelIntegrates all incoming data and resulting data relevant for riskExposureHedging rateCash ManagementMark-to-market valuationKey ratios/valuesData inflowResultsFictitious cash

53、flow updateAnalysis and SimulationKey values based on simulatedmarket data andsimulated financial transactionsEvaluation methodsEvaluation methodslInternal rate of return(IRR)lYield calculation(AIBD,Braess-Fangmeyer,Moosmller,US-Treasury)lEffective rate(cut-off rate)for FX exposuresl Mark-to-market

54、valuationlChanges in net present valuelFX and interest rateexposureslSensitivities(delta,gamma,duration,convexity)lValue at risk for portfoliosl Hedging strategy based on values from Cash Managementl No direct link between the hedging transaction and the hedged instrumentMacro HedgeTraderauthorizati

55、onBusiness Partner and Trader AuthorizationBusiness partnerauthorization Authorization AuthorizationTreasuryMoney MarketFixed-term deposit51 AFixed-term deposit100investment200borrowingDeposit at notice51 BDeposit at notice 100 investment 200 borrowingLimit Managementl Limit update based on the foll

56、owing characteristics(currently supported for money market and foreign exchange):ncompany codentradernbusiness partnerncurrencynportfolionlimit product group l Example:Limit utilizationTrader:FuchsLimit:100 mUtilization.:10 mSurplus/deficit 90 mL1Dres.900Deuba1,000L2 L3700L1L1 :Partner:Partner/limit

57、 product groupL3:Limit product groupOverview of Treasury Functionsbank databusinesspartnermarket dataUS$DEMDownloadMarket Risk Management:interest/currency exposure mark-to-market valuation risk analysis/simulation value-at-riskCash Management:electronic banking liquidity status integrated operational systems control functionsTreasury/Loans Management managing financial deals and positions transfer to Financial Accounting flexible reporting datafeed interfaceLogistics演讲完毕，谢谢观看！