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1 Exposure Management 2.0: Commodity Exposures with Fixed Prices Description The Exposure Management 2.0 provides the new commodity exposure approach categories 2 Fixed Prices, 3 Floating Prices, and 4 Fixed and Floating Prices. Raw exposure and exposure positions of these new categories are handled different in Exposure Management 2.0 then the raw exposure and exposure positions of the commodity exposure approach category 0 Without Prices. In this test case the process for commodity exposures with fix prices is described. Preparation Customizing - In the Customizing of the Exposure Management 2.0 under Define Exposure Activity Types create two new exposure activity types, which both have commodity exposure approach category Fixed Prices. One of them should have the setting automatic release and one manual release. - Under Define Exposure Positions create an exposure position type with the aggregation indicator and one without. - Under Define Exposure Fields Derivation Strategy define rules to derive the exposure position type for the sub raw exposures. Note: You could use one of the free attributes to derive the exposure position type. Define the name and the value for the field in the Customizing under Exposure Management 2.0 -> Settings for Free Attributes -> Define Headings, Values, and Texts for Short Attributes and then create a rule in this customizing to derive the exposure position type depending on the value of this field. - Activate automatic integration of exposure positions in the Risk Analyzer Master Data - Create Commodity master data (transaction FCZZ) Market Data - Enter Commodity prices - Enter exchange rates Execution 1. Create several raw exposure (transaction FTREX1) with the created exposure activity types. After entering the header data for the raw exposures like the transaction type, the accounting code or some free attributes, you enter the line item data. For commodity exposures with fix prices you also have to enter the exposure amount and currency in the line item. 2. Save your entries. When you saved your entries, then the system creates sub raw exposures from the line items. For each line item the system creates sub raw exposures for the FX risk (when the exposure currency is not the target currency) and also for the Commodity price risk. ______________________________________________________________ SAP AG 1 SAP System ______________________________________________________________
description
FIN_TRM_COMM_RM_2
Transcript of FIN_TRM_COMM_RM_2
1 Exposure Management 2.0: Commodity Exposures with FixedPrices
Description
The Exposure Management 2.0 provides the new commodity exposure approach categories 2 FixedPrices, 3 Floating Prices, and 4 Fixed and Floating Prices. Raw exposure andexposure positions of these new categories are handled different in Exposure Management 2.0 then theraw exposure and exposure positions of the commodity exposure approach category 0 WithoutPrices.
In this test case the process for commodity exposures with fix prices is described.
Preparation
Customizing
- In the Customizing of the Exposure Management 2.0 under Define Exposure Activity Types createtwo new exposure activity types, which both have commodity exposure approach category FixedPrices. One of them should have the setting automatic release and one manual release.
- Under Define Exposure Positions create an exposure position type with the aggregation indicatorand one without.
- Under Define Exposure Fields Derivation Strategy define rules to derive the exposure position typefor the sub raw exposures.Note:You could use one of the free attributes to derive the exposure position type. Define the name andthe value for the field in the Customizing under Exposure Management 2.0 -> Settings for FreeAttributes -> Define Headings, Values, and Texts for Short Attributes and then create a rule in thiscustomizing to derive the exposure position type depending on the value of this field.
- Activate automatic integration of exposure positions in the Risk Analyzer
Master Data
- Create Commodity master data (transaction FCZZ)
Market Data
- Enter Commodity prices
- Enter exchange rates
Execution
1. Create several raw exposure (transaction FTREX1) with the created exposure activity types.After entering the header data for the raw exposures like the transaction type, the accounting code orsome free attributes, you enter the line item data. For commodity exposures with fix prices you alsohave to enter the exposure amount and currency in the line item.
2. Save your entries.When you saved your entries, then the system creates sub raw exposures from the line items. Foreach line item the system creates sub raw exposures for the FX risk (when the exposure currency isnot the target currency) and also for the Commodity price risk.
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When you have defined automatic release for the raw exposure, the system automatically initiatesthe release.
3. Check the line items of the raw exposures with manual release. Check that sub raw exposures for FXrisk has been created.Then initiate the release.
4. With the release of the raw exposure the system creates exposure positions from the sub rawexposures. The exposure position data are the sub raw exposure data plus the exposure position typeand all other derived fields (defined in Customizing). After the release of the raw exposure in thefirst step the exposure position type and all other additional field values are derived. In the secondstep the exposure positions are created according to the differentiation criteria chosen for thedifferent exposure position types.
5. Call function Exposure Positions Overview (transaction FTREX12) and check the exposurepositions, call the Price Info and check the values.
6. Change the raw exposures (for example the quantity and the amount or the transaction category) andsave the changes. If necessary initiate the release.
7. Check if the exposure position have been updated accordingly. When you have changed thetransaction category (= differentiation criteria for exposure positions), check whether the 'old'expsoure position has been reduced to zero and the a new exposure position has been created.
Check
- Check the different versions of the raw exposures (transaction FTREX1).
- Check that exposure positions without the aggregation flag on exposure position type level are notaggregated and that the exposure positions with allowed aggregation are aggregated.
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2 Exposure Management 2.0: Commodity Exposures with FloatingPrices
Description
The Exposure Management 2.0 provides the new commodity exposure approach categories 2 FixedPrices, 3 Floating Prices, and 4 Fixed and Floating Prices. Raw exposures andexposure positions of these new categories are handled different in Exposure Management 2.0 then theraw exposure and exposure positions of the commodity exposure approach category 0 WithoutPrices.
In this test case the process for Commodity-Exposures with floating prices is described.
Preparation
Customizing
- Create two new exposure activity types in the Customizing of the Exposure Management 2.0 underDefine Exposure Activity Types, which both have commodity exposure approach categoryFloating Prices. One of them should have the setting automatic release and one manualrelease.
- Under Define Exposure Positions create an exposure position type with the aggregation indicatorand one without.
- Under Define Exposure Fields Derivation Strategy define rules to derive the exposure position typefor the sub raw exposures.Note:You could use one of the free attributes to derive the exposure position type. Define the name andthe value for the field in the Customizing under Exposure Management 2.0 -> Settings for FreeAttributes -> Define Headings, Values, and Texts for Short Attributes and then create a rule in thiscustomizing to derive the exposure position type depending on the value of this field.
- Activate automatic integration of exposure positions in the Risk Analyzer
Master Data
- Create Commodity master data (transaction FCZZ)
- Create Commodity Curves (transaction TANCCMASTER)
Market Data
- Enter Commodity prices
- Enter exchange rates
Execution
1. Create several raw exposure (transaction FTREX1) with the created exposure activity types.After entering the header data for the raw exposures like the transaction type, the accounting code orsome free attributes, you enter the line item data. For commodity exposures with floating prices youenter the price condition in the following way:
a) Mark the line item and call Floating Prices.
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b) Enter the price details pricing date, commodity, Quotation Source, Quotation Type and PriceWeighting.
c) Choose Enter.
d) Check that the Fixed/Floating indicator was automatically set to Floating.
2. Save your entries.The system creates sub raw exposures from the line items. The splitting logic works as follows:For each line item the system creates sub raw exposures for the FX risk (when the exposure currencyis not the target currency) and also for the Commodity price risk.
- FX RiskFor floating priced line items a preliminary price is needed to create the sub raw exposure forthe FX risk. In the Customizing of the exposure activity type you have chosen the commodityprice determination strategy. When you have chosen the stategies Update with CurrentCommodity Prices or Update with Commodity Prices According to Commodity Curve you canuse the function Calculate Prices while maintaining the line items.
- Commodity Price RiskFor every price line item the system creates a seperate sub raw exposure according to the priceweighting.
When you have defined automatic release for the raw exposure, the system automatically initiatesthe release.
3. Check the line items of the raw exposures with manual release
- Mark the line items, call the Floating Prices and check the values.
- Check that sub raw exposures for FX risk has been created.
- Check the sub raw exposures for the commodity risk.Then initiate the release.
4. With the release of the raw exposure the system creates exposure positions from the sub rawexposures. The exposure position data are the sub raw exposure data plus the exposure position typeand all other derived fields (defined in Customizing). After the release of the raw exposure in thefirst step the exposure position type and all other additional field values are derived. In the secondstep the exposure positions are created according to the differentiation criteria chosen for thedifferent exposure position types.
5. Call function Exposure Positions Overview (transaction FTREX12) and check the exposurepositions. Markt the line item and call the Price Info and check the values.
6. Change the raw exposures (for example the quantity and the amount or the transaction category) andsave the changes. If necessary initiate the release.
7. Check if the exposure position have been updated accordingly. When you have changed thetransaction category (= differentiation criteria for exposure positions), check whether the 'old'exposure position has been reduced to zero and the new exposure position has been created.
8. Fix the Commodity Price at fixing date. Enter the fixing price in the floating price details and set thefixing status to Fixed.
9. Check if the exposure positions have been updated accordingly.
Check
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- Check the different versions of the raw exposures (transaction FTREX1).
- Check that exposure positions without the aggregation flag on exposure position type level are notaggregated and that the exposure positions with allowed aggregation are aggregated.
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3 Exposure Management 2.0: Automatic Integration with Logistics
Description
You will find this test case for the automatic integration of commodity exposure from the Logistics intothe Exposure Mangement 2.0 also at the Business Function Logistics-Treasury Integration(LOG_TRM_INT_1) [Logistics Feed into Treasury and Risk Management (TRM)]
Preparation
- Activate the Business Function Logistics-Treasury Integration (LOG_TRM_INT_1).
- Activate Business Function TRM, Financial Risk Management for Commodities 2 (reversible)(TRM_COMM_RM_2).
- You have implemented the Financial Risk Management for Commodities of the TRM and set up theExposure Management 2.0.
- You have defined the product types you need to hedge the commodity price risks and FX risksof your Commodity transactions.
- You have defined the needed exposure activity types using the commodity exposure approachcategories fix, floating or fix and floating.
- You have activated the integration of the exposure positions with the Risk Analyzer.
- You use SAP logistics applications in connection with the sale or purchase of Commodities.
- You have created all needed Commodities in the Financial Risk Management for Commodities ofthe TRM under Master Data -> Commodity (transaction FCZZ)
- Enter the needed market data:
- Commodity prices
- Commodity forward rates
- Prices of commodity futures
- Exchange rates
- ...
Special Settings in Customizing for the Automatic Integration
- Under Financial Supply Chain Management ->Treasury and Risk Management -> TransactionManager -> General Settings -> Exposure Management 2.0 -> Integration with Logistics -> AssignExposure Activity Type and Exposure Category to Incoming Exposures.
- In the Customizing under Logistics-General -> Treasury and Risk Management Integration ->Assign Commodity IDs to Condition Types.See also the chapter: Overview of Configuration and Customizing Activities
Execution
- Create a logistics document with integration relevant pricing conditions.
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- Change a logistics document with integration relevant pricing conditions.
Check
- Check that raw exposures are sent to SAP Treasury and Risk Management when you create orchange relevant logistics documents (sales order, purchase order, goods receipt and delivery).
- Check that the raw exposure status is updated when you post billing document of invoiceverification document.
- Check the corresponding exposure positions
- Calculate the fair value of the exposure positions.
Further notes
For more information see SAP Library -> ERP Central Components -> Financials -> Financial SupplyChain Management -> Treasury and Risk Management -> Transaction Manager -> General Informationabout the Transaction Manager -> Integration of Logistics with the Treasury and Risk Management.
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4 MRA: Quantity of Commodities as Key Figure in RDB and OnlineReports
Description
In the reporting of your commodity-related financial instruments you would like to see the quantityinformation of the underlying commodity along with the fair value of the instruments. For this reason theMarket Risk Analyzer provides within the Results Database a new key figure category forcommodity-quantities and you can see the quantities of the commodities in the reports for NPV Analysis(transaction JBRX) and in the Key Figure Analysis (transaction AISGENKF).
Preparation
- Customizing for the commodity-related product types within the Transaction Manager.
- Maintain the Commodity master data (transation FCZZ).
- Maintain the master data for Commodity Futures (transaction FWZZ).
- Maintain the basis settings for the Market Risk Analyzer like the evaluation type, the yield curvetypes and others.
- Maintain the market data for the relevant commodities, yields and exchange rates
- Create various commodity-related financial transactions like the purchase of a Commodity Future,Commodity Forwards, Commodity Swaps, Commodity Options or a Commodity Forward Optionusing function Create Financial Transactions (transaction FTR_CREATE). With the function EditFinancial Transaction (transaction FTR_EDIT) you can later in change the financial transactions.Fill the tab page Analysis Parameters (RM) within the financial transaction or via function ProcessFinancial Object (transaction JBDO) so that the MRA selectors will select the financial transactions.
Execution
Results Database
1. Define Quantity Key Figure
a) Define a Filter (transaction AFWFL) which will select the created financial transactions.
b) Create Quantity Key Figure (transaction AFWKF_RA)Enter a name and choose create. On the following screen which displays the key figurecategory hierarchy choose the new category RAB03 - Quantity Key Figure forCommodity Instruments.On the key figure maintenance screen enter the mandatory fields for the basic key figurecategory (abstract). Followed by the description in the area Quantity Key Figure for CommodityInstruments and fill the fields Quantity Calculation Method and the Display Unit of Measure.Save your entries.
c) Create a single record procedure (transaction AFW )Enter a name for the single record procedure (SRP). Choose Create. Enter the filter, create thefinal result procedure and the assign the quantity key figure. Save your entries.
2. Fill the Quantity Key Figure
- Run the function Determine Single Records (transaction RAEP1), which will calculate the SRP
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result and store it in the Results Data Base
- Create layout using the function Define Initial Layout (transaction AIS_LAY_DEF) where youcan specify the key figures to be reported.
3. Display the Calculation Results
a) Execute the function Analyzer Information System (transaction AIS_STDREP) in order todisplay results from the result data base as per the selected defined layout. Check the KeyFigure Quantity and Unit of Measure at Single Record level.
b) Check the amounts and unit of measures for all financial transaction you have created.
NPV Analysis (Transaction JBRX)
1. Call NPV Analysis (transaction JBRX). On the tab page Control Data the new indicator CalculateQuantity Key Figure is available. When you choose the indicator, then the area Control forQuantity Key Figures appears where you choose the Quantity Calculation Method and the DisplayUnit of Measure.
2. Enter appropriate restrictions (tab page Characteristics) which fit to your financial transactions tomake sure that they are processed.
3. Choose Execute.
4. Check in the resulting results list:
a) Whether in the list the columns to display the Quantity and the Unit of Measure are available.
b) Whether the quantity on the transaction level is always the unit of measure given in the deal.
c) Check the detail protocol.
Key Figure Analysis (Transaction AISGENKF)
1. Call the Key Figure Analysis (transaction AISGENKF).
2. Enter the mandatory fields and choose Define Report Layout on the tab page General Selections.
3. Select line item for the respective layout ID and choose Key Figures folder in the dialog box.
4. Check if you can see the newly introduced Quantity Calculation Method and the Display Unit ofMeasure columns in the key figures overview screen.
5. Select the appropriate Quantity Calculation Logic and the Display Unit of Measure Logic in the keyfigure overview screen for the respective new key figure with the type quantity, save your changes.
6. Enter appropriate restrictions on tab page Characteristics) which fit to your financial transactions.
7. Choose Execute.
8. Check the values for all financial transaction you have created
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TRM, Financial Risk Management forCommodities 2
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Neither this document nor any part of it may be copied or reproduced in any form or by anymeans or translated into another language, without the prior consent of SAP AG. Theinformation contained in this document is subject to change without notice.
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All other products which are mentioned in this documentation are registered or not registeredtrademarks of their respective companies.
1 Exposure Management 2.0: Commodity Exposures with FixedPrices 1
2 Exposure Management 2.0: Commodity Exposures with FloatingPrices 3
3 Exposure Management 2.0: Automatic Integration withLogistics 6
4 MRA: Quantity of Commodities as Key Figure in RDB and OnlineReports 8
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