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SAP Treasury and Risk Management

Guidelines for Management Creating Reports in SAP Treasury and Risk

Note: Contains Screen Shots in German !

Effective as of: SAP NETWEAVER 2004 + AddOn SAP Financial Supply Chain Management 3.0

SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management

Version Management
Version 1.0 1.1 1.2 2.0 Date November 2002 December 2002 February 2003 August 2005 Enhancement / Change New Features Summary of Characteristics External Access to the Logical Databases Revised / New Functions in FSCM 3.0 Pages All pp.121 pp.128 All

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SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management

Contents
1 Introduction ................................................................................................... 5
1.1 1.2 Overview........................................................................................................... 5 Configuration/Adjustments................................................................................ 6

2 Reporting Tools............................................................................................. 8
2.1 Dialog-Oriented Information System and Drilldown Reporting ................................. 8 2.2 Generating Lists using SAP Query ........................................................................... 9 2.3 SAP Treasury Reporting Strategy ............................................................................ 9 2.4 SAP Query.............................................................................................................. 10

3.Description of the Logical Databases ....................................................... 16


3.1 Evaluating Positions with Logical Database FTI_TR_POSITIONS ........................ 16 3.1.1 Where Used......................................................................................................... 16 3.1.2 Information about Data Selection ........................................................................ 18 3.1.3 Field Selection for Logical Database FTI_TR_POSITIONS ................................ 22 The market price contains the price of the security on the key date for percentage-quoted securities..... 47 3.2 Flow Evaluation/Position Changes Using Logical Database FTI_TR_PERIODS... 61 3.2.1 Information about Data Selection ........................................................................ 62 3.2.2 Field Selection for Logical Database FTI_TR_ PERIODS................................... 68 3.3 Evaluation of Revenues and Maturities Using Logical Database FTI_TR_PL_CF. 85 3.3.1 Where Used......................................................................................................... 85 3.3.2 Information about Data Selection ...................................................................... 105 3.3.3 Field Selection for Logical Database FTI_TR_PL_CF....................................... 106 3.4 Evaluation of Transaction Data Using Logical Database FTI_TR_DEALS........... 122 3.4.1 Where Used....................................................................................................... 122 3.4.2 Information about Data Selection ...................................................................... 125 3.4.3 Field Selection for Logical Database FTI_TR_DEALS (MAIN_DATA) .............. 128 Example 137 Example 138

4 Summarizing Results (Using Characteristics)........................................ 146


4.1 Problem ................................................................................................................ 146 4.2 Possible Solution .................................................................................................. 146 4.3 How Is Summarization Done? .............................................................................. 149

5 Optimizing Selections, Field Lists ........................................................... 153 6 Tips & Tricks.............................................................................................. 154
6.1 External Access to the Logical Databases ........................................................... 154

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SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management 6.2 Alternative Front End with Crystal Reports........................................................... 157 6.3 Mass Copying Queries ......................................................................................... 158

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SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management

1 Introduction
1.1 Overview
As of Release SAP R/3 Enterprise, many new features are available in the information system in SAP Treasury and Risk Management. The central feature is the SAP Query. This allows lists to be generated flexibly and adapted individually to the customers specific requirements. Even users who are not familiar with programming in ABAP can generate comprehensive reports. SAP Query supports a wide range of options for defining reports and creating different report types, such as basic lists, statistics and ranked lists. Queries are usually based on InfoSets. These are special views of data sources. In other words, InfoSets specify which fields from a data source can be analyzed in queries. You can assign InfoSets to different user groups. This enables the system administrator to control the extent to which individual departments or users can run evaluations using SAP Query. Each end user has access to a certain selection of InfoSets that are relevant for his or her field of work (as defined by the user group). InfoSets are usually based on logical databases, which provide a structured, integrated view of the R/3 database tables. Logical databases provide a pool of table fields for a particular business function. As of SAP Enterprise, several newly designed logical databases for Online Transaction Processing (OLTP reporting) can be accessed in SAP Treasury and Risk Management: FTI_TR_POSITION S Position View

You can use the logical database FTI_TR_POSITIONS to evaluate positions in the SAP Treasury Transaction Manager on a given key date. This enables you to analyze all the key figures and characteristics that are relevant for accounting for the specified key date. FTI_TR_PERIODS Period View

The logical database FTI_TR_PERIODS can be used to evaluate flows in the SAP Treasury Transaction Manager over a given period. This enables you to analyze position trends within the selected period on a flexible basis. FTI_TR_PL_CF Revenue and Maturity View

You can use the logical database FTI_TR_PL_CF to evaluate revenues, maturities, and turnovers within a given period. This ensures that the revenues or turnovers are assigned to the correct due date or period.

A number of InfoSets based on these logical databases are delivered as of SAP R/3 Enterprise Financial Services 1.10 (EA-FINSERV 110). You can use them to summarize or group fields into useful units, as well as to define additional fields which the user can then edit in the same way as database fields.

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SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management
As of release Enterprise AddOn 2.0, the range of functions available in the logical databases above have been expanded, providing a number of additional fields. The following new LDBs are now also available: FTI_TR_CASH_FLOWS Payment View

The logical database FTI_TR_CASH_FLOWS can be used to evaluate payments in the SAP Treasury Transaction Manager over a given period. You can flexibly analyze payment flows from transaction management within the selected period. As of Release ERP 2005 (ECC 600), a new logical database is available: FTI_TR_DEALS Transaction Management View

In contrast to the LDBs FTI_TR_POSITIONS and FTI_TR_PERIODS, which focus on position reports and accounting reports, FTI_TR_DEALS primarily evaluates information from transaction management. You can use the logical database in particular for front office-based reporting.

1.2

Configuration/Adjustments
SAP supplies a range of standard queries, which can be used as they are, or as a template for customerdefined queries. You can find the standard queries in the global work area using Transaction SQ00 User group /SAPQUERY/T1 = queries for the Treasury and Risk Management area User group /SAPQUERY/T1 = queries for the CFM area All delivered queries are defined on the basis of InfoSets (previously called functional areas). In the list of standard queries you can see which InfoSet is used for each query. The following functional areas are delivered in the standard system: /SAPQUERY/CFM_MATURITY /SAPQUERY/CFM_PERIODS /SAPQUERY/CFM_POSITIONS /SAPQUERY/CFM_REVENUE /SAPQUERY/CFM_REV_FCAST /SAPQUERY/CFM_MATUR_CF

You can copy the queries delivered with the standard system and change them to suit your individual requirements. However, you can only copy queries if you have change authorization. You can copy all queries within a user group. Queries from other user groups can only be copied if the InfoSet used to define the query is assigned to both user groups.

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Proceed as follows if you would first like to see an overview of how a certain query is structured: Select one user group and one query. Choose Description. This gives you an overview of general information and options pertaining to the selected query: o The query title o Author and user to last make changes o Comments regarding the query o InfoSet used to define the query o The origin of the selected data o Generated lists (sublists) o Additional selections

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SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management

2 Reporting Tools
SAP provides a range of reporting tools to enable you to evaluate the data saved in the system with greater flexibility and efficiency. There are basically two types of reporting tools:

2.1 Dialog-Oriented Reporting

Information

System

and

Drilldown

Drilldown reporting is a dialog-oriented information system for finding related business data and analyzing it with a high level of detail. Drilldown reporting contains easy-to-use functions for navigating around the dataset (for example, moving to the next level or to the next object within a level, hiding a level, or showing detailed/drilldown lists). It also offers a multitude of additional functions to enable you to process a list interactively (specifying conditions, exceptions, sort order, top N and much more). In addition to the drilldown layout, you can also display your drilldown data in a list using the SAP List Viewer. Note The drilldown reporting tool previously supported the following report types: Derivatives (OTC): For a given date Derivatives (OTC): For a given period Foreign exchange: For a given date Foreign exchange: For a given period Money market: For a given date Money market: For a given period Treasury: For a given date Treasury: For a given period Treasury: For a given date (all fields) Treasury: For a given period (all fields) Securities: For a given date Securities: For a given period

These report types only evaluated data in the operative valuation area. As of Release SAP Enterprise 2.0, they have been replaced by the following general report types: TRM operative/parallel: For a given date TRM operative/parallel: For a given period

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SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management
Reports based on a report type that is no longer supported must be converted manually to the new report type.

2.2 Generating Lists using SAP Query


The generic tools QuickView, Query and InfoSetQuery are reporting tools with which you can generate menu-based lists, (generally) without any special programming expertise. These tools cover all individual steps (selection, acquisition and presentation of data) that you need to carry out reporting tasks. Special aspects of these tools and the differences between them are described below. The logical database used for the evaluation options described below has been optimized for employing SAP Query. In addition, drilldown reporting can still be used for generating reports.1 For more information, refer to: BC405 - Techniques for Generating Lists and InfoSet Queries BC407 - Reporting: QuickViews, InfoSet Query and SAP Query SAP Library, SAP Query (BC-SRV-QUE)

2.3 SAP Treasury Reporting Strategy


To accompany SAPs attempt to standardize functions, recent releases have pursued the following strategy with regard to data reporting in SAP Treasury and Risk Management, particularly in transaction management : Provide comprehensive OLTP online reporting alongside a central warehouse-driven approach to BI content. OLTP online reporting focuses on providing a comprehensive level of data access and local data integration (throughout Treasury) in the form of the logical databases. The LDBs are constantly being enhanced and optimized. In accordance with SAP's global strategy, drilldown reporting within OLTP will not be enhanced, either from a technological or content aspect. Dialog-based "slice and dice" functions have continually been developed and technologically improved in BI, providing more than adequate replacement technology. This has had the following effects on OLTP reporting in the Treasury and Risk Management area: o o Drilldown reporting features will not be enhanced. This means new report types, characteristics, key figures, and any other functions will not be developed. OLTP reporting is based on the logical databases using SAP Query or special ABAP programs for generating lists and reports.

The drilldown reporting tool has certain restrictions when used in Unicode systems; For more information, refer to SAP Note 540911.

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SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management

2.4 SAP Query


SAP Query is used to generate lists that are not yet contained in the R/3 standard system. It is aimed particularly at users without ABAP programming experience who want to generate comprehensive reports. SAP Query supports a wide range of options for defining reports and creating different report types, such as basic lists, statistics and ranked lists. Queries based on InfoSets New logical databases are delivered with SAP Enterprise for the areas SAP Treasury and Risk Management (SAP TR) and SAP Loans (SAP CML). To use SAP Query in connection with logical databases, you must first generate InfoSets. When you create an InfoSet you can select a logical database for supplying data. The number of fields in a logical database can sometimes be very high. You can moderate this by grouping fields into logical units or field groups. Example: Logical database FTI_TR_POSITIONS is delivered as of SAP Enterprise. This logical database contains a range of characteristics, attributes, and key figures that are relevant for analyzing positions. Only one position InfoSet can be defined on the basis of this logical database. The InfoSet contains attributes and key figures that are relevant for evaluating this position. All the other fields in the logical database that are not relevant for position evaluation are not assigned to the InfoSet. When creating a query, you can only use the fields that were selected in the InfoSet. This simplifies the procedure for creating reports. An InfoSet not only lets you reduce or group fields into useful units but it also lets you link additional fields or additional tables to these units, which enlarges the pool of available fields. Example: As of SAP Enterprise, the logical database FTI_TR_POSITIONS contains a range of attributes for important business partners (such as country, company relationship, industry). If you need additional business partner fields, you can link the relevant master data table (for example, BUT000) with a table join in the InfoSet. This means that these fields are then also available for evaluation purposes.

InfoSet This section describes how to create an InfoSet that will be used as the basis for a query or an InfoSet Query. Logical database FTI_TR_POSITIONS is used as the data source. a) Create InfoSet. Transaction SQ02 Enter a name for the InfoSet -> Choose Create b) Select a title and data source Enter a description. Choose Logical Database. Logical Database FTI_TR_POSITIONS. -> c) Define field groups. In addition to the standard field groups, you can also define further field groups for a clearer InfoSet structure.

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SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management
d) Add fields/tables/ structures. The Extras button lets you add fields that are not included in the standard scope of the logical database but are required for the evaluation. e) Assign data fields to field groups All fields from logical database FTI_TR_POSITIONS that can be used for the query definition are on the left of the screen. Use drag&drop to assign characteristics and key figures to the field groups on the right. The query or InfoSet query that uses this InfoSet can use all fields in the field groups.

f)

Save and generate the InfoSet. You must save and generate the InfoSet before it can be used. Choose Save. Choose Generate.

Create a Query This describes how to create a query with basic lists on the basis of the InfoSets created in the previous section. a) Create a query Transaction SQ01 Enter a name for the query -> Choose Create Select an InfoSet Select an InfoSet -> Choose Copy Give the query a title Enter a title -> Choose Basic List

b) c)

d)

Determine the layout design Select the fields to be displayed by clicking the checkboxes in the window on the top left of the screen

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SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management
Query Painter has been available since Release 4.6A to enable you to define the layout of queries. This layout painter displays the screen as it is (what you see is what you get). The procedure previously used for defining queries is still available and must be used for statistics and ranked lists. When defining queries, you can switch to the classic editor by choosing Settings -> Settings on the SAP Easy Access screen and then deselecting the graphical query painter indicator.

The layout painter consists of a split screen with four windows the size of which can be varied with the help of the mouse by dragging the window frames. The windows contain: The available fields in a tree list (top left) The list layout (top right) Information about the currently highlighted list element (lower left)

Links to documentation and warning or error messages (lower right) The window on the upper left-hand side of your screen displays a list of all fields you can work with in this particular list. The fields are displayed in tree form based on the structure of the data source. The tree structure is the same as the tree structure you use to maintain InfoSets. The difference is that you can only see fields that you selected in the InfoSet. The list layout is displayed in the upper left window. Each field is represented by field values. Sample records are read from the data source. If sample records cannot be read, the layout painter simulates field values. The layout display corresponds to the structure of the list that will later be generated. It contains the sequence of fields, headings, colors, totals lines and so on. A number of sample records are read and displayed to portray the structure of a hierarchical list with multiple rows.

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SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management
Doubleclick on a field to copy it from the list of available fields to the report definition. You can also determine which fields you want to use for sorting or summarizing. However, if you use the SAP ListViewer you can also define these functions directly in the list display (and save them as a display variant). e) f) g) Save the query Choose Save -> Exit the processing mode by choosing Back. Execute the query Select the relevant query -> Choose Execute. Make a selection on the selection screen The output format you set determines how the data is displayed, for example in the SAP ListViewer or as a classic list.

QuickView While SAP Query is a very comprehensive tool for defining reports and different report types such as basic lists, statistics and ranked lists, QuickViewer offers a more simplified way of generating basic lists. QuickViewer is suitable both for beginners and for occasional users. QuickViews are defined based on the users requirements. You can convert a QuickView to an SAP Query for example if you want to make the report accessible to other users or if you want to use the additional functions available in the SAP Query for the differentiated output of reports. A QuickView is created in three steps: Define the data basis Structure a list/selection screen Execute a list/selection screen

Create a QuickView The following are step-by-step instructions for creating a QuickView, using the FTI_TR_POSITIONS logical database as the data source. a) Creating a QuickView Transaction SQVI Enter a QuickView name and choose Create. Selecting a data source Enter a title Select logical database as the data source Logical database FTI_TR_POSITIONS Choose Enter. List Field Selection tab Select the fields that you want to appear in the list either by selecting the checkboxes in the upper left window or by clicking on the arrow keys in the center of the screen. Selection Fields tab Select the fields that you want to appear in the selection screen either by selecting the checkboxes in the upper left window or by clicking on the arrow keys in the center of the screen.

b)

c)

d)

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SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management
e) f) Saving your QuickView Choose Save. Executing your QuickView Choose Execute. Make a selection on the selection screen The output format you set determines how the data is displayed, for example in the SAP ListViewer or as a classic list.

InfoSet Query The InfoSet query is a useful tool for maintaining queries within SAP Query and is suitable for developing queries and for ad-hoc reporting. All query information, meaning the selection criteria and output, is available on a single screen. The clear and concise arrangement of screen areas means that even an inexperienced user can quickly understand the process of generating queries. Graphical interface elements and drag&drop make the tool easy to use. Creating an InfoSet Query The following details an example of how an InfoSet Query can be created. It is based on the CFM_TR_POSITIONS InfoSet a) Creating an InfoSet Query Transaction SQ01 Choose InfoSet Query (do not select an existing query as this would then be used to generate an InfoSet Query). Selecting an InfoSet Highlight the InfoSet and choose Continue. Selecting the selection fields Use the checkboxes to choose selection fields in the window on the upper left. The selection fields appear in the upper right window. Selecting the output fields Use the checkboxes to choose output fields in the window on the upper left. The output fields appear in the lower window (see the figure above). Saving the InfoSet Query Choose Save and enter a name and title. Executing the InfoSet Query Choose Execute. The selection screen displays selection fields that are not ready for input for the object, evaluation period and structure parameters. Only program scopes defined in the InfoSet Query are ready for input.

b) c)

d)

e) f) g)

Summary The reporting tool you select depends to a great extent on the conditions. The following table should assist you in selecting a method: Reporting Methods Time/Effort Conditions

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SAP Query

Low/middle

More than one user should be able to access the query. It deals with sensitive data that needs to be protected by a query-specific authorization check. Objects and attributes can be obtained using tables, database view, logical database or table join. The data used as the basis is selected in the InfoSet. Local fields are required to display further data. You want to be able to display the data in basic lists, statistics and ranked lists and/or in hierarchical form. Only one user can access the list (no transport). However, QuickView can be converted to SAP Query. Sensitive data that should be protected solely by a QuickView-specific authorization check is not displayed because there is no QuickView-specific authorization check. Objects and attributes can be obtained using tables, database view, logical database, table join or InfoSet. No local fields are required for displaying additional data. Data can only be displayed in a basic list (not in statistics or ranked lists). Data can be displayed in non-hierarchical form. More than one user should be able to access the query. It deals with sensitive data that needs to be protected by a query-specific authorization check. Objects and attributes can be obtained using tables, database view, logical database or table join. The data used as the basis is selected in the InfoSet. Local fields are required to display further data. Data can be displayed in basic lists, statistics or ranked lists. Data cannot be displayed in hierarchical form.

QuickView

Low

InfoSet Query Low

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3.Description of the Logical Databases


3.1 Evaluating Positions FTI_TR_POSITIONS
3.1.1 Where Used
You can use the logical database FTI_TR_POSITIONS to evaluate positions in SAP Treasury and Risk Management on a given key date. This enables you to analyze all the position components for the evaluation key date, including: Acquisition value Book value Net present value (NPV) Unrealized gains/losses Amortization revenues

with

Logical

Database

Moreover, accounting regulations such as IAS or US GAAP prescribe that financial assets must be subdivided into different holding categories in the balance sheet. Within these categories, unrealized gains and losses resulting from valuations may need to be treated differently depending on how they affect profit/loss: Affecting profit/loss: Unrealized gains or losses are posted directly to the profit/loss account. Not affecting profit/loss: Unrealized gains or losses are initially posted to a revaluation reserve. Any opposing write-ups or write-downs or (partial) outflows must be cleared against this account before they are posted to the profit/loss account.

The FTI_LDB_TR_POSITIONS logical database enables you to make a distinction between valuation results that affect the profit/loss account and those that do not. Additional coding for additional fields Even though the logical databases available offer you a large number of fields, occasionally the information supplied by the logical databases will not be sufficient. When maintaining InfoSets, you have three sources for obtaining additional information: Additional tables Additional structures Additional fields

Using additional tables you can link DDIC tables to the logical database. However, this is only possible if you can link using foreign keys. Example:

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You want to read characteristics from the central master data table BUT000 in addition to the business partner attributes provided in the logical database. To do this, you can use the common "partner number" key (PARTNR) and a table join to link the logical database to the table.. All the fields in table BUT000 can be used for evaluation (in the same way as the LDB fields). If you only require individual table fields, we advise that you consider system performance by defining additional individual fields and then make field entries using your own selection logic, rather than linking the whole table using a join. You will require additional fields if you want to output information that is calculated on the basis of original logical database fields. As an example, the InfoSet CFM_POSITION was created on the basis of the logical database FTI_LDB_TR_POSITIONS and enlarged with the following six fields: Hidden reserve Write-down requirement Pending gains Pending losses Security valuation, affecting profit/loss FX valuation, affecting profit/loss Market value in local currency

These values can be calculated on the basis of existing key figures (fields) and can be useful for various query evaluations. Notes: a) The logical database FTI_LDB_TR_POSITIONS enables cross-evaluations for SAP Treasury and Risk Management (TR) and CML (Loans). However, the key figures available in the CML area are restricted to accounting-based basic key figures such as: o o o o Acquisition value Book value Valuation Amortization

If you require more information for your CML positions you can use the FTI_LO_POSITIONS logical database instead, which provides a range of key figures and characteristics specific to CML. b) Evaluations based on the logical database FTI_LDB_TR_POSITIONS are for a given key date: Example: Position evaluation on 05/31/2005
NEW

SAP Query interprets the key date as the position value date or the posting date, depending on the key date references selected from the screen. The position calculation is based on all business transactions up to and including 05/31/05. The system calculates the position on the key date from these business transactions. Any business transactions after the key date are not included in the key date position calculation: ... Mar.05 Apr.05 May 05 Jun.05 Jul.05 Aug.05 ...

Business transactions with value date / posting date <= 05/31/05 are included when calculating position with month-end March 2005.

Business transactions with value date / posting date > 05/31/05 are included when calculating position with month-end March 2005.

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3.1.2 Information about Data Selection


If Queries are defined on the basis of InfoSets, which in turn are based on logical databases, the corresponding logical database data procurement program automatically provides a selection screen. The following data selection options are available: Product group selection The selection of product groups only includes positions of the relevant contract types. o o o o Securities Loans OTC transactions Listed Derivatives Contract type 2 Contract type 1 Contract Type 4, 5,6 Contract Type 6 Only product categories 700-750

Selection restrictions o o o Valuation area 001 reads the data from the leading valuation area (which is automatically generated as part of the migration to SAP Enterprise 2.0.) The valuation class is implicitly linked to the valuation area. For valuation class specific evaluations, the relevant valuation area must also be supplied. The business partner is interpreted differently depending on the contract type: In the case of loans (contract type 1), selection is made based on the main borrower. In the case of securities (contract type 2), selection is made based on the issuer. For all other contract types, selection is made based on the counterparty. o The key date determines the evaluation period of the positions. As of SAP Enterprise 2.0 (as was previously the case in drilldown reporting), you can use the key date reference to control how the key date is interpreted. You can evaluate according to: Value date: The key date refers to the value date of the subledger positions. Posting date: The key date refers to the FI posting date. Note: Position evaluation usually occurs on only one key date. Multiple individual key dates or key date intervals are provided using the multiple selection function. In this case, SAP Query determines the positions for each individual key date. The key figures used in the query are recalculated for each individual key date and displayed in a list. You can then compare key dates for a defined period. Based on this logic, multiple selections result in considerable longer runtimes, so the number of key dates to be evaluated should be kept as small as possible. o When calculating position values, you can use the "excluding planned data" indicator to determine whether planned records should be taken into account. (This was also possible with transaction FWIW up to and including CFM 2.0). When selections are made according to the key date reference "posting date," the indicator is irrelevant as

NEW

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planned records are not taken into account in this case. Note: This selection logic is not supported for loans in valuation area 001. o For the area of securities you can also select by securities/securities group. However, note that a selection based on these characteristics is only possible in position management if positions have been differentiated by securities account/securities account group in the corresponding valuation areas. This ensures that the positions are tailored to these characteristics, a prerequisite for relevant data selection. Some general points to note: The securities account is the only differentiation criterion selected for a particular valuation area. In this case, reports that select positions by securities account group do not select any data. If the securities account group selection field is left empty, the corresponding positions are read in and the securities account group field remains empty. The securities account group is the only differentiation criterion selected for a particular valuation area. In this case, reports that select positions by securities account do not select any data. If the securities account selection field is left empty, the corresponding positions are read in and the securities account field remains empty. Both the securities account and the securities account group have been chosen as selection criteria for a particular valuation area. In this case, you can select positions by both securities account and securities account group. You cannot, however, run valuations for security account groups. As a result, you often have a scenario in which one parallel valuation area only uses the securities account group as the differentiating criterion, and a second parallel valuation area only uses the securities account. If you then evaluate a securities account group (as defined in the securities account master data) for both valuation areas, and restrict the selection for the securities account group accordingly, no positions are selected for the valuation area that is differentiated by securities account, and vice versa. If the Interpretation of Securities Account Group indicator is set, the following logic applies: If you select positions by securities account group for a valuation area that is only differentiated by securities account, the system selects the securities accounts assigned to this securities account group in the securities account master data. In the report display, the otherwise empty Securities Account Group field is filled.

Other control parameters

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o The evaluation type only needs to be specified on the selection screen if the query contains a risk key figure (for example, net present value or duration) and the risk parameters stored under the evaluation type are required to calculate the risk key figure. In such cases, the evaluation type is required. In all other cases, this field can be hidden in the selection variant. You can use the logical database FTI_TR_LDB_POSITIONS to calculate risk key figures (such as NPV or duration) in real time. The calculations may be very timeconsuming, depending on the scope of the position. You can therefore calculate the key figures in advance and transfer them to the market data buffer using batch planning (table FTI_MARKET_VALST). You can use parameters on the selection screen to determine during runtime whether: A) the risk key figures should always be recalculated. B) the risk key figures should always be read from the market data buffer. C) the risk key figures should be read from a custom-defined threshold from the market data buffer.

o
NEW

As you do this, consider that: for A) the key figures are always recalculated. Runtimes can therefore increase considerably. for B) the system attempts to read the key figures from the market data buffer. If the system cannot find any values, the key figure is recalculated online. for C) the system first determines the number of selected position records. If this number exceeds the predefined limit2, the system accesses the market data buffer otherwise the key figures are recalculated.
NEW

o o

You can use the evaluation currency to translate the results of the key figures from the Market Risk Analyzer (MRA) into a custom currency, in accordance with MRA logic. The display currency must only be specified on the selection screen if the query contains key figures in display currency. In such cases, the system requires the entry of a display currency plus a corresponding translation type on the selection screen. In all other cases, this field can be hidden in the selection variant. o The price type is used for determining the market value of the security. This selection parameter is only relevant for this key figure. In all other cases, this field can be hidden in the selection variant. The remaining term gives you an overview of the terms of the capital investments that belong to the position. The remaining term is computed as the difference between two dates, as specified on the selection screen. Remaining term based on key date
The report computes the difference between the end of term of the financial product and the selected key date.

Table FTI_PARAMETERS, Parameter MAXMV

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Remaining term based on the current date

The report computes the difference between the end of term of the financial product and the current system date.

Remaining term based on the reference date

An additional date field is displayed. The report computes the difference between the end of term of the financial product and the specified reference date.

Three characteristics are available in the logical database for the output of the remaining term:

Remaining term in days Remaining term in months Remaining term in years

If the Historical Acct Ass.Ref. indicator is selected, the system may refer to historical data instead of reading the current account assignment reference when evaluations are made in the past. For example, if an account assignment reference transfer was posted in the past, the system displays the account assignment references and G/L accounts as per the respective key date. The logical database provides a standard application log which groups together information and error messages. The log may be hidden (Error Log Display indicator) or stored on the application server. You can use transaction SLG1 to display the logs at a later stage. (Selection in program SAPDBFTI_TR_POSITIONS). Hide Zero Records If all the key figures selected during the report definition display a key date value of zero, this indicator can be used to eliminate the data records.

Summarize Results

See Section 0 Summarizing Results Using Characteristics

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3.1.3 Field Selection for Logical Database FTI_TR_POSITIONS


A comprehensive range of characteristics and key figures is available for position evaluations using the InfoSet CFM_POSITION. You can use these to define Queries depending on your requirements. The following explanations are to help you to interpret individual characteristics and key figures correctly and thus decide whether the characteristic or key figure should be included in your Query.

Tech. Field Name MANDT BUKRS LAND1 TR_ACC_CODE VALUATION_AREA VALUATION_CLASS

Name Client Company Code Country key for the company code Accounting code Valuation Area Valuation class

Description Client Company Code This key determines the country and is defined in the company code table T001 for the company code. This attribute should not be confused with the Business Partner Country (CNTRY_COMP field) characteristic. The accounting code is an organizational unit in position management. Each accounting code corresponds to a single company code (1:1 relationship). For reporting purposes therefore, accounting code and company code can be used as synonyms. More than one valuation area can be managed in the financial subledger to enable you to valuate financial transactions on the basis of different accounting regulations. The valuation class is used to classify financial investments in a specific valuation area by asset type. Examples of valuation classes are current assets and fixed assets for a German HGB valuation area, or trading, available for sale (AfS), and held to maturity (HTM) for an IAS valuation area. The position management procedure determines which steps are used in key date valuation or in generating the derived business transactions and also the sequence in which the steps are performed. The position management procedure determines position management and position valuation. The product type is used to differentiate/structure investments. The portfolio is generally used to group or structure financial investments, for example, the EUROPE portfolio comprises securities account DE (Germany), securities account FR (France) and securities account CH (Switzerland). You can also differentiate positions in position management on portfolio level, i.e. portfolio is used here as a term for differentiating. However, this also means that an evaluation on portfolio level is only possible if position differentiation is carried out for each portfolio. Unique means of identifying a security. Unique loan contract number

POS_MAN_PROC GSART PORTFOLIO SECURITY_ID LOANS_CONTRACT

Position Management Procedure Product Type Portfolio Security ID number Contract Number

SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management
Tech. Field Name Name Description In the areas Securities Listed options and futures Loans

DEAL_NUMBER

Financial transaction creating the position

a position is always made up of a number of financial transactions. (Exception: Single position management (lot accounting). In this case, each transaction constitutes a position). An assignment of transaction to position is therefore not relevant. The Financial transaction creating the position field is therefore only filled for financial transactions that create a position in position management when concluded. This is the case for the areas

Money market Foreign exchange Deterministic and optional OTC instruments

In this case, the transaction number is used as the differentiating characteristic for position management. You can define how positions should be created within position management by using various differentiation terms. Positions are used as the basis for valuation as well as for generating the derived flows. ACCOUNT_GROUP Securities account group One possible differentiation term is the securities account group. You can define several securities account groups in Customizing for parallel position management. You can then assign securities accounts to these securities account groups in the master data for the securities accounts. The Securities Account Group field is only filled in position management if you have defined the securities account group as a differentiation term for the respective valuation area. SECURITY_ACCOUNT Securities account The Securities Account field is only filled in position management if you have defined the securities account as a differentiation term for the respective valuation area.

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Tech. Field Name POSITION_ACCOUNT FLAG_LONG_SHORT LOT_ID DLOTGENERATION TLOTGENERATION LOTGENERATION_USER Name Futures account for listed options and futures Indicator: Long or short position Lot ID Lot generation date Lot generation time Lot created by (user) Description The futures account is an organizational entity used by banks to manage futures and listed options. (similar to securities accounts for securities) L = Long position, S = Short position; Only relevant for options and futures. In position management, positions can be managed according to various differentiation criteria. One way of classifying positions is to manage single positions (lots). The lot represents the smallest possible unit for position management. A lot is always generated by a business transaction that involves a change in the number of units or in the nominal amount. (Purchase, transfer posting etc.) The date on which the single position was generated. The time at which the single position was generated. The user who triggered the generation of the lot. The business transaction category describes the business transaction that generated the lot, for example LOTGENERATION_BUSTRANS CAT Business transaction category that generates lots Purchase Transfer Corporate action

SANLF STICHTAG RANTYP_R

Product category Key date Contract type Account assignment reference: Loans, operative Account assignment reference in

The product type is used to differentiate investments. Time of evaluation. The key date refers to the value date/posting date of the position, depending on the key date reference. The contract type enables you to structure product categories on the basis of modules. This account assignment reference is used only for loans in the operative valuation area (valuation area 001).

RREFKONT_R

The account assignment reference is created in Loans Management from the values of various master data fields. It can be used to control the account determination. In addition, the account assignment reference can be used to differentiate between the position accounts in the general ledger (capital and/or additional receivables). This account assignment reference is used for all positions in new position management (Treasury + CML parallel).-

ACC_ASS_REF

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Tech. Field Name Name position management Description You can use the account assignment reference to determine the FI G/L account in which the position is to be managed. You create the account assignment references independent of the valuation areas. Balance sheet account which is generally determined by the corresponding account assignment reference. Start of term End of term Difference between the end of the term of a financial product and a second date reference, such as: 1. A fixed reference date (entered in the selection screen) 2. Todays date 3. The evaluation key date The "remaining term" and the "overdue period" are both available as reporting characteristics and key figures. You can use the

HKONT DBLFZ DELFZ RLZTG RLZMO RLZJA UEBTG UEBMO

G/L account for G/L accounting Start of term End of term Remaining term in days Remaining term in months Remaining term in years Overdue period in days Overdue period in months

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Tech. Field Name Name Description

UEBJA

Overdue period in years

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Tech. Field Name Name Description The field contains the number of the partner with whom you have a commitment. This commitment usually entails an associated default risk. The type of partner depends on the nature of the commitment: PARTNR Business partner with whom you have a commitment

For securities and listed options and futures, this field contains the issuer. For money market, foreign exchange and OTC derivatives, this field contains the counterparty. For loans, this field contains the main borrower.

TYPE

Partner category

This indicator shows whether your business partner is a natural person, an organization or a group of natural persons or organizations. Additional information, such as the age, sex or income of natural persons, or founding year, legal form and so on of an organization, are based on this indicator. An industry system groups and categorizes several industries together. You can create different industry systems each with their own catalog of industries. An industry can also be assigned to more than one industry system. Example: The business partner SAP is assigned to different industries in different industry systems.

ISTYPE

Industry system

Industry system EuroStoxx DAX S&P500

Industry HighTech & IT Technology Software

IND_SECTOR

Industry Sector Country where the business partner is legally registered Legal form of the organization

Companies are split into different industries based on their core business. An industry could be trade, banking, services, heavy industry, health services, civil services, media and so forth. Industries can be assigned to different industry systems.

CNTRY_COMP LEGAL_ENTY

This shows the country in which the registered office of the company or the organization is located. This attribute is often used to determine the relevant account assignment reference. Legal form (for example, limited partnership with limited liability, stock corporation)

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Tech. Field Name LEGAL_ORG Name Legal entity of the organization Description Legal entities are the legally responsible organizations for companies with dependent legal status In the case of business partners categorized as organization you can enter the legal entity of the company for evaluation purposes. The nationality of a natural person. NATION Nationality The characteristics country key in limit management and country of origin in account assignment reference refer to this field for natural persons. Indicates legal membership of a state. Each business partner is assigned to a business partner group when it is created. The grouping specifies whether the business partner number is defined internally by the system or manually by the user. Assigns the business partner to a custom target group. This field defines the business partners position within his or her company (for example, manager or managing director). This field describes in relation to the company code possible relationships to other companies (for the issuer role). This characteristic is often used for account assignment determination. The credit standing describes your business partners solvency. The rating is an abbreviated credit standing classification published by one of the established rating agencies (for example, Aaa, Aa3, according to Moodys rating scale). Indicates the name of the rating agency (S&P, Moodys, etc.) Shows the status of the credit rating information. The date on which the information regarding the business partners credit standing was issued. The transaction type defines which transactions were carried out in combination with a certain product type, for example, investing and borrowing fixed-term deposits / deposits at notice or sale and purchase of stocks. Finance project is used to define a common term by which you can identify related transactions.

STATE GROUP_ID GROUP_D STAFF_GRP COMP_RE SOLVNCY RATING SOL_INS SOL_INF SOL_I_D SFHAART FINPROJ

Citizenship Business partner grouping Target Group Employee group Company relationship Credit standing Rating indictator Institute providing credit standing information Status of credit standing information Date of credit standing information Transaction type Finance project

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Tech. Field Name RMAID Name Master agreement Description A master agreement is used to specify agreements and conditions by which individual transactions in the master agreement must abide. The master agreement can currently be used for fixed-term deposits and deposits at notice, commercial papers and cash flow transactions. The guarantor of a financial transaction assumes the risk associated with the transaction. If a guarantor that differs from the counterparty has been specified for the transaction, the limit utilization resulting from the transaction relates to the guarantor instead of the counterparty. User-defined text field: NORDEXT External Reference This field can be used, for example, to list, in the SAP system, the number which your business partner uses to manage a transaction. User-defined text field: ZUOND Assignment A user-defined assignment for grouping transactions. User-defined text field: REFER Internal Reference A field that can be assigned by the user to create internal references, for example, between transactions and other objects within the SAP system. User-defined text field: MERKM RDEALER RDPBANK Characteristics Trader Depository bank A field that can be assigned by the user for identifying transactions. Name or short name of the in-house trader responsible for the transaction. Name or number of the depository bank from partner management. The depository bank characteristic is only displayed for position management if a differentiation term has been defined at securities account level in Customizing.

RGARANT

Guarantor of a financial transaction

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Tech. Field Name Name Description You can use the securities account type to differentiate between various securities account categories. You can create securities account types for the following securities account categories: SECACC_TYPE Securities Account Type Asset Securities Account Issuance Securities Account Lending Securities Account

SECACC_CAT SBILK SNOTI ALWPKL SWERTTYP SOL_INS_RANL RATING_RANL Securities Account Category Balance sheet indicator Quotation indicator General security classification Indicator: Security type Institute giving credit rating information for securities ID numbers Rating securities ID number indicator

See also: Securities account type This indicator specifies the balance sheet position to which this position is assigned in accordance with reporting requirements for insurance companies stipulated by the Federal Supervisory Office for Insurance Associations. The indicator specifies whether the security is unit-quoted or percentage-quoted. Indicator for differentiating the security type. The user can customize the values and classify all securities for evaluation purposes independently of system settings, such as product type or product category. Indicator for the security type according to the form of transfer (for example, bearer security). Indicates the name of the rating agency (S&P, Moodys, etc.) The rating is an abbreviated credit standing classification published by one of the established rating agencies (for example, Aaa, Aa3, according to Moodys rating scale). Indicator for differentiating bonds.

SWPKLASS

Bond classification

The user can define values and classify bonds in Customizing for evaluation purposes independently of system settings, such as product type or product category. Indicates whether the stock is preferred stock or common stock.

SAKAR

Stock Category

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Tech. Field Name SFOART SFOTY SARTBET SBOERNOT VVRANLWX RHANDPL AAAAKTIE KBNEWE KZAHLAKT Name Indicator: Fund category Indicator: Fund type Shareholding Type Indicator: Listed Secondary index class data Exchange Number of issued stocks Nominal value per stock, independent of currency Pay-in rate Description Indicates whether the fund is an open or closed fund The fund type indicates the user-defined differentiation of investment funds according to the type of investment. (Stock funds / bond funds / fund of funds etc.) The shareholding type indicates the type of shareholding, such as subsidiaries, holdings etc. The indicator shows whether the price of a security is determined on an exchange or over-the-counter. Secondary index that can be maintained in addition to the securities key. The exchange is specified on which the entered market value or market price was found. The number of stocks issued with this ID number. The nominal value is the stated value of an issued security. (Nominal value) The pay-in rate for partially paid stocks. The interest category field describes the interest rate condition for the key date: 1 = Zero 2 = Fixed interest amount INT_CAT Interest category 3 = Variable interest calculation 4 = Fixed interest calculation 5 = Complex interest calculation (variable and fixed interest) PKOND BKOND PEFFZINS Interest rate Interest rate as an amount Effective interest rate Nominal interest of a capital investment. Alternative interest amount (as opposed to an interest rate). The effective interest rate indicates the actual revenue of an interest-bearing bond or the actual cost of a loan, taking various cost and revenue determinants into account.

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Tech. Field Name Name Description This indicator shows the method used to determine the effective interest. The field can contain one of the following methods: SEFFMETH Effective interest method (financial mathematics) PAngV AIBD/ISMA Braess Moosmller US method EU Act/365 EU 30, 42/363 Linear

See note 316142 for further information about effective interest rate methods. SHWHR SVWHR SBWHR Local currency Valuation currency Position currency (currency of position amount) Display currency Currency of the company code. You define a local currency for each valuation area. This is the currency in which the positions are managed. The valuation area-specific "local currency" is referred to as the valuation currency. The position currency is the currency used to manage the position. In the securities module, position currency and issue currency are identical. The display currency is used to convert key figures to a custom (second) currency which can be entered on the selection screen. ANZGW If for example you want to produce a consolidated report for several company codes within a group (with different local currencies), all position currencies can be converted to a common display currency. When evaluating risk, you can define a calculation currency to translate risk key figures. Currency of the outgoing side for exchange transactions (swaps, foreign exchange transactions)

CALC_CCY WVERB1

Evaluation currency Nominal currency borrowing/sale/outgoing side/short

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Tech. Field Name WFORD1 SWHRKOND UNITS UNITS_LOCKED NOMINAL_AMT_PC NOMINAL_AMT_LO_PC NOMINAL_AMT_DC NOMINAL_AMT_LO_DC NOMINAL_ORG_AMT_PC NOMINAL_AMT_OUT_PC NOMINAL_AMT_IN_PC NOMINAL_AMT_OUT_DC NOMINAL_AMT_IN_DC Name Nominal currency investment/purchase/incoming side/long Interest currency No. of units Number of locked units Nominal amount in position currency Locked nominal amount in position currency Nominal amount in display currency Locked nominal amount in display currency (from position currency) Original nominal amount in position currency Nominal value, outgoing side, outgoing position currency Nominal value, incoming side, position currency Nominal value, outgoing side, display currency Nominal value, incoming side, display currency Description Currency of the incoming side for exchange transactions (swaps, foreign exchange transactions)

Currency in which interest is received or paid. The number of units is a position value and applies for unit-quoted financial instruments and indicates the number of units on the evaluation key date. Indicates the number of units locked for the evaluation key date for unit-quoted financial instruments. (due to a disposition block, for example.) The nominal amount refers to percentage-quoted securities and indicates the nominal amount on the evaluation key date. The nominal amount locked refers to percentage-quoted financial instruments and indicates the nominal amount that is locked on the evaluation key date. As above As above For bonds with installment repayments, the original nominal amount indicates how high the nominal amount was at the time of acquisition. The nominal amount, outgoing side, contains the nominal amount in the currency of the outgoing side for exchange transactions (swaps, forex transactions). The nominal amount, incoming side, contains the nominal amount in the currency of the incoming side for exchange transactions (swaps, forex transactions). As above As above

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Tech. Field Name ACC_INTEREST_PC ACC_INTEREST_DC Name Accrued interest in position currency Accrued interest in display currency (from display currency) Description The key figure accrued interest contains the accrued interest that is not yet due, calculated exactly for the key date. If the asset were to be sold on the key date, this value would be the interest revenue earned. As above A position in the CFM subledger comprises a range of components. The purchase value is the basic component of a position. PURCH_PC Purchase value in position currency In the Customizing settings for the position management category, you can specify whether capitalized costs should be included in the purchase value (costs inclusive) or treated as a separate cost component (costs exclusive). In this case, the purchase value also contains the capitalized costs. As above As above As above The purchase value is the most basic element of a position. In the Customizing settings for the position management category, you can specify whether capitalized costs should be included in the purchase value or treated as a separate cost component. AQU_VAL_PC Acquisition value in position currency

PURCH_LC PURCH_VC PURCH_DC

Purchase value in local currency Purchase value in valuation currency Purchase value in display currency (from position currency)

o o

If the costs are managed separately: Acquisition value = Purchase value + capitalized costs If the costs are included in the purchase value: Acquisition value = Purchase value

AQU_VAL_LC AQU_VAL_VC AQU_VAL_DC

Acquisition value in local currency Acquisition value in valuation currency Acquisition value in display currency (from position currency)

As above As above As above

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Tech. Field Name Name Description The book value is calculated from the sum of these original position components, that means that the book value is the sum of Purchase value + Capitalized costs + Valuation of the security component (or security valuation not affecting P/L) + Valuation of the foreign currency component (or foreign currency valuation not affecting P/L) BOOK_VAL_PC Book value in position currency + Valuation of the index (or index valuation not affecting P/L) + Valuation of capitalized costs, security (or valuation of costs, security, not affecting P/L) + Valuation of capitalized costs, foreign currency (or valuation of costs, foreign currency, not affecting P/L) + Amortization + Impairment + Cumulative repayment

BOOK_VAL_LC BOOK_VAL_VC BOOK_VAL_DC

Book value in local currency Book value in valuation currency Book value in display currency (from position currency)

As above As above As above

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Tech. Field Name Name Description The capitalized costs increase the balance sheet position. These costs can be:

o
CHARGE_PC Costs in position currency

Managed as a separate cost component (excluding costs) Included in the purchase value (including costs)

The position change category you assign in Customizing for position management determines whether or not costs are included in the purchase price. CHARGE_LC CHARGE_VC CHARGE_DC Costs in local currency Costs in valuation currency Costs in display currency (from position currency) As above As above As above The book value excluding costs is calculated from the sum of these original position components, that means that the book value is the sum of Purchase value + Valuation of the security component (or security valuation not affecting P/L) + Valuation of the foreign currency component (or foreign currency valuation not affecting P/L) BOOK_VAL_EX_PC Book value excluding costs in position currency + Valuation of the index (or index valuation not affecting P/L) + Amortization + Impairment + Cumulative repayment

BOOK_VAL_EX_LC

Book value excluding costs in local currency

As above

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Tech. Field Name BOOK_VAL_EX_VC BOOK_VAL_EX_DC Name Book value excluding costs in valuation currency Book value excluding costs in display currency (from position currency) Security valuation in position currency Security valuation in local currency Security valuation in valuation currency Security valuation in display currency (from position currency) Foreign currency valuation in local currency Foreign currency valuation in valuation currency Description As above As above The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The valuation may be based on a market price (securities) or on a defined net present value (money market, foreign exchange, derivatives, loans). The position component security valuation contains the total of the write-ups and write-downs for the security to date. VAL_TI_LC VAL_TI_VC VAL_TI_DC As above As above As above The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The system calculates the foreign currency write-ups and write-downs on the basis of the defined rate type. The position component foreign currency valuation contains the total of the write-ups and write-downs for the foreign currency to date. VAL_FX_VC As above The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The valuation may be based on a market price (securities) or on a defined net present value (money market, foreign exchange, derivatives, loans). Any capitalized costs are written up or down proportionately. The position component valuation of capitalized costs, security contains the total of the proportionate write-ups or write-downs for the security element of the capitalized costs.

VAL_TI_PC

VAL_FX_LC

VAL_CH_TI_PC

Valuation of capitalized costs, security, in position currency

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Tech. Field Name VAL_CH_TI_LC VAL_CH_TI_VC VAL_CH_TI_DC Name Valuation of capitalized costs, security, in local currency Valuation of capitalized costs, security, in valuation currency Valuation of capitalized costs, security (from position currency) Description As above As above As above The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The system calculates foreign currency write-ups or write-downs on the basis of the defined rate type. Any capitalized costs are written up or down proportionately. The position component valuation of capitalized costs, foreign currency contains the total of the proportionate write-ups or writedowns for the foreign currency element of the capitalized costs. As above

VAL_CH_FX_LC

Valuation of capitalized costs, FX, in local currency

VAL_CH_FX_VC

Valuation of capitalized costs, FX, in valuation currency

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Tech. Field Name Name Description The valuation steps for key date valuation depend on the position management procedure you have assigned. You can value the security, foreign currency and index components. For percentage-quoted securities, you can also calculate the amortization amount for the evaluation key date. This amount is calculated on the basis of:

The assigned amortization procedure

o o
AMORT_PC Amortization in position currency

LAC (Linear Amortized Cost Procedure) SAC (Scientific Amortized Cost Procedure)

The amortization method used:

o o

Net Gross (Premium/discount is managed as a separate accrual/deferral item)

The position component amortization therefore contains the total of the amortization amounts calculated so far on the basis of the specified amortization procedure and method. AMORT_LC AMORT_VC AMORT_DC Amortization in local currency Amortization in valuation currency Amortization in display currency (from position currency) As above As above As above

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Tech. Field Name Name Description A function has been specially developed so that you can record impairments in accordance with IAS 39. The following features are provided: IMPMNT_PC Impairment in position currency Define impairment rates or values Execute and reverse postings due to impairment Manage existing impairments for outflows and transfer postings. Reporting for existing impairments

These functions have not been generally released. If you want to use these functions, a special release is required. In this case, contact your SAP sales representative. IMPMNT_LC IMPMNT_VC IMPMNT_DC Impairment in local currency Impairment in valuation currency Impairment in display currency Cumulative repayment in position currency Cumulative repayment in local currency Cumulative repayment in valuation currency Cumulative repayment in display currency Amortized acquisition value in position currency Amortized acquisition value in local currency As above As above As above In this component the total of all installment repayments to date are displayed if the position management category Securities/Loans with Installment Repayment without Index-linked Bonds is defined in the corresponding position management procedure. Unlike a final or unscheduled repayment, not every position component is proportionally reduced for an installment repayment. The component is incorporated in the amortized acquisition value. As above As above As above The amortized acquisition value is the original acquisition value plus all amortizations and cumulative repayments up to the evaluation key date. As above

REPAYMENT_PC

REPAYMENT_LC REPAYMENT_VC REPAYMENT_DC AMAQU_VAL_PC AMAQU_VAL_LC

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Tech. Field Name AMAQU_VAL_VC AMAQU_VAL_DC Name Amortized acquisition value in valuation currency Amortized acquisition value in display currency (from position currency) Description As above As above

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Tech. Field Name Name Description The valuation steps for key date valuation depend on the position management procedure you have assigned. You can value the security, foreign currency and index components. For percentage-quoted securities, you can also calculate the amortization amount for the evaluation key date. This amount is calculated on the basis of:

The assigned amortization procedure

o o
Cleared discount deferral / tax compensation in position currency

LAC (Linear Amortized Cost Procedure) SAC (Scientific Amortized Cost Procedure)

The method used:

o
DISAGIO_PC

Net Gross

When securities are managed using the gross method, the premium or discount deferral to be cleared is recorded as a separate deferral item. In the case of investment fund units, revenue that is reinvested is regarded for tax purposes as a fictitious payout in the reinvestment year. This is achieved by creating a tax compensation item on the asset side of the balance sheet, which has to be cleared to the profit and loss account if the shares are sold. The cleared premium / discount deferral / tax compensation item therefore contains:


Cleared discount deferral / tax compensation in local currency Cleared discount deferral / tax compensation in valuation currency

Bonds and loans: The premium or discount deferral that has been cleared to date for the selected position and key date (product categories 40-70 / 300-330) Investment funds: The capitalized tax compensation amount (product category 20)

DISAGIO_LC DISAGIO_VC

As above As above

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Tech. Field Name DISAGIO_DC Name Cleared discount deferral / tax compensation in display currency Description As above The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The valuation may be based on a market price (securities) or on a defined net present value (money market, foreign exchange, derivatives, loans). VAL_TI_NPL_PC Security valuation, not affecting P/L, in position currency Certain accounting regulations (such as IAS) prescribe that any unrealized price/rate gains or losses resulting from a key date valuation must be disclosed as separate items (OCI "Other Comprehensive Income"). If opposing write-ups or write-downs result from later key date valuations, they must be cleared against the OCI position before they can be posted to the profit and loss account. The position component security valuation, not affecting P/L contains the balance of these revaluation reserves for the security valuations to date. VAL_TI_NPL_LC VAL_TI_NPL_VC VAL_TI_NPL_DC Security valuation, not affecting P/L, in local currency Security valuation, not affecting P/L, in valuation currency Security valuation not affecting P/L in display currency (from position currency) As above As above As above The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The system calculates the foreign currency write-ups and write-downs on the basis of the defined rate type. VAL_FX_NPL_LC Foreign currency valuation, not affecting P/L, in local currency Certain accounting regulations (such as IAS) prescribe that any unrealized price/rate gains or losses resulting from a key date valuation must be disclosed as separate items (OCI "Other Comprehensive Income"). If opposing write-ups or write-downs result from later key date valuations, they must be cleared against the OCI position before they can be posted to the profit and loss account. The position component valuation of capitalized costs, foreign currency, not affecting P/L contains the balance of these revaluation reserves for the foreign currency valuations to date. VAL_FX_NPL_VC Foreign currency valuation, not affecting P/L, in valuation currency As above

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Tech. Field Name Name Description The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The valuation may be based on a market price (securities) or on a defined net present value (money market, foreign exchange, derivatives, loans). Any capitalized costs are written up or down proportionately. VAL_CH_TI_NPL_PC Valuation of capitalized costs, security, not affecting P/L, in position currency Certain accounting regulations (such as IAS) prescribe that any unrealized price/rate gains or losses resulting from a key date valuation must be disclosed as separate items (OCI "Other Comprehensive Income"). If opposing write-ups or write-downs result from later key date valuations, they must be cleared against the OCI position before they can be posted to the profit and loss account. The position component valuation of capitalized costs, security, not affecting P/L contains the balance of these revaluation reserves for the costs, based on the security valuations to date. VAL_CH_TI_NPL_LC Valuation of capitalized costs, security, not affecting P/L, in local currency Valuation of capitalized costs, security, not affecting P/L, in valuation currency Valuation of security costs, not affecting P/L, in display currency (from PC) As above

VAL_CH_TI_NPL_VC

As above

VAL_CH_TI_NPL_DC

As above The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The system calculates foreign currency write-ups or write-downs on the basis of the defined rate type. Any capitalized costs are written up or down proportionately.

VAL_CH_FX_NPL_LC

Valuation of capitalized costs, FX, not affecting P/L, in local currency

Certain accounting regulations (such as IAS) prescribe that any unrealized price/rate gains or losses resulting from a key date valuation must be disclosed as separate items (OCI "Other Comprehensive Income"). If opposing write-ups or write-downs result from later key date valuations, they must be cleared against the OCI position before they can be posted to the profit and loss account. The position component valuation of capitalized costs, foreign currency, not affecting P/L contains the balance of these revaluation reserves for the costs, based on the foreign currency valuations to date.

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Tech. Field Name VAL_CH_FX_NPL_VC Name Valuation of capitalized costs, FX, not affecting P/L, in valuation currency Variation margin in position currency Variation margin in local currency Variation margin in valuation currency Variation margin in display currency Spot valuation of purchase currency in local currency Spot valuation of purchase currency in valuation currency Spot valuation of sale currency in local currency Spot valuation of sale currency in valuation currency Description As above All open futures positions are revalued by the respective futures and options exchange at the end of each trading day. This mark-tomarket valuation is used to calculate the gains and losses (= variation margin) of the futures positions resulting from daily market fluctuations. The variation margin is credited or debited on a daily basis. If this brings the balance below the initial margin, enough capital must be injected to restore the original initial margin. . As above As above As above The system compares the difference between the exchange rates purchase currency / local currency on the contract date with the difference on the valuation key date. The resulting difference is indicated by the component spot valuation, purchase currency. As above The system compares the difference between the exchange rates sale currency / local currency on the contract date with the difference on the valuation key date. The resulting difference is indicated by the component spot valuation, sale currency. As above

VARMAR_PC

VARMAR_LC VARMAR_VC VARMAR_DC

SPOTVALP_LC

SPOTVALP_VC

SPOTVALS_LC

SPOTVALS_VC

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Tech. Field Name Name Description The swap accrual/deferral key figure delivers results for the following components:

o o
SWAPACC_PC Swap/margin accrual/deferral in position currency

Foreign exchange (only in local and valuation currency) Forward bonds Repos

In the foreign exchange area, the difference between the agreed forward rate and the spot rate on the contract date (swap) is accrued/deferred over the term. In the case of forward bonds, the difference between the agreed forward rate and the spot rate on the contract date (margin) is accrued/deferred over the term. For repos, the difference between the agreed repo price and the spot price on the contract date (margin) is accrued/deferred. In this case, however, the interest lost and accrued interest (repo) or the interest received (reverse repo) is also taken into consideration. As above As above As above During the valuation, the system determines the change in the value of the swap rate between the contract date and the valuation key date. The resulting difference is indicated by the swap valuation component.

SWAPACC_LC SWAPACC_VC SWAPACC_DC

Swap/margin accrual/deferral in local currency Swap/margin accrual/deferral in valuation currency Swap/margin accrual/deferral in display currency Swap valuation in local currency Swap valuation in valuation currency Purchase price for percentagequoted securities in %

SWAPVAL_LC

SWAPVAL_VC

As above For percentage-quoted securities: The price is calculated on the basis of the purchase value and nominal value in display currency. Since the price is expressed as a ratio, it is not affected by the exchange rate. Purchase Price = Purchase Value / Nominal Amount x 100.

KAKUPR

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Tech. Field Name KAKSBW Name Purchase price for unit-quoted securities in position currency Description Purchase price per unit, if the number of units is greater than zero: Purchase Price = Purchase Value / Units For percentage-quoted securities: The price is calculated on the basis of the purchase value and nominal value in display currency. Since the price is expressed as a ratio, it is not affected by the exchange rate. Acquisition Price = Acquisition Value / Nominal Amount x 100 Acquisition price per unit, if the number of units is greater than zero: Acquisition Price = Acquisition Value / Number of Units For percentage-quoted securities: The price is calculated on the basis of the book value in display currency. Since the price is expressed as a ratio, it is not affected by the exchange rate. Book Price = Book Value / Nominal Amount x 100 Book price per unit, if the number of units is greater than zero: Book Price = Book Value / Units The market price contains the price of the security on the key date for percentage-quoted securities. KURSPR Market price / % (for percentagequoted securities) The system reads the price for the price type specified on the selection screen from the security price table ATRAS. This key figure is only relevant for securities. KURSBW Market price/unit in position currency (for unit-quoted securities) As above

ANKUPR

Acquisition price for percentagequoted securities in %

ANKSBW

Acquisition price for unit-quoted securities in position currency

BUKUPR

Book price for percentage-quoted securities in %

BUKSBW

Book price for unit-quoted securities in position currency

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Tech. Field Name Name Description The market value is the actual market value for the evaluation key date. The market value is used as the basis for calculating write-ups and write-downs for key date evaluations for securities. To calculate the market value, the system retrieves market prices according to the settings in the position management procedure. The market value is only filled for the securities area. MARKET_DC Market value (only securities) in display currency (from position currency) Accrued interest in position currency Accrued interest in DC (PC) Risk management NPV in position currency RM net present value in display currency from position currency Risk management NPV in evaluation currency Risk management NPV incoming side in the position currency of the incoming side Risk management NPV outgoing side in the position currency of the outgoing side Risk management NPV incoming side in evaluation currency Risk management NPV outgoing side in evaluation currency As above Only relevant for fixed-interest securities: Accrued interest that is not yet due, calculated exactly for the key date. If the asset were to be sold on the key date, this value would be the interest revenue earned. As above The NPV shows the fair price of an investment currently valid on the market, taking all expected cash flows into account. The NPV can be determined online using the NPV calculator, or by using the market data buffer. As above As above The net present value of the incoming side is determined for exchange transactions (swaps, foreign exchange transactions).

MARKET_PC

Market value (only securities) in position currency

STUECKZINS_PC STUECKZINS_DC NPV_PC NPV_DC NPV_CC NPV_LONG_PC

NPV_SHORT_PC NPV_LONG_CC NPV_SHORT_CC

The net present value of the outgoing side is determined for exchange transactions (swaps, foreign exchange transactions). As above As above

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Tech. Field Name CLEAN_PRICE_PC CLEAN_PRICE_DC CLEAN_PRICE_CC BPVALUE_PC Name Clean price in position currency Clean price in display currency from position currency Clean price in evaluation currency Basis point value in position currency Basis point value in display currency (from position currency) Basis point value in evaluation currency Macaulay duration Description The clean price is the market value excluding accrued interest. By contrast, the dirty price is the effective price you pay when you purchase a bond (in other words, the clean price plus the proportionate accrued interest since the last coupon payment). As above As above The basis point value of a bond indicates the absolute amount by which the value of a bond changes if the interest rate changes by one basis point (=0.01%=0.0001). The net present value of a bond is determined in case it is quoted half a basis point (=0.00005) below or above its current yield. The difference between these two amounts indicates more or less the absolute amount by which the value of the bond would change if the yield were to increase or decrease by one basis point. As above As above The duration (according to Macaulay) is defined as a weighted average of the times when the payments will occur. The net present values of interest and redemption payments are used as weighting factors. The duration therefore is simply a weighted average of the cash flow times (interest and redemption payments) The Fisher-Weil duration specifies the percentage change in the price of the bond if the market interest level changes. The duration measures the impact on the price when triggered by marginal interest rate changes, and demonstrates how sensitive the bond price is to the market interest rate. Convexity is a measure of how a bond changes in price in relation to rising and falling interest rates. An ordinary bond with coupon and full repayment upon maturity will show a greater increase in price when there is a reduction in the yield compared to the loss in price if the yield rises. Convexity is characterized by a change in the duration of the bond in the case of changing yields. The delta of an option specifies the amount by which the theoretical value of the option changes if the price of the underlying changes by one unit. Call options have a positive delta and put options have a negative delta.

BPVALUE_DC BPVALUE_CC

MAC_DURATION

MOD_DURATION

Fisher-Weil duration

CONVEXITY

Convexity with 5 decimal places

DELTA

Delta, 1st derivation of the premium based on the price of the underlying

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Tech. Field Name GAMMA Name Gamma, 2nd derivation of the premium based on the price of the underlying Theta, 1st derivation of the premium, time-based Vega, 1st derivation based on the volatility Description The gamma of an option specifies the amount by which a warrant's delta changes if the price of the underlying changes by one unit. For both call and put options: Gamma >= 0. The theta of an option specifies the amount by which the theoretical value of an option changes if the remaining term changes by one day. Call options have positive theta because the net present value of the exercise price drops over time whilst the rate is more likely to increase. This means that the theta of the put option can be positive, negative, or zero. The vega of an option specifies the amount by which the value of an option changes if the volatility of the underlying changes by one percentage point. The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The valuation may be based on a market price (securities) or on a defined net present value (money market, foreign exchange, derivatives, loans). S_VAL_TI_PC Security valuation in position currency (simulation) The position component security valuation contains the total of the write-ups and write-downs for the security to date. By contrast, the key figure security valuation, simulation contains a fictitious total of the security write-ups and write-downs - as if a valuation had been carried out for the evaluation key date. S_VAL_TI_LC S_VAL_TI_VC S_VAL_TI_DC Security valuation in local currency (simulation) Security valuation in valuation currency (simulation) Security valuation in display currency (simulation) As above As above As above The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The system calculates the foreign currency write-ups and write-downs on the basis of the defined rate type. The position component foreign currency valuation contains the total of the write-ups and write-downs for the foreign currency to date. By contrast, the key figure foreign currency valuation, simulation contains a fictitious total of the foreign currency write-ups and writedowns - as if a valuation had been carried out for the evaluation key date.

THETA

VEGA

S_VAL_FX_LC

Foreign currency valuation in local currency (simulation)

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Tech. Field Name S_VAL_FX_VC Name Foreign currency valuation in valuation currency (simulation) Description As above The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The valuation may be based on a market price (securities) or on a defined net present value (money market, foreign exchange, derivatives, loans). Any capitalized costs are written up or down proportionately. The position component valuation of capitalized costs, security contains the total of the proportionate write-ups or write-downs for the security element of the capitalized costs. By contrast, the key figure valuation of capitalized costs, security, simulation contains a fictitious total for the security write-up or write-down relating to the costs - as if a valuation had been carried out for the evaluation key date. S_VAL_CH_TI_LC Valuation of capitalized costs, security, in local currency (simulation) Valuation of capitalized costs, security, in valuation currency (simulation) Costs valuation for securities in display currency (simulation) As above

S_VAL_CH_TI_PC

Valuation of capitalized costs, security, in position currency (simulation)

S_VAL_CH_TI_VC S_VAL_CH_TI_DC

As above As above The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The system calculates foreign currency write-ups or writedowns on the basis of the defined rate type. Any capitalized costs are written up or down proportionately.

S_VAL_CH_FX_LC

Valuation of capitalized costs, FX, in local currency (simulation)

The position component valuation of capitalized costs, foreign currency contains the total of the proportionate write-ups or write-downs for the foreign currency element of the capitalized costs. By contrast, the key figure valuation of capitalized costs, foreign currency, simulation contains a fictitious total for the foreign currency write-up or write-down relating to the costs - as if a valuation had been carried out for the evaluation key date.

S_VAL_CH_FX_VC

Valuation of capitalized costs, FX, in valuation currency (simulation)

As above

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Tech. Field Name Name Description The valuation steps for key date valuation depend on the position management procedure you have assigned. You can value the security, foreign currency and index components. For percentage-quoted securities, you can also calculate the amortization amount for the evaluation key date. This amount is calculated on the basis of:

The assigned amortization procedure

o o
S_AMORT_PC Amortization in position currency (simulation)

LAC (Linear Amortized Cost Procedure) SAC (Scientific Amortized Cost Procedure)

The amortization method used:

o o

Net Gross (Premium/discount is managed as a separate accrual/deferral item)

The position component amortization therefore contains the total of the amortization amounts calculated so far on the basis of the specified amortization procedure and method. By contrast, the position component amortization simulation contains the fictitious amortization amount that would have resulted if an amortization had been carried out on the evaluation key date using the assigned procedure. S_AMORT_LC S_AMORT_VC S_AMORT_DC Amortization in local currency (simulation) Amortization in valuation currency (simulation) Amortization in display currency (simulation) As above As above As above

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Tech. Field Name Name Description The valuation steps for key date valuation depend on the position management procedure you have assigned. You can value the security, foreign currency and index components. For percentage-quoted securities, you can also calculate the amortization amount for the evaluation key date. This amount is calculated on the basis of:

The assigned amortization procedure

o o

LAC (Linear Amortized Cost Procedure) SAC (Scientific Amortized Cost Procedure)

The method used:

o o

Net Gross

S_DISAGIO_PC

Cleared P/D deferral / tax compensation in PC Simulation

When securities are managed using the gross method, the premium or discount deferral to be cleared is recorded as a separate deferral item. In the case of investment fund units, revenue that is reinvested is regarded for tax purposes as a fictitious payout in the reinvestment year. This is achieved by creating a tax compensation item on the asset side of the balance sheet, which has to be cleared to the profit and loss account if the shares are sold. The cleared premium / discount deferral / tax compensation item therefore contains:

Bonds and loans: The premium or discount deferral that has been cleared to date for the selected position and key date (product categories 40-70 / 300-330) Investment funds: The capitalized tax compensation amount (product category 20)

. By contrast, the component cleared premium/discount deferral / tax compensation simulation component contains fictitious values:

Bonds and loans: The premium or discount deferral that would have been cleared to date for the selected position and key date (product categories 40-70 / 300-330), if an amortization run had been carried out for the key date. Investment funds: The capitalized tax compensation amount (product category 20) that would apply for the selected key date.

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Tech. Field Name S_DISAGIO_LC Name Cleared discount deferral / tax compensation in local currency, simulation Cleared discount deferral / tax compensation in valuation currency, simulation Cleared discount deferral / tax compensation in display currency, simulation Description As above

S_DISAGIO_VC

As above

S_DISAGIO_DC

As above The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The valuation may be based on a market price (securities) or on a defined net present value (money market, foreign exchange, derivatives, loans).

S_VAL_TI_NPL_PC

Security valuation, not affecting P/L, in position currency (simulation)

Certain accounting regulations (such as IAS) prescribe that any unrealized price/rate gains or losses resulting from a key date valuation must be disclosed as separate items (OCI "Other Comprehensive Income"). If opposing write-ups or write-downs result from later key date valuations, they must be cleared against the OCI position before they can be posted to the profit and loss account. The position component security valuation, not affecting P/L contains the balance of these revaluation reserves for the security valuations to date. By contrast, the key figure security valuation, not affecting P/L, simulation contains the fictitious balance for these revaluation reserves as if a security valuation had been carried out for the evaluation key date.

S_VAL_TI_NPL_LC S_VAL_TI_NPL_VC S_VAL_TI_NPL_DC

Security valuation, not affecting P/L, in local currency (simulation) Security valuation, not affecting P/L, in valuation currency (simulation) Security valuation, not affecting P/L, in display currency (simulation)

As above As above As above

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Tech. Field Name Name Description The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The system calculates the foreign currency write-ups and write-downs on the basis of the defined rate type. Certain accounting regulations (such as IAS) prescribe that any unrealized price/rate gains or losses resulting from a key date valuation must be disclosed as separate items (OCI "Other Comprehensive Income"). If opposing write-ups or write-downs result from later key date valuations, they must be cleared against the OCI position before they can be posted to the profit and loss account. The position component valuation of capitalized costs, foreign currency, not affecting P/L contains the balance of these revaluation reserves for the foreign currency valuations to date. By contrast, the key figure valuation of capitalized costs, foreign currency, not affecting P/L, simulation contains the fictitious balance for these revaluation reserves as if a foreign currency valuation had been carried out for the evaluation key date. S_VAL_FX_NPL_VC Foreign currency valuation, not affecting P/L, in valuation currency (simulation) As above The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The valuation may be based on a market price (securities) or on a defined net present value (money market, foreign exchange, derivatives, loans). Any capitalized costs are written up or down proportionately. Certain accounting regulations (such as IAS) prescribe that any unrealized price/rate gains or losses resulting from a key date valuation must be disclosed as separate items (OCI "Other Comprehensive Income"). If opposing write-ups or write-downs result from later key date valuations, they must be cleared against the OCI position before they can be posted to the profit and loss account. The position component valuation of capitalized costs, security, not affecting P/L contains the balance of these revaluation reserves for the costs, based on the security valuations to date. By contrast, the key figure valuation of capitalized costs, security, not affecting P/L, simulation contains the fictitious balance for these revaluation reserves for the costs, based on the security valuations to date as if a key date valuation had been carried out for the evaluation key date. S_VAL_CH_TI_NPL_LC Valuation of capitalized costs, security, not affecting P/L, in local currency (simulation) As above

S_VAL_FX_NPL_LC

Foreign currency valuation, not affecting P/L, in local currency (simulation)

S_VAL_CH_TI_NPL_PC

Valuation of capitalized costs, security, not affecting P/L, in position currency (simulation)

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Tech. Field Name S_VAL_CH_TI_NPL_VC Name Valuation of capitalized costs, security, not affecting P/L, in valuation currency (simulation) Valuation of costs, securities, not affecting P/L, in display currency (simulation) Description As above

S_VAL_CH_TI_NPL_DC

As above The position management procedure you have assigned determines the valuation steps for key date valuation (security valuation, foreign currency valuation and/or index valuation). The system calculates foreign currency write-ups or write-downs on the basis of the defined rate type. Any capitalized costs are written up or down proportionately. Certain accounting regulations (such as IAS) prescribe that any unrealized price/rate gains or losses resulting from a key date valuation must be disclosed as separate items (OCI "Other Comprehensive Income"). If opposing write-ups or write-downs result from later key date valuations, they must be cleared against the OCI position before they can be posted to the profit and loss account. The position component valuation of capitalized costs, foreign currency, not affecting P/L contains the balance of these revaluation reserves for the costs, based on the foreign currency valuations to date. By contrast, the key figure valuation of capitalized costs, foreign currency, not affecting P/L, simulation contains the fictitious balance for these revaluation reserves for the costs, based on the foreign currency valuations to date as if a valuation had been carried out on the evaluation key date.

S_VAL_CH_FX_NPL_LC

Valuation of capitalized costs, FX, not affecting P/L, in local currency (simulation)

S_VAL_CH_FX_NPL_VC

Valuation of capitalized costs, FX, not affecting P/L, in valuation currency (simulation)

As above The system compares the difference between the exchange rates purchase currency / local currency on the contract date with the difference on the valuation key date.

S_SPOTVALP_LC

Spot valuation of purchase currency in local currency (simulation)

The resulting difference is indicated by the component spot valuation, purchase currency. By contrast, the key figure spot valuation, purchase currency, simulation contains the fictitious difference that would have resulted if a spot valuation had been carried out on the valuation key date.

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Tech. Field Name S_SPOTVALP_VC Name Spot valuation of purchase currency in valuation currency (simulation) Description As above The system compares the difference between the exchange rates sale currency / local currency on the contract date with the difference on the valuation key date. S_SPOTVALS_LC Spot valuation of sale currency in local currency (simulation) The resulting difference is indicated by the component spot valuation, sale currency. By contrast, the key figure spot valuation, sale currency, simulation contains the fictitious difference that would have resulted if a spot valuation had been carried out on the valuation key date. As above The swap accrual/deferral key figure delivers results for the following components:

S_SPOTVALS_VC

Spot valuation of sale currency in valuation currency (simulation)

o o o
S_SWAPACC_PC Swap/margin accrual/deferral in position currency (simulation)

Foreign exchange (only in local and valuation currency) Forward bonds Repos

In the foreign exchange area, the difference between the agreed forward rate and the spot rate on the contract date (swap) is accrued/deferred over the term. In the case of forward bonds, the difference between the agreed forward rate and the spot rate on the contract date (margin) is accrued/deferred over the term. For repos, the difference between the agreed repo price and the spot price on the contract date (margin) is accrued/deferred. In this case, however, the interest lost and accrued interest (repo) or the interest received (reverse repo) is also taken into consideration. By contrast, the key figure swap accrual/deferral (margin accrual/deferral) simulation only shows a fictitious result (as if a swap/margin accrual/deferral had been carried out).

S_SWAPACC_LC

Swap/margin accrual/deferral in local currency (simulation)

As above

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Tech. Field Name S_SWAPACC_VC S_SWAPACC_DC Name Swap/margin accrual/deferral in valuation currency (simulation) Swap/margin accrual/deferral in display currency (simulation) Description As above As above During the valuation, the system determines the change in the value of the swap rate between the contract date and the valuation key date. S_SWAPVAL_LC Swap valuation in local currency (simulation) The resulting difference is indicated by the swap valuation component. By contrast, the key figure swap valuation, simulation contains the fictitious difference that would have resulted if a swap valuation had been carried out on the valuation key date. As above The valuation price for securities is read from the price/rate table for a particular key date. The exchange rate type from the valuation step procedure is used for this. The valuation price is displayed in quotation currency. This can differ from the position or valuation currency. For loans and money market trading (with the exception of facilities), the valuation price is determined as relative to the net present value (from the NPV table) and the nominal value. The net present value type from the valuation step procedure is used for this. The valuation price is displayed in this case in position currency. The valuation price is not filled for OTC derivatives and foreign exchange transactions. All other products are either not valuated using the key date valuation (listed options, futures, facilities and exotics: external underlying and security as underlying) or against a market value (repos). In this case, the field also remains empty.

S_SWAPVAL_VC

Swap valuation in valuation currency (simulation)

S_MAP

Valuation price

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Tech. Field Name Name Description The current value in position currency forms the basis for valuating in parallel books in position management. A position management procedure is assigned to each position per valuation area. The position management procedure determines the parameters (price/rate type, NPV type) used for importing prices and market values and for converting a (possibly differing) quotation currency to position currency. In effect this means that the different price importing parameters such as price/rate type or valuation type do not affect how the value is determined. S_MAR_FE S_SPOT_RATE_P S_SPOT_RATE_S Market exchange rate for position currency / valuation currency Market spot rate for purchase currency / valuation currency Market spot rate for sale currency / valuation currency The market exchange rate from position currency to valuation currency is read from the exchange rate table on a key date. The exchange rate type from the valuation step procedure is used for this. You can display a direct or an indirect quotation. The market exchange rate from purchase currency to valuation currency is read from the exchange rate table on a key date. The exchange rate type from the valuation step procedure is used for this. You can display a direct or an indirect quotation. The market exchange rate from sale currency to valuation currency is read from the exchange rate table on a key date. The exchange rate type from the valuation step procedure is used for this. You can display a direct or an indirect quotation. The swap market rate between purchase currency and valuation currency is read from the foreign exchange swap rate table on a key date. The exchange rate type from the valuation step procedure is used for this. A swap rate is always imported with the corresponding foreign exchange rate from purchase currency to valuation currency. If this foreign exchange rate is a direct quotation, the swap rate for purchase currency to valuation currency is imported. If this foreign exchange rate is an indirect quotation, the swap rate for valuation currency to purchase currency is imported. The following equation applies to both imported indirect and direct quoted prices: Foreign exchange rate + swap rate = forward rate This procedure was chosen because swap rates cannot be defined in the system as indirect quotations.

S_MAV

Current value for valuation (market value, NPV)

S_SWAP_RATE_P

Market swap rate for purchase currency / valuation currency

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Tech. Field Name Name Description The swap market rate between sale currency and valuation currency is read from the foreign exchange swap rate table on a key date. The exchange rate type from the valuation step procedure is used for this. A swap rate is always imported with the corresponding foreign exchange rate from sale currency to valuation currency. If this foreign exchange rate is a direct quotation, the swap rate for sale currency to valuation currency is imported. If this foreign exchange rate is an indirect quotation, the swap rate for valuation currency to sale currency is imported. The following equation applies to both imported indirect and direct quoted prices: Foreign exchange rate + swap rate = forward rate This procedure was chosen because swap rates cannot be defined in the system as indirect quotations.

S_SWAP_RATE_S

Market swap rate for sale currency / valuation currency

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3.2 Flow Evaluation/Position Changes Using Logical Database FTI_TR_PERIODS


You can use the InfoSet CFM_PERIODS to evaluate flows over a given period. This enables you to analyze position trends within the selected period on a flexible basis. The system determines the value of each key figure both at the start and the end of the selection period and calculates the corresponding delta key figure indicating the change in the position. The InfoSet lets you link position and flow information. You could, for example, analyze the opening and closing positions at the start and end of the selection period ( key date-based position information) alongside all the flows that affected the value of the position within the evaluation period ( periodbased flow information). Since both types of information appear together in one list, the list display is more complex. You can make the list clearer by defining interim totals (using the relevant characteristics and characteristic combinations) and then restricting the display to these summarized levels. Note: Evaluations that are defined on the basis of the logical database FTI_TR_PERIODS are for a given period: Example: Period evaluation from 04/01/05 06/30/05: SAP Query interprets the key date as the position value date or the posting date, depending on the key date references selected from the screen.

...

Mar.05

Apr.05

May 05

Jun.05

Jul.05

Aug.05

...

Evaluation period: a) An opening balance is calculated for April 1st, 2005. All transactions that occurred before April 1st are part of this opening balance. ... Mar.05 Apr.05 May 05 Jun.05 Jul.05 Aug.05 ...

Business transactions with value date/posting date < 04/01/05 are used to calculate the opening balance on 01.04.05. b) The evaluation includes any flows that change the position and which occurred within the defined selection period. ... Mar.05 Apr.05 May 05 Jun.05 Jul.05 Aug.05 ...

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...

Mar.05

Apr.05

May 05

Jun.05

Jul.05

Aug.05

...

Business transactions that occur within the selection period (value date/posting date >= 04/01/05 and <= 06/30/05) and cause changes to the position. Display closing balance for 30.06.05. c) Business transactions after the end of this period are not included in the selection ... Mar.05 Apr.05 May 05 Jun.05 Jul.05 Aug.05 ...

Business transactions with value date/posting date >= 01.07.05 are not relevant for the evaluation.

3.2.1 Information about Data Selection


If Queries are defined on the basis of InfoSets, which in turn are based on logical databases, the corresponding logical database data procurement program automatically provides a selection screen. See 3.1.2, Information about Data Selection, for further information about individual selection parameters. New Logic for Processing Reversal Flows
NEW

When evaluating positions according to posting date, flows that were posted and reversed within a period are not displayed. Reversed flows are displayed only once when the posting is made, and not when they are reversed. When a business transaction is reversed and the posting status is changed in the subledger from "posted"(P) to "reversed"(R), a reversal document is generated in the general ledger in addition to the original document posted. In the case of a reversal with a different posting date, substantial time and effort is required to reconcile the general ledger and subledger. To make this simpler, you can activate the indicator Logic for Processing Reversal Flows. In this case, an artificial business transaction is generated in the subledger by duplicating the original business transaction, for the period between the original document date and the different reversal date. The following example should make this clearer:

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Example: Create and reverse a purchase with a different reversal date. Evaluation occurs after the posting date. Reversed flows are not processed (
Subledger TRL Date Posting Date BusTr ans TRL Status Posting Amount Debit/ Credit Account General Ledger FI Posting Date Amount Debit/ Credit Account Docum ent Reference Doc.

old logic).

Purchase on 08/01/05; same-day posting to FI 08/01/05 08/01/05 08/01/05 08/0105 Purch ase Purch ase P P 1000 -1000 D C 200000 799999 08/01/05 08/01/05 1000 -1000 D C 200000 799999 800 800

Reverse purchase with different posting date 08/10/05 08/01/05 08/01/05 08/01/05 08/01(05 Purch ase Purch ase R R 1000 -1000 D C 200000 799999 08/01/05 08/01/05 08/10/05 08/10/05 Subledger and general ledger view on 08/05/05 --------------08/01/05 08/01/05 1000 -1000 D C 200000 799999 800 800 1000 -1000 1000 -1000 D C C D 200000 799999 200000 799999 800 800 900 900 800 800

> > > Inconsistencies between the general ledger and the subledger < < <

SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management

Example: Create and reverse a purchase with a different reversal date. Evaluation occurs after the posting date. Reversed flows are processed (
Subledger TRL Date Posting Date Bus Tran s TRL Status Posting Ledger Status Posting Amoun t Deb it/Cr edit Account General Ledger FI Posting Date Amoun t

new logic).

Deb it/Cr edit

Account

Docu ment

Reference Doc.

Purchase on 08/01/05; same-day posting to FI 08/01/05 08/01/05 08/01/05 08/01/05 Purc hase Purc hase F F 1000 -1000 D C 200000 799999 08/01/05 08/01/05 1000 -1000 D C 200000 799999 800 800

Reverse purchase with different posting date 08/10/05 08/01/05 08/01/05 Purc hase Purc hase Purc hase Purc hase R 3 (generated posted to ledger) 3 (generated posted to ledger) 2 (reversed) 2 (reversed) 1000 D 200000 08/01/05 1000 D 200000 800

08/01/05

08/01/05

-1000

799999

08/01/05

-1000

799999

800

08/01/05 08/01/05

08/10/05 08/10/05

R R

1000 -1000

D C

200000 799999

08/10/05 08/10/05

1000 -1000

C D

200000 799999

900 900

800 800

Subledger and general ledger view on 08/05/05 08/01/05 08/01/05 08/01/05 08/01/05 Purc hase Purc hase R R 3 (generated posted to ledger) 3 (generated posted to ledger) 1000 -1000 D C 200000 799999 08/01/05 08/01/05 1000 -1000 D C 200000 799999 800 800

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> > > Subledger and general ledger correspond on 08/05. < < <

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Graphical Representation of Subledger Trends due to the New Reversal Logic: Assuming that: The subledger positions are posted with the value date. In other words, value date = posting date.
08/01 08/10

__ Value date-based view (subledger) __ Accounting view (general ledger)

The subledger and general ledger match. On 08/10 you determined that the inflow on 08/01 was posted incorrectly. The inflow is reversed in the subledger using a different posting date of 08/10.
08/01 08/10

__ Value date-based view (subledger) __ Accounting view (general ledger) __ Differences between general ledger and subledger

In this case, to enable reconciliation between the general ledger and subledger the system generates an artificial reversal flow:
08/01 08/10

__ Value date-based view (subledger)

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__ Adjustment of value date-based view using generic reversal record

The new reversal logic determines the entries made in the affected fields: o The posting date field contains o o o o o the posting date of the TM flow for the original flow the reversal date of the TM flow for the reversed flow

The position value date field contains the position value date common to both flows. The G/L Account: Debit and G/L Account Credit fields contain the (identical) flow information (and not as in the case of offsetting postings where credit and debit are swapped). The delta book value fields in their respective currencies contain the value of the flow as if it were posted and not reversed. The posting status of the flow field contains the indicator for both flows that this flow has been reversed from the view of the TM subledger. The new ledger posting status field contains value 2 (reversed) for the reversal flow and value 3 (generated ledger posted) for the original flow.

Constraints: The logic for processing reversed flows is not supported for the following situations: Loans (CML) in the operative valuation area 001 Treasury (TR) for SAP Enterprise AddOn 1.1 and SAP Enterprise 2.0 in the operative valuation area (valuation area 001) Treasury before SAP Enterprise AddOn 1.1

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3.2.2 Field Selection for Logical Database FTI_TR_ PERIODS


A comprehensive range of characteristics and key figures is available for period evaluations using the InfoSet CFM_PERIODS. You can use these to define Queries depending on your requirements. The following explanations are to help you to interpret individual characteristics and key figures correctly and thus decide whether the characteristic or key figure should be included in your Query.

Tech. Field Name MANDT BUKRS LAND1 TR_ACC_CODE VALUATION_AREA VALUATION_CLASS GSART

Name Client Company code Country key for the company code Accounting code Valuation area Valuation class Product type

Description Client Company code This key determines the country and is defined in the company code table T001 for the company code. This attribute should not be confused with the Business Partner Country (CNTRY_COMP field) characteristic. The accounting code is the central organizational unit in position management. An accounting code corresponds to a single company code (1:1 relationship). For reporting purposes therefore, accounting code and company code can be used as synonyms. More than one valuation area can be managed in the financial subledger to enable you to valuate financial transactions on the basis of different accounting regulations. The valuation class is used to classify financial investments in a specific valuation area by asset type. Examples of valuation classes are current assets and fixed assets for a German HGB valuation area, or trading, available for sale (AfS), and held to maturity (HTM) for an IAS valuation area. The product type is used to differentiate/structure investments. In the operative valuation area, this field is generally used to group or structure financial investments, for example, the EUROPE portfolio comprises securities account DE (Germany), securities account FR (France) and securities account CH (Switzerland).

PORTFOLIO

Portfolio

You can differentiate positions in position management on portfolio level, i.e. portfolio is used here as a term for differentiating. However, this also means that an evaluation on portfolio level is only possible if position differentiation is carried out for each portfolio. Unique means of identifying a security. Unique loan contract number

SECURITY_ID LOANS_CONTRACT

Security ID number Contract number

SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management
Tech. Field Name Name Description In the areas Securities Listed options and futures Loans

DEAL_NUMBER

Financial transaction creating the position

a position is always made up of a number of financial transactions. (Exception: Single position management (lot accounting). In this case, each transaction constitutes a position). An assignment of transaction to position is therefore not relevant. The Financial transaction creating the position field is therefore only filled for financial transactions that create a position in position management when concluded. This is the case for the areas

Money market Foreign exchange Deterministic and optional OTC instruments

In this case, the transaction number is used as the differentiating characteristic for position management. You can define how positions should be created within position management by using various differentiation terms. Positions are used as the basis for valuation as well as for generating the derived flows. One possible differentiation term is the securities account group. You can define several securities account groups in Customizing for position management. You can then assign securities accounts to these securities account groups in the master data for the securities accounts. The use of securities accounts in position management is comparable to portfolio valuation in the operative valuation area. The Securities Account Group field is only filled in position management if you have defined the securities account group as a differentiation term for the respective valuation area. This field is not relevant for the operative valuation area.

ACCOUNT_GROUP

Securities account group

SECURITY_ACCOUNT

Securities account

The Securities Account field is only filled in position management if you have defined the securities account as a

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Tech. Field Name Name Description differentiation term for the respective valuation area. This field is always displayed for the operative valuation area because in this valuation area a position is always characterized by a combination of company code + securities ID number + securities account. POSITION_ACCOUNT FLAG_LONG_SHORT LOT_ID DLOTGENERATION TLOTGENERATION LOTGENERATION_USER Futures account for listed options and futures Indicator: Long or short position Lot ID Lot generation date Lot generation time Lot created by (user) The futures account is an organizational entity used by banks to manage futures and listed options. (similar to securities accounts for securities) L = Long position, S = Short position; Only relevant for options and futures. In position management, positions can be managed according to various differentiation criteria. One way of classifying positions is to manage single positions (lots). The lot represents the smallest possible unit for position management. A lot is always generated by a business transaction that involves a change in the number of units or in the nominal amount. (Purchase, transfer posting etc.) The date on which the single position was generated. The time at which the single position was generated. The user who triggered the generation of the lot. The business transaction category describes the business transaction that generated the lot, for example LOTGENERATION_BUSTRAN SCAT Business transaction category that generates lots Purchase Transfer Corporate action

SANLF RANTYP_R

Product category Contract type Account assignment reference: Loans, operative Account assignment reference in

The product category is used to differentiate investments. The contract type enables you to structure product categories on the basis of modules. This account assignment reference is used only for loans in the operative valuation area (valuation area 001).

RREFKONT_R

The account assignment reference is created in Loans Management from the values of various master data fields. It can be used to control the account determination. In addition, the account assignment reference can be used to differentiate between the position accounts in the general ledger (capital and/or additional receivables). This account assignment reference is used for all positions in new position management (Treasury + CML parallel).-

ACC_ASS_REF

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Tech. Field Name Name position management Description You can use the account assignment reference to determine the FI G/L account in which the position is to be managed. You create the account assignment references independent of the valuation areas. Balance sheet account which is generally determined by the corresponding account assignment reference. Start of term End of term

HKONT DBLFZ DELFZ

G/L account for G/L accounting Start of term End of term

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Tech. Field Name Name Description Difference between the end of the term of a financial product and a second date reference, such as: 1. A fixed reference date (entered in the selection screen) 2. Todays date 3. The evaluation key date The "remaining term" and the "overdue period" are both available as reporting characteristics and key figures. You can use the respective key figure (available in days) for calculations. By contrast, the characteristic (available in days, months, and years) is primarily intended for defining forms ( in drilldown reports). You can use it, for example, to group items that have recently become overdue, and those that are long overdue. The remaining term and overdue period have both been defined for positions and flows. Both the remaining term and the overdue period are determined by calculating the difference between two date fields. The following section describes how these date fields are filled. One of these date fields depends on whether the value is a position or a flow: 1. For positions, this date field contains the end of term for the financial product. If this is not defined (in the case of stocks, for example), the remaining term and the overdue period are set to zero. 2. For flows, this date field is filled with the due date. The other date field 1. The following dates are available for positions: a) An explicit reference date, which has to be specified (for example, 12/31/2001) b) Today, i.e. the current date c) The characteristic Key Date, which can differ for each position (whereby this is often clear in the context of the report) Remaining term in days/months/years 2. The following dates are available for flows: a) An explicit reference date, which has to be specified (for example, 12/31/2001), as above b) Today, i.e. the current date, as above Overdue period in days/months/years c) The Day Before "From Date", which can differ for each flow (whereby this is often clear in the context of the report) d) The "To Date", which can differ for each flow (whereby this is often clear in the context of the report)

RLZTG_F RLZMO_F RLZJA_F UEBTG_F UEBMO_F

UEBJA_F The remaining term and the overdue period are contrary values in the sense that one value has to be zero if the other Guidelines for Creating Reports in SAP Treasury and Risk Management differs from zero. However, both values can be zero at the same time. Both values have been SAP NETWEAVER 2004 + SAP FSCM 3.0 Page 72 defined / 159 as the difference between the two date fields above. Example: You want to determine the remaining term or overdue period for planned flows. For the second date field, you specify a fixed reference date "12/31/1998".

SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management
Tech. Field Name Name Description The field contains the number of the partner with whom you have a commitment. This commitment usually entails an associated default risk. The type of partner depends on the nature of the commitment: PARTNR Business partner with whom you have a commitment

For securities and listed options and futures, this field contains the issuer. For money market, foreign exchange and OTC derivatives, this field contains the counterparty. For loans, this field contains the main borrower.

TYPE

Partner category

This indicator shows whether your business partner is a natural person, an organization or a group of natural persons or organizations. Additional information, such as the age, sex or income of natural persons, or founding year, legal form and so on of an organization, are based on this indicator. An industry system groups and categorizes several industries together. You can create different industry systems each with their own catalog of industries. An industry can also be assigned to more than one industry system. Example: The business partner SAP is assigned to different industries in different industry systems:

ISTYPE

Industry system

Industry system EuroStoxx DAX S&P500

Industry HighTech & IT Technology Software

IND_SECTOR

Industry Sector Country where the business partner is legally registered Legal form of the organization

Companies are split into different industries based on their core business. An industry could be trade, banking, services, heavy industry, health services, civil services, media and so forth. Industries can be assigned to different industry systems.

CNTRY_COMP LEGAL_ENTY

This shows the country in which the registered office of the company or the organization is located. This attribute is often used to determine the relevant account assignment reference. Legal form (for example, limited partnership with limited liability, stock corporation)

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Tech. Field Name LEGAL_ORG Name Legal entity of the organization Description Legal entities are the legally responsible organizations for companies with dependent legal status In the case of business partners categorized as organization you can enter the legal entity of the company for evaluation purposes. The nationality of a natural person. NATION Nationality The characteristics country key in limit management and country of origin in account assignment reference refer to this field for natural persons. Indicates legal membership of a state. Each business partner is assigned to a business partner group when it is created. The grouping specifies whether the business partner number is defined internally by the system or manually by the user. Assigns the business partner to a custom target group. This field defines the business partners position within his or her company (for example, manager or managing director). This field describes in relation to the company code possible relationships to other companies (for the issuer role). This characteristic is often used for account assignment determination. The credit standing describes your business partners solvency. The rating is an abbreviated credit standing classification published by one of the established rating agencies (for example, Aaa, Aa3, according to Moodys rating scale). Indicates the name of the rating agency (S&P, Moodys, etc.) Shows the status of the credit rating information. The date on which the information regarding the business partners credit standing was issued. The transaction type defines which transactions were carried out in combination with a certain product type, for example, investing and borrowing fixed-term deposits / deposits at notice or sale and purchase of stocks. Finance project is used to define a common term by which you can identify related transactions.

STATE GROUP_ID GROUP_D STAFF_GRP COMP_RE SOLVNCY RATING SOL_INS SOL_INF SOL_I_D SFHAART FINPROJ

Citizenship Business partner grouping Target Group Employee group Company relationship Credit standing Rating indictator Institute providing credit standing information Status of credit standing information Date of credit standing information Transaction type Finance project

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Tech. Field Name Name Description A master agreement is used to specify agreements and conditions by which individual transactions in the master agreement must abide. The master agreement can currently be used for fixed-term deposits and deposits at notice, commercial papers and cash flow transactions. The guarantor of a financial transaction assumes the risk associated with the transaction. If a guarantor that differs from the counterparty has been specified for the transaction, the limit utilization resulting from the transaction relates to the guarantor instead of the counterparty. User-defined text field: NORDEXT External Reference This field can be used, for example, to list, in the SAP system, the number which your business partner uses to manage a transaction. User-defined text field: ZUOND Assignment A user-defined assignment for grouping transactions. User-defined text field: REFER Internal Reference A field that can be assigned by the user to create internal references, for example, between transactions and other objects within the SAP system. User-defined text field: MERKM RDEALER RDPBANK Characteristics Trader Depository bank A field that can be assigned by the user for identifying transactions. Name or short name of the in-house trader responsible for the transaction. Name or number of the depository bank from partner management. The depository bank characteristic is only displayed for position management if a differentiation term has been defined at securities account level in Customizing.

RMAID

Master agreement

RGARANT

Guarantor of a financial transaction

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Tech. Field Name Name Description You can use the securities account type to differentiate between various securities account categories. You can create securities account types for the following securities account categories: SECACC_TYPE Securities Account Type Asset Securities Account Issuance Securities Account Lending Securities Account

SECACC_CAT SBILK SNOTI ALWPKL SWERTTYP SOL_INS_RANL RATING_RANL

Securities Account Category Balance sheet indicator Quotation indicator General security classification Indicator: Security type Institute giving credit rating information for securities ID numbers Rating securities ID number indicator

See also: Securities account type This indicator specifies the balance sheet position to which this position is assigned in accordance with reporting requirements for insurance companies stipulated by the Federal Supervisory Office for Insurance Associations. The indicator specifies whether the security is unit-quoted or percentage-quoted. Indicator for differentiating the security type. The user can customize the values and classify all securities for evaluation purposes independently of system settings, such as product type or product category. Indicator for the security type according to the form of transfer (for example, bearer security). Indicates the name of the rating agency (S&P, Moodys, etc.) The rating is an abbreviated credit standing classification published by one of the established rating agencies (for example, Aaa, Aa3, according to Moodys rating scale). Indicator for differentiating bonds.

SWPKLASS

Bond classification

The user can define values and classify bonds in Customizing for evaluation purposes independently of system settings, such as product type or product category. Indicates whether the stock is preferred stock or common stock.

SAKAR

Stock Category

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Tech. Field Name SFOART SFOTY SARTBET SBOERNOT VVRANLWX SHWHR SVWHR SBWHR Name Indicator: Fund category Indicator: Fund type Shareholding Type Indicator: Listed Secondary index class data Local currency Valuation currency Position currency (currency of position amount) Display currency Description Indicates whether the fund is an open or closed fund The fund type indicates the user-defined differentiation of investment funds according to the type of investment. (Stock funds / bond funds / fund of funds etc.) The shareholding type indicates the type of shareholding, such as subsidiaries, holdings etc. The indicator shows whether the price of a security is determined on an exchange or over-the-counter. Secondary index that can be maintained in addition to the securities key. Currency of the company code. You define a local currency for each valuation area. This is the currency in which the positions are managed. The valuation areaspecific "local currency" is referred to as the valuation currency. The position currency is the currency used to manage the position. In the securities module, position currency and issue currency are identical. The display currency is used to convert key figures to a custom (second) currency which can be entered on the selection screen. ANZGW If for example you want to produce a consolidated report for several company codes within a group (with different local currencies), all position currencies can be converted to a common display currency. When evaluating risk, you can define a calculation currency to translate risk key figures. Currency in which interest is received or paid. Currency of the outgoing side for exchange transactions (swaps, foreign exchange transactions) Currency of the incoming side for exchange transactions (swaps, foreign exchange transactions)

CALC_CCY SWHRKOND WVERB1 WFORD1

Evaluation currency Interest currency Nominal currency borrowing/sale/outgoing side/short Nominal currency investment/purchase/incoming side/long

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Tech. Field Name Name Description

The structure of LDB FTI_TR_PERIODS contains the following for each key figure (analog to LDB FTI_TR_POSITION): Start value for the start of the chosen selection period End value at the end of the selected evaluation period Delta value (end value start value) for the selection period

Each key figure is offered in one of the following currencies: Position currency (PC) Local currency (LC) Valuation currency (VC) Display currency (DC)

DBEWEG DBESTAND DORDER DDISPO DSCHLUSS DFAELL JAHR MONAT WOCHE

Flow date Position value date Order day Payment date Date of transaction closing Due date Calendar year Calendar month Calendar week

The flow date is derived from the key date reference on which it is based. Depending on the key date reference, the flow date can, for example, contain the posting date or the position value date. Position value date of the flow Order date Contains the anticipated date on which a payment is planned. Closing date of transactions that were managed with Transaction Manager. The due date which is relevant for due flows (redemption, interest payments etc.) from conditions. The field contains the calendar year when the flow will be due. This information is useful for determining maturity schedules and forecasts. The field contains the calendar month in which the flow is due to mature. This information is useful for determining maturity schedules and forecasts. The field contains the calendar week in which the flow is due to mature. This information is useful for determining maturity schedules and forecasts.

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Tech. Field Name MONAT_JAHR WOCHE_JAHR Name Calendar month/year Calendar week/year Description This field is made up of the fields mentioned above. Example: If a flow is due to mature on 12/01/05, it has the value 12/2005 This field is made up of the fields mentioned above. Example: If a flow is due to mature on 12/01/05, it has the value 49/2005 Key for financial transactions involving listed instruments that can create or change a position. These instruments include:

SE_DEAL_NUMBER Security/futures transaction

Securities Futures/listed derivatives

RKONTRA RHANDPL JFDBUC ZLSCH BANKK_HB BANKN_HB BANKK_BP BANKN_BP SZART SPAYRQ PRKEY

Reference to counterparty Exchange Relevance to CM Payment method Bank key of house bank Bank account number of house bank Bank key of business partner bank Bank account number of business partner Payment activity Generate payment request Key number of payment request

This field contains the business partner in the role of the counterparty. Exchange, where a security was bought. This indicator determines whether or not the flow record should be passed on to cash management. The payment method determines the procedure that should be used for payment, for example, check, bank transfer or bill of exchange. This field displays the bank key for storing country-specific bank data of your house bank. Account number of your house bank. This field displays the bank key for storing country-specific bank data regarding your business partner. Account number of the counterpartys business account. This characteristic indicates whether or not the flow is a payment transaction. This characteristic indicates whether or not a payment request that can be processed by the FI payment program was generated for the flow The key number is a unique means of identifying a payment request. The key number of the payment request is assigned internally.

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Tech. Field Name BELNR AWKEY GL_ACCOUNT_D GL_ACCOUNT_C DBUDAT DGJAHR DMONAT PERIO RAHABKI RAHKTID Name Document number of an accounting document Reference key Number of G/L account, debit Number of G/L account, credit Posting date in the document Fiscal year Fiscal month Period/year Short key for your house bank Short key for house bank account Description This field contains the document number of the FI posting document for posted flows. Whenever an accounting document is posted in FI via the interface, the sending application includes a unique reference. This reference comprises a unique object key and object type. This field can therefore be used to determine the origin of the document. This field contains the account number of the subledger document to be posted as a debit posting This field contains the account number of the subledger document to be posted as a credit posting. This field contains the date on which the flow was posted to FI. Fiscal year in which the flow was posted to FI. Fiscal month in which the flow was posted to FI. This field is made up of the FI posting period and the year in which the flow was posted to FI. Account number of your house bank. (Short form) This field displays the bank key for storing country-specific bank data regarding your business partner. (Short form) The posting status of a flow indicates whether the flow is blocked for posting, released, already posted, or has been reversed. The following statuses are possible: BUCHST Posting status: Loans (CML), operative

2.....Posting carried out 5.....Planned record

This characteristic is displayed for CML in the operative valuation area only.

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Tech. Field Name Name Description The position management status of a flow displays the status from the view of the Treasury subledger. The following statuses are possible:

Posting status for treasury ledger business transaction (flow display)

P F R ToF ToR

Planned Fixed Reversed To Be Fixed To Be Reversed

TRL_BOOKINGSTATE

This characteristic is only displayed for new position management. To process reversed flows, additional flows are generated in the subledger which can be assigned the following statuses:


LEDGER_POSTING_STATE Ledger Posting Status

0 Not posted (not relevant for posting, or planned record) 1 posted 2 reversed 3 generated - posted 4 not generated posted to ledger

See also: New Logic for Processing Reversal Flows in section 3.3.1. SBEWART_R FLOW_TYPE BUSTRANSCAT Flow type Loans (CML), operative Update type Business transaction category The flow type is only entered for CML in the operative valuation area. Only the update type is entered in new position management. Update types carry the information for a flow in position management. Each update type is assigned to a business transaction category which determines how it is processed for business and accounting purposes. (Compare with flow types in the operative valuation area)

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Tech. Field Name Name Generating business transaction category Flag: Source or target of a flow ID of distributor business transaction Quantity position change category Description Business transactions often generate derived business transactions which also contain information about changes made to position components (such as the book value). To be able to assign these derived business transactions to the original transactions used to generate them, the business transaction category of the original transactions are always entered for derived business transactions. This is the generating business transaction category. Technical indicator to determine the direction of the cash flow in the case of derived flows. Each TRD business transaction has a BusTransID as a unique identification number. All flows that belong to a business transaction have this BusTransID and can thus be assigned to the relevant business transaction. This is particularly useful if you want to identify the original flow of a derived flow. The quantity position change category QUANT_CAT of a flow shows you whether the units in a flow represent a position inflow = 0001 or outflow = 0002. The amount position change category shows you which position components are changed by the amounts in the flow and also whether these changes increase or decrease the position component. (For flows that do not change positions, such as interest flows or non-capitalized charges, the position change category is usually blank.) You can use the profit/loss type to classify gains and losses according to your own reporting requirements. It enables you to assign certain flows that affect income to groups. By assigning update types that affect income to profit/loss types, you can generate very powerful reports that show all the revenues and expenses for a period in aggregated form. PL_CATEGORY P/L type In order to set up evaluations based on the entity profit/loss type, you must make the following settings in Customizing for the Information System:

GEN_BUSTRANSCAT

SOURCETARGET_FLG BUSTRANSID

QUANT_CAT

AMOUNT_CAT

Position change category


Corporate action number Payment currency Profit/loss currency

Define profit/loss types Assign update types to the relevant profit/loss types (where appropriate, for individual valuation areas)

KMNR WZBETR SPLWHR

This number uniquely identifies a corporate action. This field contains the key indicating the currency of the payment amount. It can differ from the position or transaction currency. The profit/loss currency is the currency of the profit or loss. It can differ from the position or transaction currency.

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Tech. Field Name SSIGN CF_CC CF_LC CF_DC PL_PC PL_LC Name Direction of flow Payment amount in payment currency Payment amount in local currency Payment amount in display currency Profit/loss amount in P/L currency P/L amount in local currency Description This field indicates whether or not the flow is an inflow (+) or outflow (-). In general, the following flow categories are determined from a reporting perspective:

P/L relevant flows Payment-relevant flows Position-relevant flows

A flow can have a more than one of these attributes (depending on the settings in Customizing). Example: a) Purchase of stock; settlement amount 10.000 This flow is relevant for the position. The flow is relevant for payment. The flow is not relevant for profit/loss. b) Charge (not activated) This flow is not relevant for the position. The flow is relevant for payment. The flow is relevant for profit/loss. c) Accrual/deferral This flow is not relevant for the position. The flow is not relevant for payment. The flow is relevant for profit/loss. d) Valuation This flow is relevant for the position. The flow is not relevant for payment. The flow is relevant for profit/loss.

PL_DC

P/L amount in display currency

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Tech. Field Name Name Description The period-based accrued/deferred revenue is a simulative key figure specifying the revenue that can be accrued/deferred for a certain period between the Date from and Date to. It is generated from flows that are relevant for accrual/deferral. This key figure applies throughout Treasury and Risk Management and comprises the following key figures: TR Functional Area Money Market Foreign Exchange Securities Derivatives (OTC interest) Derivatives (listed transactions) Loans Key Figure Period-based revenue accrued/deferred ./. Period-based revenue accrued/deferred Period-based revenue accrued/deferred ./. Period-based revenue accrued/deferred

PABGERF_PC

Period-based revenue accrued/deferred in P/L currency

The profit/loss currency is the currency of the profit or loss. It can differ from the position or transaction currency. PABGERF_LC PABGERF_DC Period-based revenue accrued/deferred in local currency Period-based revenue accrued/deferred in display currency As above As above This key figure shows the amount that causes a flow. It does not indicate whether this amount

D_AMOUNT_PC Flow amount in position currency

Changes the position and/or Affects profit/loss and/or Is relevant to payment

Further fields of the flow, in particular the update type, must be interpreted if you want to find out this information. D_AMOUNT_VC Flow amount in valuation currency As above

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3.3 Evaluation of Revenues and Maturities Using Logical Database FTI_TR_PL_CF


3.3.1 Where Used
The following InfoSets delivered with the system are based on the logical database FTI_TR_PL_CF and are used for evaluations over a given period: CFM_REVENUE CFM_REV_FCAST CFM_MATURITY

Period-based evaluations are also made using InfoSet CFM_PERIODS which is based on the logical database FTI_TR_PERIODS. Unlike the FTI_TR_PL_CF logical database, the focus in this case is not the analysis of changes to positions within the evaluation period. Reporting is used rather to analyze the profit/loss and cash flows for a certain period. All three InfoSets listed above are based on the same logical database, FTI_TR_PL_CF; the same scope of fields is available for each InfoSet. In addition, each InfoSet is enhanced with custom coding, which enables the InfoSets to be used as a basis for: Revenue lists (InfoSet CFM_REVENUE) Revenue forecasts ((InfoSet CFM_REV_FCAST) Maturity schedules (InfoSet CFM_MATURITY)

Depending on what you intend to use them for, you can define your Queries on the basis of the InfoSets described above. The following shows where the InfoSets differ.

3.3.1.1 CFM_REVENUE
Where Used You can use the CFM_REVENUE InfoSet to evaluate revenues earned within a given period. This enables you to analyze all the revenues for the respective due date or period. Evaluations with the following form can be generated with the CFM_REVENUE InfoSet. Characteristics Time Characteristics P/L Types (from Customizing)

Unrealized Losses

Unrealized Gains

Valuation Area

Product Type

Realized Losses

Company Code

Realized Gains

Quarter/Year

Amortization

Dividend

Maturity

.....

Tax

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In position management, you can create positions according to various criteria. In the securities module, for example, you can specify whether positions should be created at the level of securities account, securities account group, portfolio, or lot (single position). The corresponding revenues therefore relate to different calculation bases. To account for this, the new logical database FTI_TR_PL_CF ensures that the revenues in position management are divided up correctly and assigned to the respective positions at the specified level. Customizing Settings for Reporting The revenue reporting settings are flexible and can be configured to reflect individual company requirements in Customizing. You first define profit/loss types to classify the various revenues and expenses at an abstract level, based on your own reporting needs. You can then assign these profit/loss types to the relevant update types for a given valuation area. As such, the reporting settings are fully customizable. The InfoSet CFM_REVENUE allows you to display all the expenses and revenues that have been classified by profit/loss types in Customizing in separate columns. Three additional fields have been defined for each relevant profit/loss type (two additional fields for FX profit/loss types): Profit/loss in position currency, profit/loss in local currency, and profit/loss in display currency.

Customizing Settings for Reporting The supplementary GET code in the logical database analyzes the respective profit/loss type for the individual flow and assigns it to the corresponding additional fields. Example: If the flow is assigned to P/L type 310, the net income amount is mapped onto the additional fields defined for this purpose. Unrealized Gain Security (P+L) when '310'. move pl-pl_pc to unr_g_sec_pl_pc. move pl-pl_dc to unr_g_sec_pl_dc. move pl-pl_lc to unr_g_sec_pl_lc. These settings apply to the sample Customizing settings delivered with the system. If different settings are required for the P/L types, the GET custom coding has to be adjusted accordingly.

InfoSet Adjustments Additional fields

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The following additional fields are defined to enable revenues and expenditures to be displayed in separate columns.

Field ACCINT_PL_DC ACCINT_PL_LC ACCINT_PL_PC AMORT_PL_DC AMORT_PL_LC AMORT_PL_PC COST_PL_DC COST_PL_LC COST_PL_PC DAY DIV_PL_DC DIV_PL_LC DIV_PL_PC

Field Description and Headings Accrued interest DC / Accrued interest DC Accrued interest LC / Accrued interest LC Accrued interest P/L C / Accrued interest P/L C Amortization DC / Amortization DC Amortization LC / Amortization LC Amortization P/L C / Amortization P/L C Charges DC / Charges DC Charges LC / Charges LC Charges P/L C / Charges P/L C Day / Day Dividends/Bonus DC / Dividends/Bonus DC Dividends/Bonus LC / Dividends/Bonus LC Dividends/Bonus P/L C / Dividends/Bonus P/L C

INTEREST_PL_DC Interest DC / Interest DC INTEREST_PL_LC Interest LC / Interest LC

INTEREST_PL_PC Interest P/L C / Interest P/L C MONTH PROFDIB_PL_DC PROFDIB_PL_LC PROFDIB_PL_PC QUARTER REVENUETYPE R_G_FX_PL_DC R_G_FX_PL_LC R_G_IDX_PL_DC R_G_IDX_PL_LC R_G_IDX_PL_PC Month / Month Profit distribution DC / Profit distribution DC Profit distribution LC / Profit distribution LC Profit distribution P/L C / Profit distribution P/L C Quarter / Quarter P/L type / P/L type Realized gains FX DC / Realized gains FX DC Realized gains FX LC / Realized gains FX LC Realized gains index DC / Realized gains index DC Realized gains index LC / Realized gains index LC Realized gains index P/L C / Realized gains index P/L C

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Field R_G_SEC_PL_DC R_G_SEC_PL_LC R_G_SEC_PL_PC R_L_FX_PL_DC R_L_FX_PL_LC R_L_IDX_PL_DC R_L_IDX_PL_LC R_L_IDX_PL_PC R_L_SEC_PL_DC R_L_SEC_PL_LC R_L_SEC_PL_PC TAX_PL_DC TAX_PL_LC TAX_PL_PC

Field Description and Headings Realized gains securities DC / Realized gains securities DC Realized gains securities LC / Realized gains securities LC Realized gains securities P/L C / Realized gains securities P/L C Realized losses FX DC / Realized losses FX DC Realized losses FX LC / Realized losses FX LC Realized losses index DC / Realized losses index DC Realized losses index LC / Realized losses index LC Realized losses index P/L C / Realized losses index P/L C Realized losses securities DC / Realized losses securities DC Realized losses securities LC / Realized losses securities LC Realized losses securities P/L C / Realized losses securities P/L C Tax DC / Tax DC Tax LC / Tax LC Tax P/L C / Tax P/L C

UNR_G_FX_PL_DC Unrealized gains FX DC (P/L) / Unrealized gains FX DC (P/L) UNR_G_FX_PL_LC Unrealized gains FX LC (P/L) / Unrealized gains FX LC (P/L) UNR_G_IDX_PL_D Unrealized gains index DC (P/L) / Unrealized gains index DC (P/L) C UNR_G_IDX_PL_LC Unrealized gains index LC (P/L) / Unrealized gains index LC (P/L) UNR_G_IDX_PL_P Unrealized gains index P/L C (P/L) / Unrealized gains index P/L C (P/L) C UNR_G_OCI_FX_P Unrealized gains FX DC (OCI) / Unrealized gains FX DC (OCI) L_DC UNR_G_OCI_FX_P Unrealized gains FX LC (OCI) / Unrealized gains FX LC (OCI) L_LC UNR_G_OCI_IDX_P Unrealized gains index DC (OCI) / Unrealized gains index DC (OCI) L_DC UNR_G_OCI_IDX_P Unrealized gains index LC (OCI) / Unrealized gains index LC (OCI) L_LC UNR_G_OCI_IDX_P Unrealized gains index P/L C (OCI) / Unrealized gains index P/L C (OCI) L_PC UNR_G_OCI_SEC_ Unrealized gains securities DC (OCI) / Unrealized gains securities DC (OCI) PL_DC

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Field

Field Description and Headings

UNR_G_OCI_SEC_ Unrealized gains securities LC (OCI) / Unrealized gains securities LC (OCI) PL_LC UNR_G_OCI_SEC_ Unrealized gains securities P/L C (OCI) / Unrealized gains securities P/L C (OCI) PL_PC UNR_G_SEC_PL_D Unrealized gains securities DC (P/L) / Unrealized gains securities DC (P/L) C UNR_G_SEC_PL_L Unrealized gains securities LC (P/L) / Unrealized gains securities LC (P/L) C UNR_G_SEC_PL_P Unrealized gains securities P/L C (P/L) / Unrealized gains securities P/L C (P/L) C UNR_L_FX_PL_DC Unrealized losses FX DC (P/L) / Unrealized losses FX DC (P/L) UNR_L_FX_PL_LC Unrealized losses FX LC (P/L) / Unrealized losses FX LC (P/L) UNR_L_IDX_PL_DC Unrealized losses index DC (P/L) / Unrealized losses index DC (P/L) UNR_L_IDX_PL_LC Unrealized losses index LC (P/L) / Unrealized losses index LC (P/L) UNR_L_IDX_PL_PC Unrealized losses index P/L C (P/L) / Unrealized losses index P/L C (P/L) UNR_L_OCI_FX_PL Unrealized losses FX DC (OCI) / Unrealized losses FX DC (OCI) _DC UNR_L_OCI_FX_PL Unrealized losses FX LC (OCI) / Unrealized losses FX LC (OCI) _LC UNR_L_OCI_IDX_P Unrealized losses index DC (OCI) / Unrealized losses index DC (OCI) L_DC UNR_L_OCI_IDX_P Unrealized losses index LC (OCI) / Unrealized losses index LC (OCI) L_LC UNR_L_OCI_IDX_P Unrealized losses index P/L C (OCI) / Unrealized losses index P/L C (OCI) L_PC UNR_L_OCI_SEC_ Unrealized losses securities DC (OCI) / Unrealized losses securities DC (OCI) PL_DC UNR_L_OCI_SEC_ Unrealized losses securities LC (OCI) / Unrealized losses securities LC (OCI) PL_LC UNR_L_OCI_SEC_ Unrealized losses securities P/L C (OCI) / Unrealized losses securities P/L C PL_PC (OCI) UNR_L_SEC_PL_D Unrealized losses securities DC (P/L) / Unrealized losses securities DC (P/L) C UNR_L_SEC_PL_L Unrealized losses securities LC (P/L) / Unrealized losses securities LC (P/L) C UNR_L_SEC_PL_P Unrealized losses securities P/L C (P/L) / Unrealized losses securities P/L C (P/L) C

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Field YEAR

Field Description and Headings Year / Year

Custom Coding These additional fields are filled using the following custom coding:

********************************************************** * YOU CAN EASILY ENHANCE THIS INFOSET BY DEFINING * ADDITIONAL FIELDS ACCORDING TO YOUR REQUIREMENTS * * Step 1. * Create a new field * * Step 2. * Provide coding to fill the field with appropriate data * in the GET-Coding section * * CAUTION !! * ORDER OF GET-CODING > ORDER OF ADDITIONAL FIELDS ********************************************************** * For reporting revenues you can use the * field PL-PL_CATEGORY for separating different * types of revenues. * * You can use the following revenue categories: * 110...Interest * 120...Accrued Interest * 130...Dividends, Bonuses * 140...Profit Distribution * 210...Charges, Fees * 220...Taxes * 310...Unrealized Price Gains, Security (P+L) * 320...Unrealized Price Losses, Security (P+L) * 330...Unrealized Price Gains, Forex (P+L) * 340...Unrealized Price Losses, Forex (P+L) * 350...Unrealized Price Gain, Index (P+L) * 360...Unrealized Price Loss, Index (P+L) * 410...Realized Price Gains, Security * 420...Relized Price Losses, Security * 430...Realized Price Gains, Forex * 440...Realized Price Losses, Forex * 450...Realized Price Gain, Index * 460...Realized Price Loss, Index * 510...Amortization: Write-Up * 520...Amortization: Write-Down * 610...Unrealized Price Gains, Security (OCI) * 620...Unrealized Price Losses, Security (OCI) * 630...Unrealized Price Gains, Forex (OCI) * 640...Unrealized Price Losses, Forex (OCI) * 650...Unrealized Price Gain, Index (OCI) * 660...Unrealized Price Loss, Index (OCI) * * The system assigns the update types to the corresponding revenue category according to your Customizing settings.

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* * Check your Customizing settings under: * Financial Supply Chain Management * Treasury and Risk Management * Transaction Manager * General Settings * Information System * Revenue Classification *************************************************************** *************************************************************** * * initialize fields * clear: ACCINT_PL_DC, ACCINT_PL_LC, ACCINT_PL_PC, AMORT_PL_DC, AMORT_PL_LC, AMORT_PL_PC, COST_PL_DC, COST_PL_LC, COST_PL_PC, DAY, DIV_PL_DC, DIV_PL_LC, DIV_PL_PC, INTEREST_PL_DC, INTEREST_PL_LC, INTEREST_PL_PC, MONTH, PROFDIB_PL_DC, PROFDIB_PL_LC, PROFDIB_PL_PC, QUARTER, REVENUETYPE, R_G_FX_PL_DC, R_G_FX_PL_LC, R_G_IDX_PL_DC, R_G_IDX_PL_LC, R_G_IDX_PL_PC, R_G_SEC_PL_DC, R_G_SEC_PL_LC, R_G_SEC_PL_PC, R_L_FX_PL_DC, R_L_FX_PL_LC, R_L_IDX_PL_DC, R_L_IDX_PL_LC, R_L_IDX_PL_PC, R_L_SEC_PL_DC, R_L_SEC_PL_LC, R_L_SEC_PL_PC, TAX_PL_DC, TAX_PL_LC, TAX_PL_PC, UNR_G_FX_PL_DC, UNR_G_FX_PL_LC, UNR_G_IDX_PL_DC, UNR_G_IDX_PL_LC,

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UNR_G_IDX_PL_PC, UNR_G_OCI_FX_PL_DC, UNR_G_OCI_FX_PL_LC, UNR_G_OCI_IDX_PL_DC, UNR_G_OCI_IDX_PL_LC, UNR_G_OCI_IDX_PL_PC, UNR_G_OCI_SEC_PL_DC, UNR_G_OCI_SEC_PL_LC, UNR_G_OCI_SEC_PL_PC, UNR_G_SEC_PL_DC, UNR_G_SEC_PL_LC, UNR_G_SEC_PL_PC, UNR_L_FX_PL_DC, UNR_L_FX_PL_LC, UNR_L_IDX_PL_DC, UNR_L_IDX_PL_LC, UNR_L_IDX_PL_PC, UNR_L_OCI_FX_PL_DC, UNR_L_OCI_FX_PL_LC, UNR_L_OCI_IDX_PL_DC, UNR_L_OCI_IDX_PL_LC, UNR_L_OCI_IDX_PL_PC, UNR_L_OCI_SEC_PL_DC, UNR_L_OCI_SEC_PL_LC, UNR_L_OCI_SEC_PL_PC, UNR_L_SEC_PL_DC, UNR_L_SEC_PL_LC, UNR_L_SEC_PL_PC, YEAR. * move pl-dbeweg+0(4) to year. move pl-dbeweg+4(2) to month. move pl-dbeweg+6(2) to day. * case month. when '01' or concatenate when '04' or concatenate when '07' or concatenate when '10' or concatenate endcase.

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'02' or '03'. 'I/' year into quarter. '05' or '06'. 'II/' year into quarter. '08' or '09'. 'III/' year into quarter. '11' or '12'. 'IV/' year into quarter.

select pl_category_text from trgc_pl_cate_t into revenuetype where pl_category = pl-pl_category and spras = sy-langu. endselect. **************************************************** * revenue classification based on revenue category * ignore all non-revenue-relevant flows *************************************************************** if pl-pl_pc eq 0. reject.

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reject. else. case pl-pl_category. * Interest when '110'. move pl-pl_pc to interest_pl_pc. move pl-pl_lc to interest_pl_lc. move pl-pl_dc to interest_pl_dc. * Accrued Interest when '120'. move pl-pl_pc to accint_pl_pc. move pl-pl_lc to accint_pl_lc. move pl-pl_dc to accint_pl_dc. * Dividend / Bonus when '130'. move pl-pl_pc to div_pl_pc. move pl-pl_lc to div_pl_lc. move pl-pl_dc to div_pl_dc. * Profit Distribution when '140'. move pl-pl_pc to profdib_pl_pc. move pl-pl_lc to profdib_pl_lc. move pl-pl_dc to profdib_pl_dc. * Charges / Fees when '210'. move pl-pl_pc to cost_pl_pc. move pl-pl_lc to cost_pl_lc. move pl-pl_dc to cost_pl_dc. * Taxes when '220'. move pl-pl_pc to tax_pl_pc. move pl-pl_lc to tax_pl_lc. move pl-pl_dc to tax_pl_dc. * Unrealized Gain Security (P+L) when '310'. move pl-pl_pc to unr_g_sec_pl_pc. move pl-pl_dc to unr_g_sec_pl_dc. move pl-pl_lc to unr_g_sec_pl_lc. * Unrealized Loss Security (P+L) when '320'. move pl-pl_pc to unr_l_sec_pl_pc. move pl-pl_dc to unr_l_sec_pl_dc. move pl-pl_lc to unr_l_sec_pl_lc. * Unrealized Gain FX (P+L) when '330'. move pl-pl_dc to unr_g_fx_pl_dc. move pl-pl_lc to unr_g_fx_pl_lc. * Unrealized Loss FX (P+L) when '340'. move pl-pl_dc to unr_l_fx_pl_dc. move pl-pl_lc to unr_l_fx_pl_lc. * Unrealized Gain Index (P+L) when '350'. move pl-pl_dc to unr_g_idx_pl_pc. move pl-pl_dc to unr_g_idx_pl_dc. move pl-pl_lc to unr_g_idx_pl_lc. * Unrealized Loss Index (P+L) when '360'. move pl-pl_dc to unr_l_idx_pl_pc. move pl-pl_dc to unr_l_idx_pl_dc.

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move pl-pl_lc to unr_l_idx_pl_lc. * Realized Gain Security when '410'. move pl-pl_pc to r_g_sec_pl_pc. move pl-pl_dc to r_g_sec_pl_dc. move pl-pl_lc to r_g_sec_pl_lc. * Realized Loss Security when '420'. move pl-pl_pc to r_l_sec_pl_pc. move pl-pl_dc to r_l_sec_pl_dc. move pl-pl_lc to r_l_sec_pl_lc. * Realized Gain FX when '430'. move pl-pl_dc to r_g_fx_pl_dc. move pl-pl_lc to r_g_fx_pl_lc. * Realized Loss FX when '440'. move pl-pl_dc to r_l_fx_pl_dc. move pl-pl_lc to r_l_fx_pl_lc. * Realized Gain Index when '450'. move pl-pl_dc to r_g_idx_pl_pc. move pl-pl_dc to r_g_idx_pl_dc. move pl-pl_lc to r_g_idx_pl_lc. * Realized Loss Index when '460'. move pl-pl_dc to r_l_idx_pl_pc. move pl-pl_dc to r_l_idx_pl_dc. move pl-pl_lc to r_l_idx_pl_lc. * Amortization (netting of * pos. and neg. amortization) when '510' or '520'. move pl-pl_pc to amort_pl_pc. move pl-pl_lc to amort_pl_lc. move pl-pl_dc to amort_pl_dc. * Unrealized Price Gains, Security (OCI) when '610'. move pl-pl_pc to unr_g_oci_sec_pl_pc. move pl-pl_dc to unr_g_oci_sec_pl_dc. move pl-pl_lc to unr_g_oci_sec_pl_lc. * 620...Unrealized Price Losses, Security (OCI) when '620'. move pl-pl_pc to unr_l_oci_sec_pl_pc. move pl-pl_dc to unr_l_oci_sec_pl_dc. move pl-pl_lc to unr_l_oci_sec_pl_lc. * 630...Unrealized Price Gains, Forex (OCI) when '630'. move pl-pl_dc to unr_g_oci_fx_pl_dc. move pl-pl_lc to unr_g_oci_fx_pl_lc. * 640...Unrealized Price Losses, Forex (OCI) when '640'. move pl-pl_dc to unr_l_oci_fx_pl_dc. move pl-pl_lc to unr_l_oci_fx_pl_lc. * 650...Unrealized Price Gain, Index (OCI) when '650'. move pl-pl_pc to unr_g_oci_idx_pl_pc. move pl-pl_dc to unr_g_oci_idx_pl_dc. move pl-pl_lc to unr_g_oci_idx_pl_lc. * 660...Unrealized Price Loss, Index (OCI) when '660'.

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move pl-pl_pc to unr_l_oci_idx_pl_pc. move pl-pl_dc to unr_l_oci_idx_pl_dc. move pl-pl_lc to unr_l_oci_idx_pl_lc. * no revenue-relevant category found... when others. reject. reject. endcase. endif. endif.

The defined additional fields are filled by the custom coding and can be used (as well as all other fields) for the query definition. This enables a detailed analysis of revenues/expenses. Example: Expenses and revenues are assigned to the corresponding profit and loss key figures, depending on the profit/loss type assigned to each update type. In this example, the realized price gains, achieved at the time of outflow are assigned to the realized gains securities LC / P/L C key figures. All other revenues are displayed in the same way in separate columns.

3.3.1.2 CFM_MATURITY
Where Used You can use the InfoSet CFM_MATURITY to analyze cash flows for a given due date or period. This gives you a planning basis indicating which flows will become due in the course of any evaluation period in the future. You can distinguish between flows that affect positions (interest, interest capitalization) and those which affect profit/loss (nominal interest, dividends, and so on). Evaluations with the following form can be generated with the CFM_ MATURITY InfoSet. Characteristics Flow Maturity

Quarter I/2002

Valuation Area

Product Type

Transaction

Quarter IV/2002

Quarter III/2002

Quarter II/2002

Company Code

Year 2002

Year 2003

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Additional Code for Analyzing Flows Due in a Given Period The InfoSets CFM_REVENUE and CFM_MATURITY are both based on the logical database FTI_TR_PL_CF, but differ in their focus. The InfoSet CFM_REVENUE concentrates on analyzing the individual profit and loss types (defined in Customizing) in as much detail as possible. By contrast, the InfoSet CFM_MATURITY focuses on when the individual flows become mature within the selection period. In this case, the system analyzes the individual flows and assigns them to the relevant year/quarter/month on the basis of the due date. You could use CFM_MATURITY, for example, to analyze when flows will mature over the next 4 quarters and the next five years, starting at the beginning of the specified selection period. Example: The selection period is 06/01/2002 - 12/31/2009. Depending on their due dates, the flows are assigned to the following columns: Quarter I 2002 Quarter II 2002 Quarter III 2002 Quarter IV 2002 Year 2002 Year 2003 Year 2004 Year 2005 Year 2006 Year 2007

An additional field, which is filled with the relevant payment amount in GET custom coding, was defined for each of these required columns: Example for GET custom coding:
case year. when year_0. (current year)

move pl-cf_cc to year0.


case month. when '01' or '02' or '03'. (Jan, Feb, Mar) move pl-cf_cc to quar1. when '04' or '05' or '06'. (Apr, May, Jun) move pl-cf_cc to quar2. when '07' or '08' or '09'. (Jul, Aug, Sep) move pl-cf_cc to quar3. when '10' or '11' or '12'. (Oct, Nov, Dec) move pl-cf_cc to quar4.

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A further additional field is defined for the column heading. The column heading is dynamically determined by means of these additional fields in the query definition. InfoSet Adjustments Additional fields The following additional fields are defined to enable revenues and expenditures to be displayed in separate columns.

Field MONTH QUAR1 QUAR1T QUAR2 QUAR2T QUAR3 QUAR3T QUAR4 QUAR4T

Field Description and Headings Month / Month 1st quarter / 1st quarter 1st quarter heading / 1st quarter heading 2nd quarter / 2nd quarter 2nd quarter heading / 2nd quarter heading 3rd quarter / 3rd quarter 3rd quarter heading / 3rd quarter heading 4th quarter / 4th quarter 4th quarter heading / 4th quarter heading

REVENUETYPE P/L type / P/L type YEAR YEAR0 YEAR0T YEAR1 YEAR1T YEAR2 YEAR2T YEAR3 YEAR3T YEAR4 YEAR4T YEAR5 Year / Year Year 0 / Year 0 Year 0 heading / Year 0 heading Year 1 / Year 1 Year 1 heading / Year 1 heading Year 2 / Year 2 Year 2 heading / Year 2 heading Year 3 / Year 3 Year 3 heading / Year 3 heading Year 4 / Year 4 Year 4 heading / Year 4 heading Year 5 / Year 5

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Field YEAR5T

Field Description and Headings Year 5 heading / Year 5 heading

Fields with T are used to dynamically fill the column headings for the quarter/year entries. Custom Coding These additional fields are filled with custom coding (coding time GET PL)
********************************************************** * YOU CAN EASILY ENHANCE THIS INFOSET BY DEFINING * ADDITIONAL FIELDS ACCORDING TO YOUR REQUIREMENTS * * Step 1. * Create a new field * * Step 2. * Provide coding to fill the field with appropriate data * in the GET-Coding section * * CAUTION !! * ORDER OF GET-CODING > ORDER OF ADDITIONAL FIELDS ********************************************************** * For reporting revenues you can use the * field PL-PL_CATEGORY for separating different * types of revenues. * THE REPORT CONTAINS COLUMNS FOR THE ACTUAL AND THE FOLLOWING * THREE QUARTERS AS WELL AS FOR THE ACTUAL AND THE FOLLOWING * FIVE YEARS. * THE DIFFERENT FLOWS ARE ASSIGNED TO THESE COLUMNS ACCORDING * TO THEIR POS. VAL. DATE. * YOU CAN USE THIS EXAMPLE AS A TEMPLATE TO DEFINIE YOUR OWN * MATURITY SCENARIOS. * *************************************************************** * * intialize fields * clear: MONTH, QUAR1, QUAR1T, QUAR2, QUAR2T, QUAR3, QUAR3T, QUAR4, QUAR4T, YEAR, YEAR0, YEAR0T, YEAR1, YEAR1T, YEAR2, YEAR2T, YEAR3,

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YEAR3T, YEAR4, YEAR4T, YEAR5, YEAR5T. * * * period start (according to screen entry) * move s_period-low+0(4) to year_0. * calculate the next five years year_1 = year_0 + 1. year_2 = year_0 + 2. year_3 = year_0 + 3. year_4 = year_0 + 4. year_5 = year_0 + 5. move pl-dbeweg+0(4) to year. move pl-dbeweg+4(2) to month. * fill columns case year. when year_0. move pl-cf_cc to year0. case month. when '01' or '02' or '03'. move pl-cf_cc to quar1. when '04' or '05' or '06'. move pl-cf_cc to quar2. when '07' or '08' or '09'. move pl-cf_cc to quar3. when '10' or '11' or '12'. move pl-cf_cc to quar4. endcase. when year_1. move pl-cf_cc to year1. when year_2. move pl-cf_cc to year2. when year_3. move pl-cf_cc to year3. when year_4. move pl-cf_cc to year4. when year_5. move pl-cf_cc to year5. endcase. ************************************************* * in order to display the correct quarter / year * we have to set column headers dynamically ************************************************* year0t = year_0. year1t = year_1. year2t = year_2. year3t = year_3. year4t = year_4. year5t = year_5. concatenate 'I/' year_0 into quar1t. concatenate 'II/' year_0 into quar2t. concatenate 'III/' year_0 into quar3t. concatenate 'IV/' year_0 into quar4t.

The defined additional fields are filled by the custom coding and can be used (as well as all other fields) for the query definition. This enables a detailed due-date analysis.

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Example:

3.3.1.3 CFM_REV_FCAST
Where Used You can use the InfoSet CFM_REV_FCAST to generate complex revenue forecasts and assign (potential) revenues to the respective due date or period. This gives you a basis for planning the inflows and outflows that will affect profit and loss in the course of any evaluation period in the future. Evaluations with the following form can be generated with the CFM_REV_FCAST InfoSet. Characteristics Future Revenues

Valuation Area

Product Type

Revenue Type

Quarter IV/2002

Quarter III/2002

Quarter II/2002

Quarter I/2002

Company Code

Year 2002

Year 2003

Additional Code for Analyzing Flows Due in a Given Period The CFM_REV_FCAST and CFM_REVENUE InfoSets are both based on the logical database FTI_TR_PL_CF, but differ in their focus. The InfoSet CFM_REVENUE concentrates on analyzing the individual profit and loss types (defined in Customizing) in as much detail as possible. By contrast, the InfoSet CFM_REV_FCAST focuses on when the individual revenues become due within the selection period. In this case, the system analyzes the individual flows and assigns them to the relevant year/quarter/month on the basis of the due date. You could use CFM_REV_FCAST, for example, to analyze when flows will become due over the next 4 quarters and the next five years, starting with the beginning of the specified selection period.
Example of GET custom coding: case year.

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when year_0. (current year)

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move pl-cf_cc to year0. case month. when '01' or '02' or '03'. (Jan, Feb, Mar) move pl-pl_pc to quar1. when '04' or '05' or '06'. (Apr, May, Jun) move pl- pl_pc to quar2. when '07' or '08' or '09'. (Jul, Aug, Sep) move pl- pl_pc to quar3. when '10' or '11' or '12'. (Oct, Nov, Dec) move pl- pl_pc to quar4. endcase.

In contrast to the CFM_MATURITY InfoSet, the PL-CF_CC key figure (payment amount) is not assigned to the individual additional fields. Instead, the PL-PL_PC key figure (net income amount) is used to ensure that the evaluation is restricted exclusively to profit/loss relevant flows. A further additional field is defined for the column heading. The column heading is dynamically determined by means of these additional fields in the query definition. InfoSet Adjustments Additional fields The following additional fields are defined to enable revenues and expenditures to be displayed in separate columns.

Field MONTH QUAR1 QUAR1T QUAR2 QUAR2T QUAR3 QUAR3T QUAR4 QUAR4T

Field Description and Headings Month / Month 1st quarter / 1st quarter 1st quarter heading / 1st quarter heading 2nd quarter / 2nd quarter 2nd quarter heading / 2nd quarter heading 3rd quarter / 3rd quarter 3rd quarter heading / 3rd quarter heading 4th quarter / 4th quarter 4th quarter heading / 4th quarter heading

REVENUETYPE P/L type / P/L type YEAR Year / Year

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Field YEAR0 YEAR0T YEAR1 YEAR1T YEAR2 YEAR2T YEAR3 YEAR3T YEAR4 YEAR4T YEAR5 YEAR5T

Field Description and Headings Year 0 / Year 0 Year 0 heading / Year 0 heading Year 1 / Year 1 Year 1 heading / Year 1 heading Year 2 / Year 2 Year 2 heading / Year 2 heading Year 3 / Year 3 Year 3 heading / Year 3 heading Year 4 / Year 4 Year 4 heading / Year 4 heading Year 5 / Year 5 Year 5 heading / Year 5 heading

Fields with T are used to dynamically fill the column headings for the quarter/year entries. Custom Coding These additional fields are filled with custom coding (coding time GET PL)
********************************************************** * YOU CAN EASILY ENHANCE THIS INFOSET BY DEFINING * ADDITIONAL FIELDS ACCORDING TO YOUR REQUIREMENTS * * Step 1. * Create a new field * * Step 2. * Provide coding to fill the field with appropriate data * in the GET-Coding section * * CAUTION !! * ORDER OF GET-CODING > ORDER OF ADDITIONAL FIELDS ********************************************************** * *************************************************************** * HERE YOU CAN FIND AN EXAMPLE FOR A REVENUE FORECAST REPORT. * THE REPORT CONTAINS COLUMNS FOR THE ACTUAL AND THE FOLLOWING * THREE QUARTERS AS WELL AS FOR THE ACTUAL AND THE FOLLOWING * FIVE YEARS. * THE DIFFERENT FLOWS ARE ASSIGNED TO THESE COLUMNS ACCORDING * TO THEIR POS. VAL. DATE. * YOU CAN USE THIS EXAMPLE AS A TEMPLATE TO DEFINIE YOUR OWN * (INTEREST) CASH FORECAST SCENARIOS. *************************************************************** * * intialize fields

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* clear: MONTH, QUAR1, QUAR1T, QUAR2, QUAR2T, QUAR3, QUAR3T, QUAR4, QUAR4T, REVENUETYPE, YEAR, YEAR0, YEAR0T, YEAR1, YEAR1T, YEAR2, YEAR2T, YEAR3, YEAR3T, YEAR4, YEAR4T, YEAR5, YEAR5T.

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* * * * period start (according to screen entry) move s_period-low+0(4) to year_0. * calculate the next five years year_1 = year_0 + 1. year_2 = year_0 + 2. year_3 = year_0 + 3. year_4 = year_0 + 4. year_5 = year_0 + 5. move pl-dbeweg+0(4) to year. move pl-dbeweg+4(2) to month. * fill columns case year. when year_0. move pl-pl_pc to year0. case month. when '01' or '02' or '03'. move pl-pl_pc to quar1. when '04' or '05' or '06'. move pl-pl_pc to quar2. when '07' or '08' or '09'. move pl-pl_pc to quar3. when '10' or '11' or '12'. move pl-pl_pc to quar4. endcase. when year_1. move pl-pl_pc to year1. when year_2. move pl-pl_pc to year2. when year_3. move pl-pl_pc to year3. when year_4. move pl-pl_pc to year4.

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when year_5. move pl-pl_pc to year5. endcase. ************************************************* * in order to display the correct quarter / year * we have to set column headers dynamically ************************************************* year0t = year_0. year1t = year_1. year2t = year_2. year3t = year_3. year4t = year_4. year5t = year_5. concatenate 'I/' year_0 into quar1t. concatenate 'II/' year_0 into quar2t. concatenate 'III/' year_0 into quar3t. concatenate 'IV/' year_0 into quar4t. * read revenue category select pl_category_text from trgc_pl_cate_t into revenuetype where pl_category = pl-pl_category and spras = sy-langu. endselect.

The defined additional fields are filled by custom coding and can be used (as well as all other fields) for the query definition. This enables a detailed expense/revenue forecast. Example:

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3.3.2 Information about Data Selection


If Queries are defined on the basis of InfoSets, which in turn are based on logical databases, the corresponding logical database data procurement program automatically provides a selection screen. For information on the individual selection parameters, refer to section 3.1.2: Information about Data Selection.

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3.3.3 Field Selection for Logical Database FTI_TR_PL_CF


A comprehensive range of characteristics and key figures is available for revenue/cash flow evaluations using the CFM_REVENUE / CFM_MATURITY / CFM_REV_FCAST InfoSets. You can use these to define Queries depending on your requirements. The following explanations are to help you to interpret individual characteristics and key figures correctly and thus decide whether the characteristic or key figure should be included in your Query.

Tech. Field Name MANDT BUKRS LAND1 TR_ACC_CODE VALUATION_AREA

Name Client Company code Country key for the company code Accounting code Valuation area Valuation class Product type Portfolio

Description Client Company code This key determines the country and is defined in the company code table T001 for the company code. This attribute should not be confused with the Business Partner Country (CNTRY_COMP field) characteristic. The accounting code is an organizational unit in position management. Each accounting code corresponds to a single company code (1:1 relationship). For reporting purposes therefore, accounting code and company code can be used as synonyms. More than one valuation area can be managed in the financial subledger to enable you to valuate financial transactions on the basis of different accounting regulations. The valuation class is used to classify financial investments in a specific valuation area by asset type. Examples of valuation classes are current assets and fixed assets for a German HGB valuation area, or trading, available for sale (AfS), and held to maturity (HTM) for an IAS valuation area. The product type is used to differentiate/structure investments. The portfolio is generally used to group or structure financial investments, for example, the EUROPE portfolio comprises securities account DE (Germany), securities account FR (France) and securities account CH (Switzerland). You can also differentiate positions in position management on portfolio level, i.e. portfolio is used here as a term for differentiating. However, this also means that an evaluation on portfolio level is only possible if position differentiation is carried out for each portfolio. Unique means of identifying a security. Unique loan contract number

VALUATION_CLASS GSART PORTFOLIO

SECURITY_ID LOANS_CONTRACT

Security ID number Contract number

SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management
Tech. Field Name DEAL_NUMBER Name Financial transaction creating the position Description In the areas Securities Listed options and futures Loans

a position is always made up of a number of financial transactions. (Exception: Single position management (lot accounting). In this case, each transaction constitutes a position). An assignment of transaction to position is therefore not relevant. The Financial transaction creating the position field is therefore only filled for financial transactions that create a position in position management when concluded. This is the case for the areas

Money market Foreign exchange Deterministic and optional OTC instruments

In this case, the transaction number is used as the differentiating characteristic for position management. ACCOUNT_GROUP Securities account group You can define how positions should be created within position management by using various differentiation terms. Positions are used as the basis for valuation as well as for generating the derived flows. One possible differentiation term is the securities account group. You can define several securities account groups in Customizing for position management. You can then assign securities accounts to these securities account groups in the master data for the securities accounts. The use of securities accounts in position management is comparable to portfolio valuation in the operative valuation area. The Securities Account Group field is only filled in position management if you have defined the securities account group as a differentiation term for the respective valuation area. This field is not relevant for the operative valuation area. SECURITY_ACCOUNT Securities account The Securities Account field is only filled in position management if you have defined the securities account as a differentiation term for the respective valuation area.

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Tech. Field Name Name Description This field is always displayed for the operative valuation area because in this valuation area a position is always characterized by a combination of company code + securities ID number + securities account. POSITION_ACCOUNT FLAG_LONG_SHORT LOT_ID Futures account for listed options and futures Indicator: Long or short position Lot ID The futures account is an organizational entity used by banks to manage futures and listed options. (similar to securities accounts for securities) Indicates whether the position is long or short. In position management, positions can be managed according to various differentiation criteria. One way of classifying positions is to manage single positions (lots). The lot represents the smallest possible unit for position management. A lot is always generated by a business transaction that involves a change in the number of units or in the nominal amount. (Purchase, transfer posting etc.) The date on which the single position was generated. The time at which the single position was generated. The user who triggered the generation of the lot. The business transaction category describes the business transaction that generated the lot, for example Purchase Transfer Corporate action

DLOTGENERATION TLOTGENERATION LOTGENERATION_USER LOTGENERATION_BUSTRAN SCAT

Lot generation date Lot generation time Lot created by (user) Business transaction category that generates lots

SANLF RANTYP_R RREFKONT_R

Product category Contract type Account assignment reference: Loans, operative

The product category is used to differentiate investments. The contract type enables you to structure product categories on the basis of modules. This account assignment reference is used only for loans in the operative valuation area (valuation area 001). The account assignment reference is created in Loans Management from the values of various master data fields. It can be used to control the account determination. In addition, the account assignment reference can be used to differentiate between the position accounts in the general ledger (capital and/or additional receivables). This account assignment reference is used for all positions in new position management (Treasury + CML parallel).-

ACC_ASS_REF

Account assignment reference in position management

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Tech. Field Name Name Description You can use the account assignment reference to determine the FI G/L account in which the position is to be managed. You create the account assignment references independent of the valuation areas. HKONT DBLFZ DELFZ G/L account for G/L accounting Start of term End of term Balance sheet account which is generally determined by the corresponding account assignment reference. Start of term End of term

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Tech. Field Name RLZTG_F RLZMO_F RLZJA_F UEBTG_F UEBMO_F UEBJA_F Overdue period days/months/years in Name Remaining term days/months/years in Description Difference between the end of the term of a financial product and a second date reference, such as: 1. A fixed reference date (entered in the selection screen) 2. Todays date 3. The evaluation key date The "remaining term" and the "overdue period" are both available as reporting characteristics and key figures. You can use the respective key figure (available in days) for calculations. By contrast, the characteristic (available in days, months, and years) is primarily intended for defining forms (( in drill-down reports). You can use it, for example, to group items that have recently become overdue, and those that are long overdue. The remaining term and overdue period have both been defined for positions and flows. Both the remaining term and the overdue period are determined by calculating the difference between two date fields. The following section describes how these date fields are filled. One of these date fields depends on whether the value is a position or a flow: 1. For positions, this date field contains the end of term for the financial product. If this is not defined (in the case of stocks, for example), the remaining term and the overdue period are set to zero. 2. For flows, this date field is filled with the due date. The other date field 1. The following dates are available for positions: a) An explicit reference date, which has to be specified (for example, 12/31/2001) b) Today, i.e. the current date c) The characteristic Key Date, which can differ for each position (whereby this is often clear in the context of the report) 2. The following dates are available for flows: a) An explicit reference date, which has to be specified (for example, 12/31/2001), as above b) Today, i.e. the current date, as above c) The Day Before "From Date", which can differ for each flow (whereby this is often clear in the context of the report) d) The "To Date", which can differ for each flow (whereby this is often clear in the context of the report) The remaining term and the overdue period are contrary values in the sense that one value has to be zero if the other differs from Guidelines for Creating Reports in SAP Treasury and Risk Management zero. However, both values can be zero at the same time. Both values have been defined as the difference between the two date SAP NETWEAVER 2004 + SAP FSCM 3.0 Page 110 / 159 fields above. Example: You want to determine the remaining term or overdue period for planned flows. For the second date field, you specify a fixed reference date "12/31/1998".

SAP Treasury and Risk Management Guidelines for Creating Reports in SAP Treasury and Risk Management
Tech. Field Name Name Business partner with whom you have a commitment Description The field contains the number of the partner with whom you have a commitment. This commitment usually entails an associated default risk. The type of partner depends on the nature of the commitment:

PARTNR

TYPE
Partner category

For securities and listed options and futures, this field contains the issuer. For money market, foreign exchange and OTC derivatives, this field contains the counterparty. For loans, this field contains the main borrower.

This indicator shows whether your business partner is a natural person, an organization or a group of natural persons or organizations. Additional information, such as the age, sex or income of natural persons, or founding year, legal form and so on of an organization, are based on this indicator. An industry system groups and categorizes several industries together. You can create different industry systems each with their own catalog of industries. An industry can also be assigned to more than one industry system. Example: The business partner SAP is assigned to different industries in different industry systems: Industry system EuroStoxx DAX S&P500 Industry HighTech & IT Technology Software

ISTYPE

Industry system

IND_SECTOR

Industry

Companies are split into different industries based on their core business. An industry could be trade, banking, services, heavy industry, health services, civil services, media and so forth. Industries can be assigned to different industry systems.

CNTRY_COMP LEGAL_ENTY

Country where the business partner is legally registered Legal form of the organization

This shows the country in which the registered office of the company or the organization is located. This attribute is often used to determine the relevant account assignment reference. Legal form (for example, limited partnership with limited liability, stock corporation)

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Tech. Field Name LEGAL_ORG Name Legal entity of the organization Description Legal entities are the legally responsible organizations for companies with dependent legal status In the case of business partners categorized as organization you can enter the legal entity of the company for evaluation purposes. NATION Nationality The nationality of a natural person. The characteristics country key in limit management and country of origin in account assignment reference refer to this field for natural persons. STATE GROUP_ID Citizenship Business partner grouping Indicates legal membership of a state. Each business partner is assigned to a business partner group when it is created. The grouping specifies whether the business partner number is defined internally by the system or manually by the user.

GROUP_D STAFF_GRP COMP_RE SOLVNCY RATING SOL_INS SOL_INF SOL_I_D SFHAART FINPROJ

Target Group Employee group Company relationship Credit standing Rating indictator Institute providing credit standing information Status of information credit standing

Assigns the business partner to a custom target group. This field defines the business partners position within his or her company (for example, manager or managing director). This field describes in relation to the company code possible relationships to other companies (for the issuer role). This characteristic is often used for account assignment determination. The credit standing describes your business partners solvency. The rating is an abbreviated credit standing classification published by one of the established rating agencies (for example, Aaa, Aa3, according to Moodys rating scale). Indicates the name of the rating agency (S&P, Moodys, etc.) Shows the status of the credit rating information. The date on which the information regarding the business partners credit standing was issued. The transaction type defines which transactions were carried out in combination with a certain product type, for example, investing and borrowing fixed-term deposits / deposits at notice or sale and purchase of stocks. Finance project is used to define a common term by which you can identify related transactions.

Date of credit standing information Transaction type Finance project

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Tech. Field Name RMAID Name Master agreement Description A master agreement is used to specify agreements and conditions by which individual transactions in the master agreement must abide. The master agreement can currently be used for fixed-term deposits and deposits at notice, commercial papers and cash flow transactions. RGARANT Guarantor of a financial transaction The guarantor of a financial transaction assumes the risk associated with the transaction. If a guarantor that differs from the counterparty has been specified for the transaction, the limit utilization resulting from the transaction relates to the guarantor instead of the counterparty. User-defined text field: This field can be used, for example, to list, in the SAP system, the number which your business partner uses to manage a transaction. ZUOND Assignment User-defined text field: A user-defined assignment for grouping transactions. REFER Internal Reference User-defined text field: A field that can be assigned by the user to create internal references, for example, between transactions and other objects within the SAP system. MERKM Characteristics User-defined text field: A field that can be assigned by the user for identifying transactions. RDEALER RDPBANK Trader Depository bank Name or short name of the in-house trader responsible for the transaction. Name or number of the depository bank from partner management. The depository bank characteristic is only displayed for position management if a differentiation term has been defined at securities account level in Customizing.

NORDEXT

External Reference

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Tech. Field Name SECACC_TYPE Name Securities Account Type Description You can use the securities account type to differentiate between various securities account categories. You can create securities account types for the following securities account categories: Asset Securities Account Issuance Securities Account Lending Securities Account

SECACC_CAT SBILK SNOTI ALWPKL Securities Account Category Balance sheet indicator Quotation indicator General security classification

See also: Securities account type This indicator specifies the balance sheet position to which this position is assigned in accordance with reporting requirements for insurance companies stipulated by the Federal Supervisory Office for Insurance Associations. The indicator specifies whether the security is unit-quoted or percentage-quoted. Indicator for differentiating the security type. The user can customize the values and classify all securities for evaluation purposes independently of system settings, such as product type or product category.

SWERTTYP SOL_INS_RANL

Indicator: Security type Institute giving information for numbers Rating securities indicator Bond classification credit rating securities ID ID number

Indicator for the security type according to the form of transfer (for example, bearer security). Indicates the name of the rating agency (S&P, Moodys, etc.) The rating is an abbreviated credit standing classification published by one of the established rating agencies (for example, Aaa, Aa3, according to Moodys rating scale). Indicator for differentiating bonds. The user can define values and classify bonds in Customizing for evaluation purposes independently of system settings, such as product type or product category.

RATING_RANL SWPKLASS

SAKAR SFOART

Stock Category Indicator: Fund category

Indicates whether the stock is preferred stock or common stock. Indicates whether the fund is an open or closed fund

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Tech. Field Name SFOTY SARTBET SBOERNOT VVRANLWX SHWHR SVWHR SBWHR ANZGW Name Indicator: Fund type Shareholding Type Indicator: Listed Secondary index class data Local currency Valuation currency Position currency (currency of position amount) Display currency Description The fond type indicates the user-defined differentiation of investment funds according to the type of investment. (Stock funds / bond funds / fund of funds etc.) The shareholding type indicates the type of shareholding, such as subsidiaries, holdings etc. The indicator shows whether the price of a security is determined on an exchange or over-the-counter. Secondary index that can be maintained in addition to the securities key. Currency of the company code. You define a local currency for each valuation area. This is the currency in which the positions are managed. The valuation areaspecific "local currency" is referred to as the valuation currency. The position currency is the currency used to manage the position. In the securities module, position currency and issue currency are identical. The display currency is used to convert key figures to a custom (second) currency which can be entered on the selection screen. If for example you want to produce a consolidated report for several company codes within a group (with different local currencies), all position currencies can be converted to a common display currency. SWHRKOND WVERB1 WFORD1 Interest currency Nominal currency borrowing/sale/outgoing side/short Nominal currency investment/purchase/incoming side/long Flow date Position value date Order day Payment date Date of transaction closing Currency in which interest is received or paid. Currency of the outgoing side for exchange transactions (swaps, foreign exchange transactions) Currency of the incoming side for exchange transactions (swaps, foreign exchange transactions)

DBEWEG DBESTAND DORDER DDISPO DSCHLUSS

The flow date is derived from the key date reference on which it is based. Depending on the key date reference, the flow date can, for example, contain the posting date or the position value date. Position value date of the flow Order date Contains the anticipated date on which a payment is planned. Closing date of transactions that were managed with Transaction Manager.

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Tech. Field Name DFAELL JAHR MONAT WOCHE MONAT_JAHR WOCHE_JAHR SE_DEAL_NUMBER Name Due date Calendar year Calendar month Calendar week Calendar month/year Calendar week/year Security/futures transaction Description The due date which is relevant for due flows (redemption, interest payments etc.) from conditions. The field contains the calendar year when the flow will be due. This information is useful for determining maturity schedules and forecasts. The field contains the calendar month in which the flow is due to mature. This information is useful for determining maturity schedules and forecasts. The field contains the calendar week in which the flow is due to mature. This information is useful for determining maturity schedules and forecasts. This field is made up of the fields mentioned above. Example: If a flow is due to mature on 01.12.05, it has the value 12/2005 This field is made up of the fields mentioned above. Example: If a flow is due to mature on 01.12.05, it has the value 49/2005 Key for financial transactions involving listed instruments that can create or change a position. These instruments include:


RKONTRA RHANDPL JFDBUC ZLSCH BANKK_HB BANKN_HB BANKK_BP BANKN_BP SZART Reference to counterparty Exchange Relevance to CM Payment method Bank key of house bank Bank account number of house bank Bank key of business partner bank Bank account number of business partner Payment activity

Securities Futures/listed derivatives

This field contains the business partner in the role of the counterparty. Exchange, where a security was bought. This indicator determines whether or not the flow record should be passed on to cash management. The payment method determines the procedure that should be used for payment, for example, check, bank transfer or bill of exchange. This field displays the bank key for storing country-specific bank data of your house bank. Account number of your house bank. This field displays the bank key for storing country-specific bank data regarding your business partner. Account number of the counterpartys business account. This characteristic indicates whether or not the flow is a payment transaction.

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Tech. Field Name SPAYRQ PRKEY BELNR Name Generate payment request Key number of payment request Document number of an accounting document Reference key Number of G/L account, debit Number of G/L account, credit Posting date in the document Fiscal year Fiscal month Period/year Short key for your house bank Short key for house bank account Description This characteristic indicates whether or not a payment request that can be processed by the FI payment program was generated for the flow The key number is a unique means of identifying a payment request. The key number of the payment request is assigned internally. This field contains the document number of the FI posting document for posted flows.

AWKEY GL_ACCOUNT_D GL_ACCOUNT_C DBUDAT DGJAHR DMONAT PERIO RAHABKI RAHKTID

Whenever an accounting document is posted in FI via the interface, the sending application includes a unique reference. This reference comprises a unique object key and object type. This field can therefore be used to determine the origin of the document. This field contains the account number of the subledger document to be posted as a debit posting This field contains the account number of the subledger document to be posted as a credit posting. This field contains the date on which the flow was posted to FI. Fiscal year in which the flow was posted to FI. Fiscal month in which the flow was posted to FI. This field is made up of the FI posting period and the year in which the flow was posted to FI. Account number of your house bank. (Short form) This field displays the bank key for storing country-specific bank data regarding your business partner. (Short form) The posting status of a flow indicates whether the flow is blocked for posting, released, already posted, or has been reversed. The following statuses are possible:

BUCHST

Posting status: Loans (CML), operative

2.....Posting carried out 5.....Planned record

This characteristic is displayed for CML in the operative valuation area only.

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Tech. Field Name Name Description The position management status of a flow displays the status from the view of the Treasury subledger. The following statuses are possible:

Posting status for treasury ledger business transaction (flow display)

P F R ToF ToR

Planned Fixed Reversed To Be Fixed To Be Reversed

TRL_BOOKINGSTATE

This characteristic is only displayed for new position management. SBEWART_R FLOW_TYPE BUSTRANSCAT Flow type Update type Business transaction category The flow type is only entered for CML in the operative valuation area. Only the update type is entered in new position management. Update types carry the information for a flow in position management. Each update type is assigned to a business transaction category which determines how it is processed for business and accounting purposes. (Compare with flow types in the operative valuation area) Technical indicator to determine the direction of the cash flow in the case of derived flows.

SOURCETARGET_FLG

Flag: Source or target of a flow

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Tech. Field Name PL_CATEGORY Name P/L type Description You can use the profit/loss type to classify gains and losses according to your own reporting requirements. It enables you to assign certain flows that affect income to groups. By assigning update types that affect income to profit/loss types, you can generate very powerful reports that show all the revenues and expenses for a period in aggregated form. In order to set up evaluations based on the entity profit/loss type, you must make the following settings in Customizing for the Information System:

Define profit/loss types Assign update types to the relevant profit/loss types (where appropriate, for individual valuation areas)

KMNR WZBETR SPLWHR SSIGN CF_CC CF_LC CF_DC PL_PC PL_LC

Corporate action number Payment currency Profit/loss currency Direction of flow Payment currency amount in payment

This number uniquely identifies a corporate action. This field contains the key indicating the currency of the payment amount. It can differ from the position or transaction currency. The profit/loss currency is the currency of the profit or loss. It can differ from the position or transaction currency. This field indicates whether or not the flow is an inflow (+) or outflow (-). In general, the following flow categories are determined from a reporting perspective:

Payment amount in local currency Payment currency amount in display

P/L relevant flows Payment-relevant flows Position-relevant flows

Profit/loss amount in P/L currency P/L amount in local currency

A flow can have a more than one of these attributes (depending on the settings in Customizing). Example: e) Purchase of stock; settlement amount 10.000

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Tech. Field Name PL_DC Name P/L amount in display currency Description This flow is relevant for the position. The flow is relevant for payment. The flow is not relevant for profit/loss. f) Charge (not activated) This flow is not relevant for the position. The flow is relevant for payment. The flow is relevant for profit/loss. g) Accrual/deferral This flow is not relevant for the position. The flow is not relevant for payment. The flow is relevant for profit/loss. h) Valuation This flow is relevant for the position. The flow is not relevant for payment. The flow is relevant for profit/loss. These key figures are only displayed for the operative valuation area.

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Tech. Field Name PABGERF_PC Name Period-based revenue accrued/deferred in P/L currency Description The period-based accrued/deferred revenue is a simulative key figure specifying the revenue that can be accrued/deferred for a certain period. It is generated from flows that are relevant for accrual/deferral. The key figure is defined for the following module: Money market Securities OTC derivatives Loans

This key figure is only displayed for the operative valuation area.

PABGERF_LC PABGERF_DC

Period-based revenue accrued/deferred in local currency Period-based accrued/deferred currency in revenue display

As above As above

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3.4 Evaluation of Transaction Data Using Logical Database FTI_TR_DEALS


3.4.1 Where Used
You can use the logical database FTI_TR_DEALS to evaluate financial transactions in SAP Treasury and Risk Management on a given key date. It focuses on evaluating data that originates from transaction management. In addition to the basic transaction data, a range of additional detailed information can be evaluated. You can evaluate the following additional information: Transaction flows Conditions Formulas used in the conditions Interest rate adjustment data Payment data (payment details) In the case of options, the data for the underlying and its flows Key figures (including sensitive key figures)

Evaluations based on LDB FTI_TR_DEALS are for a given date, where the key date always refers to the position value date of the financial transaction. The system always attempts to determine the effective transaction status for the key date (in particular, if the key date is in the past) and to reconstruct the transaction. The key date-based selection takes into account the transaction activity effective on the key date as well as the start and end of term of a financial transaction. The flows and conditions valid for the relevant activity are selected. This type of selection is particularly relevant for OTC transactions creating the position. Listed transactions or transactions for securities, futures and listed options do not have a term end. Transactions selected according to key date cannot provide a "position" for the valid transactions. For these types of transactions, it is useful to limit by the closing date. Due to the different characteristics of position-creating OTC transactions (with an end of term) and listed transactions (without an end of term) you should avoid combined reporting. The key date also determines certain time-based attributes such as the current valid reference interest rate or the next fixing day. The net present value and sensitive key figures are also calculated on the key date. Unlike the logical database previously described, FTI_TR_DEALS does not have a flat structure. Instead, the individual areas of the database are grouped in a hierarchy. At the same time, the structure maps the foreign key dependencies to the tables on which they are based in the SAP system.

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In contrast to the logical databases previously described, the individual hierarchy nodes (except for the root node MAIN_DATA) are based on tables. The hierarchy node structure and data storage in the corresponding tables are therefore similar. For this reason, the individual hierarchy nodes are not described in detail, but rather a description of the underlying tables is given which are used to make entries at the individual nodes. The root node is described in detail in the same way as the logical databases. Hierarchy Node: UNDERLYING Only filled for transactions with product category 760 (options.) Contains basic data on the underlying in the case of options. Data entered from the following tables: VTIFHA VTIFHAZU UNDERLYING_2ND

Hierarchy Node: UNDERLYING

Only filled if the underlying of the option is also an option. The basic data of the underlying is determined for the underlying option in the same way as for the UNDERLYING node. Data entered from the following tables: VTIFHA VTIFHAZU UNDERLYING_2ND FLOWS_UL_2ND

Hierarchy Node: UNDERLYING

Only filled if the underlying of the option is also an option. The flows are determined in the same way as for the UNDERLYING node.

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Data entered from the following tables: UNDERLYING VTIFHAPO UNDERLYING_2ND CONDITIONS_UL

Hierarchy Node: UNDERLYING

Only filled for transactions with product category 760 (options.) Contains the condition data for the underlying. Data entered from the following tables: UNDERLYING VTIFINKO VTIAFINKO UNDERLYING_2ND FLOWS_UL_2ND FORMULA_UL CONDITIONS_UL

Hierarchy Node: UNDERLYING

Only filled for transactions with product category 760 (options.) Formulas are provided if they are used in the conditions of the underlying. Data entered from the following tables: o VTIAFINKO FLOWS_UL

Hierarchy Node: UNDERLYING

Only filled for transactions with product category 760 (options.) Contains the flows for the underlying. Data entered from the following tables: UNDERLYING VTIFHAPO CONDITIONS_UL FORMULA_UL

Hierarchy Node: PAYINFO UNDERLYING Contains information on payment details Data entered from the following tables: o VTBZV FLOWS_UL

Hierarchy Node: CONDITIONS Contains the condition data for the underlying which is evaluated using the MAIN_DATA node. Data entered from the following tables: o o VTBFINKO VTBAFINKO

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Hierarchy Node: INTEREST_ADJ CONDITIONS Hierarchy Node: CONDITIONS INTEREST_ADJ Hierarchy Node: FLOWS CONDITIONS Note: The logical database FTI_TR_DEALS is used to evaluate subledger transactions from a transaction management point of view. Data is still stored in the old transaction management tables. This means no additional data is required from position management. Contains the flows for the underlying which is evaluated using the MAIN_DATA node. Data entered from the following tables: o VTBFHAPO FORMULA FORMULA Contains information about interest rate adjustments for variable interest transactions. Data entered from the following tables: o TRIAT

Formulas are provided if they are used in the conditions of the transaction. Data entered from the following tables: o VTBAFINKO

3.4.2 Information about Data Selection


If Queries are defined on the basis of InfoSets, which in turn are based on logical databases, the corresponding logical database data procurement program automatically provides a selection screen. Note: Transactions should only be evaluated on the basis of transaction management, meaning that no data is selected from position management. Entities are therefore not used from position management (the valuation area or valuation class, for example) when making selections. The following data selection options are available: o Indicator: Generation of Two-Sided Transactions If this indicator is set, the system displays separate lines for each exchange transaction for the incoming and outgoing sides. This enables you to see the individual legs of an exchange transaction more clearly. Example:

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Swap evaluation, Indicator: Generation of Two-Sided Transactions is not set. Output:


CoC d

Transac tion

Transacti on Side

Nomin al Amoun t

Pos.Crcy

Nom.Am t incoming 20 million

Currency incoming

Nom.Am t outgoing 23 million

Currency outgoing

0001

2300043

EUR

USD

Swap evaluation, Indicator: Generation of Two-Sided Transactions is set. Output:


CoC d

Transac tion

Transact ion Side

Nomin al Amoun t
- 23 Mio 20 Mio

Pos.Crcy

Nom.Amt incoming

Currency incoming

Nom.Amt outgoing

Currency outgoing

0001 0001

2300043 2300043

1 (out) 2 (in)

USD EUR

The following applies: For exchange transactions, if the indicator is not set, only the key figures that refer to a side are filled, such as: o o Nom.Amt: incoming Nom.Amt: outgoing Nominal value

In this case, key figures without reference to a side are not filled: o

If the indicator is set for exchange transactions, a separate record is generated for each side of the transaction (incoming and outgoing). In this case, only the key figures without an explicit reference to a side (the nominal value) are filled. In addition, the side key is filled with reference to the incoming or outgoing side. The amounts of the outgoing side are mapped, with plus/minus sign changes, to the amount with no explicit reference to a side in the key figure.

Indicator: Split Syndicate If this indicator is set, the selected syndicated facilities are divided into their parts so that the relevant individual drawings can be evaluated. Indicator: Only Transactions with References In earlier releases, the complex way in which information was stored made it difficult to evaluate transactions linked by references.

o o

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You can now use this indicator to automatically evaluate transactions linked by references. If a reference contains a securities position, the securities class positions is also evaluated and the position quantity is displayed either in the field units or nominal amounts. The corresponding market risk key figures, such as the net present value or the duration, are also calculated. If the securities account class positions have an end of term in the class data (regarding bonds, for example) this will also be displayed in the corresponding main data field. Selection based on Flows In the section Selections based on Flows you can limit the data to be selected on the basis of the flow type or flow category. Note: As described above, the logical database FTI_TR_DEALS is only used to evaluate transactions in transaction management whose fundamental unit is a flow type (and not an update type, which is used in position management.)

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3.4.3 Field Selection for Logical Database FTI_TR_DEALS (MAIN_DATA)


A comprehensive range of characteristics and key figures is available for evaluating transaction data using the FTI_TR_DEALS logical database. You can use these to define Queries depending on your requirements. The following explanations are to help you to interpret individual characteristics and key figures correctly and thus decide whether the characteristic or key figure should be included in your Query. The following list is limited to the top hierarchy node MAIN_DATA in the logical database.

Tech. Field Name MANDT COMPANYCODE LAND1

Name Client Company code Country key for the company code

Description Client Company Code This key determines the country and is defined in the company code table T001 for the company code. This attribute should not be confused with the Business Partner Country (CNTRY_COMP field) characteristic. In the areas Securities Listed options and futures Loans

DEAL_NUMBER

Financial transaction creating the position

a position is always made up of a number of financial transactions. (Exception: Single position management (lot accounting). In this case, each transaction constitutes a position). An assignment of transaction to position is therefore not relevant. The Financial transaction creating the position field is therefore only filled for financial transactions that create a position in position management when concluded. This is the case for the areas

Money market Foreign exchange

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Tech. Field Name Name Description

Deterministic and optional OTC instruments

In this case, the transaction number is used as the differentiating characteristic for position management. SE_DEAL_NUMBER Security/futures transaction Key for financial transactions involving listed instruments that can create or change a position. These instruments include:


SIDE Transaction Side

Securities Listed derivatives, such as futures

The "transaction side" determines whether the object belongs to the incoming side, outgoing side, or both sides of the transaction. 0 Incoming and outgoing 1 Outgoing 2 Incoming

REFERENCE_NO REFERENCE_TYPE OBJECTNUMBER CREATE_USER CREATE_DATE CREATE_TIME UPDATE_USER UPDATE_DATE UPDATE_TIME CONTRACT_TYPE PRODUCT_CAT Reference number Reference type Object number User name Date entered Entry time Last changed by Change date Time changed Contract type Product category

Key which uniquely identifies a reference within a reference type. The reference type defines the type of relationship (functional, organizational) between different objects. Unique key comprising the company code and transaction number. Entered by Entered on Time entered Last changed by Changed on Time changed The contract type enables you to structure product categories on the basis of modules. The product category is used to differentiate investments.

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Tech. Field Name PRODUCT_TYPE TRANSACTION_CAT Name Product type Transaction category Description The product type is used to differentiate/structure investments. The system predetermines specific transaction categories for each product category. Example: Product category 510 - Fixed-term deposit 100 - Investment 200 - Borrowing The system provides activity categories for each combination of product category and financial transaction category. Example: Product category 510 - fixed term deposit, activity category 100 - Investment Contract Rollover Settlement The transaction type defines which transactions were carried out in combination with a certain product type, for example, investing and borrowing fixed-term deposits / deposits at notice or sale and purchase of stocks. Start of term End of term Difference between the end of the term of a financial product and a second date reference, such as: 1. A fixed reference date (entered in the selection screen) RLZMO_F Remaining term in months 2. Todays date 3. The evaluation key date RLZJA_F Remaining term in years By selecting this indicator, you determine how the calculation period should be interpreted. Start inclusive: start inclusive - end exclusive

ACTIVITY_CAT

Transaction activity category

TRANSACTION_TYPE START_TERM END_TERM RLZTG_F

Transaction type Start of term End of term Remaining term in days

START_INCLUSIVE END_INCLUSIVE

Calculation period: Start inclusive vs. end inclusive End of term inclusive indicator

NOTICE_DATE OTC notice date

End inclusive: start exclusive - end inclusive

Transaction notice date

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Tech. Field Name CONTRACT_DATE CONTRACT_TIME TRADER COUNTERPARTY Name Contract date Contract time Trader Business partner with whom you have a commitment Description Contract date Contract time Name or short name of the in-house trader responsible for the transaction. The field contains the number of the partner with whom you have a commitment. This commitment usually entails an associated default risk. The type of partner depends on the nature of the commitment:


TYPE Partner category

For securities and listed options and futures, this field contains the issuer. For money market, foreign exchange and OTC derivatives, this field contains the counterparty. For loans, this field contains the main borrower.

This indicator shows whether your business partner is a natural person, an organization or a group of natural persons or organizations. Additional information, such as the age, sex or income of natural persons, or founding year, legal form and so on of an organization, are based on this indicator. An industry system groups and categorizes several industries together. You can create different industry systems each with their own catalog of industries. An industry can also be assigned to more than one industry system. Example: The business partner SAP is assigned to different industries in different industry systems: Industry system EuroStoxx DAX S&P500 Industry HighTech & IT Technology Software

ISTYPE

Industry system

IND_SECTOR

Industry

Companies are split into different industries based on their core business. An industry could be trade, banking, services, heavy industry, health services, civil services, media and so forth. Industries can be assigned to different industry systems.

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Tech. Field Name CNTRY_COMP LEGAL_ENTY LEGAL_ORG Name Country where the business partner is legally registered Legal form of the organization Legal entity of the organization Description This shows the country in which the registered office of the company or the organization is located. This attribute is often used to determine the relevant account assignment reference. Legal form (for example, limited partnership with limited liability, stock corporation) Legal entities are the legally responsible organizations for companies with dependent legal status In the case of business partners categorized as organization you can enter the legal entity of the company for evaluation purposes. NATION Nationality The nationality of a natural person. The characteristics country key in limit management and country of origin in account assignment reference refer to this field for natural persons. STATE GROUP_ID GROUP_D STAFF_GRP COMP_RE SOLVNCY RATING SOL_INS SOL_INF SOL_I_D CONTACT_PERSON Citizenship Business partner grouping Target Group Employee group Company relationship Credit standing Rating indictator Institute providing credit standing information Status of information credit standing Indicates legal membership of a state. Each business partner is assigned to a business partner group when it is created. The grouping specifies whether the business partner number is defined internally by the system or manually by the user. Assigns the business partner to a custom target group. This field defines the business partners position within his or her company (for example, manager or managing director). This field describes in relation to the company code possible relationships to other companies (for the issuer role). This characteristic is often used for account assignment determination. The credit standing describes your business partners solvency. The rating is an abbreviated credit standing classification published by one of the established rating agencies (for example, Aaa, Aa3, according to Moodys rating scale). Indicates the name of the rating agency (S&P, Moodys, etc.) Shows the status of the credit rating information. The date on which the information regarding the business partners credit standing was issued. Contact person

Date of credit standing information Contact person

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Tech. Field Name GUARANTOR Name Guarantor of a financial transaction Description The guarantor of a financial transaction assumes the risk associated with the transaction. If a guarantor that differs from the counterparty has been specified for the transaction, the limit utilization resulting from the transaction relates to the guarantor instead of the counterparty. User-defined text field: This field can be used, for example, to list, in the SAP system, the number which your business partner uses to manage a transaction. PORTFOLIO Portfolio A portfolio is an organizational element for grouping together various Treasury transactions for reporting purposes.

EXTERNAL_REFNCE

External Reference

FINANCE_PROJECT MASTER_AGREEMENT

Finance project Master agreement

Finance project is used to define a common term by which you can identify related transactions. A master agreement is used to specify agreements and conditions by which individual transactions in the master agreement must abide. The master agreement can currently be used for fixed-term deposits and deposits at notice, commercial papers and cash flow transactions.

ASSIGNMENT

Assignment

User-defined text field: A user-defined assignment for grouping transactions.

INTERNAL_REFNCE

Internal Reference

User-defined text field: A field that can be assigned by the user to create internal references, for example, between transactions and other objects within the SAP system.

CHARACTERISTICS

Characteristics

User-defined text field: A field that can be assigned by the user for identifying transactions.

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Tech. Field Name VALUATION_CLASS Name General valuation class Description General valuation classes are used to classify transactions by asset type, The general valuation classes are assigned to the special valuation classes for the valuation areas. For each transaction, the system can therefore determine the special valuation classes for the different valuation areas on the basis of the general valuation class. You assign the general valuation class to a position when you create the financial transaction. FACILITY_DEALNO FACILITY_CCODE DEAL_ACTIVE Transaction number of the facility Company code of the facility Active Status of the Financial Transaction or Activity Transaction number of the facility Company code of the facility The active status indicates the status of the corresponding transaction or activity. 0 Active 1 Concluded 2 Replaced 3 Reversed 4 Offer 5 Simulation

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Tech. Field Name RELEASE_STATUS Name Transaction release status Description The release status indicates whether the transaction has been released. If a transaction has been released, the following two statuses may be displayed: Release Not Required or Released from Release Point. If a transaction has not been released, the release status may be Required or Rejected. 0 Release Not Checked 1 Release Not Required 2 Release Required 3 Released 4 Release Rejected

REVERSAL_REASON CONFIRM_STATUS

Reason for reversal Confirmation status

This field contains a key that represents the reason for a reverse posting (posting to a prior period). There are five values for the status of outgoing confirmations: 0 not required 1 required 2 executed 3 sent (status currently not assigned by SAP) 4 error (status currently not assigned by SAP)

The assignment of the status depends primarily on the Customizing settings for correspondence and the standing instructions for correspondence:
An internal correspondence type does not set any status. If there are several media in the standing instructions in the case of an external correspondence type, you can establish which medium should be used for setting the status. If you do not specify this, the SAP system defines the leading medium for setting the status in the following order: SWIFT, FAX, PRINT. CONFIRM_DATE CONFIRM_USER Confirmation date Confirmation executed by (user responsible) Date on which correspondence was generated. The user who created the confirmation.

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Tech. Field Name CNTRCONFIRM Name Counterconfirmation Description There are six values for the status of counterconfirmations: 0 not required 1 required 2 reminder sent (status currently not assigned by SAP) 3 matched 4 error (status currently not assigned by SAP) 5 not to be assigned (status currently not assigned by SAP) To interpret this status field, you have to differentiate between that transaction activity (eg. settlement, rollover, knock-in) and the correspondence activity. Example: For a fixed-term deposit investment ( 'contract' activity), the following correspondences are defined using the relevant Customizing settings:

Correspondence type 001 (external correspondence type) Correspondence type 002 (internal correspondence type) In the standing instructions for the business partner, the PRINT medium is determined for correspondence type 001.

The following entries are made in the status field for the counterconfirmation:


CNTRCONFIRM_DATE CNTRCONFIRM_USER CURRENCY CURRENCY_RCV Counterconfirmation date Counterconfirmation executed by Position currency Currency: Incoming side of the transaction

In business transaction 'contract', '1' (= required) is entered. In the correspondence data table VTBKORES for correspondence type 001, '1' is entered.

Date on which correspondence was generated. The user who created the counterconfirmation. The currency in which the transaction was concluded. Currency of the incoming/outgoing side for exchange transactions (swaps, foreign exchange transactions)

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Tech. Field Name CURRENCY_PAY NOM_AMOUNT NOM_AMOUNT_RCV NOM_AMOUNT_PAY UNITS Name Currency: Outgoing side of the transaction Nominal amount Nominal amount of the incoming side of the transaction Nominal amount of the outgoing side of the transaction Units The Units field is only filled for class positions in a securities account in the logical database FTI_TR_DEALS and in the reports based on it. Class positions in a securities account, in turn, are only evaluated if the Only Transactions in References indicator is set. In this case, the class positions in the securities account that are included in a reference are read and displayed. LEAD_CURRENCY Leading currency The leading currency and following currency determine a currency pair and how an exchange rate can be interpreted. The rates determined by the leading currency and following currency are quoted directly. Example Leading currency EUR, following currency USD: EUR / USD Exchange rate factors 1:1 1 EUR corresponds to the units specified by the exchange rate in USD. The nominal amount of the transaction in nominal currency with plus/minus sign. Nominal amount of the incoming/outgoing side for exchange transactions (swaps, foreign exchange transactions) Description

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Tech. Field Name FOLL_CURRENCY Name Following currency Description The leading currency and following currency determine a currency pair and how an exchange rate can be interpreted. The rates determined by the leading currency and following currency are quoted directly. Example Leading currency EUR, following currency USD: EUR / USD Exchange rate factors 1:1 1 EUR corresponds to the units specified by the exchange rate in USD. RATE SPOTRATE SWAPRATE Foreign exchange transaction rate Spot rate Swap rate For spot transactions the rate is the current exchange rate, whilst for forward transactions the rate field contains the forward exchange rate which includes the spot rate and the swap. The spot rate describes the current rate of a foreign currency. It can be entered manually or automatically as default entries depending on your settings, so it can be compared with the resulting rate, for example. A swap is a markup or markdown on the spot rate, which is determined by the difference in interest between the respective currencies for investments and borrowing with equal terms. An interest swap is the exchange of fixed and variable interest payment obligations for a fixed term to hedge against interest risks. SECURITY_ACCOUNT SECURITY_ID POSITION_ACCOUNT Securities account Security ID number Futures account for listed options and futures Key that identifies the securities account. This key is assigned by the user and typically relates to an actual securities account at a bank. Unique means of identifying a security. The futures account is an organizational entity used by banks to manage futures and listed options. (similar to securities accounts for securities) This characteristic is only available for position management. This field is empty (initial) in the operative valuation area (001). EFF_INT Effective interest rate The effective interest rate is an amount of interest that shows the profitability obtained from an interest-bearing financial transaction, taking into account revenue or expense factors.

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Tech. Field Name EFF_INT_METHOD INT_CAT Name Effective interest method (financial mathematics) Interest category Description This indicator defines which method is used to calculate the effective interest rate. The interest category indicator provides you with information about the form of interest in the transaction. Below is a list of the fixed values available: 1 = Zero amount 2 = Fixed interest amount 3 = Variable interest calculation 4 = Fixed interest calculation 5 = Complex interest calculation (variable and fixed interest) INT_CURRENT INT_REF INT_FORMULA INT_STATUS Nominal interest rate Reference interest rate Interest formula string Interest rate fixing status Nominal interest of a capital investment. The reference interest rate for a variable interest calculation is usually a money market interest rate that is used as the basis for creating the interest rate of this condition type. It is also used as markup or markdown to or from the nominal interest rate. Interest formula in the form of a text. The interest fixing status contains information as to whether the interest rate of the variable interest calculation was already fixed or is still to be fixed. The following fixed values are possible: 1 = Interest has already been fixed 2 = Interest has not yet been fixed 3 = No interest fixing required INT_NEXT_FIX Next interest rate adjustment date Date on which the next interest rate will be adjusted.

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Tech. Field Name INT_AMOUNT INT_CURRENCY INT_CAT_IN Name Interest amount Payment currency Interest category of incoming side Description The interest amount as a fixed amount or as a calculated amount, according to the interest condition. This field contains the key indicating the currency of the payment amount. It can differ from the position or transaction currency. The payment currency is only managed in reporting for a specific period. The indicator "interest category, incoming side" provides you with information about the form of interest for the incoming side of exchange transactions. The following fixed values are available: 1 = Zero 2 = Fixed interest amount 3 = Variable interest calculation 4 = Fixed interest calculation 5 = Complex interest calculation (variable and fixed interest) INT_CURRENT_IN INT_REF_IN INT_FORMULA_IN Nominal interest: Incoming side Reference interest rate: Incoming side Interest formula string: Incoming side Nominal interest of the incoming side The reference interest rate for a variable interest calculation is usually a money market interest rate that is used as the basis for creating the interest rate of this condition type. It is also used as markup or markdown to or from the nominal interest rate. Interest formula in the form of a text.

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Tech. Field Name INT_STATUS_IN Name Interest rate fixing status: Incoming side Description The interest fixing status contains information as to whether the interest rate of the variable interest calculation was already fixed or is still to be fixed. The following fixed values are possible: 1 = Interest has already been fixed 2 = Interest has not yet been fixed 3 = No interest fixing required INT_NEXT_FIX_IN INT_AMOUNT_IN INT_CURRENCY_IN INT_CAT_OUT Next interest rate adjustment date: Incoming side Interest amount: Incoming side Payment currency Interest category: Outgoing side Date on which the next interest rate will be adjusted. The interest amount as a fixed amount or as a calculated amount, according to the interest condition. This field contains the key indicating the currency of the payment amount. It can differ from the position or transaction currency. The payment currency is only managed in reporting for a specific period. The indicator "interest category, outgoing side" provides you with information about the form of interest for the outgoing side of exchange transactions. The following fixed values are available: 1 = Zero 2 = Fixed interest amount 3 = Variable interest calculation 4 = Fixed interest calculation 5 = Complex interest calculation (variable and fixed interest) INT_CURRENT_OUT Nominal interest: Outgoing side Nominal interest of the outgoing side

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Tech. Field Name INT_REF_OUT INT_FORMULA_OUT INT_STATUS_OUT Name Reference interest rate: Outgoing side Interest formula string: Outgoing side Interest rate fixing status: Outgoing side Description The reference interest rate for a variable interest calculation is usually a money market interest rate that is used as the basis for creating the interest rate of this condition type. It is also used as markup or markdown to or from the nominal interest rate. Interest formula in the form of a text. The interest fixing status contains information as to whether the interest rate of the variable interest calculation was already fixed or is still to be fixed. The following fixed values are possible: 1 = Interest has already been fixed 2 = Interest has not yet been fixed 3 = No interest fixing required INT_NEXT_FIX_OUT INT_AMOUNT_OUT INT_CURRENCY_OUT PUT_CALL EXPIRATION_DATE STRIKE_CURRENCY Next interest rate adjustment date: Outgoing side Interest amount: Outgoing side Payment currency Put/call indicator Exercise date Strike currency of the option/future Date on which the next interest rate will be adjusted. The interest amount as a fixed amount or as a calculated amount, according to the interest condition. This field contains the key indicating the currency of the payment amount. It can differ from the position or transaction currency. The payment currency is only managed in reporting for a specific period. Put/call indicator Exercise date of the option For currency options, the strike currency is the following currency of the underlying currency pair. For securities as underlying instruments, the payment currency is used. In the case of an underlying cap/floor, the nominal currency is used. In the case of underlying swaps, the field is left blank. The strike amount is the amount in the following currency for underlying foreign exchange, but the market value for a security option. For underlying caps/floors, the nominal amount is used. In the case of underlying swaps, the field is left blank.

STRIKE_AMOUNT

Option strike amount

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Tech. Field Name SETTLEMENT_TYPE Name Settlement indicator Description This indicator controls whether the underlying transaction is physically exercised or whether a cash settlement is made when the option is exercised. 1 2 * OPTION_CATEGORY DIR_STRIKEAMOUNT BARRIER_CATEGORY LEAD_CURR_UL FOLLOW_CURR_UL BARRIER BARRIER2 CALC_CCY NPV_PC NPV_CC Original option category (upon conclusion) Direction of strike amount Knock-in category or knock-out level Physical exercise Cash settlement Not yet specified

Option category: Standard, Down&Out, Up&In, Digital, ... The direction of the strike amount shows whether the respective amount upon exercise is incoming or outgoing. The transaction type (purchase/sale) determines whether the transaction is a put option or a call option. The level type is used to differentiate between simple barrier options and double barrier options for currency options. These can be knock-out or knock-in options, or double barrier options with a combination from both categories. Leading currency of the underlying transaction Following currency of the underlying transaction In the case of currency options, the barrier rate/price is entered in this field. In the case of currency barrier options, the second barrier is entered in this field. The currency in which you run an evaluation. You can define your evaluation currency. The NPV shows the fair price of an investment currently valid on the market, taking all expected cash flows into account. The NPV can be determined online using the NPV calculator, or by using the market data buffer. As above

Leading currency of the underlying transaction Following currency underlying transaction of the

Barrier as exchange rate for exotic options Barrier 2 as exchange rate for exotic options Evaluation currency Risk management NPV in position currency Risk management evaluation currency NPV in

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Tech. Field Name NPV_LONG_PC Name Risk management NPV incoming side in the currency of the incoming side Risk management NPV outgoing side in the currency of the outgoing side Risk management NPV incoming side in evaluation currency Risk management NPV outgoing side in evaluation currency Clean price in position currency Clean price in evaluation currency Basis point value in position currency Description As above Only applies to exchange transactions on the incoming side. As above Only applies to exchange transactions on the outgoing side. As above Only applies to exchange transactions on the incoming side. As above Only applies to exchange transactions on the outgoing side. The clean price is the market value excluding accrued interest. By contrast, the dirty price is the effective price you pay when you purchase a bond (in other words, the clean price plus the proportionate accrued interest since the last coupon payment). As above The basis point value of a bond indicates the absolute amount by which the value of a bond changes if the interest rate changes by one basis point (=0.01%=0.0001). The net present value of a bond is determined in case it is quoted half a basis point (=0.00005) below or above its current yield. The difference between these two amounts indicates more or less the absolute amount by which the value of the bond would change if the yield were to increase or decrease by one basis point. As above The duration (according to Macaulay) is defined as a weighted average of the times when the payments will occur. The net present values of interest and redemption payments are used as weighting factors. The duration therefore is simply a weighted average of the cash flow times (interest rate and redemption payments) The Fisher-Weil duration specifies the percentage change in the price of the bond if the market interest level changes. The duration measures the impact on the price when triggered by marginal interest rate changes, and demonstrates how sensitive the bond price is to the market interest rate. Convexity is a measure of how a bond changes in price in relation to rising and falling interest rates. An ordinary bond with coupon and full repayment upon maturity will show a greater increase in price when there is a reduction in the yield compared to the loss in price if the yield rises. Convexity is characterized by a change in the duration of the bond in the case of changing yields.

NPV_SHORT_PC

NPV_LONG_CC

NPV_SHORT_CC

CLEAN_PRICE_PC CLEAN_PRICE_CC BPVALUE_PC

BPVALUE_CC MAC_DURATION

Basis point value in evaluation currency Macaulay duration

FW_DURATION

Fisher-Weil duration

CONVEXITY

Convexity with 5 decimal places

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Tech. Field Name DELTA GAMMA Name Delta, derivation of the premium based on the price of the underlying Gamma, 2nd derivation of the premium based on the price of the underlying Theta, 1st derivation premium, time-based of the 1st Description The delta of an option specifies the amount by which the theoretical value of the option changes if the price of the underlying changes by one unit. Call options have a positive delta and put options have a negative delta. The gamma of an option specifies the amount by which a warrant's delta changes if the price of the underlying changes by one unit. For both call and put options: Gamma >= 0. The theta of an option specifies the amount by which the theoretical value of an option changes if the remaining term changes by one day. Call options have positive theta because the net present value of the exercise price drops over time whilst the rate is more likely to increase. This means that the theta of the put option can be positive, negative, or zero. The vega of an option specifies the amount by which the value of an option changes if the volatility of the underlying changes by one percentage point. The currency in which the security was traded.

THETA

VEGA NOM_CURR_TRADED

Vega, 1st derivation based on the volatility Traded nominal currency

NOM_AMT_TRADED NUMBER_TRADED PRICE_TRADED_PRC PRICE_TRADED

Traded nominal amount Traded number of units for unitquoted securities. Traded security price Traded security price (per unit)

Traded nominal amount Traded number of units for unit-quoted securities. Acquisition rate As above

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4 Summarizing Results (Using Characteristics)


4.1 Problem
If the logical database FTI_TR_PERIODS is used to generate period-based position trend lists, the information for a given time ( positions) has to be adequately combined with information for a given period ( flows) to enable position changes to be analyzed over time. The logical database delivers the following information to allow position changes to be displayed effectively.
Position Information

Opening position with key date (start of period - 1 day) Business transactions within the selection period which change the initial opening position. Purchase Sale Transfer Postings Valuations

Flow Information

Position Information

Closing position with key date period end

Within the Query list, each business transaction which changes the initial position is displayed in a separate line. If the evaluation period covers a long period of time, the resulting position trend lists can be very complex and difficult to interpret.

4.2 Possible Solution


A solution might help which (like drilldown reporting) displays each position with position changes in a single line. It may make sense to summarize with as many characteristics as possible to achieve results with maximum summarization and a minimum number of lines. This can be done using the summarize results indicator on the selection screen. Individual flows generated by business transactions are no longer displayed if this indicator is set. Rather, the aggregated and summarized position changes are displayed in one line. Example: Period Evaluation (Not Summarized) Along with the opening and closing positions, all business transactions that affect the position are also displayed.

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Securities Account Delta No. of Units Delta security valuation Delta book value 0Opening position -100 0Closing position 0Opening position 0Closing position Totals line of sec. account 0B 0Opening position Flows from business -2,100.00 transactions within the period 6,000.00 0Closing position 6,000.00Totals line sec. Account C 2,100.00 Company Code

Position Value Date

Book value start of period

Description of update type

CFM1 100000 CFM1 100000 CFM1 100000 CFM1 100000 CFM1 100000 CFM1 100000 CFM1 100000 Account A

EUR EUR EUR EUR EUR EUR EUR

03/31/2002 09/06/2002SE1000 Purchase Brokerage 09/06/2002SE3001 capitalized 09/06/2002SE1000 Purchase 08/03/2002VR201 08/02/2002V201 11/30/2002 Reset security valn Sec. valn

0 1,000.00 0 1,000.00 0 0 0 2,000.00

0 4,000.00 0 0 0 100 -100 0 0 0 0 0 0

0 78,350.00

Totals line of sec. account 0 4,000.00 78,350.00 74,350.00 A 0 5,000.00 0 0 0 5,000.00 5,000.00 0 0 0 0 6,000.00 6,000.00

CFM1 100000 Account B EUR CFM1 100000 Account B CFM1 100000 Account C EUR CFM1 100000 CFM1 100000 CFM1 100000 CFM1 100000 Account C EUR EUR EUR EUR EUR

03/31/2002 11/30/2002

0 0 0

0 5,000.00 0 2,100.00 0 0 0 0 0 0

03/31/2002 08/03/2002VR201 08/02/2002V201 Reset security valn Sec. valn

0 0

0 -2,100.00 100 0 100 0 0 0

08/01/2002SE1000 Purchase 11/30/2002

Book value end of period 0 0 0

Update Type

ID Number

PosCurr.

0 37,000.00 350 Flows from business transactions within the 0 37,000.00 period 0 100

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Period Evaluation (Summarized) Only one line with position changes is displayed per position:

Book value start of period

Book value end of period

Delta security valuation

Securities Account

Delta No. of Units

CFM1 100000 Account A EUR CFM1 100000 Account B EUR CFM1 100000 Account C EUR

2,000.00 0 100

0 0 0

4,000.00 5,000.00 0

78,350.00 5,000.00 6,000.00

74,350.00 0 6,000.00

4.3 How Is Summarization Done?


In general, the data is summarized on the basis of all characteristics that do not appear in the Query definition. These characteristics are excluded from the summarization because they are selected explicitly in the Query definition for display. The system aggregates using all remaining characteristics. Example: The position value date field is used in the Query definition and is therefore excluded from summarization. Assuming the following example:

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Delta book value

Company Code

ID Number

PosCurr.

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Position Value Date

Position Currency

Company Code

Update Type

CFM1 100000 EUR CFM1 100000 EUR

Purc 09/06/2002 SE1000 hase Purc 09/12/2002 SE1000 hase

The Query delivers the following result:


Position Value Date

Position Currency

Update Type

ID Number

Delta No. of Units

CFM1 CFM1

100000 100000

EUR EUR

09/06/2002 SE1000 09/12/2002 SE1000

Purchase Purchase

1,000.00 2,000.00

10,000.00 20,000.00

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Company Code

Update Type

Update Type

ID Number

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If the position value date field is removed from the Query definition, the system can use this field for summarization. The result of the Query is then a single result line:

Position Currency

Delta No. of Units

CFM1

100000

EUR

SE1000

Purchase

3,000.00

30,000.00

Note: This summarization logic applies to all characteristics. It is valid for positions as well as position changes. This means that you can use the summarization logic for position Queries, i.e. Queries based on the logical database FTI_TR_POSITION. .

Example: You want to carry out a cross company code position analysis to analyze your book values in each securities account. Define a Query consisting of the characteristics company code and securities account and the key figure book value. If you have set the summarize results indicator, the display contains exactly one line per securities account, that is, exactly one book value. If the summarize results indicator is not set, you will get a separate line for each ID number with a position in a securities account.

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Update Type

Update Type

ID Number

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Note: The summarization carries out a suitable aggregation of key figures. Be aware that the results might be incorrect in the case of certain key figures (such as the interest rate key figure). In addition, the summation cannot correctly display alternative aggregating functions with SAP Query (such as Average Is Calculated). There are two options available for evaluating key figures with more complex aggregation functions: Add to the SAP Query those characteristics for which the key figure does not aggregate trivially. This prevents summarization from being carried out (incorrectly) using these characteristics. The Display Report Type transaction (TRMS) provides you with an overview of the key figures with complex aggregational behavior. Use the SAP Query instead of drill-down reporting

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5 Optimizing Selections, Field Lists


All the logical databases that have been described form a separate, integrated access layer to specific data within the Treasury area. Each logical database encapsulates access to up to 100 database tables and integrates certain calculation procedures (the NPV calculator, for example.) Based on this, all the logical databases are accessed by a field list which includes all the fields and their nodes that are required and requested by the calling program during runtime. Selections and calculations with long runtimes are prevented if their fields are not required by the calling program. This is essential for the user. SAP Query provides the field list automatically for both the person who created the query and the user. This function can also be deacitvated. All other callers need to make field list entries. This applies in particular to calls made with the function module LDB_PROCESS, or a classic ABAP report that obtains data at the GET time from the underlying logical database.

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6 Tips & Tricks


6.1 External Access to the Logical Databases
The logical databases delivered with the system have been designed to enable you to access them easily with the help of the SAPQuery. The logical databases may be viewed together as a "black box" as they provide both field selections and a corresponding data retrieval program for selecting the required data. Sometimes, however, using SAPQuery to access the logical databases does not provide the flexibility you require. For example, you may want to analyze, aggregate, and process the selected data further before it is displayed in the standard ALV grid output. Typical examples may be: the option of an alternative output to the ALV grid (file download, spool). additional calculations on the data selected from the logical databases, such as calculating the weighted average interest, for example. To implement these options, you can use the function module LDB_PROCESS to access the logical databases externally. The following code shows part of an example program:
************************************************************************ * E X T E R N A L L D B A C C E S S * ************************************************************************ REPORT LDB_EXTERN. ************************************************************************ * Declare categories ************************************************************************ INCLUDE: LDB_EXTERN_TOP. ************************************************************************ * Declare data ************************************************************************ DATA: p_bukrs TYPE fti_ldb_tr_positions-bukrs, p_gsart TYPE fti_ldb_tr_positions-gsart, p_vlare TYPE fti_ldb_tr_positions-valuation_area, * Output strucuture it_data TYPE tab_data, w_data TYPE wa_data, * Structure for LDB module it_field TYPE rsfs_fields, ls_fieldselection LIKE LINE OF it_field[]. ************************************************************************ * Selection screen ************************************************************************ SELECTION-SCREEN: BEGIN OF BLOCK b1 WITH FRAME TITLE text-t01, PARAMETERS: SELECT-OPTIONS: p_jse it_bukrs it_vlare it_gsart p_sticht TYPE fti_ldb_flg_se FOR FOR FOR p_bukrs, p_vlare, p_gsart. DEFAULT 'X'.

PARAMETERS:

TYPE fti_stichtag OBLIGATORY DEFAULT

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sy-datum. SELECTION-SCREEN: END OF BLOCK b1.

************************************************************************ * Default values * Which fields should be read from the LDB? ************************************************************************ INITIALIZATION. MOVE 'POSITIONS' TO ls_fieldselection-tablename. APPEND: 'BUKRS' TO ls_fieldselection-fields[], 'SECURITY_ID' TO ls_fieldselection-fields[], 'NOMINAL_AMT_PC' TO ls_fieldselection-fields[], 'SBWHR' TO ls_fieldselection-fields[], 'PKOND' TO ls_fieldselection-fields[], ls_fieldselection TO it_field[]. ************************************************************************ * Start main program ************************************************************************ START-OF-SELECTION. * Generate CALLBACK table callback-ldbnode = POSITIONS. callback-get = X. callback-get_late = space. callback-cb_prog = LDB_EXTERN. callback-cb_form = CALLBACK_FORM. APPEND callback. * Generate SELTAB * Indicator Select securities IF not ( p_jse IS INITIAL ). MOVE: 'I' TO seltab-sign, 'EQ' TO seltab-option, 'P' TO seltab-kind, 'P_JSE' TO seltab-selname, p_jse TO seltab-low. APPEND seltab. CLEAR seltab. ENDIF. * Characteristic: Company code LOOP AT s_bukrs. MOVE: s_bukrs-sign TO seltab-sign, s_bukrs-option TO seltab-option, 'S' TO seltab-kind, 'S_BUKRS' TO seltab-selname, s_bukrs-low TO seltab-low, s_bukrs-high TO seltab-high. APPEND seltab. CLEAR seltab. ENDLOOP. * Characteristic: Product type LOOP AT s_gsart. MOVE: s_gsart-sign TO seltab-sign, s_gsart-option TO seltab-option, 'S' TO seltab-kind, 'S_GSART' TO seltab-selname, s_gsart-low TO seltab-low, s_gsart-high TO seltab-high.

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APPEND seltab. CLEAR seltab. ENDLOOP. * Characteristic: Valuation area LOOP AT s_vlarea. MOVE: s_vlarea-sign TO seltab-sign, s_vlarea-option TO seltab-option, 'S' TO seltab-kind, 'S_VLAREA' TO seltab-selname, s_vlarea-low TO seltab-low, s_vlarea-high TO seltab-high. APPEND seltab. CLEAR seltab. ENDLOOP.

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* Re-arrange selected fields LOOP AT fields INTO ls_fieldselection. tabname = ls_fieldselection-tablename. i_fields[] = ls_fieldselection-fields[]. SORT i_fields. CLEAR ls_fieldselection. ls_fieldselection-tablename = tabname. LOOP AT i_fields. ls_fields-line = i_fields-fname. APPEND ls_fields TO ls_fieldselection-fields. ENDLOOP. APPEND ls_fieldselection TO sort_fields. ENDLOOP.

************************************************************************ * Generate LDB module that selects data ************************************************************************ CALL FUNCTION 'LDB_PROCESS' EXPORTING ldbname field_selection TABLES callback selections EXCEPTIONS ldb_not_reentrant ldb_incorrect ldb_already_running ldb_error ldb_selections_error ldb_selections_not_accepted variant_not_existent variant_obsolete variant_error free_selections_error callback_no_event callback_node_duplicate callback_no_program callback_no_cbform dyn_node_no_type dyn_node_invalid_type OTHERS IF sy-subrc <> 0. error_number = sy-subrc. RAISE ldb_errors. ENDIF.

= 'FTI_TR_POSITIONS' = sort_fields = callback = seltab = = = = = = = = = = = = = = = = = 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17.

Guidelines for Creating Reports in SAP Treasury and Risk Management SAP NETWEAVER 2004 + SAP FSCM 3.0

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************************************************************************ * Follow-up actions on internal table that contains data after selection ************************************************************************ * Follow-up actions on ITAB , e.g. yield calculation LOOP AT it_data[] INTO w_data. h_1 = h_1 + w_data-nominal_amt_pc * w_data-pkond / 100. h_2 = h_2 + w_data-nominal_amt_pc. ENDLOOP. h_3 = h_1 / h_2 * 100. WRITE: 'Durchschnittsrendite: ', h_3.

************************************************************************ * Form callback_form ************************************************************************ * Work area supplied by LDB. * All required values saved in an internal table. ************************************************************************ FORM callback_form USING name TYPE ldbn-ldbnode "#EC * workarea TYPE fti_ldb_tr_positions mode TYPE c selected TYPE c. MOVE-CORRESPONDING workarea TO w_data. * Internal table it_data[] contains selected data APPEND w_data TO it_data[]. ENDFORM. "callback_form

6.2 Alternative Front End with Crystal Reports


Crystal EnterpriseSAPEdition gives you as an SAP user the option to use Crystal Reports as an alternative user interface for creating reports as part of CFM Transaction Manager. Crystal Reports provides you with an InfoSet/ABAP Query Driver which lets you use existing ABAP Queries or InfoSets as a data source for a Crystal Report. The decisive advantage of this driver is that a content expert at SAP creates the ABAP Queries and InfoSets and makes the data record available to users. The user can then create several reports with the same query or InfoSet. An additional advantage is that InfoSets can also be created based on the logical databases at SAP. The InfoSet adopts the entire company logic and security measures contained in the logical database. However, using this driver also has a disadvantage: The reports can only contain the amount of data that the ABAP Query or InfoSet is capable of calling. By creating Crystal Reports on the basis of ABAP Queries and InfoSets, you can organize, format and share your SAP data with other users. Crystal Enterprise-SAP Edition comprises two main components: Crystal Reports is a tool for creating reports from your SAP Data and Crystal Enterprise provides a framework for managing, planning and distributing your reports on the internet.

Guidelines for Creating Reports in SAP Treasury and Risk Management SAP NETWEAVER 2004 + SAP FSCM 3.0

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Example: Crystal Report on the basis of the FTI_TR_PL_CF logical database

For further information about the requirements for using Crystal Reports, see the following website: http://www.crystaldecisions.com/partners/strategic/sap/

6.3 Mass Copying Queries


In query maintenance (transaction SQ00) you can copy queries and InfoSets. However, if you want to copy several queries/InfoSets simultaneously, you can also use the RSAQCOPY program with its special copying functions which exceed the scope of normal copying functions used within the separate SAP Query subareas. The following options are available: Copy User Group with InfoSets and Queries The Copy User Group option is intended for copying a user group to a new user group that does not yet exist. It copies not only the queries to the new user group but also generates a copy of all InfoSets used in the user group. The names of copied InfoSets start with the predefined prefix. This means, for example, that the copy of an InfoSet with the name Test" will be Copy_Test. The prefix can be changed. If the name of an InfoSet begins with a namespace, the namespace prefix is not included in the name of the copy (for example, /SAPQUERY/). However, you can enter a valid namespace in the Prefix field. If an InfoSet already exists with the name of the copy, it is not overwritten. Any attached queries are also not copied. Once the copy has been carried out successfully, the queries of the new user group must be assigned to the copied InfoSets.

Guidelines for Creating Reports in SAP Treasury and Risk Management SAP NETWEAVER 2004 + SAP FSCM 3.0

SAP Treasury and Risk Management Guidelines for Creating Reports Management

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Copy InfoSet with Queries You can use this function to copy an InfoSet and copy all queries created with this InfoSet at the same time. The queries are copied to the relevant user groups, and the copies are given the specified prefix (for example, query 01 is copied to query Copy_01). The prefix can be changed. If there is already a query with the specified name, the query is not overwritten. The source query is thus not copied. The user groups to which the queries are copied can be restricted. If you do not make an entry in the Queries from User Groups field, the relevant queries are copied to all user groups. Copy Query with Changed InfoSet You can change the assigned InfoSet while copying a query. You can only copy a query if the InfoSet contains all fields used in the query and these fields are assigned to the same node. You cannot assign an InfoSet based on a logical database if the query was previously assigned to an InfoSet that is not based on a logical database. In addition, you cannot link a query that was defined using a logical database to an InfoSet that was not created using a logical database. The copied query can be located in the same or a different user group. If the user group does not yet exist, it is created during the copying process.

Guidelines for Creating Reports in SAP Treasury and Risk Management SAP NETWEAVER 2004 + SAP FSCM 3.0