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1 Exposure Management 2.0: Commodity Exposures with Fixed Prices

Description The Exposure Management 2.0 provides the new commodity exposure approach categories 2 Fixed Prices, 3 Floating Prices, and 4 Fixed and Floating Prices. Raw exposure and exposure positions of these new categories are handled different in Exposure Management 2.0 then the raw exposure and exposure positions of the commodity exposure approach category 0 Without Prices. In this test case the process for commodity exposures with fix prices is described. Preparation Customizing In the Customizing of the Exposure Management 2.0 under Define Exposure Activity Types create two new exposure activity types, which both have commodity exposure approach category Fixed Prices. One of them should have the setting automatic release and one manual release. Under Define Exposure Positions create an exposure position type with the aggregation indicator and one without. Under Define Exposure Fields Derivation Strategy define rules to derive the exposure position type for the sub raw exposures. Note: You could use one of the free attributes to derive the exposure position type. Define the name and the value for the field in the Customizing under Exposure Management 2.0 -> Settings for Free Attributes -> Define Headings, Values, and Texts for Short Attributes and then create a rule in this customizing to derive the exposure position type depending on the value of this field. Activate automatic integration of exposure positions in the Risk Analyzer

Master Data Create Commodity master data (transaction FCZZ)

Market Data Execution 1. Create several raw exposure (transaction FTREX1) with the created exposure activity types. After entering the header data for the raw exposures like the transaction type, the accounting code or some free attributes, you enter the line item data. For commodity exposures with fix prices you also have to enter the exposure amount and currency in the line item. Save your entries. When you saved your entries, then the system creates sub raw exposures from the line items. For each line item the system creates sub raw exposures for the FX risk (when the exposure currency is not the target currency) and also for the Commodity price risk. Enter Commodity prices Enter exchange rates

2.

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When you have defined automatic release for the raw exposure, the system automatically initiates the release. 3. Check the line items of the raw exposures with manual release. Check that sub raw exposures for FX risk has been created. Then initiate the release. With the release of the raw exposure the system creates exposure positions from the sub raw exposures. The exposure position data are the sub raw exposure data plus the exposure position type and all other derived fields (defined in Customizing). After the release of the raw exposure in the first step the exposure position type and all other additional field values are derived. In the second step the exposure positions are created according to the differentiation criteria chosen for the different exposure position types. Call function Exposure Positions Overview (transaction FTREX12) and check the exposure positions, call the Price Info and check the values. Change the raw exposures (for example the quantity and the amount or the transaction category) and save the changes. If necessary initiate the release. Check if the exposure position have been updated accordingly. When you have changed the transaction category (= differentiation criteria for exposure positions), check whether the 'old' expsoure position has been reduced to zero and the a new exposure position has been created.

4.

5. 6. 7.

Check Check the different versions of the raw exposures (transaction FTREX1). Check that exposure positions without the aggregation flag on exposure position type level are not aggregated and that the exposure positions with allowed aggregation are aggregated.

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2 Exposure Management 2.0: Commodity Exposures with Floating Prices

Description The Exposure Management 2.0 provides the new commodity exposure approach categories 2 Fixed Prices, 3 Floating Prices, and 4 Fixed and Floating Prices. Raw exposures and exposure positions of these new categories are handled different in Exposure Management 2.0 then the raw exposure and exposure positions of the commodity exposure approach category 0 Without Prices. In this test case the process for Commodity-Exposures with floating prices is described. Preparation Customizing Create two new exposure activity types in the Customizing of the Exposure Management 2.0 under Define Exposure Activity Types, which both have commodity exposure approach category Floating Prices. One of them should have the setting automatic release and one manual release. Under Define Exposure Positions create an exposure position type with the aggregation indicator and one without. Under Define Exposure Fields Derivation Strategy define rules to derive the exposure position type for the sub raw exposures. Note: You could use one of the free attributes to derive the exposure position type. Define the name and the value for the field in the Customizing under Exposure Management 2.0 -> Settings for Free Attributes -> Define Headings, Values, and Texts for Short Attributes and then create a rule in this customizing to derive the exposure position type depending on the value of this field. Activate automatic integration of exposure positions in the Risk Analyzer

Master Data Create Commodity master data (transaction FCZZ) Create Commodity Curves (transaction TANCCMASTER)

Market Data Execution 1. Create several raw exposure (transaction FTREX1) with the created exposure activity types. After entering the header data for the raw exposures like the transaction type, the accounting code or some free attributes, you enter the line item data. For commodity exposures with floating prices you enter the price condition in the following way: a) Mark the line item and call Floating Prices. Enter Commodity prices Enter exchange rates

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b) c) d) 2.

Enter the price details pricing date, commodity, Quotation Source, Quotation Type and Price Weighting. Choose Enter. Check that the Fixed/Floating indicator was automatically set to Floating.

Save your entries. The system creates sub raw exposures from the line items. The splitting logic works as follows: For each line item the system creates sub raw exposures for the FX risk (when the exposure currency is not the target currency) and also for the Commodity price risk. FX Risk For floating priced line items a preliminary price is needed to create the sub raw exposure for the FX risk. In the Customizing of the exposure activity type you have chosen the commodity price determination strategy. When you have chosen the stategies Update with Current Commodity Prices or Update with Commodity Prices According to Commodity Curve you can use the function Calculate Prices while maintaining the line items.

Commodity Price Risk For every price line item the system creates a seperate sub raw exposure according to the price weighting. When you have defined automatic release for the raw exposure, the system automatically initiates the release. 3. Check the line items of the raw exposures with manual release Mark the line items, call the Floating Prices and check the values. Check that sub raw exposures for FX risk has been created.

Check the sub raw exposures for the commodity risk. Then initiate the release. 4. With the release of the raw exposure the system creates exposure positions from the sub raw exposures. The exposure position data are the sub raw exposure data plus the exposure position type and all other derived fields (defined in Customizing). After the release of the raw exposure in the first step the exposure position type and all other additional field values are derived. In the second step the exposure positions are created according to the differentiation criteria chosen for the different exposure position types. Call function Exposure Positions Overview (transaction FTREX12) and check the exposure positions. Markt the line item and call the Price Info and check the values. Change the raw exposures (for example the quantity and the amount or the transaction category) and save the changes. If necessary initiate the release. Check if the exposure position have been updated accordingly. When you have changed the transaction category (= differentiation criteria for exposure positions), check whether the 'old' exposure position has been reduced to zero and the new exposure position has been created. Fix the Commodity Price at fixing date. Enter the fixing price in the floating price details and set the fixing status to Fixed. Check if the exposure positions have been updated accordingly.

5. 6. 7.

8. 9. Check

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Check the different versions of the raw exposures (transaction FTREX1). Check that exposure positions without the aggregation flag on exposure position type level are not aggregated and that the exposure positions with allowed aggregation are aggregated.

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3 Exposure Management 2.0: Automatic Integration with Logistics

Description You will find this test case for the automatic integration of commodity exposure from the Logistics into the Exposure Mangement 2.0 also at the Business Function Logistics-Treasury Integration (LOG_TRM_INT_1) [Logistics Feed into Treasury and Risk Management (TRM)] Preparation Activate the Business Function Logistics-Treasury Integration (LOG_TRM_INT_1). Activate Business Function TRM, Financial Risk Management for Commodities 2 (reversible) (TRM_COMM_RM_2). You have implemented the Financial Risk Management for Commodities of the TRM and set up the Exposure Management 2.0. You have defined the product types you need to hedge the commodity price risks and FX risks of your Commodity transactions. You have defined the needed exposure activity types using the commodity exposure approach categories fix, floating or fix and floating. You have activated the integration of the exposure positions with the Risk Analyzer.

You use SAP logistics applications in connection with the sale or purchase of Commodities. You have created all needed Commodities in the Financial Risk Management for Commodities of the TRM under Master Data -> Commodity (transaction FCZZ) Enter the needed market data: Commodity prices Commodity forward rates Prices of commodity futures Exchange rates ...

Special Settings in Customizing for the Automatic Integration Under Financial Supply Chain Management ->Treasury and Risk Management -> Transaction Manager -> General Settings -> Exposure Management 2.0 -> Integration with Logistics -> Assign Exposure Activity Type and Exposure Category to Incoming Exposures. In the Customizing under Logistics-General -> Treasury and Risk Management Integration -> Assign Commodity IDs to Condition Types. See also the chapter: Overview of Configuration and Customizing Activities

Execution Create a logistics document with integration relevant pricing conditions.

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Check -

Change a logistics document with integration relevant pricing conditions.

Check that raw exposures are sent to SAP Treasury and Risk Management when you create or change relevant logistics documents (sales order, purchase order, goods receipt and delivery). Check that the raw exposure status is updated when you post billing document of invoice verification document. Check the corresponding exposure positions Calculate the fair value of the exposure positions.

Further notes For more information see SAP Library -> ERP Central Components -> Financials -> Financial Supply Chain Management -> Treasury and Risk Management -> Transaction Manager -> General Information about the Transaction Manager -> Integration of Logistics with the Treasury and Risk Management.

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4 MRA: Quantity of Commodities as Key Figure in RDB and Online Reports

Description In the reporting of your commodity-related financial instruments you would like to see the quantity information of the underlying commodity along with the fair value of the instruments. For this reason the Market Risk Analyzer provides within the Results Database a new key figure category for commodity-quantities and you can see the quantities of the commodities in the reports for NPV Analysis (transaction JBRX) and in the Key Figure Analysis (transaction AISGENKF). Preparation Customizing for the commodity-related product types within the Transaction Manager. Maintain the Commodity master data (transation FCZZ). Maintain the master data for Commodity Futures (transaction FWZZ). Maintain the basis settings for the Market Risk Analyzer like the evaluation type, the yield curve types and others. Maintain the market data for the relevant commodities, yields and exchange rates Create various commodity-related financial transactions like the purchase of a Commodity Future, Commodity Forwards, Commodity Swaps, Commodity Options or a Commodity Forward Option using function Create Financial Transactions (transaction FTR_CREATE). With the function Edit Financial Transaction (transaction FTR_EDIT) you can later in change the financial transactions. Fill the tab page Analysis Parameters (RM) within the financial transaction or via function Process Financial Object (transaction JBDO) so that the MRA selectors will select the financial transactions.

Execution Results Database 1. Define Quantity Key Figure a) b) Define a Filter (transaction AFWFL) which will select the created financial transactions. Create Quantity Key Figure (transaction AFWKF_RA) Enter a name and choose create. On the following screen which displays the key figure category hierarchy choose the new category RAB03 - Quantity Key Figure for Commodity Instruments. On the key figure maintenance screen enter the mandatory fields for the basic key figure category (abstract). Followed by the description in the area Quantity Key Figure for Commodity Instruments and fill the fields Quantity Calculation Method and the Display Unit of Measure. Save your entries. Create a single record procedure (transaction AFW ) Enter a name for the single record procedure (SRP). Choose Create. Enter the filter, create the final result procedure and the assign the quantity key figure. Save your entries.

c)

2.

Fill the Quantity Key Figure Run the function Determine Single Records (transaction RAEP1), which will calculate the SRP

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result and store it in the Results Data Base 3. Create layout using the function Define Initial Layout (transaction AIS_LAY_DEF) where you can specify the key figures to be reported.

Display the Calculation Results a) Execute the function Analyzer Information System (transaction AIS_STDREP) in order to display results from the result data base as per the selected defined layout. Check the Key Figure Quantity and Unit of Measure at Single Record level. Check the amounts and unit of measures for all financial transaction you have created.

b)

NPV Analysis (Transaction JBRX) 1. Call NPV Analysis (transaction JBRX). On the tab page Control Data the new indicator Calculate Quantity Key Figure is available. When you choose the indicator, then the area Control for Quantity Key Figures appears where you choose the Quantity Calculation Method and the Display Unit of Measure. Enter appropriate restrictions (tab page Characteristics) which fit to your financial transactions to make sure that they are processed. Choose Execute. Check in the resulting results list: a) b) c) Whether in the list the columns to display the Quantity and the Unit of Measure are available. Whether the quantity on the transaction level is always the unit of measure given in the deal. Check the detail protocol.

2. 3. 4.

Key Figure Analysis (Transaction AISGENKF) 1. 2. 3. 4. 5. 6. 7. 8. Call the Key Figure Analysis (transaction AISGENKF). Enter the mandatory fields and choose Define Report Layout on the tab page General Selections. Select line item for the respective layout ID and choose Key Figures folder in the dialog box. Check if you can see the newly introduced Quantity Calculation Method and the Display Unit of Measure columns in the key figures overview screen. Select the appropriate Quantity Calculation Logic and the Display Unit of Measure Logic in the key figure overview screen for the respective new key figure with the type quantity, save your changes. Enter appropriate restrictions on tab page Characteristics) which fit to your financial transactions. Choose Execute. Check the values for all financial transaction you have created

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Copyright

Copyright(c) 2011 SAP AG. All rights reserved. Neither this document nor any part of it may be copied or reproduced in any form or by any means or translated into another language, without the prior consent of SAP AG. The information contained in this document is subject to change without notice. SAP is a registered trademark of SAP AG. All other products which are mentioned in this documentation are registered or not registered trademarks of their respective companies.

Release Notes Table of Contents SAP AG ______________________________________________________________

Exposure Management 2.0: Commodity Exposures with Fixed Prices

Exposure Management 2.0: Commodity Exposures with Floating Prices 3

Exposure Management 2.0: Automatic Integration with Logistics

MRA: Quantity of Commodities as Key Figure in RDB and Online Reports 8

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