【正文】 Transaction Currency Account assignment reference X X Investm./purchase X PARTNER CURRENCY Multidimensional Flexible Reporting 3 PARTNER PRODUCT TYPE CURRENCY Money market Forex Derivatives Securities Loans ? SAP AG R Datafeed Architecture SAP Datafeed Provider Selective refresh Request Request R e p l y Reply RFC R/3 Applications TRTM Treasury Management TRRM Risk Management ... Information providers External interface program Datafeed Server Log Datafeed server Market data buffer Translation table Operative SAP tables ? SAP AG R Analysis Assessment of possible solutions Eliminate risks ?Identify suitable financial transactions ?Simulate alternative results Selection of an alternative Risk Management Process in R/3 TRTM SD US$ DEM Datafeed TRTM TRCM MM TRTMMRM TRTMMRM TRTMMRM Risk controlling TRTMMRM ?Trading ?Back office ?Accounting ?Reporting ?Value at risk Processing / Control Information procurement ?Marktomarket ?Sensitivities ?Crash scenarios TRTM ?Internal: risk position ?External: market data ? SAP AG R Risk Management TRTM TRMRM ? Market risk management ? Selection of instruments ? Authorization concept at user, business partner and trader level ? Limit management (money market, forex) ? Hedging strategies ? Macro hedge ? Portfolio hedge ? Micro hedge (release not yet specified) ? SAP AG R ? Information procurement ? Interest and currency exposure ? Marktomarket, effective interest ? rate ? Sensitivities, cash flow analyses ? Value at risk ? Assessment of possible solutions ? Simulation ? Whatif analyses ? Crash scenarios ? Transform risk using Treasury Management Mark Risk Management: Functions TRMRM Extensive risk valuation and control ? SAP AG R Market Risk Management: System Overview Values (IRR, NPV, option premium, exposure...) Calculation Reporting (graphics, list,...) Methods Cash flows Market data Scenario database Market database Buffer Portfolio formation by selection Fictitious transactions Actual position ? SAP AG R Integrated Market Risk Management Actual/scenario market data Actual transactions Control panel Integrates all ining data and resulting data relevant for risk Exposure Hedging rate Cash Management Markto market valuation Key ratios/ values Data inflow Results Fictitious cash flow update ? SAP AG R Analysis and Simulation Market data: Prices Interest rates Volatilities Key values NPV IRR Effective rate Exposure Hedging rate Cash flows Transactions: Forward transactions, options, swaps, caps/floors Key values based on simulated market data and simulated financial transactions ? SAP AG R Evaluation methods Evaluation methods Earnings/expense oriented Riskoriented ? Internal rate of return (IRR) ? Yield calculation (AIBD, Braess Fangmeyer, Moosm252。ller, US Treasury) ? Effective rate (cutoff rate) for FX exposures ? Marktomarket valuation ? Changes in present value ? FX and interest rate exposures ? Sensitivities (delta, gamma, duration, convexity) ? Value at risk for portfolios TRMRM ? SAP AG R ? Hedging strategy based on values from Cash Management ? No direct link between the hedging transaction and the hedged instrument ? Delivery date/pmnt conditions ? Payment history ? Update Cash forecast C/F USD Cash Fwd Bal. ? Hedging strategy ? Exposure analysis ? Instrument selection Macro Hedge Foreign exchange C/F USD Cash Bal. 05/21 100 80 20 Purch: Forward Curr.: USD Key date 05/25/95 Rate Amount 80 05/21 100 100 ? SAP AG R Trader authorization Business Partner and Trader Authorization Business partner authorization Trader and business partner Authorization Authorization Treasury Money Market Fixedterm deposit 51 A Fixedterm deposit 100 investment 200 borrowing Deposit at notice 51 B Deposit at notice 100 investment 200 borrowing ? SAP AG R Limit Management ? Limit update based on the following characteristics (currently supported for money market and foreign exchange): ? pany code ? trader ? business partner ? currency ? portfolio ? limit product group ? Example: Limit utilization Trader: Fuchs Limit: 100 m Utilization.: 10 m Surplus/deficit 90 m L1 Dres. 900 Deuba 1,000 L2 FTD 400 FTD 500 L3 700 L1 L1 : Partner L2 : Partner / limit product group L3 : Limit product group ? SAP AG R Overview of Treasury Functions bank data business partner market data CM Financial Accounting US$ DEM MRM Download Market Risk Management: ? interest/currency exposure ? marktomarket valuation ? risk analysis/simulation ? valueatrisk Cash Management: ? electronic banking ? liquidity status ? integrated operational systems ? control functions Treasury/Loans Management ? managing financial deals and positions ? transfer to Financial Accounting ? flexible reporting ? datafeed interface Logistics D C D C 100 100 TM / LO Forex Money Market Derivatives Securities Loans ? SAP AG R 演講完畢，謝謝觀看！