SAP-based derivatives business

The integration offer enables banks to transfer external valuations of their derivatives portfolio into their SAP systems. Innobis, an IT and SAP service provider for banks and financial service providers, realizes the data exchange between the securities data provider Bloomberg and the SAP landscape.

The portfolio values with which the banks work are thus congruent with those of the respective trading system. There are no more deviations.

The offer is aimed at small and medium-sized banks, in particular development and mortgage banks that use SAP FSCM (Financial Supply Chain Management) to manage derivatives.

Derivative valuation in two steps

If the bank decides to connect to Bloomberg, the derivatives are automatically transferred daily via a software interface from SAP FSCM to the securities data provider Bloomberg for external valuation.

In a second step, the results are "retrieved", transferred to SAP FSCM and finally run into the SAP Bank Analyzer or Credit Risk Analyzer (SAP-CRA) and Limit Management.

By adopting the external valuations, there are no longer any deviations from the market valuation of the derivatives. The standard functions in SAP FSCM can continue to run smoothly and unchanged and work with the imported values.

The values determined by the counterparty can also be compared with the market values from Bloomberg in the event of (premature) termination. When banks map their derivative transactions for portfolio management in SAP FSCM, the challenge often arises that the values determined there differ from those in the respective trading system or from the transaction values determined by the counterparties.

A further effect could also be that the limits taken into account in the trading system are adhered to but exceeded in the SAP system managing the portfolio.

The reasons for the divergent valuation results compared with external data providers such as Bloomberg or Reuters lie in the yield curve on which the valuation in SAP FSCM is based.

The time of output, the number of sampling points (granularity) or the interpolation method used may differ here.