Commodity Market Data

To enter commodity market data, Treasury and Risk Management uses logistic structures. The quotation types and quotation sources are mapped to link Treasury and Risk Management to the logistics market data. The functions required to enter commodity prices are available in market data management in the basic functions. We recommend that you use the tables for the Commodity Pricing Engine (CPE). These have been integrated into the functions in Treasury and Risk Management.

Note Note

If you want to use the old logistics tables rather than the CPE tables, you need to manually integrate them into the functions in Treasury and Risk Management. However, the system helps you map the quotation types and quotation sources.

End of the note.

Integration

You create the commodities master data by choosing Treasury and Risk Management Financial Risk Management for Commodities Master Data Commodity.
See also: Commodity Master Data
You can enter market data either manually or via the Datafeed.
The system accesses the commodity prices and their volatilities to calculate the net present values of commodity futures and options on commodity futures in the Market Risk Analyzer. The net present values are calculated using the function Net Present Value Analysis: Display Single Values (JBRX) or Key Figure Analysis (transaction AISGENKF).
The market data is accessed as follows:
1. The quotation type is read from the evaluation type.
2. The quotation name is read from the commodity master data.
3. The relevant CPE quotation type is determined using the IMG activity Define Quotation Types and Assign Logistic Quotation Types.
4. The required details, such as the calendar, are read from the IMG activity Define Quotation Names
5. The default quotation source is read from the commodity master data.
6. The relevant CPE quotation source is determined using the IMG activity Define Quotation Sources and Assign Logistic Quotation Sources.
7. The system uses the quotation name, source, type, and date to read the price table under Basic Functions Market Data Management Manual Market Data Entry Commodities Enter Commodity Prices (CPE) / Display Commodity Prices (CPE).
8. If a suitable entry is not found, the system looks for an appropriate quotation name, type, and date, regardless of the quotation source. If more than one suitable entry is found, the system uses the most recent price.
The Statistics Calculator in the Market Risk Analyzer calculates the volatilities corresponding to the commodity prices entered.

Prerequisites

To enter the market data in the application, you first need to make the following settings in Customizing for Treasury and Risk Management:

To do this, choose Basic Functions Market Data Management Master Data Commodities Commodities (Logistic, CPE)
- Under Define Quotation Source, you create the various quotation sources that you are using to import the commodity prices and other information
- Under Define Quotation Types, you create the quotation types for a commodity. The quotation type is used together with the quotation source and name in the key that the system uses to access the quotations.
- Choose Define Quotation Name to enter the quotations whose price trends are registered in the system. For the quotation name, you enter the currency, price unit, and the unit in which the quotation is specified (as opposed to the actual quotation price). Notes:
  - We recommend that you give the quotation and commodity ID the same name.
  - In the commodity master data, you assign the quotation name on the Quotation Data tab page.
Choose Basic Functions Market Data Management Master Data Commodities Commodities (Treasury):
- Define Quotation Types and Assign Logistic Quotation Types
- Define Quotation Sources and Assign Logistic Quotation Sources
Choose Basic Functions Market Data Management Master Data Commodities Define Market Data Provider to define your market data provider for commodities.
- Choose New Entries.
- Define a short name and a description of the market data provider.
- Save your entries.
Basic Functions Market Data Management Master Data Statistical Data Volatilities with Moneyness Volatilities – Assign Underlying Instrument Assign Commodity ID
Assign a volatility to each commodity ID. The volatility is required when you calculate the net present values of commodity futures and options on commodity futures.
Choose Treasury and Risk Management Basic Analyzer Settings Valuation Define and Set Up Evaluation Type .
You can enter the quotation type and maximum age in days for the evaluation type general details on the Evaluation Control tab page in the Commodities area. The quotation types available are taken from the IMG activity Define Quotation Types and Assign Logistic Quotation Types.
The settings for the old logistics tables for commodities are available under Basic Functions Market Data Management Master Data Commodities Commodities (Logistic, Not CPE):
- Under Define Quotation Data Source, you create the various quotation sources that you are using to import the commodity prices and other information
- Under Define Quotation Types, you create the quotation types for a commodity. The quotation type is used together with the quotation source and name in the key that the system uses to access the quotations.
- Under Define Quotation Data, you create quotation keys for each source and quotation type. Entries are made for the quotation keys including the currency, (sales) quantity, unit of measure, factory calendar, and a description of the key.

Features

The commodity prices/quotations are defined and published by exchanges or agencies, such as Platts or Reuters. To store the prices in the system, proceed as follows:

You can create and change prices or quotations.
You can import price quotations into the ERP system using the external partner program of your data provider. We deliver the Datafeed interface to the ERP system for which different data providers are certified.

You can enter commodity market data in the following tables:

You can use the functions Enter Commodity Prices (CPE), Display Commodity Prices (CPE) and Enter Commodity Prices in the area menu by choosing Financial Risk Management for Commodities Market Data and Simulation Market Data .
The price quotations are distinguished by origin, type, and name, and entered on a quotation date.

When you create or import the price quotation, the system uses the default values for the currency, price unit, and unit of measure, that you specified in the IMG activity Define Quotation Name.

Example Example

Price Quotation

Attributes	Value	Description
Source	PL	Platts agency
Quotation type	H	Highest price
Quotation name	Brent (dated)	North Sea crude oil
Price quotation date	01/05/2005
Price quotation	51.03
Quotation currency	USD	US Dollar
Quotation price unit	1
Unit of measure	BBL	Barrel

See also:

End of the example.

You enter the current volatilities for the commodity prices in Customizing by choosing Basic Functions Market Data Management Manual Market Data Entry Statistical Data Enter Commodity Price Volatilities .
To enter the commodity prices in the old logistics tables, in Customizing choose Basic Functions Market Data Management Manual Market Data Entry Commodities Enter Direct Quotation .