# US 8,543,480 B2 · Logistics-exposure management integration for commodity price risks

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- Number: US 8,543,480 B2
- Document ID: US8543480B2
- Status: Granted
- Kind: B2
- Application number: 13/222,572
- Filed: 2011-08-31
- Published: 2013-02-28
- Granted: 2013-09-24
- Earliest claimed: 2011-08-31
- Assignees: Sap SE
- Applicants: Klaus Mueller; Eric Bahembera Karambizi; Thomas Fritzsche; Stephan Heinz; Harald Schlueter; Michael Goll; Christof Rausse; Detlef Noack
- Inventors: Klaus Mueller; Eric Bahembera Karambizi; Thomas Fritzsche; Stephan Heinz; Harald Schlueter; Michael Goll; Christof Rausse; Detlef Noack
- Web page: https://patentgrep.com/patent/US8543480B2

## CPC

- G06Q 10/06: Resources, workflows, human or project management; Enterprise or organisation planning; Enterprise or organisation modelling
- G06Q 30/0283: Price estimation or determination
- G06Q 40/04: Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
- G06Q 40/08: Insurance
- G06Q: INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR

## Abstract

A message may be used to update computing system of a commodity transaction. The message may include a commodity identifier, a date term, a quantity term, and a price term. The price term may include a formula arrangement or reference to a formula arrangement for calculating a fractional exposure of the entity to the commodity on each date in which an event affecting commodity transaction occurs. Each of these fractional exposures may be calculated for each commodity transaction and stored as separate entries in a data structure. The entries may then be updated, queried, and/or reorganized to generate an exposure position.

## Claims

### Claim 1

A method comprising:
receiving a service oriented architecture (SOA) message from a logistics system over a communication network containing a raw exposure item including an identifier of a good, a quantity term, a price term, and a delivery term obtained from an electronic commercial document pertaining to an exchange of the good;
identifying, using a processing device, a plurality of dates on which an event affecting the exchange of the good is to occur from at least one of the quantity term, the price term, and the delivery term;
calculating a change in an exposure of an entity based on the occurrence of each event on each of the identified dates using the processing device;
creating separate sub-raw exposure items for each of the identified dates including the calculated changed in the exposure on each respective date using the processing device;
identifying those created sub-raw exposure items satisfying a mapping rule, the mapping rule specifying criteria for transferring data from the sub-raw exposure items to at least one exposure position;
aggregating the identified sub-raw exposure items into the at least one exposure position; and
reporting the at least one exposure position.

### Claim 2 (depends on 1)

The method of claim 1, wherein the plurality of dates are obtained from at least one of a multi-date pricing formula associated with the price term and a multi-date delivery associated with the delivery term that affects the exposure of the entity.

### Claim 3 (depends on 1)

The method of claim 1, further comprising creating a separate currency sub-raw exposure items for each date on which an event affecting an exposure of an entity occurs that involves a foreign currency necessitating a currency conversion.

### Claim 4 (depends on 3)

The method of claim 3, wherein the mapping rule specifies a currency as the criteria of the sub-raw exposure items and the aggregating the identified sub-raw exposure items into the exposure position identifies a currency exposure of the entity.

### Claim 5 (depends on 4)

The method of claim 4, wherein a floating price currency exposure is calculated from a commodity forward price curve.

### Claim 6 (depends on 4)

The method of claim 4, wherein the currency exposure is initially calculated based on a spot price and a floating price currency exposure is subsequently recalculated based on an updated spot price.

### Claim 7 (depends on 1)

The method of claim 1, wherein the mapping rule includes a defined differentiation criterion to create a consolidated exposure position representing a subset of commodity transaction events affecting the entity.

### Claim 8 (depends on 1)

The method of claim 1, wherein the mapping rule includes a commodity criterion to identify sub-raw exposure items pertaining to a same commodity.

### Claim 9 (depends on 1)

The method of claim 1, wherein the mapping rule includes a date criterion to identify events in sub-raw exposure items occurring in a specified timeframe.

### Claim 10 (depends on 7)

The method of claim 7, wherein the consolidated exposure position is reported to another financial system of the entity for use by the another financial system.

### Claim 11 (depends on 7)

The method of claim 7, wherein the consolidated exposure position includes a subset of the data in the identified sub-raw exposure items.

### Claim 12 (depends on 11)

The method of claim 11, further comprising storing a record of changes to the identified sub-raw exposure items in an exposure flow field associated with the consolidated exposure position.

### Claim 13 (depends on 12)

The method of claim 12, wherein the consolidated exposure position includes a grouping of the data in the identified sub-raw exposure items.

### Claim 14 (depends on 13)

The method of claim 13, wherein the consolidated exposure position includes a total representing a sum of numerical data in the grouping.

### Claim 15 (depends on 1)

The method of claim 1, wherein the consolidated exposure position includes a position header identifying an exposure position and data associated with the exposure position.

### Claim 16 (depends on 1)

The method of claim 1, wherein the consolidated exposure position includes a plurality of exposure flow records, each exposure flow record storing a change to a respective sub-raw exposure item.

### Claim 17

A system comprising:
a processing device;
a communications device connected to a communications network;
a memory device;
a mapping arrangement; and
an aggregating arrangement, wherein:
the communications device receives a service oriented architecture (SOA) message from a logistics system over the communication network containing a raw exposure item including an identifier of a good, a quantity term, a price term, and a delivery term obtained from an electronic commercial document pertaining to an exchange of the good;
the processing device (i) identifies a plurality of dates on which an event affecting the exchange of the good is to occur from at least one of the quantity term, the price term, and the delivery term, (ii) calculates a change in an exposure of an entity based on the occurrence of each event on each of the identified dates using the processing device, and (iii) creates separate sub-raw exposure items for each of the identified dates including the calculated changed in the exposure on each respective date using the processing device;
the memory device stores the created sub-raw exposure items;
the mapping arrangement identifies those created sub-raw exposure items satisfying a mapping rule, the mapping rule specifying criteria for transferring data from the sub-raw exposure items to at least one exposure position; and
the aggregating arrangement aggregates the identified sub-raw exposure items into the at least one exposure position and reports the at least one exposure position.

### Claim 18

A method comprising:
parsing, using a processing device, an electronic commercial document pertaining to an exchange of a good;
extracting from the parsing of the electronic commercial document an identifier of the good, a quantity term, a price term;
identifying, using said processing device, a plurality of dates on which an event affecting the exchange of the good is to occur from at least one of the quantity term, the price term, and the delivery term;
calculating a change in an exposure of an entity based on the occurrence of each event on each of the identified dates;
associating each of the identified dates and calculated exposure changes with atomic-level risks, the atomic-level risks being a discrete set of risks, which when aggregated, represent the exchange of the good specified in the electronic commercial document;
creating separate sub-raw exposure items for each of the identified atomic-level risks;
recording exposures associated with each of the identified atomic-level risks in its respectively created sub-raw exposure item;
identifying sub-raw exposure items satisfying a mapping rule, the mapping rule specifying criteria of the sub-raw exposure items transcending an individual transaction;
aggregating the identified sub-raw exposure items into a consolidated exposure position; and
reporting the consolidated exposure position.

### Claim 19 (depends on 18)

The method of claim 18, wherein the atomic-level risks include foreign exchange risks of each currency, and the sub-raw exposure items are created for each of the different currencies for each of plurality of transactions.

### Claim 20 (depends on 18)

The method of claim 18, wherein the atomic-level risks represent a commodity price exposure during subsets of time within the time period for each transaction, and the sub-raw exposure items are created for each subset of time and each transaction.