Hi Sergey,
In your payment medium program( for example if you are using PMW- SEPA_CT format, you use the program SAPFPAYM) here you can enable the option "output to file system". or in case of classic program like RFFO* you have field output medium under output control. Check the F1 help on these fields. This causes the file to be saved in the file system of the application server. Necessary authorisations to this shared network folder should be available and also please note that in case of File System, it is an external path within the operating system and SAP has no influence once the file is created. So you have to ensure file is not modified/deleted by anyone and it is secure.
Kind Regards
Soumya Rao