Bank Analyzer (FS-BA)
Purpose
Bank Analyzer supports risk and return management by calculating, measuring, and analyzing financial products. The structure of Bank Analyzer is based on the Integrated Finance and Risk Architecture (IFRA) and meets today's requirements (International Accounting Standards (IAS), Basel II, Risk Adjusted Performance Measurement, and Sarbanes-Oxley) for financial products.
Bank Analyzer is a family of products that consists of the following components
● Data Load Layer (FS-BA-DL) ● Source Data Layer (FS-BA-SD) ● Processes and Methods (FS-BA-PM) ● Results Data Layer (FS-BA-RD) ● Analytics (FS-BA-AN)
● Infrastructure (FS-BA-IF) ● Tools (FS-BA-TO)
Data Load Layer (FS-BA-DL)
Purpose
This component contains the functions for importing source data and results data from SAP NetWeaver Business Intelligence (BI) to the specific interfaces in the Source Data Layer (SDL) or Results Data Layer (RDL) in Bank Analyzer. This is part of the general extraction, transformation and loading process (ETL process) that you can use to transfer data from your own source systems to Bank Analyzer.
Integration
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1. Extraction
The system extracts data from operational systems (full load or delta load) and saves the extracted data in SAP NetWeaver BI. The data is stored in DataStore objects, which have the same structure as the data from the feeder system.
2. Transformation
In SAP NetWeaver BI, the system transforms the extracted operational data into an analytical format, and saves this as the result of the transformation process. The analytical format is largely the same as the format used in the inbound interfaces for the Source Data Layer and Results Data Layer.
3. Loading
The system loads the transformation results from SAP NetWeaver BI as InfoProviders into Bank Analyzer.
Features
The load process
● The Data Load Layer connects the transformed data within SAP NetWeaver BI and the storage locations in Bank Analyzer, and reads the data from the InfoProviders in SAP NetWeaver BI. It calls the relevant interfaces in the Source Data Layer and Results Data Layer.
● since the volume of data may be large, the data load process can be run as a parallel job. ● Custom key figures and characteristics can be transformed flexibly during the data load process
if appropriate Customizing settings are made.
Process control
● Process control is part of the Data Load Layer and is also integrated in the SAP NetWeaver BI technology. This ensures that the complete ETL process is subject to a standard process control and monitoring.
● The function is integrated into BI technology, which contains the new process chain category FS Data Load Function, which can be used in the definition of a BI process chain. The process is scheduled and monitored in BI.
● The status of the process is written back to BI.
Tracking of changes
● Each object that was changed during the transformation process in BI is included in the loading process. The changes are handled as change pointers in the Change Notification Service (CNS). This tool collects all the changes made to an object (in this case the Bank Analyzer primary object) in order to make the all the changes at once.
The change indicators, which are created in BI and stored in Bank Analyzer, are the starting point for the loading process. The loading process updates in Bank Analyzer all the objects that were changed in NetWeaver BI (the update BAPIs are called for the SDL objects, or the APIs are called for RDL data),
● A log is created of all the primary objects that were changed.
Constraints
● The Data Load Layer does not contain data checks. The system sends data that has been transformed and mapped directly to the inbound interface of the Bank Analyzer system.
● Each load process can supply the last version of an object only. It is not possible to process more than one version for each business day.
● The system does not load business partner data The only way that the system can load business partner data into the Bank Analyzer system is by means of an existing interface for
business partners.
Source Data Layer (FS-BA-SD)
Purpose
You use this component to manage original data for the Bank Analyzer system.
The system uses the Data Load Layer component to load original data from other operational systems or source systems into the Source Data Layer (SDL) by means of an extraction, transformation, and loading process (ETL process). The SDL saves, consolidates, and manages the original data. At the same time it provides interfaces to additional operational systems.
The primary objects of the Source Data Layer (SDL) and their scenario versions are a flexible way of
saving master data and flow data. They also group this data into units that belong together logically from a business perspective. This ensures that the Bank Analyzer components that are linked to the SDL have a standard, consistent data source.
In addition to storing primary object data, the SDL provides the following primary objects functions for applications linked to it:
● Access to Source Data
● General Functions for Source Data Layer ● Methods for Source Data
● General Access to Corrections ● Tools
Integration
The SDL provides both the central original data basis and a part of the underlying infrastructure for linked applications. It is therefore a key element in ensuring the consistency of data and results.
Processes & Methods (FS-BA-PM)
Purpose
You can use this component to carry out all financial and risk calculations for Bank Analyzer. Unlike Methods, Processes combine the selection, checking, and processing of data into one step.
The system generates the calculation results using either original data from the Source Data Layer
(SDL) or existing results data. Existing results data comes from either source systems or previous
calculation steps. The system then stores data that has been completely valuated in the Results Data
Layer (RDL).
General Calculation and Valuation Methods (FS-BA-PM-GM)
General calculation and valuation functions provide you with various methods for upstream processing.
Various Bank Analyzer components can use the results data from this method.
Determination of Net Present Values and Calculation Bases (FS-BA-PM-EIC)
You use this process to calculate net present values and other key figures that you can use as input for calculating funding costs and standard costs. This component calculates funding results, standard cost rates and the effective capital over time, for instance.
Accounting for Financial Products (FS-BA-PM-AFP)
Accounting Processes
Accounting processes comprise business transaction processing and financial position
management in Accounting for the subledger scenario.
Cost Accounting Processes
Cost Accounting Processes contain the functions for profitability analysis.
Hedge Processes (FS-BA-PM-HP)
Hedge processes provide various functions for IAS and Basel II. In particular, you can use these service functions for key date valuations and hedge accounting.
Credit Risk (FS-BA-PM-CR)
Credit risk provides up-to-date control instruments for the simulation, planning, and analysis of the overall bank with its different levels. Risk management reflects the reporting obligations imposed by the banking supervisory authorities.
Results Data Layer (FS-BA-RD)
Purpose
You can use this component to store, display, and edit results data. This results data is based on accounting-related or risk-related analyses of financial transactions or financial instruments in Bank Analyzer (Basel II, IAS Financial Reporting), or on analyses using other analysis tools. Results data is stored in the Results Data Layer (RDL) in results data areas in the form of result types.
The RDL is part of the Integrated Finance and Risk Architecture (IFRA). By means of common dimensions (for example, financial transaction ID, financial instrument ID, or legal entities) that are shared by results within a results data area, the RDL provides a basis for the integration of results data. It stores data in an infrastructure that is semantically and technically standardized, which enables standardized usage for existing and future applications that are integrated in the system. The RDL provides the following functions:
● Storage of results in results data areas
● Aggregation ● Versioning ● Archiving ● External interfaces ● User Interfaces
Example
You have started a process that generates documents for financial transactions and financial instruments. These documents are stored in the RDL. The financial reporting process reads the data from the RDL and generates results that are used for the profit and loss statement or for the annual financial statement.
Analytics (FS-BA-AN)
Purpose
This component contains analytical applications that call results data for Processes and Methods from
the Results Data Layer (RDL) and, if necessary, continue to process this data.
The Regulatory Reporting Interface, for example, gets data from the RDL and transfers this to the reporting functions in SAP NetWeaver Business Intelligence (BI). The Historical Database gets data from the Source Data Layer (SDL) and processes it as part of data storage based on a time series in accordance with Basel II.
Features
Components Relevant for Accounting
General Ledger Connector (FS-BA-AN-GL)
If you use the subledger scenario, the General Ledger Connector reads the subledger documents from the RDL and transfers results data to a connected general ledger.
Financial Statement Preparation (FS-BA-AN-FSP)
Financial statement preparation includes Balance Object Manager, Balance Processing, and
Aggregated Transactions. In Balance Object Manager you create balance objects (BO) that define the processing level for processes in Balance Processing, in particular the object that is to be included in reporting. Balance Processing loads results data from the RDL and prepares the period-end processing for financial products, such as the balance sheet and income statement including notes to the financial statements.
Merge Scenario (FS-BA-BA)
The merge scenario processes only those financial instruments and transactions whose IAS
valuation differs from its valuation according to local GAAP. The merge component converts local GAAP data to IAS data. The system creates a complete IAS balance sheet, including an income statement and notes to the financial statements.
The merge scenario stores the results data not in the RDL but in the Result Database
(RDB).
Components Relevant for Basel II
Historical Database (FS-BA-AN-HDB)
The Historical Database is a time-based data store and meets the Basel II requirements for
managing historical data. The system can provide the HDB with data from the Source Data Layer (SDL), RDL, or another source system.
Disclosure and Reporting (FS-BA-AN-DR)
The Disclosure and Reporting component provides utilities for selecting and extracting reporting
data and meets Basel II requirements of the Capital Accord. The Disclosure and Reporting component supports external disclosure and internal reporting, and provides support for supervisory investigations and stress test reports.
Regulatory Reporting Interface (FS-BA-RR)
The Regulatory Reporting Interface ensures connection to external reporting tools in accordance
with Basel II. It loads data from the SDL and RDL, converts it into a fixed format, and provides reporting tools.
Additional Components
Limit Manager (FS-BA-AN-LM)
Limit Manager provides support when determining, analyzing, and limiting counterparty/issuer
risks, country risks, or Basel II-specific key figures. Banks set different maximum risk amounts in order to limit the potential harm caused by the insolvency of a business partner. Limit Manager also provides operational functions and supports both internal and external reporting.
Profit Analyzer (FS-BA-AN-PA)
Profit Analyzer ensures that costs and revenues are assigned to the single bank transactions,
customers, or other segments that gave rise to them. During the profitability analysis, the system updates results as single items and evaluates them in terms of various criteria. You can use Profit Analyzer to carry out sales planning based on custom characteristics.
Strategy Analyzer (FS-BA-AN-STA)
Strategy Analyzer provides a net present value analysis and a gap analysis for market risk
use the gap analysis to examine your portfolio with regard to interest rate risks by creating incoming and outgoing payments, liquidity, and net interest income for a longer period of time, for example.
Infrastructure (FS-BA-IF)
You can use this component to call functions that provide central services to the various Bank Analyzer components. Infrastructure contains the following functions:
Data Load Layer (FS-BA-DL) Communication and Worklist Services Calculation and Valuation Process Management Extraction and Reporting Services
Correction Services
General Scenario Management Settings for XI Services
Tools (FS-BA-TO)
Purpose
You can use this component to call functions that are used in various places in Customizing for Bank Analyzer.
In addition, the following tools are available: ● Garbage Collector
● Schedule Manager ● Segmentation Service
Features
Derivation Tool (FS-BA-TO-DE)
The derivation tool enables you to control how the system derives characteristics and key figures from other characteristics and key figures, and how it derives the fixed fields of a field catalog. In Bank Analyzer the system calls derivations from the coding or by using a secondary data source. You can create this secondary data source with the module editor in Customizing for Bank Analyzer.
You can state the derivation environment for deriving the validity of a hedging relationship, for example, in Customizing for Bank Analyzer by choosing Processes and Methods Hedge Processes Portfolio Fair Value Hedge Configuration Derivation of Validity. You use this derivation process in the secondary data source in order to use the characteristics of a transaction to derive whether the transaction is one of the qualified positions or unqualified positions in hedge accounting.
Module Editor (FS-BA-TO-ME)
The module editor generates modules that contain a sequence of processing steps. The modules are used to enrich user-defined information and provide the system with secondary data sources.
An application makes entries into the fields of an input structure and calls the module. The system applies each processing step of the module in the sequence defined in Customizing.
The system can call function modules, derivations, or primary data sources within the module. The system then makes entries into fields of the output structure.
Modules can have various functions. The selection module of the Strategy Analyzer, for example, selects data using the Primary Data Source processing step. The calculation module of Profit Analyzer carries out complex calculations for the processing steps formula, derivation, and function module.
You can find the settings for the module editor, for example, in Customizing for Bank Analyzer by choosing Bank Analyzer Analytics Profit Analyzer Profit Engine Calculation Edit Modular Costing.
Result Database (FS-BA-TO-RDB)
The Result Database (RDB) is a database in which the system saves results data permanently. Results are then available for further processing, by reporting, for example, or for additional calculation runs.
The RDB and the Results Data Layer (RDL) are two different results databases in which the system can store results data. Each database is based on different principles. The RDB is found in a variety of forms in Bank Analyzer. These forms depend on the various areas (Financial Accounting, Basel II). The RDL is a standardized results data store for accounting and risk-based analyses of financial transactions or financial instruments.
For the long-term we recommend that you use the central RDL to store results data in a standardized way. In Customizing for Bank Analyzer you can choose whether the system is to store Basel II-specific results data in the RDB or the RDL.
Processing Framework (FS-BA-TO-PFW)
The Processing Framework supplies the processing rules with data from various data source categories. The calculation and allocation processing rules are available in Profit Analyzer, for example. The system uses suitable selection conditions to create a worklist. The system can also add further information using a secondary data source. The result records generated by the processing rules are forwarded to the temporary buffer, The system provides verification lists which you can use to check whether the result records are plausible from a business perspective. The result records are then updated in data drains.
You can also start the processing steps manually. In a typical scenario, you include the processing steps in the Schedule Manager which then carries out an automatic month-end processing on the basis of this.
Run Administration (FS-BA-TO-RUN)
Run administration provides you with various processing functions for the runs in the
individual Bank Analyzer applications. Run administration therefore enables standard, general run administration.
Aggregation Tool (FS-BA-TO-AGT)
The aggregation tool is used to aggregate data from primary and secondary data sources, BAPIs, and the Data Processing Framework. The aggregation type is determined using granularities such as the branch or the business partner. Possible aggregation functions are determining minima, maxima, totals, or the number of occurrences of a certain value.
You can find the settings for aggregation, for example, in Customizing for Bank Analyzer by choosing Analytics Historical Database General Settings for the Historical Database General Settings for Data Selection Settings for Aggregation Processes. You can use the Aggregation Business Add-In (BAdI) to override the results from the aggregation process you defined in the IMG activity Edit Aggregation. This enables you to change individual results.
Data Processing Framework (FS-BA-TO-DPF)
The Data Processing Framework provides selection processes for processing data to the
Historical Database, the Limit Manager and Bank Analyzer-wide to generic BI data
extraction and generic ad hoc reporting For example, you determine the selection settings
in Customizing for the -Historical Database in the Edit Basic Settings for Data Sources section. Every selection is assigned to a fixed context (application of the Data Processing Framework) which is, in turn, assigned to a certain application of the module editor. Data processing that is either triggered by a report or by generic data extraction, for example, can contain both selection BAdIs as well as aggregations and general selection criteria.
Configurator (FS-BA-TO-CON)
The configurator reads characteristics and key figures and generates customer-specific database tables and field structures for further processing. The system calls these processes "generation". The system currently uses only both Bank Analyzer accounting scenarios for generation. For more information, see the documentation about Generation.
The division of the components ensures that data is stored in an integrated and consistent way. The system loads original data from operational systems or source systems into the Source Data Layer (SDL). The SDL is the original data basis for the processes and methods of Bank Analyzer. The valuation results of processes and methods are stored in the Results Data Layer (RDL). This structure ensures that original data, methods, and valuation results are clearly separated. The open, modular structure of Bank Analyzer supports a gradual implementation into existing system landscapes. Bank Analyzer provides a consistent view of a bank's operational data and enables you to process data promptly so that you are always in a position to provide current financial and risk information. Results data is therefore always available for decision-making and for day-to-day business.
The figure below shows the structure of Bank Analyzer:
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1. 1. The SDL manages the basic data for the measurement of financial products. This data is loaded from the operational source systems by means of extraction, transformation, and loading (ETL) processes.
The SDL is the source for semantically integrated data for all valuation processes that are based on financial products, and is also a central consolidated source for analyses.
The SDL is not used to store data that has already been analyzed completely. Instead, this data is stored in the RDL.
2. 2. The RDL manages consistent and reusable financial and risk data from various calculation and valuation processes for financial instruments and financial transactions.
3. 3. Reporting and Analytics read results data from the RDL. The Analytics layer contains analytical applications that call results from the RDL and process them as required. This means that results data is analyzed specifically for each application.
4. 4. Infrastructure and Tools provide central services and utilities for the various Bank Analyzer components.
In addition to the RDL, Bank Analyzer also has a Result Database (RDB). RDL and RDB are two different results databases where the system can store results data. The RDB is found in a variety of forms in Bank Analyzer. These forms depend on the various areas (Financial Accounting, Basel II). The RDL is a standardized results data store for accounting and risk-based analyses of financial transactions or financial instruments.
Integration
The integrated data store for product-based source and results data is based on SAP NetWeaver Business Intelligence technology. SAP NetWeaver is the basis for integrating Bank Analyzer in various IT environments and internal bank solutions.
Features
Bank Analyzer contains the following solutions:
SAP Financial Database
The SAP Financial Database solution offers an extensive database infrastructure for analytical data and accompanying data processing systems. It is technically compatible with other SAP applications and with third-party applications.
SAP Financial Database uses the following Bank Analyzer components: ● SDL (FS-BA-SD)
● RDL (FS-BA-RD)
● Cash Flow Generation (FS-BA-PM-GM-CFG) ● Correction Server (FS-BA-IF-CS)
The system uses ETL processes to load original data from other systems or source systems into the SDL in the form of primary objects. Primary objects are a flexible way of storing master data and flow data in entities that belong together logically from a business perspective.
Results data from financial calculations and valuations are stored in the RDL in results data areas in the form of result types. The SAP Financial Database uses the SDL and RDL to support the extensive versioning and authorization concept. In the SDL it provides functions to support the principle of dual control. This means that you can define special release rules to protect certain processes.
Cash flow generation generates cash flows that are made up of a number of flows (for example, disbursement, interest, payment).
The correction server enables data flow management and records corrections to find and display any inconsistencies. The correction server records corrections and can find and display any entities belonging to these corrections, provided the relevant system settings are made.
SAP Basel II
The SAP Basel II solution supports the Basel II regulations for risk and capital adequacy management as well as new supervisory review and disclosure processes. The solution integrates both internal and external credit risk management on a central platform. Bank Analyzer supports all methods for calculating credit risk, from the standardized approach to the IRB advanced approach.
In addition, the software covers the local requirements for the EU Directive and the German Solvency Regulation. You can use Customizing settings to define whether the calculation is for Basel II, the EU Directive, or the German Solvency Regulation.
The system runs the calculation not only for real data, but also for stress data (for example, changes in the ratings of sovereigns or business partners).
The SAP Basel II solution uses the following Bank Analyzer components: ● Account Pooling (FS-BA-PM-GM-AP)
● Free Line (FS-BA-PM-GM-FL)
● Determination of Default (FS-BA-PM-GM-DD) ● Credit Exposure (FS-BA-PM-CR-CE)
● Historical Database (FS-BA-HDB) ● Disclosure and Reporting (FS-BA-DR) ● Regulatory Reporting Interface (FS-BA-RR)
SAP Accounting and Financial Instruments
The SAP Accounting and Financial Instruments solution supports compliance with the International Financial Reporting Standards (IFRS) and local accounting standards.
Subledger scenario
In this scenario you use Bank Analyzer as a subledger for the accounting of financial instruments. You transfer financial instrument data to the Bank Analyzer system here. You can then post and price the related business transactions, aggregate documents, and transfer them to the general ledger. You can also create the financial statements for the end of the period. You can link the hedging relationships between financial instruments, test the effectiveness of the hedging relationships as per the accounting rules, and create accounting documents for the hedged items.
In addition to the SDL and the RDL, the subledger scenario uses the following components: ● Accounting Processes
● Hedge Processes (FS-BA-PM-HP)
● General Ledger Connector (FS-BA-AN-GL) ● Financial Statement Preparation (FS-BA-AN-FSP)
SAP Accounting for Financial Instruments is released for volumes of up to 1 million financial transactions only. If the volume of your business exceeds 1 million transactions, a fit/gap analysis is required. For more information, contact your SAP account executive, or create an OSS message under component FS-BA.
Merge scenario
You can use this scenario to process financial instruments in accordance with IFRS, determine financial reporting data, consolidate data from individual companies, and create company reports. The system merges the calculated IFRS data with the local GAAP (Generally Accepted Accounting Principles) data and calculates the required financial statement items. You can link the fair value hedging relationships between financial instruments, test the effectiveness of the hedging relationships as per the accounting rules, and create accounting documents for the hedged items. You can display the results in reporting.
The merge scenario stores results data in the RDB.
SAP Hedge Management
The SAP Hedge Management solution handles all hedging activities in line with IAS 39. Bank Analyzer covers fair value hedges, cash flow hedges, and portfolio fair value hedges. The system identifies hedged objects and hedging instruments, and maps these as hedging relationships in line with IFRS. Bank Analyzer provides prospective and retrospective effectiveness tests, and extensive functions for hedge accounting.
SAP Profitability & Management Accounting
This solution comprises scenarios for profitability analysis. Profitability analysis measures the indirect costs and income generated by each transaction in the bank's retail business. These include cash-flow-based financial transactions such as loans and accounts that can be measured on the basis of periodic volume information. The indirect costs and income to be measured are funding costs, funding revenue, and the standard costs for the following components: process costs, risk costs, and the cost of equity.
● Profitability analysis with accounting function (integrated accounting for financial products) You can use this scenario in conjunction with the subledger scenario for financial products only. It allows you to integrate financial accounting and management accounting. The integrated accounting scenario allows you to create income statements and balance sheets for organizational units such as business units or profit centers.
● Profitability analysis without accounting function
In this scenario, you supply direct costs from source systems and use the profitability analysis functions without the Bank Analyzer component for accounting processes.
SAP Profitability Analysis & Management Accounting and SAP Limit Manager are released only for volumes not exceeding 300 000 transactions. If the volume of your business exceeds this, a fit/gap analysis is required. For more information, contact your SAP account executive, or create an OSS message under component FS-BA.
Additional Components
● Limit Manager (FS-BA-AN-LM)
See the note under SAP Profitability Analysis & Management Accounting. ● Strategy Analyzer (FS-BA-AN-STA)
● Profit Analyzer (FS-BA-AN-PA) ● Counterparty Risk
● Country Risk
Limit Manager (FS-BA-AN-LM)
Purpose
To meet the requirements of risk management regulations and business considerations, Bank Analyzer contains functions for measuring, limiting, and analyzing default risks.
Banks set different maximum risk amounts in order to limit the potential harm caused by the insolvency of a business partner.
This function helps you manage defaults by means of limits and the online monitoring of these limits. These functions can be used to produce comprehensive reports for management purposes and for external purposes.
Integration
Limit Manager is part of Bank Analyzer. It uses the attributable amounts calculated from Credit Exposure, for example, and allocates them to the limits you define. You can display the results of the limit utilization runs using the SAP List Viewer (ALV) or SAP NetWeaver Business Intelligence (BI). For more information, see Architecture of Limit Manager.
Features
You use Limit Manager to manage risks by defining limits and monitoring them continuously to ensure that these limits are observed. Limits can be managed flexibly, since the limit characteristics that are available can be combined in any way.
Limit Manager enables you to define different levels for the limitation of default risks. The limit area represents the highest level, and is used to separate different areas that are logically independent. There are different limit types for each limit area. You assign defined limit characteristics, such as an organizational unit, a business partner, or currency, to the limit types. Within a limit, you define specific limit amounts that are related to the characteristic values of a limit type.
You can create a limit for each combination of limit characteristics and limit characteristic values. The limit is a maximum amount for limit utilizations that is defined in relation to certain values of the limit characteristics of a limit type.
Architecture of Strategy Analyzer
Integration
Strategy Analyzer is one of the Bank Analyzer applications. As is the case with the other applications, Strategy Analyzer is also provided with data from the Source Data Layer (SDL). Reporting functions are provided by SAP NetWeaver Business Intelligence (BI) or directly in Bank Analyzer by the SAP List Viewer (ALV)
SAP provides fixed key figures for NPV analysis and gap analysis in Strategy Analyzer; you cannot change these key figures. SAP provides pricing models for the valuation of financial transactions and
instruments. You can add your own pricing models in Customizing, and you can also connect external price calculators.
Strategy Analyzer uses the General Calculation and Valuation Methods component in Bank Analyzer, which contains cash flow refinement methods , derivation strategies for preparing selected transaction data, and the price calculator for pricing transactions and positions.
Data Flows
Strategy Analyzer uses the same architecture for the net present value analysis and the gap analysis. For this reason, Strategy Analyzer is divided into two runs: the valuation run and the aggregation run. The valuation run prices transactions, and the aggregation run consolidates cash flows and net present values across a maturity band. In net present value analysis, you start the valuation run only. For gap analysis, however, you start both the valuation run and the aggregation run, except for the aggregation of single records in gap analysis, in which the results of a valuation run are displayed without being consolidated.
NPV and gap analyses can be started online or as batch jobs. We recommend you start them in online mode only if the volume of data is small. In batch processing, Strategy Analyzer uses the Result Database (RDB) for interim results (IntR-RDB) and final results (FinR-RDB):
In online processing, only the main memory is used and not the RDB. Moreover, reporting can only be carried out in the SAP List Viewer (ALV).
You can write the results of the valuation runs to a file. You make this setting in Customizing for Strategy Analyzer for each valuation run type. If you select File as the data drain, the system writes the results of the valuation run to the application server in the form of a file. This file is then also available to other systems, as well as Bank Analyzer. The administrator of the application server has to ensure that only authorized users can access the data. We also recommend that you encrypt the data.
Dependencies
Not all valuation run results can be saved in file form on the application server. This is possible for split cash flows only.
Valuation Run
Valuation runs are started for net present value analyses and gap analyses. In order to improve performance, a valuation run is usually divided into subvaluation runs that are started separately and that are processed in parallel. Each subvaluation run involves the following steps:
● Creation of a worklist
The system uses InfoSets and selection characteristics to select the object IDs of the transactions and positions that are to be analyzed from the SDL.
You can use selection criteria to restrict the worklist of a valuation run or its subvaluations. You might need to do this if, for example, you assign a valuation run multiple subvaluations that are provided by the same InfoSet but that you want to process in different worklists. The selection criteria must not overlap, but they must make up the entire valuation run worklist.
● Selection of transactions and positions
The transactions and positions are selected in the secondary data source. ● Formatting of cash flows
In the secondary data source, the system calls up the Cash Flow Engine. The Cash Flow Engine contains multiple cash flow refinement methods that the system uses to change the valuation structure of transactions and positions in order to prepare the data for the analysis. ● Measurement of transactions and positions
The system calculates the key figures of the selected key figure family (net present value or gap).
● Summarization of the segments
In order to improve performance and reduce the volume of data, the system summarizes the results before it writes them to the Result Database and displays them there. Summarization is carried out for the segments defined in Customizing for Strategy Analyzer.
Aggregation Runs
The aggregation run is started for gap analysis only, and involves the following steps: ● Maturity band summarization
The system summarizes the interim results along the maturity band. ● Calculation of the net interest income
● Segment hierarchy summarization
The system summarizes the interim results across the specified segment hierarchy along the maturity band.
● Currency translation
The system translates the results into the display currency. ● Interpretation
The system formats the aggregated gap analysis results and the net interest income in such a way that a complete result is available for each maturity band date. The system carries out this step for all the reporting settings that were determined in Customizing for the aggregation run.
Net Present Value (NPV) Analysis
Purpose
To obtain an objective view of the financial and risk position of a bank, it has to be possible to value all financial assets by the sales price realizable on the market, and all financial liabilities by the redemption price demanded by the market. The net present value analysis in Strategy Analyzer is used for this purpose. This analysis enables the mark-to-market values of individual items or of a portfolio, for example, to be calculated.
In addition to the mark-to-market valuation, financial transactions and financial instruments can also be valued at theoretical prices. This is particularly useful if you are unable to carry out a mark-to-market valuation of the items or cannot because mark-to-market data is missing.
In the net present value analysis, you can enter any horizon you want so that the system can carry out evaluations for the current date and for future dates. You can also specify market data scenarios that the system is to use. This results in the following options for carrying out the net present value analysis:
● Evaluation today based on current market data
All future cash flows are priced using the specified current market data, and the net present value is discounted to the horizon.
● Evaluation using scenario data
All future cash flows are priced using the specified market data scenarios, and the net present value is discounted to the horizon date.
● Evaluation in the future using forward rates
Transactions and positions are priced for a horizon in the future. Here the system calculates forward rates for the horizon from the current market data or market data scenarios on the evaluation date. It uses these forward rates to price all cash flows after the horizon date by discounting the net present values for the horizon date.
You can also carry out the net present value analysis for historical dates. In this analysis, the system also uses the market data that is valid on the evaluation date (here, the historical market data). The transactions are selected from the Source Data Layer (SDL) by using selection characteristics, which you can define as required. A large number of settings are provided for the NPV analysis. These settings can be used to define how the net present values are displayed in reporting and include cash flow splitting and cash flow view settings.
The relevant bid/ask spreads quoted on the market can be used for the financial positions in the NPV analysis. The system also prices transactions that are traded in different markets (German federal bonds or mortgage bonds) using yield curves that are specific to these markets. Likewise, the system uses different volatility curves to calculate the prices of standard options and exotic options.
Process Flow
Depending on the volume of the data that is to be analyzed, you should either start the NPV analysis immediately (online processing) or schedule it for a later point in time (batch job).
Online analysis
The analysis is called immediately, and the report is generated straight away. This type of analysis is suitable for small volumes of data only.
The NPV analysis and the reporting of the results of the analysis are scheduled to start at a later point in time. This method is recommended for large volumes of data.
You can display the results of the NPV analysis in reporting.
Net Present Value (NPV) Analysis
Purpose
To obtain an objective view of the financial and risk position of a bank, it has to be possible to value all financial assets by the sales price realizable on the market, and all financial liabilities by the redemption price demanded by the market. The net present value analysis in Strategy Analyzer is used for this purpose. This analysis enables the mark-to-market values of individual items or of a portfolio, for example, to be calculated.
In addition to the mark-to-market valuation, financial transactions and financial instruments can also be valued at theoretical prices. This is particularly useful if you are unable to carry out a mark-to-market valuation of the items or cannot because mark-to-market data is missing.
In the net present value analysis, you can enter any horizon you want so that the system can carry out evaluations for the current date and for future dates. You can also specify market data scenarios that the system is to use. This results in the following options for carrying out the net present value analysis:
● Evaluation today based on current market data
All future cash flows are priced using the specified current market data, and the net present value is discounted to the horizon.
● Evaluation using scenario data
All future cash flows are priced using the specified market data scenarios, and the net present value is discounted to the horizon date.
● Evaluation in the future using forward rates
Transactions and positions are priced for a horizon in the future. Here the system calculates forward rates for the horizon from the current market data or market data scenarios on the evaluation date. It uses these forward rates to price all cash flows after the horizon date by discounting the net present values for the horizon date.
You can also carry out the net present value analysis for historical dates. In this analysis, the system also uses the market data that is valid on the evaluation date (here, the historical market data). The transactions are selected from the Source Data Layer (SDL) by using selection characteristics, which you can define as required. A large number of settings are provided for the NPV analysis. These settings can be used to define how the net present values are displayed in reporting and include cash flow splitting and cash flow view settings.
The relevant bid/ask spreads quoted on the market can be used for the financial positions in the NPV analysis. The system also prices transactions that are traded in different markets (German federal bonds or mortgage bonds) using yield curves that are specific to these markets. Likewise, the system uses different volatility curves to calculate the prices of standard options and exotic options.
Process Flow
Depending on the volume of the data that is to be analyzed, you should either start the NPV analysis immediately (online processing) or schedule it for a later point in time (batch job).
Online analysis
The analysis is called immediately, and the report is generated straight away. This type of analysis is suitable for small volumes of data only.
Batch evaluation
The NPV analysis and the reporting of the results of the analysis are scheduled to start at a later point in time. This method is recommended for large volumes of data.
You can display the results of the NPV analysis in reporting.
Gap Analysis
Purpose
Gap analysis enables banks to monitor and manage interest rate risks from transactions so they can make strategic decisions with regard to gap positions for defined points in time. Liquidity analysis and the cash flow evaluation enable banks to manage their liquidity requirements and NPV risks.
In contrast to NPV analysis, where risks are recorded using NPVs and future values, in gap analysis, position and maturity volumes as well as cash flows and liquidities are displayed on key dates or for periods. The gap positions, interest rate risk, currency risk, and liquidity risk that are disclosed in this way are then displayed.
You can carry out gap analysis for single transactions or for user-defined segments in a segment hierarchy. In reporting, you can switch between different segment hierarchy levels and display the results by different cash flow views, market data scenarios, and currencies.
The Strategy Analyzer gap analysis includes the following evaluations:
Position evaluation
The system compares the development of lending and borrowing positions from both the balance sheet and off-balance-sheet areas. You can carry out both a key date position evaluation and an average position evaluation.
Maturity evaluation
The system shows the NPV interest rate risk by using; the fixed-rate cash flows. You can restrict the evaluation to particular currencies.
Cash flow evaluation
The system displays the NPV interest rate risk; the cash flows cash flows are displayed only up to the time point at which the interest rate was fixed. You can restrict the evaluation to particular currencies.
Liquidity evaluation
The system depicts the incoming and outgoing payments for the capital tie-up. In contrast to the cash flow evaluation, only incoming and outgoing payments that are expected to be realized are displayed.
NPV evaluation
The system displays the NPVs of a portfolio or the associated cash flows in the maturity band. You can also use market data scenarios in the analysis. You can calculate full scenarios and delta scenarios.
Net interest income evaluation
The system calculates the potential net interest income for each maturity band. The capital tie-up is used as the basis for this. For variable items, the interest revenue or the interest expenses that has not been determined is calculated using the forward interest rate.
If the default setting is used, the system does this in all evaluations. In gap analysis, you can specify that the system does this for certain evaluations only in order not to impair system performance. For more information, see Creating Valuation Runs.
You can use gap analysis as follows:
● To display the interest rate risk as a potential negative deviation in the net interest income per period from the expected net interest income per period
● To display position volumes for key dates and for periods and maturity volumes for key dates and periods in terms of their fixed interest rates and capital tie-up, and to display fixed-rate cash flows and incoming and outgoing liquidity
● To display gap positions as a comparison of the volume of lending and borrowing positions, and maturity volumes, as well as incoming and outgoing cash flows or liquidity flows
● To analyze positions, maturity, and cash flows from fixed-rate items for any subportfolio on a daily basis
● To display the net interest income for old business whilst using scenarios
● To include variable items without a fixed-interest period by means of due date scenarios (demand deposits and savings deposits) and forwards (for example, floaters, the variable side of swaps and forward rate agreements) in the analyses
● To include non-interest-bearing items without a fixed-interest period by using due date scenarios (for example, equity, provisions, land, and buildings) in the analyses
● To include optional interest rate instruments and their underlyings or delta-weighted underlyings (for example, forward swaps for swaptions, (fictitious) bonds for OTC interest rate options, options on futures) in the analyses
● To display the results distributed over maturity bands, which can be subdivided into any time period, for example, day, month, quarter, half-year, and year
Example
An interest rate risk exists, for example, if a fixed interest rate gap exists in the lending positions for a particular currency. The diagram below illustrates this:
In the closed fixed interest rate block area, there is no risk because the product interest rates of the assets and liabilities are not affected by the market interest rates. The net interest income is therefore not affected by changes in the market interest rate. In the closed variable-rate block, it is assumed
that the changes in the market interest rates are reflected in both the asset-side and the liability-side items, meaning that the final net interest income is unchanged in this block too.
Therefore, the actual risk is seen in the area of the fixed interest rate gap; in the area under “Assets” in this example. If, for example, the interest calculated for the variable-rate liabilities increases as a result of increases in the market interest rate, then you expect a decrease in the net interest income.
Prerequisites
Settings have to be made for the gap analysis in Customizing for the General Calculation and Valuation Methods and for Strategy Analyzer. For information about this, see Strategy Analyzer
Architecture.
Process Flow
Depending on the volume of the data you want to analyze, you should either start the gap analysis immediately (online processing) or schedule it for a later date (batch processing).
Online evaluation
The analysis is called immediately, and the report is generated straight away. This type of analysis is suitable for small volumes of data only.
Aggregation of valuation runs
The aggregation run is called immediately on the basis of a valuation run that has already been carried out. The results are displayed straight away.
Batch evaluation
The gap analysis and the reports are scheduled to run at a later point in time. This method is recommended for large volumes of data.
The system stores the results of the gap analysis in the Results Database (RDB). Reporting is carried out in SAP NetWeaver Intelligence (BI) or the SAP List Viewer (ALV).
Run Administration
Definition
Run administration includes the following functions:
● Execute or create run
● Display an overview of runs
● Display application log
● Edit run
● Manage run
● Replace run
● Select run for archiving
● Delete run
The above functions are not all available for each application. For more information, see the application-specific documentation.
Use
The following table lists the runs available for each application:
Application Run
General Methods in Bank Analyzer Account Pooling
Facility Distribution
Determination of the Free Line Collateral Distribution
Determination of Default
Stress tests:
Stress test for account pooling Stress test for facility distribution
Stress test for the determination of the free line Stress test for collateral distribution
Stress test for default determination
Credit Risk Credit Exposure Run
Country Risk Run
Stress test:
Stress Test in Credit Exposure
Historical Database Version management:
Historization Run for Data Layers
Historization Run for Bank’s In-House Models Uploading of Files
Calculation functions:
Determining Default Rates
Determining Average Default Rates
Determining Default Figures
Calculation of Migration Matrices
Data retrieval:
Exporting Data to In-House Models Downloading of Files
Stress runs:
Stress Run for Supplying Models with Data Generation of Scenario Data in the Source Data Layer
Generic BI Data Extraction Testing the BI Extractor
BI Extraction Run
Extraction runs are created and executed in SAP NetWeaver
Business Intelligence (BI).
The system displays information about extraction runs in run administration of Bank Analyzer.
Regulatory Reporting Interface Data Extraction Runs
Limit Manager Limit Utilization Run
Strategy Analyzer Valuation Run
Subvaluation Run Aggregation Run Fair Value Effectiveness Test for Hedging
Relationships
Fair Value Effectiveness Test Run
Cash Flow Hedge Analysis Creating Valuation Runs
Subvaluation run
Creating Aggregation Runs
Portfolio Fair Value Hedge Initial Generation Run
Portfolio Item Run
For some of the Bank Analyzer components, you can use the Schedule Manager to schedule and control jobs. If you use multiple applications, you can define the sequence in which the runs are to be carried out. For more information, see Schedule Manager. See also: Status Overview for Run Administration
Tools
In order to provide an overview of the evaluation bases while the system is in operation, you
can display the individual Customizing settings. You have the following options:
Displaying Field Instances
Editing Secondary Data Sources
Current Settings
● Create Maturity Band ● Edit Due Date Scenario
● Edit Scenarios and Scenario Progressions
To set up scenarios, on the SAP Easy Access screen choose Bank Analyzer Processes and Methods Hedge Processes Cash Flow Hedge Analysis Current Settings Edit Scenarios or Bank Analyzer Analytics Strategy Analyzer Current Settings Edit Market Data Scenarios.
To set up scenario progressions, on the SAP Easy Access screen choose Bank Analyzer Processes and Methods Hedge Processes Cash Flow Hedge Analysis Current Settings Edit Scenario Progressions or Bank Analyzer Analytics Strategy Analyzer Current Settings Edit Scenario Progressions. For information about other functions, see the document Market Data Scenarios in the Source Data Layer (SDL) documentation.
The Strategy Analyzer contains the function Edit Filter.
Tools
In order to provide an overview of the evaluation bases while the system is in operation, you
can display the individual Customizing settings. You have the following options:
Displaying Field Instances
Editing Secondary Data Sources
Profit Analyzer (FS-BA-PA)
Purpose
This component provides a costing and allocation system that allows costs and revenues to be
assigned to individual bank transactions, customers, profit centers, or other definable segments in a
way that reflects their true cause.
The results are updated as line items as part of a profitability analysis and can be evaluated in
accordance with various user-defined criteria. The results can be evaluated on the basis of market
segments, such as products, customers, regions, or organizational units, for example, a profit center.
In this way, Profit Analyzer allows you to cost, for example, a product, a customer, or a profit center.
Profit Analyzer can also be used to plan sales on the basis of user-definable characteristics and key
figures.
Features
Profit Analyzer is divided into the following components:
... 5. 1. Profit Engine 6. 2. Profitability Analysis 7. 3. Profitability Planning ... 8. 1. Profit Engine
In the Profit Engine, individual contracts, or any other segments, are costed by means of
modular
costing
. A variety of valuation functions that can be combined are provided for this purpose. The
allocation module carries out
allocations
between individual segments. The
processing
framework
provides data, manages and logs processing, and updates the results.
9. 2. Profitability Analysis
All the results determined by the Profit Engine are consolidated in Profitability Analysis. In terms of
processes, Profitability Analysis is responsible for the following subprocesses:
Depicting completed periodic contribution margin accounting and Profitability Analysis.
Structuring and updating line items
Providing results data for internal and external access
Data flow and controlling through Profitability Analysis
Complete profitability analysis means period-specific contribution margin calculation after all
allocations have been carried out.
Profitability Analysis is part of
Business Accounting
(B-Accounting). For more information, see the
relevant documentation.
10. 3. Profitability Planning
Profitability Planning in Profit Analyzer supports the overall process of sales planning of instrumental
reporting for financial institutions. User-defined key figures are planned. They are classified by
user-defined characteristics.
In order to carry out operative sales planning, Profit Analyzer uses the SAP SEM-BPS application. This application is shipped separately and is not integrated in Profit Analyzer. For more information, see the documentation on the SEM-BPS application.
Profitability Management
Definition
Business Accounting is both the most important data drain and a Profit Analyzer data source. To enable Profit Analyzer to use Business Accounting, you have to make specific settings for Profit Analyzer (Profitability Management) in addition to the basic accounting settings.
These settings concern in particular:
(Profitability management view) variant Line items
Realignment Special key figures
Use
Set Up a Variant
A profitability management view is a variant of a set of basic data (the data basis). The data basis is the highest entity in Business Accounting. The accounting systems are provided with the key figures and characteristics of the data basis. The variant contains the key figures and characteristics of a data basis that are relevant for Profit Analyzer and comprises a consistent analysis of profitability (calculation/contribution margin accounting) in Profitability Management (not to be confused with the “entry variant” for line items).
Only one variant can be active for each data basis. The active variant is the central data store for Profit Analyzer. You use the variant to first store the Profit Analyzer data as line items in Business
Accounting, and then as totals records (aggregated line items) in an InfoCube in SAP NetW eaver Business Intelligence (BI). From this InfoCube, Analyzers can request the data via a primary or secondary data source; see also: Data Storage for Accounting Views.
Line Items
You can create line items manually if data was not supplied from the source systems on time or correctly.
This is a delta correction, in which missing values (such as key figures) are added, and existing documents are not overwritten.
Example:
The nominal volume of a transaction has been incorrectly entered as 1 million instead of 1.2
million. You have to create a new line item with the same characteristic values and a nominal
volume of 0.2 million.
If you need to change the characteristic values of a posted document, you first have to cancel the original document and then create a new document that contains the correct characteristic values.
Example:
A business transaction was assigned to the wrong organizational unit. You have to cancel the
original document and then post a new document that contains the correct organizational unit.
The posting date of the new document can be either in the past or in the future. The system displays all the characteristics and key figures of this data basis variant. You use the entry variant to determine whether fields can be maintained or whether they are predefined. Note that when you enter a currency, the key figure currency of all the key figures that refer to this currency field contains the new currency.
Realignments
Realignment is the process in which you change the structure of a company, template hierarchy, or organization, for example. During this process, postings that have already been made are adjusted retroactively. Two InfoCubes are available for this purpose: The first InfoCube (As Posted view) contains the data originally posted. The other InfoCube (By Current Structure view) contains the changed data as if the new structure had always existed in this form.
Special Key Figures
You use BI technology to calculate key figures at runtime. These calculated key figures (special key figures) are to be used in addition to the updated key figures, and can be defined in Profitability Management. You can define your own aggregation processes in addition to using the BI logic for aggregating values.
Activities
...11. 1. Set Up a Variant
To set up a variant, in Customizing for Bank Analyzer choose Analytics Profit Analyzer Profitability Management Set Up Variant.
When you set up a variant, you have to consider the following issues:
○ Which basis key figures, calculated key figures, and characteristics you want to use for costing/contribution margin accounting.
○ The more characteristics and characteristic values you include in the variant/InfoCube, the more time the system requires for the analyses.
12. 2. Line Items
In order to enter line items later, you first have to create an entry variant. To do so, in Customizing for Bank Analyzer choose Analytics Profit Analyzer Profitability Management Line Items Characteristic and Key Figure Groups/Entry Variants.
An entry variant is the form that you use to update line items for corrections, for example, in Profitability Management. Entry variants are therefore a selection of characteristics, characteristic values, and key figures that define the part of the variant of the data basis that you want to correct. You can create any number of entry variants.
When you create an entry variant, you have to consider the following issues: ○ Which characteristics and key figures are to be entered?
○ Which fields should be required entry fields?
○ Which fields should contain default values? If required entry fields contain default values, can these default values be overwritten?
○ Whether the calculation module can be used to fill additional fields that are locked for entry.
To enter line items, you can use an authorization concept based on characteristics or apply
a calculation module to the data that was entered to check whether the data is plausible, or for
calculation purposes, for instance.
To assign a calculation module and a characteristic profile to an entry variant, in Customizing for Bank Analyzer choose Analytics Profit Analyzer Profitability Management Line Items Assign Costing Module and Characteristic Profile to a Screen Variant. You can determine whether a calculation module is to be used and if so, which one. If no calculation module is run, the data is forwarded directly to the data store in order to be updated.
To enter a line item, on the SAP Easy Access screen choose Bank Analyzer Analytics Profit Analyzer Profitability Management Line Item Entry for Corrections.
To use the document you have just posted as a template, choose Transfer Template. You can change this template.
Two additional options are also provided for filling a new document (you can choose New Line Item to empty the fields):
To use an existing document as a template, choose Environment Line Item Entered Manually. You can select a document and choose the appropriate pushbutton to use it as a template.
To display and cancel the source document, choose Environment Line Item Entered Manually Source Document.
To call a calculation module and to carry out a valuation, choose Valuation. The result of the valuation is displayed, but not updated. You must have already set up the calculation module and assigned it to an entry variant.
You can also choose Simulation to carry out a valuation. In this case, however, the documents are also displayed in the form in which they would appear if they were posted in Business Accounting.
To post the documents, choose Save. When you post the documents, the system checks the authorization in accordance with the characteristic profile that you have assigned to the entry variant.
