Bank Analyzer

Transcripción

Bank Analyzer

Plataforma Integrada de Contabilidad
y Riesgo
Carlos Hernández/IVE Head Norte LAC
Agenda
1.  Arquitectura Bank Analyzer
2.  Riesgo Crédito-Basel II/Limit Management/Credit Portfolio
Management
3.  AFI
4.  ALM
5.  Rentabilidad
©  2011 SAP AG. All rights reserved.
2
Agenda
Management
3.  AFI
4.  ALM
5.  Rentabilidad
3
Industry Value Map - Retail & Commercial Banking
Retail Banking
Operations
Commercial Banking
Operations
Risk and Compliance
Sales and Service
Multichannel
Retail Deposits
Cash and Liquidity
Management
Credit Risk
Management
Customer Acquisition
Mobile Customer
Retail Lending
Commercial Lending
Liquidity Risk
Management
Customer Management
Internet Banking
Centralized Payment
Processing
Leasing
Governance,
Compliance and
Surveillance
Social Media
Engagement
Call Center
Financial Services
Network
Enterprise Risk
Reporting
Automated Teller
Machines
Finance
Finance Transformation
Performance Management
Finance and Risk Data
Management (IFRA)
People and Talent
Core Human Resources
and Payroll
Talent Management
Workforce Planning
and Analytics
Procurement
Supplier Discovery and
Lifecycle Management
Strategic Sourcing
and Contracting
Procurement and
Order Collaboration
Collaborative Invoice to
Pay
Application Lifecycle
Management
IT Infrastructure
Management
IT Portfolio and
Project Management
IT Service Management
IT Strategy and
Governance
Analytics
Data Management
Application Development
and Integration
Enterprise Mobility
Consumer Experience
IT Management
Technology
Solutions
Collaborative Financial
Operations
SAP HANA Platform
https://apps.wdf.sap.corp/VMSX/BRC/BRC_map.php?startpage=index.php
4
Bank Analyzer Architecture: What is it?
An Application Platform for Analytical Banking
Applications (SAP + non-SAP)
Results Data Layer
Calculation
And
Valuation
Process
Manager
Valuation Layer
Source Data Layer
© SAP 2008 / Carlos Hernández Bank
Analyzer 5
5
Puntos de Integración – Capa de resultados (Results Data
Layer)
La capa de resultados (Results Data Layer) consolida resultados de los
procesos de cálculos y valoración en estructuras de data comunes y
soporta los procesos de reconciliación. Una vez almacenados en, la
data puede ser reutilizada en procesos adicionales de cálculo y
valoración o en la capa analítica y de reportes.
Métodos
iento
esam
Proc ccional
a
trans
Valo
ració
n
Pos
ición
finan
ciera
Results Data Layer
Results Data Area (RDA) … n
Results Data Area (RDA)
Common/Local Results
Bank Management
§  Financial Accounting
§  Regulatory Reporting
§  Management Acc.
§  Capital Management
Risk Management
Valoración
Riesgo Credito
Analiticos /
Reportes
CHAR
KEY FIG.
ón
raci
Valo ge
Hed
§  Limit Management
§  Risk Analytics
§  Simulation
§  …
…
Tran
s
fere
ncia
s
e.g.: Book Value, Income/Expenses, Free
Line, Expected Loss, Credit Risk Exposure,
Holding Category …
6
Bank Analyzer – Architecture
Data Mining
Bank
© SAP 2007
/ PageCapital
7 Management
Results
Management
Regulatory Reporting
Data
Portfolio
Layer
Limit Management
& Risk
Management
Results
Data
Layer
Valuation
Layer
Methods
Layer
Backtesting
Financial Accounting
Management Accounting
Risk Analytics
Simulation
Financial Data Mart Periodic Result
Financial Data Mart Present Value Result
Financial Data Mart Multipurpose Result Base
Transaction Processing
Credit Risk Valuation
Revenue & Cost Valuation
Market Risk Valuation
Financial Position Valuation
Interest Rate Risk & Liquidity Valuation
Hedge Valuation
Operational Risk Valuation
Scenario Calculation
Total Risk Valuation
Calculation & Valuation Process Manager
Source Data
Layer
Financial Data Base
ETL
7
Agenda
Management
3.  AFI
4.  ALM
5.  Rentabilidad
8
Credit Risk-Basel III
n El
cálculo de Riesgo Crédito-Basel III de SAP cumple con Basel III
n Todas
las clases de activos y garantías, todos los portafolios (soberanos, banca, corporativos, retail, etc.)
y todos los enfoques son cubiertos
n Chequeos
n Algoritmo
para todas las garantías y colaterales
de Optimización para la distribución de colaterales (Programación Lineal)
n Resultados
de los procesos de cálculo incluyen exposure at default, risk weighted assets, expected losses
and regulatory capital
Pre-Runs
Main Run
Account Pooling
Determination
of free line
Retail
pre-processing
Determination
of default
Risk weight
pre-processing
ABS
pre-processing
Purchased Rec.
pre-processing
Pre-Processing
Netting
EAD
Calcula
tion
Risk
Parame
ters
Regulat
ory
Capital
Calcula
tion
9
•  Basel II predefined
•  Customer specific
Dilution risk
RWA Calculation
Settlement risk (direct, 3rd party)
•  Optimal collateral
distribution
•  Support of stress tests
Residual value risk
Financial Data Model
Specific market risk
Entorno de
procesos del banco
Advanced IRB
Basel II Reporting
Simple standard
Risk types
Default risk
Foundation IRB
Time Series Management
Comprehensive Standard
Vistazo a la solución SAP Basel III
•  Complex product modeling
•  Data versioning
Bank Product Mapping
10
Vistazo a la Solución SAP Basel III
Cualquier tipo de modelo para PD, LGD, EAD y CCF. Adicionalmente, se pueden
desarrollar haircuts
Amplia gama de técnicas analíticas e.g.: Regresión Logística, Análisis
Discriminatorio, Redes Bayesian, Arboles de Decisión, Redes Neuronales,
Análisis Principal Component, Soporte a Vector Machines
Interactividad en construcción de modelos (i.e. Arboles de Decisión)
Facilidad de uso en todas las fases (incl. construcción de modelos y validaciones)
Amplio rango de formas para validar la validez de un modelo (por ejemplo: Akaike
Information Criterion, Scaled Pearson chi-square, Bayesian Information Criterion,
Deviance, Scaled Deviance)
11
Agenda
Management
3.  AFI
4.  ALM
5.  Rentabilidad
12
Quién necesita un sistema de límites?
Analyzer 13
Control Global
El Controller del riesgo
Pueden asignar y monitorear límites para segmentos
de portafolio individuales, o para portafolios
completos, y analizar los portafolios de acuerdo con
varios criterios.
Pueden utilizar un rango flexible de métodos para
medir y reportar riesgo crediticio en un portafolio.
Control
Operativo
Traders
Pueden comparar el riesgo default de contraparte/
emisor contra límites predefinidos cuando ellos
concluyen las transacciones.
13
Arquitectura Limit Management
14
Clasificación de Riesgo Default
Riesgo Default
Riesgo Contraparte/emisor
Riesgo de Cancelación anticipada
Riesgo Crediticio
Riesgo de la Contraparte
From banking book
Analyzer 15
Riesgo País
Riesgo del Emisor
From trading book
15
Que tipo de Riesgo está Considerado?
Riesgo Crediticio
Riesgo default clásico (riesgo de la contraparte desde el banking
book)
Riesgo de la Contraparte por Transacciones del trading book,
más un porcentaje de aumento dependiendo en el término de la
transacción y el riesgo potencial para permitir cambios positivos
en el mercado
Riesgo de Cancelación/Pago Anticipada
Riesgo de Cancelación (cancelación directa con la contraparte)
Existe por el periodo comprendido entre el pago anticipado y la
recepción de pago de la contraparte
Riesgo de Cancelación por terceras partes (e.g. Cancelación a través
de un clearing house)
El pago anticipado es asegurado, pero el valor del mercado puede
cambiar antes de que el pago de la contraparte sea realmente
recibido
Analyzer 16
16
Tipos de Límite
Categoría de Riesgo
A través de los tipos de límite, se definen todos lo
niveles en los cualas los límites son requeridos
n  Combinación de características del límite
n  Procedimientos de cálculo pueden ser
diferenciados de acuerdo a la categoría del
riesgo
Contiene los límites y sus utilizaciones
n  Visión de los montos no-utilizados y los
montos que exceden el límite
n  Permite extenderse hasta el registro
individual
RC SR
Característica del
Límite
•  Código de Compañía
•  Trader
•  Límite de la línea de
producto
•  Portafolio
•  Moneda
•  Interlocutor
• País
• Industria
• Rating
•  15 características
libres
Combinaciones de estas
características
Analyzer 17
17
Tipo de Límite Uni-dimensional
TL1: País
Alemania
USA
EUR 200 m
EUR 200 m
Tipo de Límite
TL2: Industria
Bancos
Industria
EUR 500 m
EUR 400 m
Valor de la
característica del Límite
Característica del Límite
TL3: Partner
TL4:Transacción
TL5: Trader
Analyzer 18
Euro Bank
United Bank
EUR 22 m
EUR 20 m
Money market
EUR 8 m
Límite
Forex
EUR 8 m
Connor
Bauer
EUR 3 m
EUR 3 m
18
Tipo de Límite Multi-dimensional
Combinación de Valores de
las características del límite
TL1: País
Alemania
EUR 200 m
USA
EUR 200 m
Germany/Banks EUR 100 m
TL2: Industria
Bancos
Industria
EUR 500 m
EUR 400 m
TL3: Partner
TL4: Transacción
Euro Bank
United Bank
EUR 22 m
EUR 20 m
Money market
Forex
EUR 8 m
EUR 8 m
Euro Bank/Money market/Connor
TL5: Trader
Analyzer 19
EUR 300,000
TL12: País/
Industria
TL33: Partner/
Transacción/
Trader
Bauer/Forex
EUR 1 m
Connor
Bauer
EUR 3 m
EUR 3 m
TL45:
Transaccion/
Trader
19
Gestión de Límites
Analyzer 20
20
Utilizaciones de Límites
Analyzer 21
21
Calculo del Monto Atribuible: Métodos
Indicadores Básicos
• VPN
• Valor nominal
• Valor vencido por contraparte
• Valor pagado anticipadamente
Markup
Dependiente del producto
• Periodo de cambio del val.
del Mercado
• Sensibilidad al Riesgo
Probabilidad de Default
Dependiente de
• Rating
• Periodo comprometido
de Riesgo
Ejemplo de Formulas:
Riesgo Crediticio
Riesgo = (max(0; indicador básico) + markup) * probabilidad de default
Riesgo de Cancelación (Cancelación directa con la contraparte)
Riesgo = monto que se espera recibir por parte de la contraparte
Riesgo de Cancelación por terceras partes
Riesgo = max(0; monto que se espera recibir por parte de la
contraparte – monto por pago anticipado
Monto Atribuible
Analyzer 22
22
Cálculo del Monto Atribuible : Riesgo de Crédito
Para una transacción de títulos futuros
Monto Atribuible = max(0, BASE CALCULO) x 0.001
Base de Cálculo
Probabilidad Default
Base de Cálculo = max(0,VAR1) + VAR2 x 0.08
Probabilidad
Default
Periodo
Compro- 1< x < 5
metido 5 < x < 10
Riesgo x > 10
x<1
Asignación de
Variables
VAR1 = Valor presente neto
VAR2 = Monto nominal
Analyzer 23
Factor adicional
Factor
adicional
Periodo
cambio
valor
mercado
Rating
AAA AA
A
BBB BB
0.1
Sensibilidad al Riesgo
1
x<1
2
3
4
5
0.08
1<x<5
5 < x < 10
x > 10
23
Monto Atribuible
Analyzer 24
24
Actualizando Utilizaciones de Límites
TL País
TL Industria
Alemania
Bancos
+ EUR 100,000
+ EUR 100,000
TL Partner/Transacción/Trader
Euro Bank/MM/Bauer
TL Partner
+ EUR 100,000
Transacciones de
Desembolsos con el Euro
Bank calculadas por el
trader Bauer
TL Trader/Transacción
Euro Bank
+ EUR 100,000
Monto Atribuible:
EUR 100,000
Bauer/MM
+ EUR 100,000
TL Transacción
Money market
TLPaís/Industria
Alemania/Bancos
+ EUR 100,000
Analyzer 25
TL Trader
+ EUR 100,000
Bauer
+ EUR 100,000
25
Bloqueando Límites
Controler del
Riesgo
Interlocutor
Situación Financiera
se deteriora
Todos los límites
para este interlocutor
Bloqueo
Un mensaje de alerta será
generado cuando se trate de
efectuar una transacción con
este Interlocutor
Analyzer 26
26
Relaciones de Grupo
Se pueden crear relaciones multi-nivel entre interlocutores
Diferentes asignaciones de grupo pueden efectuarse en paralelo y
luego ser evaluadas separadamente
Euro Bank AG
Hauptstrasse15
D-60301 Frankfurt/M
Bankhaus Müller
Siedlerstr. 18
D-80603 München
United Invest
Ebert Strasse 27
D-60301 Frankfurt/M
Euro Bank England
100 Jermyn Street
GB-London SW1Y 6EE
Euro Trust Poland
Ul. Domaniewska 10
P- 02/762 Warszawa
Anteil 50%
International Bank
150 Wall Street
US- New York 12345
Analyzer 27
27
Agenda
Management
3.  AFI
4.  ALM
5.  Rentabilidad
28
Credit Portfolio Management
Scoping
Building block approach for risks or integration of different risk types (e.g. level
of interest rate influences default rate)
How to embed the results of credit portfolio models into existing bank processes?
Pricing
Capital allocation
Limits
Which key figures to calculate?
Value at Risk and/or expected shortfall?
Risk contributions
Which model to choose?
CreditRisk+
Credit Metrics
Moody’s KMV
Credit Portfolio View (Wilson‘s portfolio model)
Own Model?
29
Credit Portfolio Models Comparison
30
Integration of Credit Portfolio Models from MKMV
into SAP Bank Analyzer 1/5
BI
Result Data Layer
Post-Processing
Moody‘s KMV RiskFrontier
Pre-Processing II
n  Account Pooling
n  Determination of Free Line
n  Determination of Default
Pre-Processing I
General Methods
Source Data Layer
Operational Systems
SAP
MKMV
31
BI
Result Data Layer
Post-Processing
EAD & Risk Parameter Determination
Pre-Processing II
n  Determination/Delivery of EAD, PD, LGD, EL
n  Definition of Portfolio
n  Netting & Distribution of Collaterals
n  Determination of Aggregation ID
Pre-Processing I
General Methods
Source Data Layer
Operational Systems
SAP
MKMV
32
BI
Result Data Layer
Post-Processing
Pre-Processing II
Pre-Processing I
Data Transformation & Extraction
n  Exclusion of Defaulted Contracts
n  Aggregation of Data
n  Mapping to MKMV Input Structure
General Methods
Source Data Layer
Operational Systems
SAP
MKMV
33
BI
Result Data Layer
Post-Processing
Pre-Processing II
Pre-Processing I
Calculation of Portfolio Risk
n  Credit Value at Risk
n  Expected Loss
n  Unexpected Loss
n  Expected Shortfall
n  Loss Distribution
n  Risk Contributions
General Methods
Source Data Layer
Operational Systems
SAP
MKMV
34
BI
Result Data Layer
Post-Processing
Pre-Processing II
Pre-Processing I
Calculation of Portfolio Risk
n  Credit Value at Risk
n  Expected Loss
n  Unexpected Loss
n  Expected Shortfall
n  Loss Distribution
n  Risk Contributions
General Methods
Source Data Layer
Operational Systems
SAP
MKMV
35
Main Results: Portfolio Loss Distribution & Risk
Contributions
36
BI
Result Data Layer
Post-Processing
Pre-Processing II
n  Re-Mapping to Bank Analyzer Format
n  Disaggregation
n  Rebuilding of Original Granularity
Pre-Processing I
General Methods
Source Data Layer
Operational Systems
SAP
MKMV
37
Agenda
Management
3.  AFI
4.  ALM
5.  Rentabilidad
38
Proceso Contable– Enfoque Tradicional
© SAP 2007 / Page 39
Desventajas de este enfoque de arquitectura:
n 
Crecimiento exponencial de la data de GL
n 
Poca flexibilidad para adoptar cambios regulatorios debido a la gran cantidad de sistemas
contables
n 
Inconsistencia entre los metodos de valoración a través de todos los sistemas fuentes.
n 
n 
Incremento en gastos de mantenimiento
Procesos arduos de conciliación entre los sistemas fuentes y el General Ledger
39
Proceso Contable – Nuevo enfoque
© SAP 2007 / Page 40
La nueva arquitectura resuelve las desventajas del modelo clasico con nuevos beneficios:
n 
Fácial adopción de nuevas regulaciones. Las intervenciones o cambios son efectuados de
manera centralizada en el sub ledger
n 
n 
n 
Provee una contabilidad Multi GAAP con menor esfuerzo
Permite contabilizaciones Hedge
Permite una reducción de cantidad de data en el GL y baja complejidad en el plan de
cuentas
n 
Reconciliación entre sistemas fuentes y GL por “diseño”
40
Capacidades de la Solución – Instrumentos de Manejo de
posiciones y valoración
Valoración de producto Financiero
Fair Value
Realized Profit & Loss
Amortized Costs
Deferred Tax
Accrued Interests
Swap Accrual
Accrued Commissions & Fees
Impairment
Currency Gains
Hedge Adjustments
Funds Transfer Pricing
Imputed costs
Manejo de posiciones financieras
Embedded Derivatives
Short Positions
Multi-Currency Products
Off-balance Accounting
Hedge Designation & Dissolution
Reclassifications
Security Account Transfers
Corporate Actions
Exercise of Options
41
Capacidades – Detalle de partidas de estados financieros
Los estados financieros(balance general, PyG) en reportes de BI están compuestos de datos de 2 fuentes: Libro
mayor GL y Bank Analyzer
n  La data del Libro mayor o General Ledger en forma de balances contables periodicos son la base del marco
en el cual los estados financieros son construidos.
n  La data de la capa de AFI o libros menores subledger en forma de transacciones periodicas agregadas son el
detalle de los items subordinados del reporte de GL.
42
Capacidades – Contabilidad Multi GAAP
Contabilización multi GAAP
n Bank Analyzer AFI provee una contabilidad completa IFRS GAAP
n La misma data o información es usada para producir el IFRS GAAP es la misma para producir la valoración
según el GAAP local o cualquier otro GAAP.
n La adopción de un nuevo GAAP se hace por parametrización no es necesaria programación
43
Capacidades – Inteligencia pre construida con contenido
de negocio SAP
Modelamiento de Productos
Modelamiento de data
© SAP 2007 / Page 44
Reporting Model
30 productos financieros
con detalle de su ciclo
Modelamiento del
proceso
44
Procesos dentro del escenario de libros auxiliares
(subledger)
Reporting
Declaración de estados
&
financieros
por entidad
Analytics
Analytics
Layer
Results
Data
Layer
Estado financiero
consolidado
Libro Mayor
Rentabilidad de cliente y
producto
Preparación de estados
financieros
Envío de docs a GL
Activos y pasivos externos
Internal Funding Positions
PyG externos
Internal / Imputed
Profit & Loss
Fair Value
Calculation
&
Accruals/
Valuation Deferrals
Layer
Ganancia
por F/X
Source Data Layer
Prestamos
Amortización
Transferencia de
precio
Costos de proceso
PyG
realizadas
Costo de riesgo
Costeo de capital
Otros
Libros auxiliares
(subledger)
Hedge
Adjustments
Eventos de
negocio
Contratos
Depositos
Business
Partner
Data de
Mercado
…
Soporte a la operación
del negocio
45
Conversión de data transaccional a SAP FI GL –
Derivación de cuentas del GL
© SAP 2007 / Page 46
Valoraciones Contables
n La estructura piramidal del ambiente de
cálculos permite transformar en posteos de
eventos contables (débitos/créditos) originados
en un sistema fuente
n Las principales cifras clave son las unidades
que determinan los montos de los movimientos
n Las principales cifras clave son grabadas o
mapeadas en los cuadros de cuentas (cuentas
PUC ) usando reglas de derivación.
Documentos Contables
n La generación de documentos contables esta
basado en el tipo de eventos que las originan.
n Los documentos de contabilidad contienen los
montos y las cuentas derivadas del libro mayor.
(Derivadas de las cifras clave primarias)
46
Conversión de data transaccional a SAP FI GL– Posteos
en GL
Conector de Libro Mayor
n Dentro del conector de libro mayor, los resultados de posteos de libros auxiliares son agregados y
procesados a nivel de cuentas en BA GL diariamente para preparar el posteo al libro mayor.
n Tecnicamente, también es posible definir caracteristicas adicionales definidas por el cliente que pueden
usarse para la agregación de posteos.
n El conector de libro mayor procesa la data agregada en las cuentas a nivel de BA-GL del la capa de
resultados de data( Result Data Layer) con fecha y hora de los periodos de inicio y fin, sistema que genera
la contabilidad y vehiculo legal o entidad que lo genera.
n Los datos se obtienen de la capa de resultado de datos (result data layer) y transferidas via XI al GL.
47
Ejemplos
Contabilidad – Preparación en Crystal Reports
48
Target Architecture – SAP Accounting for Banks
Target Architecture
n  ERP GL as overall integration cornerstone
n  Bank Analyzer
Business Intelligence
General Ledger
SAP NetWeaver BI / SAP Business Objects SAP ERP GL
SAP Bank Analyzer - Financial Product Valuation
Cost of
operations
Analytics Layer (Posting Generation, Reporting Item Generation)
SAP ERP
Results data layer
Financial Instruments
Accounting
Hedge
accounting
FTP &
imputed costs
n  Accounting Subledger for
OTC
Trading
Brokerage
Customer
Accounts
Asset
Managem.
Customer
Accounts
Loans/
Lending
Integration Platform / ETL
Collaterals
Rules Engine
Loans/
Lending
RBD
Major Deployment Scenarios:
Source data layer
n Results Data Layer as data-backbone
n Central Accounting Methods Layer
n Source data layer for raw data
n Analytics Layer
n  SAP BI / Business Objects reporting tool
49
Deployment Scenario 1: Accounting Subledger for
Intention:
n  No accounting processes in core
banking applications
n  Separation of operational and analytical
banking
General Ledger
Cost of
operations
n  Integration of Financial & Management
Accounting
SAP ERP
Results data layer
Features
Accounting
Source data
Hedge
accounting
FTP &
imputed costs
layer
RBD
n  Full accounting valuation & position
management for different GAAPs
Benefits
OTC
Trading
Brokerage
Asset
Managem.
Loans/
Lending
Collaterals
Customer
Accounts
Integration Platform / ETL
n  Central pool of methods
n  Central platform for accounting cross topics
n  Full audit trail
n  Reuse of SDL/RDL data for other
analytical areas
50
Deployment Scenario 2: Imported Sub-ledger Documents
Features and Intention:
General Ledger
Cost of
operations
SAP ERP
Results data layer
RBD
OTC
Trading
Brokerage
Asset
Managem.
Loans/
Lending
Collaterals
Customer
Accounts
Rules Engine
n  Usage of existing GL-interfaces
n  Detailed and granular GL information based
on thin GL / fat sub-ledger
n  Central FX-Accounting (MCA)
n  Multi-dimensional reconciled reporting
n  Integration with rules-engines
n  Validations, derivations and data enrichment
Benefits
n  Faster implementation
n  Audit trail
n  Reporting: reporting item determination
n  Reduction of effort for reclassification of
volatile characteristics
Constraints
n  accounting valuations and position
management performed outside
51
IFRS Impairment requirements
LAR and HTM (amortised cost)
Significant loans / financial assets
Non significant loans / financial assets
choice
Impairment
trigger event
yes
Individual assessment
(Specific allowance)
• present value of expected
future cash flows
(using effective interest)
• recognise unwinding for
each single loan as
interest income
IVA
Impairment
trigger event
yes
no
no
Assessment for impairment on
portfolio basis considering the
loss identification period (LIP)
(portfolio allowance for
non-impaired loans)
• ∑ E x PD x LGD x LIP
(E: exposure at balance sheet date;
LGD: loss given default;
PD: Probability of default < 1)
• recognise contractual interest
(no unwinding)
RVA-PA
Collective loan assessment
(portfolio allowance for
insignificant loans)
• present value of future
cash flows in portfolio or
• ∑ E x PD x LGD; PD=1
• recognise unwinding on
portfolio basis
RVA-CA
Impairment
trigger event
52
Agenda
Management
3.  AFI
4.  ALM
5.  Rentabilidad
53
Challenges in Liquidity Risk Management
BASEL III REQUIREMENTS
è 
Mandatory Basel III liquidity rule compliance
Moving target as full Basel III implementation runs to 2018
Reduzierung
des
UtIIIenim
ad BASEL
Zeithorizontes
minim
veniam,
quis
MARKET
OSFI
nostrud
exercitation
IFRS
MARKET SITUATION
Mortgage crisis, European debt crisis, Greece Euro Exit?
è  Increasing costs for refinancing and liquidity procurement
è 
ORGANIZATION & PROCESSES
Strong collaboration between Finance, Risk, Treasury required
è  Change in liquidity management processes possible
è 
HIGH DATA VOLUMES
ORGANI- ZATION& PROCESSES
Cash flow orientation causes big-data sized volumes
è  How to handle these volumes for adhoc reporting / steering purposes?
è 
ANALYTICS
Simulations, predictive analytics, scenario analysis required
è  A solution needs to cover compliance, analytics and steering
è 
LIQUIDITY
RISK
MANAGEMENT
DATA
VOLUMES
Aktualität der
Planungsgrundlage
mit entsprechend
konkreten
ANALYTICS
Zielvorgaben
LRM ENVIRONMENT
è 
Multidimensional challenges impact banking and liquidity
Pillar 3
Pillar 2
Pillar 1
Basel III
IFRS
54
Asset and Liability Management
SAP ALM provee una solución para manejar, controlar y analizar la
rentabilidad y riesgo mediante el la gestión de los estados financieros/
manejo estratégico de los activos y pasivos. La solución ALM soporta al
Tesorero, Controller de Riesgos y C-levels..
“Asset Liability Management es el manejo de la relación entre el
riesgo de institución financiera y su retorno”
Analyzer 55
55
Gestión de Riesgo Integrado
Gap analysis
Duration
NII Simulation
Economic Value Analysis
Dynamic simulation techniques
Fair Value accounting / Credit adjustment
Monte-Carlo-VaR
Value-at-Risk
Stress Tests
Sensitivity Analysis
1970s
Analyzer 56
1980s
1990s
2000s
56
ALM-Gestión de Riesgos
ALM está orientado a controlar los siguientes riesgos:
Riesgo tasas de interés
- Representa el potencial de cambios en tasas de ingresos
(income-at-risk) y valor económico (value-at-risk).
Riesgo Liquidez
- El riesgo que una institución no pueda generar el efectivo necesario para
cubrir pagos, compromisos de crédito y futuros desembolsos
Riesgo Crédito-Basel III
- El riesgo que el capital y los intereses asociados con préstamos otorgados no
sean pagados por los prestatarios. El default del cliente es relevante para
el riesgo de liquidez y la situación de ingresos del banco.
Riesgo Moneda Extranjera
- Representa la exposición a los cambios en al valor de los flujos actuales y
futuros denominados en monedas diferentes a la doméstica.
Analyzer 57
57
Métodos Relevantes y Análisis
Interest rate risk
•  Gap Analysis / Position Evaluation
•  Gap Analysis / Maturity Evaluation
•  Economic Value Simulation
•  Value at Risk (VaR)
•  Earnings at Risk (EaR)
•  Scenario-Based Stress Testing
•  Hedge Analysis
Liquidity risk
•  Gap Analysis / Cash Flow Evaluation
•  Gap Analysis / Liquidity Evaluation
Credit risk
•  Basel III / Credit Portfolio Management
•  Determination of expected provisions for loan losses (Credit risk adjustment)
Analyzer 58
58
ALM-Posición Promedio
Analyzer 59
59
ALM-Evaluación Fecha Clave
Analyzer 60
60
ALM-Evaluación Flujo de Caja
Analyzer 61
61
ALM-Evaluación de Liquidez
Analyzer 62
62
ALM-Liquidez de Monedas
Analyzer 63
63
ALM-Valor Presente Neto
Analyzer 64
64
Bank Analyzer-Reportes de Riesgo
Analyzer 65
65
Analyzer 66
66
Analyzer 67
67
Analyzer 68
68
Analyzer 69
69
Agenda
Management
3.  AFI
4.  ALM
5.  Rentabilidad
70
Profitability Management:
Business Cycle
& Profitability Analysis
High
Aggregated
Level
Strategy
Strategy
& Planning
Analyze
Aggregated
Level
Plan, Budget
Measure
Single
Transaction
Level
Execute
Sales &
Services,
Operations
71
Profitability Management:
Components
Planning
12
70%
65%
10
10
60%
50%
8
8
40%
40%
6
5
30%
4
Profitability
Planning
Net Interest Income
Funding Costs
=
Gross Interest Margin
20%
2
10%
0
Contribution Margin
Scheme Single Contract:
30%
0%
Label 1
Label 2
Series 2
Series 1
Label 3
Balance Sheets and P/L for
Market Units or Segments:
Profitability
Analysis
Management
Accounting
B/S Market Unit “Loan”
Assets
Liabilities
Standard Risk Costs
=
P/L Market Unit “Loan”
Standard Equity Costs
Standard Process Costs
Loss
Profit
Net Interest Margin
72
Profitability Components:
Planning
§  In the last few years planning has increased
in significance. Major factors are the
regulatory requirements for banks, which
impact their range of action.
Profitability
Planning
Profitability
Analysis
Management
Accounting
§  Planning is done on different levels like
segments, product groups, customers or
profit centers.
§  Analytical data on single contract level is the
basis for sophisticated planning.
§  Sales and profit planning in banks
comprises all costs and revenues of the
banking business like net interest margins as
well as standard costs from the business
support.
73
Strategy, Planning, Forecast, Consolidation
Profitability
Planning
Profitability
Analysis
Management
Accounting
§  Planning uses strategies,
which are usuallydefined
on group level.
§  Together with available
actual key figures plan data
can be used for forecasts.
§  Profitability key figures
are typically determined on
the level of single contracts
in business units and
consolidated to group
level, where they are used
to adjust the strategy.
74
Profitability Analysis
Profitability
Planning
§  Profitability analysis traces revenues and
costs down to single contracts, but also to
business segments or profit centers.
Profitability
Analysis
Management
Accounting
§  The contribution margin scheme containing
interest surplus, risk costs, equity and
process costs shows whether a business is
profitable or not.
§  The available costing methods supports
point in time calculations (i.e. net present
value for monitor sales management) as well
as periodic calculations, which might also be
used in management accounting.
© SAP
2008 /
75
Profitability Analysis:
Consideration on Different Levels
Profitability of a Single
Contract or Customer
Contribution margin scheme
based on standard costs and
funding costs (FTP)
Profitability of a Product
or Customer Group
based on standard costs,
funding costs (FTP) and actual
costs
Extended contribution margin
scheme based on funding
costs (FTP) and actual costs
Example Contribution Margin
Scheme Product Group:
Scheme Profit Center:
Net Interest Income
-
Risk Costs
=
Equity Costs
=
-
Processing Costs
=
Net Interest Margin
=
Net Interest Income
Funding Costs
Risk Costs
Equity Costs
Processing Costs
Net Interest Margin
Marketing Costs
Result Product Group
-
Level 1- n
=
Level 1- 5
Level 1- 4
Funding Costs
Profitability of a
Profit Center
=
=
=
Standard Costs
Profitability
Planning
Profitability
Analysis
Management
Accounting
Net Interest Income
Funding Costs
Risk Costs
Equity Costs
Processing costs
Net Interest Margin
Marketing Costs
IT Costs
Other Overhead Costs
Result Profit Center
Actual Costs
76
On the Level of Single Contract or Customer
Profitability of a single
contract or customer
based on standard costs and
funding costs (FTP)
Net Interest Income
-
Level 1- 4
Funding Costs
=
Risk Costs
=
Equity Costs
Actual costs are not available on single contract
level, but on profit center or cost center level.
Profitability
Planning
Profitability
Analysis
Management
Accounting
à Usage of standard costs for the
calculation on single contract or
customer level
à  Contribution margin scheme can be
built up for a single contract
or for single customers
Data Sources:
à  FTP calculation takes place in
Bank Analyzer
à  Standard costs are calculated
in Bank Analyzer
Processing Costs
Net Interest Margin
Standard Costs
Actual Costs
77
Product Groups or Customer Groups
Profitability of a Product
or Customer Group
based on standard costs,
funding costs (FTP) and actual
costs
Scheme Product Group:
-
Level 1- 5
=
=
=
Net Interest Income
Funding Costs
Risk Costs
Equity Costs
Processing Costs
Net Interest Margin
Marketing Costs
Result Product Group
Funding costs and standard costs are available on
single contract level or single customer level.
Profitability
Planning
Profitability
Analysis
Management
Accounting
à Aggregation towards product group or
customer group is possible
If necessary, actual costs (e.g. actual marketing
costs for a certain product group) can be taken into
account.
à  Conversion of the actual costs (e.g. from a
profit center to a product group)
Data Sources:
à  FTP determination takes place in Bank
Analyzer (aggregation to customer/product
group necessary)
à  Actual costs result from Controlling (e.g.
Cost Center Accounting) à conversion of
the actual costs towards customer/product
group)
Standard Costs
Actual Costs
78
On the Level of Profit Center
Profitability of a
Profit Center
Extended contribution margin
scheme based on funding
costs (FTP) and actual costs
Scheme Profit Center:
-
Level 1- n
=
=
=
Net Interest Income
Funding Costs
On profit center level (e.g. market unit loan
department) actual costs are available e.g. in Cost
Center Accounting (Controlling).
Profitability
Planning
Profitability
Analysis
Management
Accounting
à Contribution Margin Scheme can be built
up in a detailed way
Funding costs, which a market unit has to pay
(or receive) from central treasury, are assigned
in Bank Analyzer.
Risk Costs
à FTP determination on single contract level
has to take place in Bank Analyzer
Equity Costs
à  Aggregation towards profit center level
Processing costs
Net Interest Margin
Data Sources:
Marketing Costs
à  FTP determination takes place in
Bank Analyzer
IT Costs
Other Overhead Costs
à  Actual costs like IT costs, overhead costs,
etc. result from Controlling
Result Profit Center
Standard Costs
Actual Costs
79
§  Segment Reporting is required by numerous accounting
standards to increase transparency of different types of
bank activities in the annual balance sheet.
§  IFRS 8 supersedes IAS 14 segment reporting. An entity
shall apply IFRS 8 in its annual financial statements for
periods beginning on or after 1 January 2009.
Profitability
Planning
Profitability
Analysis
Management
Accounting
§  Disclosure of general segment information
(products and services) using balance sheets
and profit/loss statements on segment level
§  Management Accounting fulfils these requirements due
to integration with financial accounting, creating results
using double entry postings and supporting periodic
reporting.
80
Accounting Components of Bank Analyzer
Financial
Accounting
External
Results
Internal
Results
External results: such as interest, accruals, measurements, …
Internal results: such as funding costs or revenues, risk costs, …
81
Balance Sheet and P/L for Different Entities
Bank
Profitability
Planning
Segment A
Balance Sheet
Management
Accounting
Balance Sheet
Assets
Assets
Profitability
Analysis
Liabilities
Balance Sheet
P/L
Liabilities
Loss
Profit Center A
Profit
Assets
Liabi
lities
P/L
Loss
Profit
Profit Center B
P/L
Balance Sheet
P/L
Segment B
Assets
Liabi
lities
Loss
Profit
Balance Sheet
Loss
Profit
Assets
Liabilities
P/L
Loss
…
Profit
…
82
Accounting Components of Bank Analyzer
Financial
Accounting
External
Results
Internal
Results
AFI
PA
IFMA
External results: such as interest, accruals, measurements, …
Internal results: such as funding costs or revenues, risk costs, …
© SAP
2008 /
83
Profitability:
Role of Bank Analyzer
Profitability
Planning
Contribution Margin
Single Contract:
Scheme
Net Interest Income
-
Profitability
Analysis
Management
Accounting
Balance Sheets for
Org Units or Segments:
B/S Market Unit “Loan”
Funding Costs
=
Assets
Liabilities
Risk Costs
=
Equity Costs
Processing Costs
Net Interest Margin
© SAP
2008 /
P/L Market Unit “Loan”
Shared
periodic
FTP + Costing
Methods
Losst
Profit
84
Profitability:
Possible Types of Costs and Revenues
Costs/Revenues of
Financial
Instruments
External
Costs and
Revenues
Standard
Costs
§  Interest
§  Risk Cost
§  Fees
§  Equity Cost
§  Valuation
§  Process Cost
§  Others
§  Others
© SAP
2008 /
Funding
Costs and
Revenues
85
Profitability:
Distribution of a Cash Flow
Gross
Interest
Margin
External
Interest
Cash Flow
© SAP
2008 /
Funding
Cash Flow
Standard
Risk
Costs
Standard
Equity
Costs
Standard
Process
Costs
Contribution to
Risk-Adjusted
Profit
86
Profitability:
Sources of Data
Instrument Result
Interest Income
BA Sub-Ledger or External
- Funding Costs
- BA Methodology
= Interest Margin
= Interest Margin
+ Fees
+ BA Sub-Ledger or External
= Gross Instrument Contribution
= Gross Instrument Contribution
- Standard Risk Costs
- Delivered Cost Factors
- Standard Equity Cost
- Standard Processing Costs
= Net Instrument Contribution
= Net Instrument Contribution
© SAP
2008 /
Data Source
87
Profitability:
Funding Costs and Revenues
Capital
Market
Business Units
with Funding
Needs
Long Term
Interest Rate
Funding
Units
Short Term
Interest Rate
Business Units
Providing
Funds
Mismatch
Spread
§  Interest risk is centralized within funding units enabling separation
of interest risk management from operational management.
§  Funds Transfer Pricing determines the refinancing costs and
revenues and assigns them to the relevant organizational units.
§  Organizational unit profitability becomes visible by comparing
external costs and revenues with funding costs and revenues.
© SAP
2008 /
88
Funds Transfer Pricing:
By Funding Cash Flows
Market Unit
Treasury
Market Unit
Customer Loan
Loan Funding
© SAP
2008 /
Customer Deposit
Loan Funding
Deposit Funding
Deposit Funding
89
Funds Transfer Balancing
(Example on Asset Side)
Bank
Balance Sheet
Loans
P/L
Interest
Income
Loans
Market Unit
Treasury
Balance Sheet
Funding
Loans
Loans
P/L
Funding
Cost
© SAP
2008 /
Balance Sheet
Funding
Loans
P/L
Interest
Income
Loans
Funding
Revenue
90
Profitability:
Results Assignment
Sub-Ledger Documents
Datum
Betrag
VertragsNr.
Bilanz/GuV
Position
Legale
Einheit
Hauptbuchkonto
Profit
Center
GeschäftsSegment
Geograph.
Segment
09/30
S
550 EUR
D973456
Zinsertrag
Amortisierung
Lux
011188
2008
Privatkunden
Deutschland
09/30
H
550 EUR
D973456
HypothekenDarlehen
Lux
022288
2008
Privatkunden
Deutschland
GL Documents
Datum
Betrag
Bilanz/GuV
Position
Legale
Einheit
Hauptbuchkonto
Profit
Center
GeschäftsSegment
Geograph.
Segment
09/30
S
550 EUR
Zinsertrag
Amortisierung
Lux
011188
2008
Privatkunden
Deutschland
09/30
H
550 EUR
HypothekenDarlehen
Lux
022288
2008
Privatkunden
Deutschland
Financial Data Mart
Datum
Betrag
VertragsNr.
Geschäftspartner
Produkt
Bilanz/GuV
Position
Legale
Einheit
Hauptbuchkonto
Profit
Center
GeschäftsSegment
Geograph.
Segment
09/30
S
550 EUR
D973456
Schmidt
HypothekenDarlehen
Zinsertrag
Amortisierung
Lux
011188
2008
Privatkunden
Deutschland
09/30
H
550 EUR
D973456
Schmidt
HypothekenDarlehen
HypothekenDarlehen
Lux
022288
2008
Privatkunden
Deutschland
Product/Customer
Profitability
© SAP
2008 /
Financial Statement
Legal Entity
Segment Reporting
91
Profitability:
Funds Transfer Pricing Methods
FTP-
…
Determinatio
n
…
Funds Transfer Pricing Methods
Cash Flow Refinement
Cash Flow Disturbance
Maturity Products
Present Value Method
Duration Methods:
§  Macaulay Duration
§  Fisher-Weil Duration
§  Modified Duration
§  Alternative Duration
§  Deviation from
Expectation
© SAP
2008 /
Non-Maturity Products
FTP Volume Based:
FTP Rate Determination:
§  Average Notional
(Also Delivered)
§  Daily Balances
§  Average Effective Capital
§  Floating Average Rate
(weighted/not weighted)
§  Weighted Independent Tranches
§  Daily FTP
§  External Delivery
92
Profitability:
Standard Costs MethodsStandard
Cost
Determinatio
n
…
…
Costing Methods
Tariff-Based
Costing
Method
Costs are defined by amount per time unit:
A plain vanilla mortgage loan causes
30 EUR of processing costs per month.
Description
Application Example
Spread-Based
Costing
Costs are defined as interest rate spreads:
To 1 year consumer loans with a customer
credit rating B a credit spread of 0,2% is
assigned.
Costs of
Risk
Present-Value-Based
Costing
Costs are defined as an amount determined
at conclusion of investment: The processing
of a 1 year consumer loan causes processing
costs of 25USD (present value).
Processing
Costs
Rate-Based Costing
Costs are defined as rate per (average)
volume and per time: 0,21% of the
regulatory capital requirement are imposed
on a loan as costs of capital.
Costs of Capital
Minimum Reserve
© SAP
2008 /
Processing
Costs
93
Profitability:
External Costs Methods
…
Valuation
…
Valuation Methods
Internal Methods
Fair Value
Accrual/Deferral
Discounted Cash Flows
Effective Yield
Mark-to-Market
Straight Line
Black-Scholes
Interest Proportional
Black 76
Hedge Adjustment (IFRS)
Ikeda-Kunitomo (Double Barrier)
Micro Fair Value Hedge
Rubenstein-Reiner (Barrier)
Portfolio Fair Value Hedge
Currency Gains
Macro Cash Flow Hedge
Position Based Currency Valuation
Hypothetical Derivative Method
© SAP
2008 /
External
Valuation
Engines
External
Valuation
Results
External
Valuation
Engines
External
Valuation
Processes
94
Profitability Scenarios in Bank Analyzer:
Two Options to Choose
Integrated Financial and Management Accounting (IFMA)
  Consistent processing of financial and management accounting
  Double-entry postings for external and internal results
Profitability Analysis
  For sales performance analysis
  Without direct connection to financial accounting
Balance Sheet
Funding Positions
Financial Positions
IFMA
•  Double-Entry Postings
•  Key Figures
PA
© SAP
2008 /
P/L /
Contributions
Net Present Value
•  Key Figures
•  Key Figures
•  Key Figures
•  Key Figures
95
IFMA-Scenario
(Integrated Financial and Management Accounting)
Profitability
Planning
Reporting und Analytics
Financial
Statement
& P/L
(Legal
Entity)
Financial
Statement
& P/L
(Profit
Centers,
Segments)
Profitability
Analysis
Profitability:
Customer,
Product,
Contract,
…
Planning,
Forecast,
Simulation,
Consolidation
Management
Accounting
General
Ledger
Fair
Value
Amortization
FundsTransferPricing
Equity
Costs
Interest
& Fees
FX
Currency
…
Process
Costs
Risk
Pricing
© SAP
2008 /
Internal
Costs/Revenues
Other
Sub-Ledgers
External
Costs/Revenues
Controlling
Bank Analyzer
96
Scenario Profitability Analysis
(PA Stand-Alone)
Profitability
Planning
Reporting and Analytics
Financial
Statement
& P/L
(Legal
Entity)
Financial
Statement
& P/L
(Profit
Centres,
Segments)
Profitability
Analysis
Profitability:
Customer,
Product,
Contract,
…
Planning,
Forecast,
Simulation,
Consolidation
Management
Accounting
General
Ledger
Delivery
© SAP
2008 /
Internal
Costs/Revenues
FundsTransferPricing
Equity
Costs
Process
Costs
Risk
Pricing
Other
Sub-Ledgers
External
Costs/Revenues
Controlling
Bank Analyzer
97
Rentabilidad-Reglas de Costeo
Analyzer 98
98
Reglas de Costeo-Detalle
Analyzer 99
99
Analyzer 100
100
Analyzer 101
101
Analyzer 102
102
Analyzer 103
103
Rentabilidad-Objetos Financieros
Analyzer 104
104
Rentabilidad Objetos Financieros
Analyzer 105
105
Rentabilidad-Segmentos de Rentabilidad
Analyzer 106
106
Rentabilidad-Asignación a Costos ABC
Analyzer 107
107
Reportes de Rentabilidad-Drilldown
Analyzer 108
108
Rentabilidad-Drilldown por las Dimensiones
Analyzer 109
109
Clientes Bank Analyzer
rtc.ch
IT-Outsourcing & Banking Software
Analyzer 110
110
SAP Roadmap
Finance, Risk and Compliance
2012
• 
• 
• 
• 
BW on HANA
BPC on HANA
Financials on Demand
Liquidity Risk on HANA
n Quarterly
H1/2013
•  Business Suite on
HANA
•  Impairment Accounting
(IFRS 9 and other
GAAPs)
•  Fraud Mgmt on HANA
forum with top global banks:
2014
H2/2013
•  GRC on HANA
•  Liquidity Mgmt on HANA
•  Balance Sheet Mgmt on
HANA
•  RDS AFI
•  RDS FINREP
•  RDS Enterprise Risk
Reporting
• 
• 
• 
• 
AFI on HANA
AFI for US-GAAP
Credit Risk on HANA
Finance and Risk
Data Model on HANA
111
Gracias!

Bank Analyzer

Transcripción

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