Plataforma Integrada de Contabilidad y Riesgo - SAP · PDF filePlataforma Integrada de Contabilidad y Riesgo Carlos Hernández/IVE Head Norte LAC

Plataforma Integrada de Contabilidad y Riesgo Carlos Hernández/IVE Head Norte LAC

©  2011 SAP AG. All rights reserved. 2

Agenda

1.  Arquitectura Bank Analyzer 2.  Riesgo Crédito-Basel II/Limit Management/Credit Portfolio

Management 3.  AFI 4.  ALM 5.  Rentabilidad


Agenda




Industry Value Map - Retail & Commercial Banking

Retail Banking

Operations

Centralized Payment Processing

Retail Deposits

Retail Lending

Sales and Service

Customer Acquisition

Customer Management

Social Media Engagement

Commercial Banking Operations

Financial Services Network

Cash and Liquidity Management

Commercial Lending

Leasing

Multichannel

Mobile Customer

Internet Banking

Call Center

Risk and Compliance

Enterprise Risk Reporting

Credit Risk Management

Liquidity Risk Management

Governance, Compliance and

Surveillance

Automated Teller Machines

Procurement Supplier Discovery and Lifecycle Management

Strategic Sourcing and Contracting

Procurement and Order Collaboration

Collaborative Invoice to Pay

People and Talent Core Human Resources and Payroll Talent Management Workforce Planning

and Analytics

Finance Finance Transformation Performance Management Finance and Risk Data Management (IFRA)

Collaborative Financial Operations

IT Management Application Lifecycle Management

IT Infrastructure Management

IT Portfolio and Project Management IT Service Management IT Strategy and

Governance

Technology Solutions

Analytics Consumer Experience Data Management Application Development and Integration Enterprise Mobility

SAP HANA Platform

https://apps.wdf.sap.corp/VMSX/BRC/BRC_map.php?startpage=index.php

©  2011 SAP AG. All rights reserved. 5 © SAP 2008 / Carlos Hernández Bank Analyzer 5

Source Data Layer

Results Data Layer

An Application Platform for Analytical Banking Applications (SAP + non-SAP)

Valuation Layer

Calculation And Valuation Process Manager

Bank Analyzer Architecture: What is it?


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.

Puntos de Integración – Capa de resultados (Results Data Layer)

Results Data Layer Métodos Analiticos / Reportes

Procesamiento

transaccional

Valoración

Riesgo Credito

Transferencias

Valoración

Hedge

Valoración Posición financiera

…

Bank Management §  Financial Accounting § Regulatory Reporting § Management Acc. § Capital Management

Risk Management §  Limit Management § Risk Analytics § Simulation § …

Results Data Area (RDA) … n

e.g.: Book Value, Income/Expenses, Free Line, Expected Loss, Credit Risk Exposure, Holding Category …

Common/Local Results

CHAR KEY FIG.

Results Data Area (RDA)


Bank Analyzer – Architecture

© SAP 2007 / Page 7

Valuation Layer Methods

Layer

Credit Risk Valuation

Interest Rate Risk & Liquidity Valuation Operational Risk Valuation

Scenario Calculation

Transaction Processing Revenue & Cost Valuation Financial Position Valuation Hedge Valuation

Market Risk Valuation

Total Risk Valuation

Results Data Layer

Source Data Layer ETL

Financial Data Base

Calculation & Valuation Process Manager

Results Data Layer

Financial Data Mart Periodic Result Financial Data Mart Present Value Result Financial Data Mart Multipurpose Result Base

Data Mining

Portfolio & Risk Manage- ment

Limit Management Risk Analytics Backtesting Simulation

Bank Manage- ment

Capital Management Regulatory Reporting

Financial Accounting Management Accounting


Agenda




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 para todas las garantías y colaterales

n Algoritmo 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

Main Run

Regulatory Capital Calculation

Risk Parameters

EAD Calculation

Netting Pre-Processing

Pre-Runs Account Pooling

Determination of free line Retail pre-processing Determination of default Risk weight pre-processing ABS pre-processing Purchased Rec. pre-processing


Vistazo a la solución SAP Basel III

Sim

ple

stan

dard

C

ompr

ehen

sive

Sta

ndar

d

F

ound

atio

n IR

B

Adv

ance

d IR

B

RWA Calculation •  Optimal collateral

distribution •  Support of stress tests

Basel II Reporting •  Basel II predefined •  Customer specific

Financial Data Model •  Complex product modeling •  Data versioning

Bank Product Mapping

Residual value risk

Settlement risk (direct, 3rd party)

Dilution risk

Default risk

Specific market risk

Ris

k ty

pes

Time Series Management

Entorno de procesos del banco


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)


Agenda




Control

Operativo

Control G

lobal

Traders Pueden comparar el riesgo default de contraparte/emisor contra límites predefinidos cuando ellos concluyen las transacciones.

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.

Quién necesita un sistema de límites?


Arquitectura Limit Management


Riesgo de Cancelación anticipada

From banking book From trading book

Riesgo de la Contraparte Riesgo del Emisor

Riesgo Crediticio

Riesgo Contraparte/emisor Riesgo País

Riesgo Default

Clasificación de Riesgo Default


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

Que tipo de Riesgo está Considerado?


RC SR

Categoría de Riesgo

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

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

Tipos de Límite


Money market EUR 8 m

Euro Bank

EUR 22 m

Connor

EUR 3 m

Alemania

EUR 200 m

USA

EUR 200 m TL1: País

Bancos

EUR 500 m

Industria

EUR 400 m TL2: Industria

Forex

EUR 8 m TL4:Transacción

United Bank

EUR 20 m TL3: Partner

Bauer

EUR 3 m TL5: Trader

Valor de la característica del Límite

Límite

Tipo de Límite

Característica del Límite

Tipo de Límite Uni-dimensional


Money market

EUR 8 m

Euro Bank

EUR 22 m

Connor

EUR 3 m

Euro Bank/Money market/Connor

EUR 300,000

Alemania EUR 200 m

USA

EUR 200 m TL1: País

Bancos

EUR 500 m

Industria

EUR 400 m TL2: Industria

Forex

EUR 8 m TL4: Transacción

United Bank

EUR 20 m TL3: Partner

Bauer

EUR 3 m

TL5: Trader TL45: Transaccion/ Trader

Bauer/Forex

EUR 1 m

TL33: Partner/ Transacción/ Trader

Germany/Banks EUR 100 m TL12: País/ Industria

Combinación de Valores de las características del límite

Tipo de Límite Multi-dimensional


Gestión de Límites


Utilizaciones de Límites


Monto Atribuible

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

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

Calculo del Monto Atribuible: Métodos


Monto Atribuible = max(0, BASE CALCULO) x 0.001

Probabilidad Default

Probabilidad Default

Rating AAA AA A BBB BB

x < 1 Periodo Compro- metido Riesgo

1< x < 5 0.1

5 < x < 10 x > 10 Asignación de

Variables

VAR1 = Valor presente neto

VAR2 = Monto nominal

Factor adicional

Factor adicional

Sensibilidad al Riesgo 1 2 3 4 5

Periodo cambio valor mercado

x < 1 1 < x < 5

0.08 5 < x < 10 x > 10

Base de Cálculo = max(0,VAR1) + VAR2 x 0.08

Base de Cálculo

Para una transacción de títulos futuros

Cálculo del Monto Atribuible : Riesgo de Crédito


Monto Atribuible


TL País

Alemania

+ EUR 100,000

TL Industria

Bancos

+ EUR 100,000

TL Partner

Euro Bank

+ EUR 100,000

TL Transacción

Money market

+ EUR 100,000 TL Trader

Bauer

+ EUR 100,000

TLPaís/Industria

Alemania/Bancos

+ EUR 100,000

TL Trader/Transacción

Bauer/MM

+ EUR 100,000

TL Partner/Transacción/Trader

Euro Bank/MM/Bauer

+ EUR 100,000 Transacciones de Desembolsos con el Euro Bank calculadas por el trader Bauer

Monto Atribuible: EUR 100,000

Actualizando Utilizaciones de Límites


Todos los límites para este interlocutor

Bloqueo

Un mensaje de alerta será generado cuando se trate de efectuar una transacción con este Interlocutor

Interlocutor Controler del Riesgo

Situación Financiera se deteriora

Bloqueando Límites


Bankhaus Müller Siedlerstr. 18

D-80603 München United Invest

Ebert Strasse 27 D-60301 Frankfurt/M

International Bank 150 Wall Street

US- New York 12345

Euro Bank England 100 Jermyn Street GB-London SW1Y 6EE

Euro Trust Poland Ul. Domaniewska 10 P- 02/762 Warszawa

Anteil 50%

Euro Bank AG Hauptstrasse15 D-60301 Frankfurt/M

Se pueden crear relaciones multi-nivel entre interlocutores

Diferentes asignaciones de grupo pueden efectuarse en paralelo y luego ser evaluadas separadamente

Relaciones de Grupo


Agenda




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?


Credit Portfolio Models Comparison


Integration of Credit Portfolio Models from MKMV into SAP Bank Analyzer 1/5

Source Data Layer

Result Data Layer

BI

Operational Systems

General Methods

Pre-Processing I

Pre-Processing II

Moody‘s KMV RiskFrontier

Post-Processing

n  Account Pooling n  Determination of Free Line n  Determination of Default

SAP MKMV



Source Data Layer

Result Data Layer

BI

Operational Systems

General Methods

Pre-Processing I

Pre-Processing II


Post-Processing

EAD & Risk Parameter Determination n  Determination/Delivery of EAD, PD, LGD, EL n  Definition of Portfolio n  Netting & Distribution of Collaterals n  Determination of Aggregation ID

SAP MKMV



Source Data Layer

Result Data Layer

BI

Operational Systems

General Methods

Pre-Processing I

Pre-Processing II


Post-Processing

Data Transformation & Extraction n  Exclusion of Defaulted Contracts n  Aggregation of Data n  Mapping to MKMV Input Structure

SAP MKMV



Source Data Layer

Result Data Layer

BI

Operational Systems

General Methods

Pre-Processing I

Pre-Processing II


Post-Processing

Calculation of Portfolio Risk n  Credit Value at Risk n  Expected Loss n  Unexpected Loss n  Expected Shortfall n  Loss Distribution n  Risk Contributions

SAP MKMV



Source Data Layer

Result Data Layer

BI

Operational Systems

General Methods

Pre-Processing I

Pre-Processing II


Post-Processing

Calculation of Portfolio Risk n  Credit Value at Risk n  Expected Loss n  Unexpected Loss n  Expected Shortfall n  Loss Distribution n  Risk Contributions

SAP MKMV


Main Results: Portfolio Loss Distribution & Risk Contributions



Source Data Layer

Result Data Layer

BI

Operational Systems

General Methods

Pre-Processing I

Pre-Processing II


Post-Processing

n  Re-Mapping to Bank Analyzer Format n  Disaggregation n  Rebuilding of Original Granularity

SAP MKMV


Agenda




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  Incremento en gastos de mantenimiento n  Procesos arduos de conciliación entre los sistemas fuentes y el General Ledger


© 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  Provee una contabilidad Multi GAAP con menor esfuerzo n  Permite contabilizaciones Hedge n  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”

Proceso Contable – Nuevo enfoque


Capacidades de la Solución – Instrumentos de Manejo de posiciones y valoración

Amortized Costs

Fair Value

Accrued Interests

Currency Gains

Accrued Commissions & Fees

Deferred Tax

Realized Profit & Loss

Swap Accrual

Hedge Adjustments

Impairment

Funds Transfer Pricing Imputed costs

Valoración de producto Financiero

Multi-Currency Products

Embedded Derivatives

Hedge Designation & Dissolution

Exercise of Options

Security Account Transfers

Off-balance Accounting

Short Positions

Reclassifications

Corporate Actions

Manejo de posiciones financieras


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.


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


Capacidades – Inteligencia pre construida con contenido de negocio SAP

© SAP 2007 / Page 44

Modelamiento de Productos Modelamiento de data

Modelamiento del proceso

Reporting Model

30 productos financieros con detalle de su ciclo


Procesos dentro del escenario de libros auxiliares (subledger)

Reporting & Analytics

Calculation & Valuation Layer

Results Data Layer

Soporte a la operación del negocio

Otros Libros auxiliares (subledger)

Prestamos

Libro Mayor

Depositos …

Analytics Layer

Source Data Layer Eventos de negocio Contratos Business

Partner Data de

Mercado

Ganancia por F/X

Accruals/ Deferrals

Fair Value Amortización

PyG realizadas

Hedge Adjustments

Activos y pasivos externos

PyG externos

Preparación de estados financieros Envío de docs a GL

Declaración de estados financieros por entidad

Costo de riesgo Costeo de capital

Costos de proceso Transferencia de precio

Internal / Imputed Profit & Loss

Internal Funding Positions

Rentabilidad de cliente y producto

Estado financiero consolidado


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)


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.


Ejemplos Contabilidad – Preparación en Crystal Reports


Target Architecture – SAP Accounting for Banks

SAP Bank Analyzer - Financial Product Valuation

Source data layer

Hedge accounting

Results data layer

General Ledger SAP ERP GL

FTP & imputed costs

Financial Instruments Accounting

Analytics Layer (Posting Generation, Reporting Item Generation)

Cost of operations SAP ERP RBD

Business Intelligence SAP NetWeaver BI / SAP Business Objects

Rules Engine

Cus

tom

er

Acc

ount

s

Loan

s/

Lend

ing

n  Accounting Subledger for Financial Instruments

Integration Platform / ETL

Cus

tom

er

Acc

ount

s

Col

late

rals

Ass

et

Man

agem

.

Bro

kera

ge

Loan

s/

Lend

ing

OTC

Tr

adin

g

Target Architecture n  ERP GL as overall integration cornerstone n  Bank Analyzer

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

Major Deployment Scenarios:


Deployment Scenario 1: Accounting Subledger for Financial Instruments


Source data layer

Hedge accounting

Results data layer


FTP & imputed costs

Financial Instruments Accounting




Intention: n No accounting processes in core

banking applications n Separation of operational and analytical

banking n  Integration of Financial & Management

Accounting

Benefits 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

Features n Full accounting valuation & position

management for different GAAPs

Integration Platform / ETL

Cus

tom

er

Acc

ount

s

Col

late

rals

Ass

et

Man

agem

.

Bro

kera

ge

Loan

s/

Lend

ing

OTC

Tr

adin

g


Deployment Scenario 2: Imported Sub-ledger Documents

Features and Intention: 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


Results data layer





Rules Engine

Cus

tom

er

Acc

ount

s

Col

late

rals

Ass

et

Man

agem

.

Bro

kera

ge

Loan

s/

Lend

ing

OTC

Tr

adin

g


IFRS Impairment requirements

Individual assessment (Specific allowance)

Collective loan assessment (portfolio allowance for insignificant loans)

Assessment for impairment on portfolio basis considering the loss identification period (LIP) (portfolio allowance for non-impaired loans)

Impairment trigger event



• present value of expected future cash flows (using effective interest)

• recognise unwinding for each single loan as interest income

• ∑ 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)

• present value of future cash flows in portfolio or

• ∑ E x PD x LGD; PD=1

• recognise unwinding on portfolio basis

yes no no yes

choice

Non significant loans / financial assets Significant loans / financial assets

IVA RVA-CA RVA-PA

LAR and HTM (amortised cost)


Agenda




Challenges in Liquidity Risk Management

è  Simulations, predictive analytics, scenario analysis required è  A solution needs to cover compliance, analytics and steering

HIGH DATA VOLUMES

ANALYTICS

ORGANIZATION & PROCESSES

è  Cash flow orientation causes big-data sized volumes è  How to handle these volumes for adhoc reporting / steering purposes?

è  Strong collaboration between Finance, Risk, Treasury required è  Change in liquidity management processes possible

è  Mortgage crisis, European debt crisis, Greece Euro Exit? è  Increasing costs for refinancing and liquidity procurement

MARKET SITUATION

BASEL III REQUIREMENTS è  Mandatory Basel III liquidity rule compliance è  Moving target as full Basel III implementation runs to 2018

Reduzierung des Zeithorizontes

Ut enim adminim veniam, quis nostrud exercitation

Aktualität der Planungsgrundlage mit entsprechend konkreten Zielvorgaben

LIQUIDITY RISK

MANAGE-MENT

BASEL III OSFI IFRS

MARKET

DATA VOLUMES

ANALYTICS

ORGANI-ZATION&PROCESSES

LRM

EN

VIR

ON

ME

NT

Multidimensional challenges impact banking and liquidity Basel III

Pill

ar 1

Pill

ar 2

Pill

ar 3

IFRS


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”


Gestión de Riesgo Integrado

1970s 1980s 1990s 2000s

Gap analysis

Duration

NII Simulation Economic Value Analysis

Dynamic simulation techniques

Value-at-Risk

Sensitivity Analysis Stress Tests

Monte-Carlo-VaR

Fair Value accounting / Credit adjustment


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.


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)


ALM-Posición Promedio


ALM-Evaluación Fecha Clave


ALM-Evaluación Flujo de Caja


ALM-Evaluación de Liquidez


ALM-Liquidez de Monedas


ALM-Valor Presente Neto


Bank Analyzer-Reportes de Riesgo










Agenda




Profitability Management: Business Cycle

Management Accounting & Profitability Analysis

Plan, Budget

Strategy

Execute

Measure

Analyze

Strategy & Planning

Sales & Services, Operations

High Aggregated Level

Aggregated Level

Single Transaction Level


Profitability Management: Components

Management Accounting

Profitability Analysis

Profitability Planning

Contribution Margin Scheme Single Contract:

Net Interest Income

Funding Costs

Gross Interest Margin =

-

Standard Risk Costs

Standard Equity Costs

Standard Process Costs

Net Interest Margin

-

-

-

=

Assets

B/S Market Unit “Loan”

Liabilities

Loss

P/L Market Unit “Loan”

Profit

Balance Sheets and P/L for Market Units or Segments:

Planning

Series 1Series 2

10

8

530%

40%

65%

0

2

4

6

8

10

12

Label 1 Label 2 Label 30%

10%

20%

30%

40%

50%

60%

70%

Planning

Series 1Series 2

10

8

530%

40%

65%

0

2

4

6

8

10

12

Label 1 Label 2 Label 30%

10%

20%

30%

40%

50%

60%

70%


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.

§  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.


ProfitabilityAnalysis

ProfitabilityPlanning





Profitability Components: Strategy, Planning, Forecast, Consolidation







§  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.


© SAP 2008 / Page 75

Profitability Components: Profitability Analysis

§  Profitability analysis traces revenues and costs down to single contracts, but also to business segments or profit centers.

§  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.








Profitability Analysis: Consideration on Different Levels

Profitability of a Profit Center

Contribution margin scheme based on standard costs and funding costs (FTP)

Example Contribution Margin Scheme Single Contract:

Net Interest Income

Funding Costs


-

Risk Costs

Equity Costs

Processing Costs

Net Interest Margin

-

-

-

=

Example Contribution Margin Scheme Product Group: Net Interest Income

Funding Costs


-

Risk Costs

Equity Costs

Processing Costs

Net Interest Margin

-

-

-

=

Marketing Costs -

Result Product Group

Extended contribution margin scheme based on funding costs (FTP) and actual costs

Example Contribution Margin Scheme Profit Center: Net Interest Income

Funding Costs


-

Risk Costs

Equity Costs

Processing costs

Net Interest Margin

-

-

-

=

Marketing Costs -

Result Profit Center

IT Costs -

Other Overhead Costs

=

-

= Standard Costs Actual Costs

Level 1- 4

Level 1- 5

Level 1- n

Profitability of a Product or Customer Group

Profitability of a Single Contract or Customer

Contribution margin scheme based on standard costs, funding costs (FTP) and actual costs








Profitability Analysis: On the Level of Single Contract or Customer

Standard Costs Actual Costs

Contribution margin scheme based on standard costs and funding costs (FTP)

Example Contribution Margin Scheme Single Contract:

Profitability of a single contract or customer







Net Interest Income

Funding Costs


-

Risk Costs

Equity Costs

Processing Costs

Net Interest Margin

-

-

-

=

Level 1- 4

Actual costs are not available on single contract level, but on profit center or cost center level.

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


Profitability Analysis: Product Groups or Customer Groups








Example Contribution Margin Scheme Product Group: Net Interest Income

Funding Costs


-

Risk Costs

Equity Costs

Processing Costs

Net Interest Margin

-

-

-

=

Marketing Costs -

Result Product Group =

Level 1- 5

Profitability of a Product or Customer Group

Contribution margin scheme based on standard costs, funding costs (FTP) and actual costs

Funding costs and standard costs are available on single contract level or single customer level.

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)


Profitability Analysis: On the Level of Profit Center







ProfitabilityPlanningProfitability of a

Profit Center

Extended contribution margin scheme based on funding costs (FTP) and actual costs

Example Contribution Margin Scheme Profit Center: Net Interest Income

Funding Costs


-

Risk Costs

Equity Costs

Processing costs

Net Interest Margin

-

-

-

=

Marketing Costs -

Result Profit Center

IT Costs -

Other Overhead Costs -

=

Level 1- n

On profit center level (e.g. market unit loan department) actual costs are available e.g. in Cost Center Accounting (Controlling).

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.

à FTP determination on single contract level has to take place in Bank Analyzer

à  Aggregation towards profit center level

Data Sources:

à  FTP determination takes place in Bank Analyzer

à  Actual costs like IT costs, overhead costs, etc. result from Controlling


Profitability Components: Management Accounting

§  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.

§  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.








Accounting Components of Bank Analyzer

External Results

Internal Results


Financial Accounting

External results: such as interest, accruals, measurements, …

Internal results: such as funding costs or revenues, risk costs, …


Balance Sheet and P/L for Different Entities

Assets

Balance Sheet

Profit

P/L

Liabilities

Loss

Assets

Balance Sheet

P/L

Bank

Liabilities

Loss Profit

Segment A

Balance Sheet

…

…

Segment B

Profit Center B

Assets

P/L

Profit Center A

Liabi lities

Balance Sheet

Loss Profit







Assets

P/L

Liabilities

Loss Profit

Assets

P/L

Liabi lities

Balance Sheet

Loss Profit


© SAP 2008 / Page 83

Accounting Components of Bank Analyzer

External Results

Internal Results


Financial Accounting

AFI PA

IFMA

External results: such as interest, accruals, measurements, …

Internal results: such as funding costs or revenues, risk costs, …


© SAP 2008 / Page 84

Profitability: Role of Bank Analyzer


Profitability Analysis

Profitability Planning

Shared periodic FTP + Costing Methods

Contribution Margin Scheme Single Contract:

Net Interest Income

Funding Costs


-

Risk Costs

Equity Costs

Processing Costs

Net Interest Margin

-

-

-

=

Assets

B/S Market Unit “Loan”

Liabilities

Losst

P/L Market Unit “Loan”

Profit

Balance Sheets for Org Units or Segments:


© SAP 2008 / Page 85

Profitability: Possible Types of Costs and Revenues

Costs/Revenues of Financial Instruments

Funding Costs and Revenues

Standard Costs

§  Risk Cost

§  Equity Cost

§  Process Cost

§  Others

External Costs and Revenues

§  Interest

§  Fees

§  Valuation

§  Others


© SAP 2008 / Page 86

Profitability: Distribution of a Cash Flow

External Interest Cash Flow

Funding Cash Flow

Standard Risk Costs

Standard Equity Costs

Standard Process Costs

Contribution to Risk-Adjusted Profit

Gross Interest Margin


© SAP 2008 / Page 87

Profitability: Sources of Data

Instrument Result

-

Net Instrument Contribution

-

- Standard Risk Costs Standard Equity Cost

Standard Processing Costs

Interest Income Funding Costs

Interest Margin =

-

Fees + Gross Instrument Contribution =

=

Data Source

-

Net Instrument Contribution

-

- Delivered Cost Factors Delivered Cost Factors

Delivered Cost Factors

BA Sub-Ledger or External BA Methodology

Interest Margin =

-

+ Gross Instrument Contribution =

=

BA Sub-Ledger or External


© SAP 2008 / Page 88

Profitability: Funding Costs and Revenues

Funding Units

Business Units Providing Funds

Business Units with Funding Needs

Capital Market

Long Term Interest Rate

Short Term Interest Rate

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 / Page 89

Treasury

Funds Transfer Pricing: By Funding Cash Flows

Market Unit

Customer Loan

Loan Funding

Market Unit

Customer Deposit

Deposit Funding Loan Funding Deposit Funding


© SAP 2008 / Page 90

Funds Transfer Balancing (Example on Asset Side)

Loans

Balance Sheet

Interest Income Loans

P/L

Bank

Loans Funding Loans

Balance Sheet

Funding Cost

Interest Income Loans

P/L

Market Unit

Funding Loans

Balance Sheet

Funding Revenue

P/L

Treasury


© SAP 2008 / Page 91

Profitability: Results Assignment

Datum Betrag VertragsNr. Geschäfts-partner Produkt Bilanz/GuV

Position Legale Einheit

Hauptbuch-konto

Profit Center

Geschäfts-Segment

Geograph. Segment

09/30 S 550 EUR D973456 Schmidt Hypotheken-Darlehen

Zinsertrag Amortisierung Lux 011188 2008 Privat-

kunden Deutschland

09/30 H 550 EUR D973456 Schmidt Hypotheken-Darlehen

Hypotheken-Darlehen Lux 022288 2008 Privat-

kunden Deutschland

Sub-Ledger Documents

Datum Betrag Bilanz/GuV Position

Legale Einheit

Hauptbuch-konto

Profit Center

Geschäfts-Segment

Geograph. Segment

09/30 S 550 EUR Zinsertrag Amortisierung Lux 011188 2008 Privat-

kunden Deutschland

09/30 H 550 EUR Hypotheken-Darlehen Lux 022288 2008 Privat-

kunden Deutschland

Segment Reporting Financial Statement Legal Entity

Product/Customer Profitability

Datum Betrag VertragsNr. Bilanz/GuV Position

Legale Einheit

Hauptbuch-konto

Profit Center

Geschäfts-Segment

Geograph. Segment

09/30 S 550 EUR D973456 Zinsertrag Amortisierung Lux 011188 2008 Privat-

kunden Deutschland

09/30 H 550 EUR D973456 Hypotheken-Darlehen Lux 022288 2008 Privat-

kunden Deutschland

GL Documents

Financial Data Mart


© SAP 2008 / Page 92

Funds Transfer Pricing Methods

Profitability: Funds Transfer Pricing Methods

… FTP- Determination

…

Maturity Products Non-Maturity Products

Present Value Method

Duration Methods: §  Macaulay Duration §  Fisher-Weil Duration §  Modified Duration §  Alternative Duration §  Deviation from Expectation

Cas

h Fl

ow D

istu

rban

ce

Cas

h Fl

ow R

efin

emen

t FTP Rate Determination: §  Floating Average Rate (weighted/not weighted) §  Weighted Independent Tranches §  Daily FTP §  External Delivery

FTP Volume Based: §  Average Notional (Also Delivered) §  Daily Balances §  Average Effective Capital


© SAP 2008 / Page 93

Costing Methods

Profitability: Standard Costs Methods

… Standard Cost Determination

…

Method Description Application Example Costs are defined by amount per time unit: A plain vanilla mortgage loan causes 30 EUR of processing costs per month.

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.

Tariff-Based Costing

Processing Costs

Costs of Risk

Present-Value-Based Costing

Rate-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).

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.

Processing Costs

Costs of Capital Minimum Reserve


© SAP 2008 / Page 94

Internal Methods

Profitability: External Costs Methods

… Valuation …

Valuation Methods

External Valuation Engines

External Valuation Results

Discounted Cash Flows

Mark-to-Market

Black-Scholes

Black 76

Ikeda-Kunitomo (Double Barrier)

Rubenstein-Reiner (Barrier)

Fair Value

Position Based Currency Valuation

Currency Gains

Accrual/Deferral

Hedge Adjustment (IFRS)

Effective Yield

Straight Line

Interest Proportional

Micro Fair Value Hedge

Portfolio Fair Value Hedge

Macro Cash Flow Hedge

Hypothetical Derivative Method

External Valuation Engines

External Valuation Processes


© SAP 2008 / Page 95

Profitability Scenarios in Bank Analyzer: Two Options to Choose

Balance Sheet Funding Positions Financial Positions

P/L / Contributions Net Present Value

IFMA

PA

•  Double-Entry Postings •  Key Figures


•  Key Figures


•  Key Figures

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


© SAP 2008 / Page 96

IFMA-Scenario (Integrated Financial and Management Accounting)

Reporting und Analytics

Bank Analyzer

Profitabi-lity: Customer, Product, Contract, …

Planning, Forecast, Simulation, Consoli-dation

Financial Statement & P/L (Legal Entity)

Internal Costs/Revenues

External Costs/Revenues

Fair Value

Amorti- zation

Interest & Fees

FX Currency …

General Ledger







Funds- Transfer- Pricing

Equity Costs

Process Costs

Risk Pricing

Con

trol

ling

Oth

er

Sub

-Led

gers

Financial Statement & P/L (Profit Centers, Segments)


© SAP 2008 / Page 97

Scenario Profitability Analysis (PA Stand-Alone)

Reporting and Analytics

Bank Analyzer

Profitabi-lity: Customer, Product, Contract, …

Planning, Forecast, Simulation, Consoli-dation

Financial Statement & P/L (Legal Entity)

Internal Costs/Revenues

External Costs/Revenues

General Ledger

Funds- Transfer- Pricing

Equity Costs

Process Costs

Risk Pricing

Con

trol

ling

Oth

er

Sub

-Led

gers

Financial Statement & P/L (Profit Centres, Segments)

Delivery








Rentabilidad-Reglas de Costeo


Reglas de Costeo-Detalle










Rentabilidad-Objetos Financieros


Rentabilidad Objetos Financieros


Rentabilidad-Segmentos de Rentabilidad


Rentabilidad-Asignación a Costos ABC


Reportes de Rentabilidad-Drilldown


Rentabilidad-Drilldown por las Dimensiones


Clientes Bank Analyzer

© SAP 2008 / Carlos Hernández Bank Analyzer 110

rtc.ch IT-Outsourcing & Banking Software


SAP Roadmap Finance, Risk and Compliance

•  BW on HANA •  BPC on HANA •  Financials on Demand •  Liquidity Risk on HANA

•  Business Suite on HANA

•  Impairment Accounting (IFRS 9 and other GAAPs)

•  Fraud Mgmt on HANA

•  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

2012 H1/2013 H2/2013 2014

n Quarterly forum with top global banks:

Gracias!