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
The following graphic shows the components that are part of the ETL process:
 ...

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
management. The net present value analysis shows the value of a portfolio on a key date. You can
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:

...
...
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 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.
 

 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 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
●     Log of deletion function

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 Fair Value Effectiveness Test Run
Relationships

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 
You can change the following Customizing settings in your operational system:
●      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 data at any aggregation level

         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 NetWeaver
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.
 ○       Are any realignments planned? If so, which characteristics are affected?
 ○       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.
The valuation is also carried out when you post the documents. Once you have posted the
documents, the system automatically notifies the  correction server.
Two IMG activities are required for this purpose:
         In Customizing under Bank Analyzer  Infrastructure    Communication and Worklist
Services  Data Sources   Primary Data Sources    Edit Primary Data Sources.
         In Customizing under Bank Analyzer  Infrastructure  Correction Services  Edit
Correction Components.
See also:  Entry of Line Items.
13.        3.      Realignment
To defin e a realignment, on the SAP Easy Access screen choose Bank Analyzer  Analytics Profit Analyzer  Profitability Management  Edit Realignments.

Create a realignment request. When you do so, the data affected by the realignment is selected
for a data basis. The actual realignment is executed in the realignment run.
To execute a realignment, on the SAP Easy Access screen choose Bank
Analyzer  Analytics  Profit Analyzer  Profitability Management  Execute Realignments.
You use a derivation strategy or an externally defined method to execute the realignment. You
can define how the data is realigned for each characteristic.
For more information, see  Realignment in the Business Accounting documentation. You can define
that the realignment process is to be subject to user authorization checks based on characteristics.
...

14.        4.      Assign Calculated Key Figures

InfoObjects are usually used for the communication of the data for characteristics and key
figures between individual Analyzers and the Source Data Layer.
However, there are no InfoObjects for calculated key figures. This means that you have to
assign each calculated key figure to a key figure in the environment catalog (SDL).
To do so, in Customizing for Bank Analyzer choose Analytics  Profit Analyzer  Profitability
Management  Special Key Figures  Assign Calculated Key Figures.
15.        5.      Assign Special Aggregation
Special logic (average calculation, last value) is assigned to the key figures. This involves
enhancing the logic that is already available in BÍ. You can use this logic for primary or
secondary data sources of the “Profit Analyzer” category.
 Example:
The system contains an entry for the months January to March. No income was obtained for
the months April to November in this area. You want to calculate the average for the calendar
year at the start of December, including November. The total income is divided by 11, using the
“AVG” aggregation category.
“LAS” delivers the last value. In this example, the last value is not the last posted value
(revenue from March). The last value is the value for November, which is zero.
In Customizing for Bank Analyzer choose Analytics  Profit Analyzer  Profitability
Management  Special Key Figures  Assign Special Aggregation.
 

 Profit Engine (FS-BA-PA-PE) 

Purpose
You use this component to calculate bank-specific costs and revenue, in particular the revenue
components of the asset, liability, and service transactions in banks, as well as the standard unit costs
incurred at different levels.
The results components of the costed transactions can be neutralized at different hierarchy levels or
distributed to various items. This enables a previously costed bonus or premium that was allocated to
one customer service representative to be removed (neutralized) at overall bank level, for example. If
a results component is distributed, a revenue component is assigned to two customer service
representatives in a particular ratio, for example.
The results data records are forwarded to Profitability Analysis, where line items are generated from
the data records and consolidated in a user-definedcontribution margin scheme.

Features
The Profit Engine component is divided into the following subcomponents:
...

16.       1.      Processing framework

17.       2.      Modular costing
18.       3.      Allocation
19.       4.      Value determination
20.       5.      Derivation
21.       6.      Verification lists
Processing framework
The processing framework reads data from a data source and provides it for costing or allocation
purposes. The data records generated are transferred to Profitability Analysis for the purpose of line
item generation. The data records can also be transferred to a file or table. Status management for
the costing or allocation processes is carried out within the processing framework.
Modular costing
Modular costing generates new costing components by carrying out various valuation and retrieval
functions. Modular costing consists of elementary functions that can be combined for particular
processes.
Value determination
In modular costing, it must be possible to derive currency amounts, percentages, or quantities on the
basis of characteristics:
       The values are determined depending on any combination of characteristic values.
       These currency amounts, percentages, and quantities are determined using a multi-step
access logic. The system first searches for a particular customer group and product
combination, for example, a percentage. If this is not available, the system searches for a valid
percentage first at product group level and then at organizational area level.
The value determination tool determines the above values for modular costing.
Allocations
Allocations are:
       The distribution of profitability values
       The neutralization of imputed results figures at aggregated level
Distribution:
Distribution is a transfer of profitability values (in particular costs or revenues) from one
or more senders to one or more receivers.
Neutralization:
Costing results are determined in both real (for example, actual costs) and imputed
results figures (for example, bonus/premium, standard unit costs). These imputed results
figures are identified on lower levels (single transaction, for example) but have to be
 taken out of the figures at higher levels (overall bank, for example) so that the overall
bank result is correct.
New data records are generated during the allocation process.
Derivation
In the derivation tool, additional, logically dependent characteristics are determined on the basis of
particular characteristics. The derivation can be carried out in several steps.
 

The characteristic branch is determined on the basis of the characteristic branch

office and the characteristic business area is then determined on the basis of the
branch.
Verification lists
You can display the results of modular costing and of the allocations in verification lists before the
data records are updated in Profitability Analysis. In Profitability Analysis, the data records that have
been processed without errors can be checked for business accuracy. To enable comparisons to be
made between the result records and the results from previous periods, the data records can be
extracted from the verification lists to the Business Information Warehouse (BW).
 
 

 Profitability Planning 
Purpose
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 (Business
Planning and Simulation) application. This application is shipped separately and is not integrated in
Profit Analyzer. For more information, see the documentation on the SEM-BPS application.

Integration
Sales planning is based on actual values, from which plan values are generated during the planning
process, as well as data that is loaded from Profitability Analysis or non-SAP systems, for example.
Data from the individual systems is merged within planning using SAP NetWeaver Business
Intelligence (BI), which BPS uses for data storage purposes. Note that the granularity level at which
planning is to be carried out can be generated when data is extracted to BI by means of simply
aggregating the actual data records. If several Cubes are to be merged, all characteristics must be
identical and filled.

Sales planning is carried out at branch office level and profitability analysis data is
available at account level. The data records in Profitability Analysis also contain
the branch office characteristic, which enables the single records to be aggregated at
account level.
 
 
  Counterparty Risk 
Definition
The risk of an unexpected loss in the value of a receivable in a contract due to a worsening of the
credit standing of a business partner.

Use
Counterparty Risk identifies risks and provides key figures to measure and control credit risk as part
of the bank management process.

Structure
Counterparty risk is calculated as follows:
...

22.        1.      The
input data is selected that is needed to calculate the counterparty/issuer risk
(see Selection Management in the Source Data Layer). The main types of input data are:
         Business partner data
         Contract data
         Collateral data
23.        2.      Counterparty risk is calculated at business partner level, or for a group of business partners
and their contracts. It is calculated as follows:
The balances of contracts are netted off against one another on the basis of legal or
economic aspects (see Account Pooling).
Business partner data is aggregated on the basis of legal or economic aspects, or as
required for specific models, or for system performance reasons (see Summarization
Schema).
Summarized business partner data is transferred to a credit risk model (such as
CreditMetrics, or CreditRisk+), which returns the calculated risk key figures
(see Interface to Portfolio Models).
a.       Risk key figures are saved along with their characteristics, and made available to other
business applications and processes.
Since risk key figures cannot usually be returned at contract level, some business
processes have to redistribute the key figures back to the individual contracts
(see Redistribution).
 
 

Integration
Counterparty risk, or credit risk, is by far the greatest risk borne by banks. It is a risk they have borne
since their conception. Yet new developments on the capital market and advanced methods for
measuring and controlling credit risks present banks with new requirements in terms of business
processes and technical systems for assessing credit risk. These requirements are increased by
prospective changes to the banking supervisory regulations aimed at limiting bank’s default risk. Bank
Analyzer aims to provide suitable solutions to meet the changing requirements of banks for processes
and methods to measure and manage counterparty risk.
 
 

 Portfolio Credit Risk 

Purpose
This component enables you to measure, analyze, and control default risks. Default risk is the
potential loss incurred from a financial transaction in the event of the business partner being unable to
meet contractual obligations due to specific economic or political causes. Default risks are classified
as follows:
 Counterparty risk describes the danger of a loss in the value of a receivable due to a
worsening of the creditworthiness of the business partner.  Country risk describes the risk of
a loss in value due to a worsening of the credit standing of the country risk country. This is the
country whose situation affects the business payments.

Portfolio Credit Risk contains functions for counterparty risk only.

 

 Counterparty Risk 
Definition
The risk of an unexpected loss in the value of a receivable in a contract due to a worsening of the
credit standing of a business partner.

Use
Counterparty Risk identifies risks and provides key figures to measure and control credit risk as part
of the bank management process.

Structure
Counterparty risk is calculated as follows:
...

24.        1.      The
input data is selected that is needed to calculate the counterparty/issuer risk
(see Selection Management in the Source Data Layer). The main types of input data are:
         Business partner data
         Contract data
         Collateral data
25.        2.      Counterparty risk is calculated at business partner level, or for a group of business partners
and their contracts. It is calculated as follows:
 The balances of contracts are netted off against one another on the basis of legal or
economic aspects (see Account Pooling).
Business partner data is aggregated on the basis of legal or economic aspects, or as
required for specific models, or for system performance reasons (see Summarization
Schema).
Summarized business partner data is transferred to a credit risk model (such as
CreditMetrics, or CreditRisk+), which returns the calculated risk key figures
(see Interface to Portfolio Models).
a.       Risk key figures are saved along with their characteristics, and made available to other
business applications and processes.
Since risk key figures cannot usually be returned at contract level, some business
processes have to redistribute the key figures back to the individual contracts
(see Redistribution).
 

Integration
Counterparty risk, or credit risk, is by far the greatest risk borne by banks. It is a risk they have borne
since their conception. Yet new developments on the capital market and advanced methods for
measuring and controlling credit risks present banks with new requirements in terms of business
processes and technical systems for assessing credit risk. These requirements are increased by
prospective changes to the banking supervisory regulations aimed at limiting bank’s default risk. Bank
Analyzer aims to provide suitable solutions to meet the changing requirements of banks for processes
and methods to measure and manage counterparty risk.
 
 
  Risk Calculation 
Counterparty credit risks can be calculated externally (see also External Calculation of Risk  or
internally (see also Internal Calculation of Risk Calculation). When risks are calculated externally, the
basic data is selected from the Source Data Layer (SDL) and transferred to an external counterparty
risk processor, where the risk is then calculated. The data is transferred to the administration of
counterparty/issuer risk runs, and then to the Result Database (RDB). At present, the interface for
external risk calculation is provided only for external counterparty/issuer risk processors of the pilot
customer.
Internal risk calculation takes place almost exclusively within the SAP system. If required, certain
counterparty/issuer risk key figures can be calculated in an external portfolio model. However, internal
risk calculation can currently be used as a prototype function only.
 

Country Risk
Architecture of Country Risk
Calculations in the Country Risk Component
Characteristics and Key Figures in Country Risk
Data Selection
Figures used in the Calculation of Attributable Amounts
Starting Country Risk Runs
Reporting
Master Data Report for Facilities
Tools
Run Administration
Features of Run Administration in Country Risk
Schedule Manager
 Schedule Manager (CA)
Postprocessing
Archiving of Country Risk Data
Data Archiving (CA-ARC)
Interaction Between Country Risk and Limit Manager

 Country Risk  
Purpose
This component provides an infrastructure for calculations and can be defined by the customer as
required. Calculations are primarily used to determine attributable amounts for individual transactions.
 

Integration
Country Risk is part of Bank Analyzer. In Country Risk, you can use the results generated by the
upstream General Calculation and Valuation Methods. You can process the attributable amounts
calculated in Country Risk in  Limit Manager.
For more information, see the following documents:
Architecture of Country Risk
Interaction Between Country Risk and Limit Manager
 

Features
Since in practice a large number of methods are used to determine the exposure to default risk, a
flexible and customizable interface is provided in Country Risk for the analysis of financial
transactions such as loans and facilities. For each transaction entered in the system, the system
calculates attributable amounts that disclose the risk content of each transaction. Formulas are
assigned for each combination of determination procedure and default risk rule defined in
Customizing. The formulas are stored in each transaction.