Bank analyzer customizing guide base i ii credit exposure current accounts
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Bank analyzer customizing guide base i ii credit exposure current accounts Bank analyzer customizing guide base i ii credit exposure current accounts Document Transcript

  • Best Practice Bank Analyzer – Customizing Guide Basel II – Credit Exposure Current Accounts Dietmar-Hopp-Allee 16 D-69190 Walldorf CS STATUS customer published DATE VERSION Nov-11 2008 2.1 SOLUTION MANAGEMENT PHASE SAP SOLUTION Operations & Continuous Improvement My SAP Banking (Bank Analyzer) TOPIC AREA SOLUTION MANAGER AREA Application and Integration Management Configuration ManagementBP_CustomizingGuide_CRE_Performance_v21.doc – 13.11.2008
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current AccountsTable of Contents1 Management Summary 3 1.1 Goal of Using this Service 3 1.2 Alternative Practices 3 1.3 Staff and Skills Requirements 3 1.4 System Requirements 32 Best Practice 4 2.1 Preliminary Tasks 4 2.2 Design Concept for the Credit Exposure Runs 4 2.2.1 First Part: Risk Factor Run 5 2.2.2 Second Part: Final Run 6 2.3 Customizing for the First Run-Type (Risk Factor Run) 7 2.3.1 Task of the Run Type 7 2.3.2 Customizing for the Run Type 7 2.4 Customizing for the Second Run Type (Final Run) 9 2.4.1 Task of Run Type 9 2.4.2 Customizing for the Run Type 9 2.4.2.1 Define Run Types 9 2.4.2.2 Edit Selection Groups 11 2.4.2.3 Edit Data Enrichment Type 11 2.4.2.4 Creating Primary Data Sources 19 2.4.2.5 Transport Value of the Indicator 20 2.4.3 Customizing for the Calculation Method 20 2.4.3.1 Define Calculation Methods 21 2.4.3.2 Assign Modules to Calculation Methods 22Index of Figures 26Index of Tables 26© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 2/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current Accounts1 Management SummaryThis Run SAP document explains a customizing approach and strategy for SAP Bank Analyzer CreditExposure calculations.Based on our experiences the performance and hardware requirements in a banking environment is always achallenge from technical perspective because of high data volumes to be processed.This paper describes the basic steps that are necessary to improve the performance of the Basel II CreditExposure calculation. This concept is based on the assumption that for banks with a high volume of deals(>1m) the main part (>90%) of the portfolio consists of simple transactions (e.g. current accounts, creditcards).1.1 Goal of Using this ServiceThe document gives guidance about the customizing changes that are necessary to implement that scenariofor current accounts of the credit exposure calculation. Using this customizing for current accounts aperformance improvement up to 50 % can be achieved. If necessary, in the specific customer project it has tobe investigated whether this scenario can be extended for more complex deals such as mortgage loans. Thetarget group for this guideline is consultants who are familiar with the Basel II calculation process and thecorresponding Bank Analyzer customizing.The example is based on a current account financial transaction and all IMG links startBank Analyzer Processes and Methods Credit Risk Credit Exposure, except the ones that begin withBank AnalyzerNote: Please note that the modules and customizing described are just examples and cannot replace acustomer implementation. Therefore, an individual implementation is necessary; it is not possible simply copythe modules and customizing.1.2 Alternative PracticesAs alternative you can still use the standard implementation based on the Credit Exposure Business Content,which will require much more hardware resources to achieve the same performance results.1.3 Staff and Skills RequirementsBefore implementing the described approach, it is necessary to know something about the skill set and tasksof the project required team: A person with detailed knowledge of Bank Analyzer credit exposure processes and business content and the SAP solution itself Someone from the business side should be involved to verify, if the impact on the monthly credit exposure calculation is acceptable for the bank and if the regulator requirements are still fulfilled Early beginning of considering the design approach during the implementation project1.4 System RequirementsThe concept is only relevant for a Bank Analyzer Credit Exposure calculation and can be implemented fromBank Analyzer, release 5.0 onwards.© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 3/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current Accounts2 Best Practice2.1 Preliminary TasksThe following tasks have to be performed before you can apply the recommendations from the document. 1. Standard credit exposure calculation run has to be customized 2. It has to be clarified in advance which part of the portfolio (e.g. current accounts) can be calculated using that concept.2.2 Design Concept for the Credit Exposure Runs Contract Collateral Read Exposure Read Asset Level 0 (Communication layer) 0: Data Enrichement Read Collateral To calculate the credit risk exposure data based on • original maturity, transaction level and • residual maturity, on business partner level is necessary. Data enrichment Data enrichment • Approach Netting preprocessing Level 1: Calculation PART 1 1 Eligibility OTC Repo On-balance To prepare the RWA calculation all complex, rule based • CEA, interdependencies between • CCF, -Contract • EAD, Calculations Calculations -Asset class, • Risk class EAD/risk factors Risk factors -Product class • Relevant rating, -Business partner (and its role) • Master rating, -Allocated collaterals • Risk weights, -Netting arrangements and • PD, Relationship -Chosen • LGD approach Haircut/M mism./Risk factors have to be taken into account. Optimized distribution of collateral Level 2 : Calculation PART 2 After an optimized distribution of collaterals and guarantees Risk Mitigation & Calculations RWA / CR • RDBunderlying contracts the minimal regulatory capital to the Mapping required to cover the credit risk exposure could be calculatedFigure 1 Overview of complete CRE runThe basic idea of this concept is to separate the CRE Calculation Process shown in Figure 1 into two parts.The first part consists of the determination of risk factors that are based solely on master data such as therisk weight, CCF, PD, and LGD. This part is the most performance-intensive part of the CRE CalculationProcess. Since master data does not change very often it is possible to perform this part of the calculationless frequently, e.g. every weekend. That makes it possible to use a larger time slot for the moreperformance-intensive part of the calculation when more system resources are available.The second part is based on the results of the first part and in addition reads the variable data, which is calledposition data, in the Bank Analyzer. Using this input data, the second part finalizes the calculation of the keyfigures that depend on variable data such as EAD, RWA and RCR. Since the second part needs in ameasured test case about 60%–70% fewer resources compared to the complete CRE Calculation Process, itis possible to perform that part in a tight time slot. Therefore it can be carried out in a daily basis.© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 4/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current AccountsOf course both runs together consume more system resources than one complete CRE Calculation Process.The performance gain is achieved by the fact that the first part is carried out only rarely in a larger timewindow while the second one which consumes significantly fewer system resources is performed morefrequently in a short time window.2.2.1 First Part: Risk Factor Run Bundling Contract Read Exposure Level 0 (Communication layer) 0: Data Enrichement To calculate the credit risk exposure data based on • original maturity, transaction level and • residual maturity, on business partner level is necessary. Data enrichment • Approach Netting preprocessing Level 1 Calculation PART 1 1: OTC Repo On-balance To prepare the RWA calculation all complex, rule based • CEA, interdependencies between • CCF, -Contract • EAD, Calculations -Assetclass, • Risk class risk factors -Product class • Relevant rating, -Business partner • Master rating, (and its role) -Allocated collaterals • Risk weights, -Netting arrangements and • PD, -Chosen approach • LGD have to be taken into account. Level 2 : Calculation PART 2 Storing results in RDB/RDL Storing results • RDB Mappingin RDB/RDLFigure 2 Overview of the first part: Risk factor runIn the first part, the risk factors depending solely on master data are determined. Figure 2 gives an idea of theimportant processes of the run. For this run basically a complete CRE calculation can be carried out sincethis run should be performed only rarely, and there is no bottleneck of system resources. Therefore, onlysmall changes to the customizing of the CRE Calculation Process are necessary. The results are stored inthe RDL on level 2. The required changes are described in chapter 2.2.3.Note: Please be aware that master data changes may invalidate the results of the risk factor run. Make surethat you restart the risk factor run if you have changed master data. If only a small part of the portfolio waschanged, you can use the postprocessing function to update the results of the risk factor run (transaction:/BA1/R2_CE_08).© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 5/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current Accounts2.2.2 Second Part: Final RunThe second part is triggered frequently, and includes the changes of variable data. Results of the final run arethe EAD, RWA and RCR. Figure 3 describes the details of the second part of CRE final run, which is basedon the results of the risk factor run. If, for a particular contract, the run does not find any results in the riskfactor run, it completes the standard CRE Calculation Process for that specific contract. That decision ismade with the help of a flag that is checked if results of the first run are available. This flag has to be mappedin each module of level 0 and level 1 calculation. Contract Read Input from RDL/RDB Level 0 (Communication layer) 0: Data Enrichement Read Pre run results and position data • original maturity, • residual maturity, Read position • Approach Level 1 Calculation PART 1 1: To prepare the RWA calculation the parameters based • CEA,on the position data EAD are calculated • CCF, • EAD, Calculations • Risk class, EAD • Relevant rating, • Master rating, • Risk weights, • PD, • LGD Level 2 : Calculation PART 2 regulatory capital Risk Mitigation & Calculations RWA / CR • RDB Mapping the credit risk exposure could be calculated required to coverFigure 3 Overview of second part: Final runImplementing this run type requires more effort, since some customizing settings have to be changed: Data Enrichment Type: Because the second run type has to read the results from the first one from the RDL, a new module, Read Data: Exposures, is required. The RDL data is read by calling a primary data source, which is a standardized means of accessing elementary data sources. The PDS defines which data from the RDL (contains data mapped from the SDL) is imported into the application. Afterwards a second PDS is called that returns position data (e.g. utilization) that is used to calculate the free line (external line – utilization). The second module enriches the data for exposures, and must also be set up in the Module Editor. It merely copies fields and enters a value for the legal entity characteristics. No other changes to the standard data enrichment type are required. Calculation Method: The main step in the creation of a calculation method is the assignment of the various calculation modules to it. Before this can be done certain customizing settings must be entered, and a new module for the level 1 calculation must be created in the module editor. This should contain only a Copy Fields step, which ensures that the results from the RDL are mapped to the key figures and characteristics to avoid losing them. The EAD and the level 2 calculation are required. It is similar to the standard CRE run. Selection Groups: At this point it is necessary to make sure that the selected financial transactions from the first (pre) run are included, otherwise it is not possible to get results.© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 6/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current Accounts2.3 Customizing for the First Run-Type (Risk Factor Run)2.3.1 Task of the Run TypeThe first run type is nearly a full copy of the standard credit exposure run type where only small changes aresuggestive (select the right financial transactions). It should calculate all levels and store the results in theRDL (look at Figure 2 Overview of the first part: Risk factor run).2.3.2 Customizing for the Run TypeFirst check if the RDA and result type of the normal credit exposure run type contain the required fields. To dothis look up the RDA and result type of this run type (setting for runs in Results Data Layer Define RunTypes) and check the required fields as described in section 2.4.2.4. If it does not contain the fields in Table 5Additional fields in the primary data source, add them to the result type.The next step is to create the run type and make sure that the correct financial transactions are used.Therefore the following steps are necessary: 1. Go to Setting for Runs in Results Data Layer Define Run Types and copy the standard run type (right click, copy as …) 2. Follow the instructions for setting up a selection group ID (section 2.4.2.2) 3. Replace the selection group ID of the copied run type with the new one.Note: Please note that the financial transactions for the risk factor run type (chapter 2.3) have to be includedin the selection group of the final run type (chapter 2.4).The table below contains a legend of the symbols used in the charts. Symbol Description Contains a description of the type of fields that are displayed on the screen. Indicates that further preparing is required in order to fill the Edit Selection Groups input field, these fields are described in a separate section. Relates to the first type of field, and is connected to it by an arrow. Its content should be entered into the input fields or is the value already in the field. Descriptions given after an arrow ( ) are values that have to be selected using the input help.Calculation Settings for Runs in If there is text above or below a box you can navigate to theResults Data Layer Define Run Types screen by following the IMG path. The same basic path is relevant in each case: Bank Analyzer Processes and Methods Credit Risk Credit Exposure Signifies that there is a folder in the tree structure on the left side. Double click it to access the input fields.Table 1 Legend of charts© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 7/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current AccountsFigure 4 Define the basic run type© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 8/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current Accounts2.4 Customizing for the Second Run Type (Final Run)2.4.1 Task of Run TypeThis run type is based on the results of the first run type that are stored in the RDL. It is used to calculate finalresults such as the RWA and RCR (see Figure 3 Overview of second part: Final run) based on the results ofthe risk factor run and position data. A completely new run type has to be configured, and new modules arerequired in the Module Editor. These steps are described in the following sections.2.4.2 Customizing for the Run Type2.4.2.1 Define Run TypesThis is the main IMG activity (setting for runs in Results Data Layer Define Run Types) where the runtypes are edited that the system uses to write credit exposure results to the Results Data Layer (RDL). 1. Choose Define Run Types in the dialog structure 2. Choose New Entries 3. Fill in all the data described in Figure 5 Define the frequent run type© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 9/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current AccountsFigure 5 Define the frequent run typeIn the next steps for the selection group ID (see section 2.4.2.2), enrichment type (see section 2.4.2.3), ID oftransfer (see section 2.4.2.5), and assign calculation methods (see section 2.4.3.2) values must be prepared.For all other fields there is no variation from the standard credit exposure run.© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 10/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current Accounts2.4.2.2 Edit Selection GroupsIn this IMG activity, you group together the master parameters for data selection into a selection group.Figure 6 Edit Selection GroupsMake sure that the master parameters for data selection include the same selection options as the ones usedfor the risk factor run type in section 2.3.2.4.2.3 Edit Data Enrichment TypeIn this IMG activity, you define the data enrichment type and assign to it the relevant modules for reading andenriching data. Choose New Entries, enter a name and description for the new enrichment type. Then youhave to include the modules that are called during the enrichment process. Therefore, the preparation of twomodules is essential, first the one for Data Read Exposure, and then the one for Data Enrich Exposure. Forall other enrichment types there are no changes to credit exposure run.© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 11/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current AccountsFigure 7 Edit Data Enrichment Type2.4.2.3.1 Using the Performance Optimization CharacteristicTo define whether performance-optimized coding is to be used, an indicator (characteristic CHAR(1) with thevalues 1 and 0, here /BIC/PFOIND) has to be created in IMG activity Bank Analyzer Basic SettingsSettings for Meta Data Characteristics. Enter a meaningful name and description for the indicator.2.4.2.3.2 Create an Environment in the Module EditorChoose Bank Analyzer Processes and Methods Credit Risk Credit Exposure Module EditorEdit Modules in customizing to start the Module Editor.First create an environment in the Module Editor, and make sure that the following key figures andcharacteristics are defined as import or export parameters, as appropriate.© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 12/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current AccountsInput Fields Output Fields/1BA/ISTYPE Industry Keys /1BA/ISTYPE Industry Keys/1BA/_BA1C_CETYP CE - Product Type /1BA/_BA1C_CETYP CE - Product Type/1BA/_BA1C_INDSC Industry /1BA/_BA1C_INDSC Industry/B20C/S_CDATLRMG Date of last remargining /B20C/S_CDATLRMG Date of last remargining/B20C/S_CDATNRMG Date of next remargining /B20C/S_CDATNRMG Date of next remargining l/B20C/S_CDNMAEV Date of next marking to /B20C/S_CDNMAEV Date of next marking to market market/BA1/C43CLACC Class Pos. in Sec. Acct. ID /BA1/C43CLACC Class Pos. in Sec. Acct. ID/BA1/C55LGENT Legal Entity /BA1/C55LGENT Legal Entity/BA1/C62CALCM Calculation Method /BA1/C62CALCM Calculation Method/BA1/KX62CONTR Calculation Elements: /BA1/C62PRDCLS Product Class Contract/BA1/KX62PARAM CE Process Parameter /BA1/C62RSKCAT Risk Category/BIC/PFOIND Indicator: Performance /BA1/C62UEXPOS UOID of Exposure optimization possible/BA1/KX62CONST Constants in Credit /BA1/KX62CONTR Calculation Elements: Contract Exposure /BIC/PFOIND Performance optimization possible /BA1/C40FTRAN Financial Transaction - IDTable 2 Input- and output fields for environment creation2.4.2.3.3 Adjustment of PDS S62EXPOSAs a preparation step before implementing the module for data read it has to be made sure that the PDSS62EXPOS delivers the settlement account name (/BA1/C42SACC) as well. To do so proceed as follows: 1. Go to transaction /BA1/F3_GDS 2. Select Single Record General Primary Data Source: Single Record 3. Double click S62EXPOS 4. Choose the tab page Char 5. Switch to change mode by clicking the icon on the upper left-hand side 6. Double click /BA1/C42SACC on the left side to move this characteristic to the right© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 13/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current Accounts 7. Go to Customizing and call the module editor (Module Editor Edit Modules) 8. Select the environment SC_DATA_ENRICHMENT and the module SC_READ_EXPOSURE 9. Choose Change to switch to change mode 10. Copy the environment in the context menu (right mouse button) and choose Copy as … 11. Go to the step sequence to the step where the PDS S62EXPOS is called 12. Choose the Export tab page and then choose Refresh Fields 13. The new /BA1/C42SACC field is now displayed under the Formal Parameters 14. Map it to the field [O]/BA1/C42SACC, which has to be integrated in the environment if it is not already there.2.4.2.3.4 Module Read Data: ExposuresIn this module the input data for the final run is read. It consists of two steps. In the first step, the results of therisk factor run are read via a PDS. The reading of the results of the risk factor run needs to be done in twosub-steps. In the first sub-step the results for the off–balance-sheet part of a contract is read in order toreceive the CCF. If no off-balance-sheet part exists, the balance sheet part is read in the second sub-step. Inthe second step the position data is read. If no results are found for the risk factor run, the standard data readis processed for that specific contract.You can implement the module as described below.Create a new module in your environment and insert the following steps. You need to use a primary datasource. The product class is determined by /BA1/KX62CONST-PROD_CLASS-OFF_BAL_TRANS, which isused to read the off-balance-sheet entry in the RDL. If the PDS does not find any results it uses/BA1/KX62CONST-PROD_CLASS-ON_BAL_ASSETS to get the balance sheet entry. If this is not success-ful, the standard read exposure module steps are executed. If the data was read successfully, this is shownby the contract currency (see condition). We recommend that you copy the standard module and create theadditional steps.Copy Target Field Source FieldFields [O]/BA1/KX62CONTR [I]/BA1/KX62CONTR [O]/BA1/KX62CONTR-PRODUCT- /BA1/KX62CONST-PROD_CLASS-OFF_BAL_TRANS PROD_CLASSFormula Target Field Formula [O]/BA1/C62CALCM XX (insert calculation method from risk factor run)Call Primary (To create a new prim ary data source, see section 2.4.2.4)Data Source Import Formal Parameters Actual Parameters /BA1/C62CALCM [O]/BA1/C62CALCM /BA1/C62PRDCLS [O]/BA1/KX62CONTR-PRODUCT-PROD_CLASS /BA1/C62UEXPOS [O]/BA1/KX62CONTR-COMMON-CONTRACT_ID© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 14/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current AccountsCopy Target Field Source FieldFields Export Formal Parameters Actual Parameters /BA1/K62LGDV [O]/BA1/KX62CONTR-FACTORS-LGD /BA1/K62PDV [O]/BA1/KX62CONTR-FACTORS-PD /1BA/_BA1C_AGGAP [O]/BA1/KX62CONTR-COMMON-AGG_APPROACH /1BA/_BA1C_CNTHQ [O]/BA1/KX62CONTR-BUPA-HOME_COUNTRY /1BA/_BA1C_LIMCR [O]/BA1/KX62CONTR-AMOUNTS-EXTERNAL_LINE /1BA/_BA1C_RSKGR [O]/BA1/KX62CONTR-COMMON-RISK_GROUP /1BA/_BA1C_SECAT [O]/BA1/KX62CONTR-BUPA-BUSINESS_SECTOR_CAT /B20C/S_KLIMAMT [O]/BA1/KX62CONTR-AMOUNTS-EXTERNAL_LINE /BA1/C20BPART [O]/BA1/KX62CONTR-BUPA-BUSINESS_PARTNER_ID /BA1/C55LGENT [O]/BA1/C55LGENT /BA1/C62ABSCAT [O]/BA1/KX62CONTR-ABS-SECUR_EXP_CAT /BA1/C62ABSNEL [O]/BA1/KX62CONTR-ABS-FLG_SEC_ELIG /BA1/C62ABSTID [O]/BA1/KX62CONTR-ABS-ABS_TRANS_ID /BA1/C62APPRCH [O]/BA1/KX62CONTR-COMMON-APPROACH /BA1/C62CCFCLS [O]/BA1/KX62CONTR-CLASSES-CCF_CLASS /BA1/C62CECTR [O]/BA1/KX62CONTR-CONTRACT-TRANSACTION_CAT /BA1/C62PFOCAT [O]/BA1/KX62CONTR-BUPA-PORTFOLIO_CAT /BA1/C62PRCAT [O]/BA1/KX62CONTR-PRODUCT-PRODUCT_CAT /BA1/C62PRDCLS [O]/BA1/KX62CONTR-PRODUCT-PROD_CLASS /BA1/C62RETPFO [O]/BA1/KX62CONTR-RETAIL-SUBPORTFOLIO /BA1/C62RISKCL [O]/BA1/KX62CONTR-BUPA-RISKCLASS /BA1/C62RSKCAT [O]/BA1/KX62CONTR-COMMON-RISK_CATEGORY /BA1/C62SECCAT [O]/BA1/KX62CONTR-ABS-SECURITIZATION_CAT /BA1/C62SGICCF [O]/BA1/KX62CONTR-RETAIL-SEGMENT_ID_CCF /BA1/C62SGILGD [O]/BA1/KX62CONTR-RETAIL-SEGMENT_ID_LGD /BA1/C62SGIPD [O]/BA1/KX62CONTR-RETAIL-SEGMENT_ID_PD /BA1/C62SPLDCT [O]/BA1/KX62CONTR-PRODUCT-SPECIAL_LEND_CAT /BA1/C62SUBAPP [O]/BA1/KX62CONTR-COMMON-SUB_APPROACH /BA1/K62CCFV [O]/BA1/KX62CONTR-FACTORS-CCF /BA1/K62MATNM [O]/BA1/KX62CONTR-MATURITY-MAT_TERM_NOM_MIN /BA1/K62MVCP [O]/BA1/KX62CONTR-MARKET-MKT_VAL_CHG_PER /BA1/K62ORIGT [O]/BA1/KX62CONTR-TERM-ORIGIN_TERM /BA1/K62RWGHT [O]/BA1/KX62CONTR-FACTORS-R /BIC/OBJ_CURR [O]/BA1/KX62CONTR-COMMON-CONTRACT_CURR /BA1/C42SACC [O]/BA1/C42SACC [O]/BA1/KX62CONTR-PRODUCT- [I]/BA1/KX62CONST-PROD_CLASS-ON_BAL_ASSETS PROD_CLASS© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 15/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current AccountsCopy Target Field Source FieldFieldsCondition IF [O]/BA1/KX62CONTR-COMMON-CONTRACT_CURR EQ Call PDS (new created, look at section 2.4.2.4) Import Formal Parameters Actual Parameter /BA1/C62CALCM [O]/BA1/C62CALCM /BA1/C62PRDCLS [O]/BA1/KX62CONTR-PRODUCT-PROD_CLASS /BA1/C62UEXPOS [O]/BA1/KX62CONTR-COMMON-CONTRACT_ID /BA1/K62LGDV [O]/BA1/KX62CONTR-FACTORS-LGD /BA1/K62PDV [O]/BA1/KX62CONTR-FACTORS-PD /1BA/_BA1C_AGGAP [O]/BA1/KX62CONTR-COMMON-AGG_APPROACH /1BA/_BA1C_CNTHQ [O]/BA1/KX62CONTR-BUPA-HOME_COUNTRY /1BA/_BA1C_LIMCR [O]/BA1/KX62CONTR-AMOUNTS-EXTERNAL_LINE /1BA/_BA1C_RSKGR [O]/BA1/KX62CONTR-COMMON-RISK_GROUP /1BA/_BA1C_SECAT [O]/BA1/KX62CONTR-BUPA-BUSINESS_SECTOR_CAT /B20C/S_KLIMAMT [O]/BA1/KX62CONTR-AMOUNTS-EXTERNAL_LINE /BA1/C20BPART [O]/BA1/KX62CONTR-BUPA-BUSINESS_PARTNER_ID /BA1/C55LGENT [O]/BA1/C55LGENT /BA1/C62ABSCAT [O]/BA1/KX62CONTR-ABS-SECUR_EXP_CAT /BA1/C62ABSNEL [O]/BA1/KX62CONTR-ABS-FLG_SEC_ELIG /BA1/C62ABSTID [O]/BA1/KX62CONTR-ABS-ABS_TRANS_ID /BA1/C62APPRCH [O]/BA1/KX62CONTR-COMMON-APPROACH /BA1/C62CCFCLS [O]/BA1/KX62CONTR-CLASSES-CCF_CLASS /BA1/C62CECTR [O]/BA1/KX62CONTR-CONTRACT-TRANSACTION_CAT /BA1/C62PFOCAT [O]/BA1/KX62CONTR-BUPA-PORTFOLIO_CAT /BA1/C62PRCAT [O]/BA1/KX62CONTR-PRODUCT-PRODUCT_CAT /BA1/C62PRDCLS [O]/BA1/KX62CONTR-PRODUCT-PROD_CLASS /BA1/C62RETPFO [O]/BA1/KX62CONTR-RETAIL-SUBPORTFOLIO /BA1/C62RISKCL [O]/BA1/KX62CONTR-BUPA-RISKCLASS /BA1/C62RSKCAT [O]/BA1/KX62CONTR-COMMON-RISK_CATEGORY /BA1/C62SECCAT [O]/BA1/KX62CONTR-ABS-SECURITIZATION_CAT /BA1/C62SGICCF [O]/BA1/KX62CONTR-RETAIL-SEGMENT_ID_CCF /BA1/C62SGILGD [O]/BA1/KX62CONTR-RETAIL-SEGMENT_ID_LGD /BA1/C62SGIPD [O]/BA1/KX62CONTR-RETAIL-SEGMENT_ID_PD /BA1/C62SPLDCT [O]/BA1/KX62CONTR-PRODUCT-SPECIAL_LEND_CAT /BA1/C62SUBAPP [O]/BA1/KX62CONTR-COMMON-SUB_APPROACH /BA1/K62CCFV [O]/BA1/KX62CONTR-FACTORS-CCF /BA1/K62MATNM [O]/BA1/KX62CONTR-MATURITY-MAT_TERM_NOM_MIN /BA1/K62MVCP [O]/BA1/KX62CONTR-MARKET-MKT_VAL_CHG_PER /BA1/K62ORIGT [O]/BA1/KX62CONTR-TERM-ORIGIN_TERM /BA1/K62RWGHT [O]/BA1/KX62CONTR-FACTORS-R /BIC/OBJ_CURR [O]/BA1/KX62CONTR-COMMON-CONTRACT_CURR /BA1/C42SACC [O]/BA1/C42SACC© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 16/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current AccountsCopy Target Field Source FieldFieldsCondition IF [O]/BA1/KX62CONTR-COMMON- CONTRACT_CURR EQ Copy of SC_READ_EXPOSURE ELSE Copy Fields Target Field Source Field [O]/BA1/C40FTRAN [L]C40FTRAN Call OTS (S30S010K) Export Formal Parameters Actual Parameter /BA1/C11FPROD [L]/BA1/C11FPROD /BA1/C11NODENO [L]/BA1/C11NODENO /BA1/C11SPROD [L]/BA1/C11SPROD /BA1/C40FTRAN [O]/BA1/C40FTRAN /BA1/C42SACC [L]/BA1/C42SACC Import Formal Parameters Actual Parameter /B20C/S_KAMDRAW [O]/BA1/KX62CONTR-AMOUNTS-UTILIZATION /BIC/OBJ_CURR [O]/BA1/KX62CONTR-AMOUNTS-UTILIZATION_CURR Copy Fields Target Field Source Field [O]/BA1/KX62CONTR-AMOUNTS- [O]/BA1/KX62CONTR-AMOUNTS-UTILIZATION_CURR FREE_LINE_CURR Formula Target Field: [O]/BA1/KX62CONTR-AMOUNTS-FREE_LINE Formula: [O]/BA1/KX62CONTR-AMOUNTS-EXTERNAL_LINE - [O]/BA1/KX62CONTR-AMOUNTS-UTILIZATION Target: [O] /BIC/PFOIND Formula: 1Table 3 Module read dataIt may be the case that the EAD calculation needs more parameters from the position than described here.Check all the EAD modules you use and add the missing parameters to the OTS.Use the input help to add this module to the Data Read Exposure module in the IMG activity Edit DataEnrichment Type, (see Figure 5 Define the frequent run type). Note the last formula in the ELSE statementwhere the indicator /BIC/PFOIND is activated. This is required in order to provide the information to othermodules that performance-optimized coding can be used. If no data is found for risk factor run, the normalCRE run modules are called because the indicator is not set.© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 17/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current Accounts2.4.2.3.5 Module Data Enrichment: ExposuresInstead of using this module, the program reads the results from the risk factor run. If no results are found thesteps of the standard module have to be executed. The implementation of the module is described below.Create another module in your environment and insert the following steps. If the indicator /BIC/PFOIND hasthe value 1 you only need to map the fields.Copy Fields Target Field Source Field [O]/BA1/C43CLACC [I]/BA1/C43CLACC [O]/BA1/C55LGENT [I]/BA1/C55LGENT [O]/1BA/_BA1C_INDSC [I]/1BA/_BA1C_INDSC [O]/B20C/S_CDATNRMG [I]/B20C/S_CDATNRMG [O]/B20C/S_CDATLRMG [I]/B20C/S_CDATLRMG [O]/BA1/KX62CONTR [I]/BA1/KX62CONTR [O]/1BA/_BA1C_CETYP [I]/1BA/_BA1C_CETYP [O]/B20C/S_CDNMAEV [I]/B20C/S_CDNMAEVCondition IF[O] /BIC/PFOIND is initial Copy of SC_ENRICH_EXPOSUREELSECopy Fields Target Field Source Field [O]/1BA/_BA1C_CNTHQ [O]/BA1/KX62CONTR-BUPA-HOME_COUNTRY [O]/1BA/_BA1C_INDSC [O]/1BA/_BA1C_INDSC [O]/1BA/_BA1C_SECAT [O]/BA1/KX62CONTR-BUPA-BUSINESS_SECTOR_CAT [O]/BA1/C20BPART [O]/BA1/KX62CONTR-BUPA-BUSINESS_PARTNER_ID [O]/BA1/C62ABSCAT [O]/BA1/KX62CONTR-ABS-SECUR_EXP_CAT [O]/BA1/C62ABSNEL [O]/BA1/KX62CONTR-ABS-FLG_SEC_ELIG [O]/BA1/C62ABSTID [O]/BA1/KX62CONTR-ABS-ABS_TRANS_ID [O]/BA1/C62CECTR [O]/BA1/KX62CONTR-CONTRACT-TRANSACTION_CAT [O]/BA1/C62PRCAT [O]/BA1/KX62CONTR-PRODUCT-PRODUCT_CAT [O]/BA1/C62SECCAT [O]/BA1/KX62CONTR-ABS-SECURITIZATION_CAT [O]/BA1/C62SPLDCT [O]/BA1/KX62CONTR-PRODUCT-SPECIAL_LEND_CAT [O]/BA1/C62SUBAPP [O]/BA1/KX62CONTR-COMMON-SUB_APPROACH [O]/BA1/C62UEXPOS [O]/BA1/KX62CONTR-COMMON-CONTRACT_ID [O]/BA1/C92SCEN [C]SCENARIO_ID [O]/BA1/K62MATNM [O]/BA1/KX62CONTR-MATURITY-MAT_TERM_NOM_MIN [O]/BA1/K62MVCP [O]/BA1/KX62CONTR-MARKET-MKT_VAL_CHG_PER [O]/BA1/K62ORIGT [O]/BA1/KX62CONTR-TERM-ORIGIN_TERMTable 4 Module data enrichment© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 18/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current AccountsUse the input help to add this module to Data Enrichment: Exposures in the IMG activity Edit DataEnrichment Type, see Figure 5 Define the frequent run type.2.4.2.4 Creating Primary Data SourcesPrimary data sources are the connection to the RDL. When primary data sources are called by the ModuleEditor, it returns the configured fields, which can then be used in the customized run type. Here you have touse a primary data source to access the calculation results of the first run. To check if the RDA of both runtypes is included, go to the IMG activity Bank Analyzer Results Data Layer Basic Settings edit datastructures in Results Data Area. 1. Select your RDA (configured in run type Figure 5 Define the frequent run type) and choose the result types folder 2. Choose Result Type (also configured in the run type) and then choose Result Node Type 3. Since the standard must be enhanced, check if these additional fields are in different nodes Result Node Type Characteristic Key Figure SKCL0 /1BA/_BA1C_LIMCR _KLIMAMT /1BA/_BA1C_RSKGR /BA1/C42SACC SKCL1 /1BA/_BA1C_AGGAP SKCL2 Nothing additional to standard Table 5 Additional fields in the primary data sourceNow you can create the PDS. To do so, call transaction /BA1/F3_GDS and choose Change. After you haveswitched to the change mode, choose Create to create a single record PDS. 1. The system displays the following dialog box: Figure 8 Create a PDS 2. Fill all fields and make sure that the data source type is 1 (single record) because you want the system to return just one entry from the RDL. Confirm your entries by choosing the green check. 3. Choose the Results Data Layer as the server. 4. Choose the Attribute tab page and enter the following data:© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 19/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current Accounts Description Value What is it for 1 Results data area SBA RDA type that is configured in your run type (see Figure 5 Define the frequent run type) 2 Result view SKCRE The result view is also configured in your run type 3 Number of days Specifies how far back in time (measured in days) the PDS is to search the data 4 Result group status 1/0 One value is for released results, zero is for results that have not been released 5 Delta mode Not necessary 6 Disable selection with KF units 1/0 One is for the deactivation of KF units 7 Do not include Key Data From Not necessary Table 6 Attributes of PDS 5. On the Char and Key Figs tab page select all entries. 6. Choose Activation to activate the PDS.You can now call this PDS from within the Module Editor.2.4.2.5 Transport Value of the IndicatorThe indicator defines whether the performance-optimized parts of the modules can be executed. It is set inthe module Read Data: Exposures and its value would be lost if it were not included in the transfer structure.To extend the structure, do the following: 1. Go to the IMG activity Calculation Define Transfer Structures. 2. Choose Display Change to switch to edit mode. 3. Select the transfer ID of the normal transfer structure used in a standard CRE run. 4. Right click on it and choose Copy As … 5. Enter ID of Transfer and a description. 6. Save the data. 7. Select the new transfer ID and choose the folder Assign Characteristics 8. Choose New Entries and add the indicator characteristic (e.g. /BIC/PFOIND) 9. Change ID of Transfer in your run type (setting for runs in Results Data Layer Define Run Types) to the new one.If no transfer structure is used, which is not recommended, the value of the indicator has to be mapped frommodule to module.2.4.3 Customizing for the Calculation MethodThe best way is to set up a completely new calculation method instead of changing an existing one. You thenhave to add the new calculation method to the run type.© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 20/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current Accounts2.4.3.1 Define Calculation MethodsFigure 9 Define Calculation Methods© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 21/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current AccountsIn this IMG activity, you define calculation methods. In order to do so, you need to have already configured acalculation type.Choose New Entries. Enter a two-digit key and describe the calculation method. The entries for the otherfields are shown in Figure 9 Define Calculation Methods.2.4.3.2 Assign Modules to Calculation MethodsIn this IMG activity, you allocate modules to the calculation methods as follows: 1. Choose New Entries. 2. Enter the number of the calculation method you defined above. 3. Choose Relevant for All Approaches. 4. Describe your assignment. 5. Add the module to the Module Editor for Claims (level 1) (see below).© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 22/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current AccountsFigure 10 Assign Modules to Calculation Methods© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 23/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current Accounts2.4.3.2.1 Module Claim (Level 1)The level 1 module is replaced by reading its results from the risk factor run. The steps of the standardLevel 1 module have to be executed only if no results were foundThe implementation of the module is described below.Go to the Module Editor (Bank Analyzer Processes and Methods Credit Risk Credit ExposureModule Editor Edit Modules) and create a new environment that has the following key figures andcharacteristics as import and export parameters. Input Fields Output Fields /BA1/KX62CONTR Calculation Elements: /1BA/ISTYPE Industry Keys Contract /1BA/_BA1C_AGGAP Aggregation Approach /BIC/PFOIND Indicator, /B20C/S_KLGDVAL LGD Value Performance optimization possible /B20C/S_KPDVAL PD Value /BA1/C10UOID Unified Object Identification /BA1/C62APPRCH Approach /BA1/C62CALCM Calculation Method /BA1/C62CCFCLS CCF Class /BA1/C62PFOCAT Portfolio Category /BA1/C62PRDCLS Product Class /BA1/C62RETPFO Subportfolio Class /BA1/C62RISKCL Risk Class /BA1/C62RSKCAT Risk Category /BA1/C62SGICCF Segm ent ID for CCF /BA1/C62SGILGD Segm ent ID for LGD /BA1/C62SGIPD Segment ID for PD /BA1/K62CCFV Credit Conversion Factor (CCF) /BA1/K62EAD Exposure at Default (EAD) /BA1/K62FRLIN Free Line /BA1/K62RWGHT Risk Weight r /BA1/K62UTIL Drawn Amount /BA1/KX62CONTR Calculation Elements: Contract /BIC/OBJ_CURR Object Currency /BIC/PFOIND Performance optimization possibleTable 7 Input- and output fields (module level 1)© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 24/27
  • Best Practice Bank Analyzer - Customizing Guide Basel II - Credit Exposure Current Accounts The next step is to create a module and insert the following step: Copy fields Target Field Source Field [O]/BA1/KX62CONTR [I]/BA1/KX62CONTR [O] /BIC/PFOIND [I] /BIC/PFOIND Condition IF[O] /BIC/PFOIND is initial Copy of SC_CLAIM_IRB_PU ELSE Copy fields Target Field Source Field [O]/BA1/C10UOID [O]/BA1/KX62CONTR-COMMON-CONTRACT_ID [O]/1BA/_BA1C_AGGAP [O]/BA1/KX62CONTR-COMMON-AGG_APPROACH [O]/B20C/S_KLGDVAL [O]/BA1/KX62CONTR-FACTORS-LGD [O]/B20C/S_KPDVAL [O]/BA1/KX62CONTR-FACTORS-PD [O]/BA1/C62APPRCH [O]/BA1/KX62CONTR-COMMON-APPROACH [O]/BA1/C62CALCM [C]CALC_METHOD [O]/BA1/C62CCFCLS [O]/BA1/KX62CONTR-CLASSES-CCF_CLASS [O]/BA1/C62PFOCAT [O]/BA1/KX62CONTR-BUPA-PORTFOLIO_CAT [O]/BA1/C62PRDCLS [O]/BA1/KX62CONTR-PRODUCT-PROD_CLASS [O]/BA1/C62RETPFO [O]/BA1/KX62CONTR-RETAIL-SUBPORTFOLIO [O]/BA1/C62RISKCL [O]/BA1/KX62CONTR-BUPA-RISKCLASS [O]/BA1/C62RSKCAT [O]/BA1/KX62CONTR-COMMON-RISK_CATEGORY [O]/BA1/C62SGICCF [O]/BA1/KX62CONTR-RETAIL-SEGMENT_ID_CCF [O]/BA1/C62SGILGD [O]/BA1/KX62CONTR-RETAIL-SEGMENT_ID_LGD [O]/BA1/C62SGIPD [O]/BA1/KX62CONTR-RETAIL-SEGMENT_ID_PD [O]/BA1/K62CCFV [O]/BA1/KX62CONTR-FACTORS-CCF [O]/BA1/K62EAD [O]/BA1/KX62CONTR-EAD-EAD [O]/BA1/K62FRLIN [O]/BA1/KX62CONTR-AMOUNTS-FREE_LINE [O]/BA1/K62RWGHT [O]/BA1/KX62CONTR-FACTORS-R [O]/BA1/K62UTIL [O]/BA1/KX62CONTR-AMOUNTS-UTILIZATION [O]/BIC/OBJ_CURR [O]/BA1/KX62CONTR-COMMON-CONTRACT_CURRTable 8 Fields to create a module That is the final step in which the indicator value (/BIC/PFOIND) is relevant, and performance-optimized coding is executed. Afterwards all modules for level 1 and level 2 calculations in the standard run type can be reused for this run type. Note: For performance reasons we recommended that you do not to use netting modules. © 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 25/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current AccountsIndex of FiguresFigure 1 Overview of complete CRE run 4Figure 2 Overview of the first part: Risk factor run 5Figure 3 Overview of second part: Final run 6Figure 4 Define the basic run type 8Figure 5 Define the frequent run type 10Figure 6 Edit Selection Groups 11Figure 7 Edit Data Enrichment Type 12Figure 8 Create a PDS 19Figure 9 Define Calculation Methods 21Figure 10 Assign Modules to Calculation Methods 23Index of TablesTable 1 Legend of charts 7Table 2 Input- and output fields for environment creation 13Table 3 Module read data 17Table 4 Module data enrichment 18Table 5 Additional fields in the primary data source 19Table 6 Attributes of PDS 20Table 7 Input- and output fields (module level 1) 24Table 8 Fields to create a module 25© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 26/27
  • Best PracticeBank Analyzer - Customizing Guide Basel II - Credit Exposure Current Accounts© Copyright 2008 SAP AG. All Rights ReservedNo part of this publication may be reproduced or transmitted in any form or for any purpose without the express permission of SAP AG.The information contained herein may be changed without prior notice.Some software products marketed by SAP AG and its distributors contain proprietary software components of other software vendors.Microsoft, Windows, Outlook, and PowerPoint are registered tradem arks of Microsoft Corporation.IBM, DB2, DB2 Universal Database, OS/2, Parallel Sysplex, MVS/ESA, AIX, S/390, AS/400, OS/390, OS/400, iSeries, pSeries, xSeries,zSeries, z/OS, AFP, Intelligent Miner, WebSphere, Netfinity, Tivoli, and Informix are trademarks or registered trademarks of IBMCorporation.Oracle is a registered trademark of Oracle Corporation.UNIX, X/Open, OSF/1, and Motif are registered trademarks of the Open Group.Citrix, ICA, Program Neighborhood, MetaFrame, WinFrame, VideoFrame, and MultiWin are trademarks or registered trademarks of CitrixSystems, Inc.HTML, XML, XHTML and W3C are tradem arks or registered trademarks of W3C®, World Wide Web Consortium, MassachusettsInstitute of Technology.Java is a registered trademark of Sun Microsystems, Inc.JavaScript is a registered trademark of Sun Microsystems, Inc., used under license for technology invented and implemented byNetscape.MaxDB is a trademark of MySQL AB, Sweden.SAP, R/3, mySAP, mySAP.com, xApps, xApp, SAP NetWeaver, and other SAP products and services mentioned herein as well as theirrespective logos are trademarks or registered trademarks of SAP AG in Germany and in several other countries all over the world. Allother product and service names mentioned are the trademarks of their respective companies. Data contained in this document servesinformational purposes only. National product specifications may vary.The information in this document is proprietary to SAP. No part of this document may be reproduced, copied, or transmitted in any formor for any purpose without the express prior written permission of SAP AG.This document is a preliminary version and not subject to your license agreement or any other agreem ent with SAP. This documentcontains only intended strategies, developments, and functionalities of the SAP® product and is not intended to be binding upon SAP toany particular course of business, product strategy, and/or development. Please note that this document is subject to change and maybe changed by SAP at any time without notice.SAP assumes no responsibility for errors or omissions in this document. SAP does not warrant the accuracy or completeness of theinformation, text, graphics, links, or other items contained within this material. This document is provided without a warranty of any kind,either express or implied, including but not limited to the implied warranties of merchantability, fitness for a particular purpose, or non-infringem ent.SAP shall have no liability for damages of any kind including without limitation direct, special, indirect, or consequential damages thatmay result from the use of these materials. This limitation shall not apply in cases of intent or gross negligence.The statutory liability for personal injury and defective products is not affected. SAP has no control over the information that you mayaccess through the use of hot links contained in these materials and does not endorse your use of third-party Web pages nor provide anywarranty whatsoever relating to third-party Web pages.© 2008 SAP AG - BP_CustomizingGuide_CRE_Performance_v21.doc page 27/27