Disclosure and Reporting

Purpose

The Disclosure and Reporting component is part of SAP Basel II, and supports banks in their internal, external, and regulatory reporting.

The Business Content for the Disclosure and Reporting component is designed to meet the requirements of the Third Pillar of the New Basel Capital Accord (Basel II). Whereas Pillar 1 considers minimum capital requirements, and Pillar 2 the supervisory review process, Pillar 3 is concerned with market discipline. It supplements the first two pillars, and specifies the core information that banks must disclosure so that customers, shareholders, and other stakeholders can make judgments about the bank's risk position, such as outstanding claims, and the methods it uses to measure risk.

For this purpose, SAP provides reports that can be used to disclose flexibly the key figures relevant for Basel II, such as the exposure at default, and the probability of default for various portfolios. For example, it can be used to disclose key figures by sector, counterparty type, or risk class, and you can set up these characteristics as you require. You can use filters to apply selection criteria to the values displayed, or display aggregated values. A function for drilling down to single-transaction level by means of characteristics, which you can choose, is also provided. In addition, you can branch to the Bank Analyzer core system to display the master data of transactions.

The Business Content has the purpose of reducing the amount of effort involved in implementing BI reporting for SAP Basel II. This is why SAP provides ready-to-use queries and a data model that reflects the Bank Analyzer core system. You also have the option of adapting the queries provided with the system, and creating your own ones.

Implementation Considerations

The Basel II solution requires particular settings in the Customizing of the Bank Analyzer core system.

Integration

Business Content is an integral part of SAP Basel II in Bank Analyzer. It processes data, extracts it to BI, and generates various reports.

The key figures required are calculated in the Bank Analyzer core system, or imported from non-SAP systems, and stored in Bank Analyzer. When data is extracted, the system combines results from the calculation processes of the Result Database (RDB) or Results Data Layer (RDL), the Historical Database (HDB), and the Source Data Layer (SDL) of Bank Analyzer. In BI, data is stored at the level of detail of the data extraction, auxiliary key figures are then added to this data, and it is then aggregated before being used for reporting.

Features

Disclosure and Reporting contains queries that meet the requirements set out in the Market Discipline paper from the Basel II third consultation paper.

You can use the single transaction level report to display data down the level of detail of the data extraction. The associated queries build upon the ODS objects for counterparty risk, commercial real estate, equity holdings, and securitizations. Reports 1 through 15 are based on a MultiProvider that contains four InfoCubes. This means that you can develop your own InfoCubes, and extend the scope of the data that the MultiProvider analyzes for its reports without having to adjust the queries for reports 1 through 15. The other reports are based on the corresponding InfoProviders that provide the explicit data for these reports.

Example

A report query could look as follows: Let us take the example of a loan with an annual repayment of EUR 1m made to a company whose sovereign of incorporation is Germany.

...

       1.      The data for the loan is captured, processed and stored in the bank's transaction system.

       2.      The data for the loan that is relevant for risk measurement is transferred to the Source Data Layer (SDL). This data includes the exposure, collateral, guarantees, and the residual maturity of the loan.

       3.      The key figures are calculated, and stored in the RDB or RDL. The key figures include the exposure at default (EAD), loss given default (LGD), and the probability of default (PD).

       4.      The data relating to the characteristics and key figures that are to be analyzed is taken from the SDL, RDL, RDB, and HDB, and then extracted to BI. The data extracted from the SDL includes the product category, the counterparty type, the sovereign of the business partner, and the transaction ID. Key figures, such as the EAD and LGD, are taken from the RDL, RDB or HDB.

       5.      The reports are run in BI.