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This graphic is explained in the accompanying text SAP Accounting for Financial Instruments Locate the document in its SAP Library structure

Purpose

Business Content reflects how selected products are modeled and the corresponding processes handled for accounting under IFRS and the German Commercial Code (HGB) in SAP Accounting for Financial Instruments.

Business Content can be regarded as a descriptive template for customer-specific implementations. While taking into account the very different accounting strategies and the consequent posting logic of banks, only the bank products and business transactions that are most common from a project perspective and their respective postings have been taken into account in Business Content. Customers who use Business Content must test this Content and use it as the basis for their own detailed modifications.

Implementation Considerations

Technical Requirements

Business Content 6.0.0 can be applied to Release 6.0 of Bank Analyzer only. You also need to import additional Notes and Service Packs as per the Installation Guide. You can download the installation manual from SAP Service Marketplace.

Source System Requirements

In order for data to be processed correctly in SAP Accounting for Financial Instruments, the source systems must supply to the Source Data Layer (SDL) all the data relevant for IFRS and HGB (all balance sheet and income statement key figures), as required at single transaction level. The data must also contain the classifications of the transactions, such as the holding category for IFRS and the position category for the German Commercial Code (HGB).  The data has to be sorted by IFRS holding category or HGB position category in order for the data to be measured using the correct method in Accounting.

Features

Business Content maps the following products:

      Loans (IFRS and HGB)

      Bonds (IFRS and HGB)

      Multicurrency bonds (IFRS only)

      Warrant bonds (IFRS and HGB)

      Stocks (IFRS and HGB)

      Mutual funds (IFRS and HGB)

      Discount certificates (IRFS and HGB)

      Listed options/stocks (IFRS and HGB)

      OTC options/stocks (IFRS and HGB)

      Swaptions (IFRS only)

      Interest rate swaps (IFRS and HGB)

      Forward exchanges transactions and spot exchange transactions (IFRS and HGB)

      Cross-currency interest rate swaps (IFRS and HGB)

      Checking accounts (IFRS and HGB)

      Time deposits (IFRS only)

      Repos (IFRS only)

      Securities lending (IFRS only)

      Caps and floors (IFRS only)

      Forward rate agreements(IFRS only)

      Bond futures (IFRS and HGB)

      Credit default swaps (IFRS only)

All of the products specified above are independent components, and have been documented separately. Only Business Content settings that apply to all products are documented here. Product-specific settings, such as posting logic, and object modeling, are documented in a Business Content documentation tool (BCMODOT) that has been specially developed for this purpose. You can download this tool (Microsoft Access database) from the SAP Service Marketplace.

Cash Flow Refinement and the Fair Value Server

Various pricing models can be used to measure financial products:

      CASH-FLOW DISC (cash flow discounting)

      FORWARD (Model for forward transactions)

      FUTURE (Pricing model for futures contracts)

      INTOPT EXTERNAL (External pricing model for interest rate options)

      MARK2MARKET (“Mark-to-market” pricing model)

      OPTION MODEL (Model for standard options)

      PASS PV (import of present values)

      STRCTRD PRODUCTS (Model for structured products)

      TRANSFER RDL (Import via the RDL)

      TRANSFER SDQ (Import using secondary data sources)

Basic Settings

The contents of the Business Transaction Type or Instrument Type fields of the financial transaction or financial instrument primary objects are used to derive the valuation rules. This is brought about by a secondary data source (environment S_UFVS1). The relevant module is S_MFVS1.

Rating information of the financial transaction or business partner is used to determine the market data. For this reason, the following local characteristics are required:

Business type

Technical name: /1BA/_BA1C_FTTYP

Data element: /BA1/F1_DTE_CONTRACT_TYPE

Instrument type

Technical name: /1BA/_BA1C_FITYP

Data element: /BA1/F1_DTE_INSTTYPE

Valuation

Technical name: [O]/1BA/_BA1C_GRADE

Data element: /BA1/F1_DTE_RAT_GRADE

You can import measurements for amortized cost, full fair value, hedge amortized cost, and hedge fair value for IFRS from external systems into SAP Accounting for Financial Instruments. Business Content contains sample configuration for the import of the full fair value of swaptions and credit default swaps. A key figure is required for this purpose:

Full Fair Value (for import)

Technical name: _KFV

Key figure class: 55_STAAMAD

Object Transfer Structures (OTS)

Yield curves must be assigned for the fair value calculation of cash flow transactions. This assignment will depend on the credit standing. Rating information can be taken from the financial transaction or business partner primary objects for this purpose. This takes place within the secondary data source of the Fair Value Server using primary data sources. Object transfer structures (OTS) and the corresponding primary data sources must be defined for this purpose. The following OTSs are required:

OTS for financial transactions

The OTS is used to read the following characteristics and key figures:

      Business type

      Business partner number

OTS for Financial Instruments

The OTS is used to read the following characteristics and key figures:

      Instrument type

      Business partner number

OTS for Business Partner

The OTS is used to read the following characteristics and key figures:

      Complex key figure of business partner

Business partner

In Business Content, the business partner must always be specified in the financial transaction/financial instrument (not in the account). In the business partner, the following characteristics are very important for processing in SAP Accounting for Financial Instruments:

...

       1.      Country (for dividing notes by “domestic/non-domestic”)

       2.      Sector (for sorting financial statement items by customer type)

       3.      You import the sector in the business partner data under Identification using the set of industry sectors Bank Analyzer Business Content.  This system uses this data to derive the customer type.

       4.      Regarding consolidation aspects, Business Content does not contain any information about holdings in other companies.

Financial Position Management

Financial position type

The Financial Position Type characteristic ((/BA1/C55AOTYPE) is the equivalent of the product type or accounting object type. You have to import a financial position type in the financial instruments and the financial transactions for each accounting standard.

There are different financial position types for IFRS and the German Commercial Code (HGB):

      Product

      FP Type for IFRS

      FP Type for HGB

      Loan

      S_LOAN

      S_LOANH

      Bond

      S_BOND

      S_BONDH

      Warrant bond

      S_WRBOND

      S_WBONDH

      Stock

      S_SHARE

      S_SHAREH

      OTC option

      S_OTCOPT

      S_OTCOPH

      Forward exchange transaction

      S_FET

      S_FETH

      Spot exchange transaction

      S_FXSPOT

      S_FXSPOH

      Interest rate swap

      S_IRSWAP

      S_IRSH

      Cross-currency interest rate swaps

      S_CCSWAP

      S_CCSH

      Swaption

      S_SWAPTN

      Not mapped

      Listed options

      S_OPTION

      S_OPTH

      Nosto/loro account

      S_CUACCT

      S_CUACCH

      Checking account

      S_CUCACC

      S_CUCACH

      Time deposit

      S_TIDEPO

      Not mapped

      Multicurrency bond

      S_MCBOND

      Not mapped

      Repo

      S_REPO

      Not mapped

      Securities lending

      S_SECLND

      Not mapped

      Cap/floor

      S_CAPFLR

      Not mapped

      Forward rate agreement

      S_FRWRAG

      Not mapped

      Bond future

      S_FUTURE

      S_FUTURH

      Credit default swap

      S_CDSWAP

      Not mapped

 

Financial position object S_GFPO is used for general financial positions in Business Content.

Note

The financial position type characteristic (/BA1/C55AOTYPE) is a descriptive characteristic that is filled automatically in the financial position with the value from the field of the same name on the financial position tab page in the financial instrument/transaction. No other Customizing settings are required for this.

Holding category

Business Content contains the IFRS holding category (characteristic /B20C/S_CHOLDCAT) and the characteristic (/1BA/_BA1C_HCHGB) for the position category in the German Commercial Code (HGB). The characteristics have the following values:

      Holding Category for IFRS

      Position Category for HGB

      AFS Available for Sale

      BB Banking Book

      DFV Designated Fair Value

      TB Trading Book

      HFT Held for Trading

      LR Liquidity Reserve

      HTM Held to Maturity

 

      LAR Loans and Receivables

 

      OLI Other Liabilities

 

 

For financial transactions, these characteristics are derived from the holding category (/BA1/C55HOLDIN), which can contain any of the values from the table above. You must import this value in the financial transaction (for financial position management) for each accounting standard.

Note

The holding category characteristic (/BA1/C55HOLDIN) is a descriptive characteristic that is filled automatically in the financial position with the value from the field of the same name on the financial position tab page in the financial transaction. No other Customizing settings are required for this.

For financial instruments, you have to fill the default holding category (/B20C/S_CPHOLDCA) (for IFRS) or default position category (/1BA/_BA1C_VBSKA) (for HGB) characteristics in the positions for your business transactions. The system then derives these categories from the positions.

Dimensions of financial statement entities

The Result Data Layer contains the characteristics Business Segment and Profit Center as dimensions of financial statement entities for accounting systems S_IAS and S_HGB.  In BI, the organizational unit is used to derive the business segment from the profit center. The profit center is filled using the value from the organizational unit field stored in the basic data for the financial transaction or the securities position account. Therefore the Organizational Unit field must contain a value in the Source Data Layer.

Business Content contains the following organizational hierarchy:

Profit Center

Business Segment

Funding Center

PC11-11

BS11

FC11-10

PC11-12

BS11

FC11-10

PC33-31

BS33

FC33-30

PC33-33

BS33

FC33-30

 

The funding center is used only in the integrated accounting scenario in accounting system S_IAS. For more information, see Structure linkIntegrated Accounting.

Note

For an overview of the characteristics in the financial position classes FTRAN and FINST, and their values, see Structure linkFinancial Positions in the documentation for integrated accounting.

Business Transactions

Business transaction classes and item classes

Business Content contains the following business transaction classes, and their item classes.

SBT2 Initialization

SIC3 Initialization (financial reporting currency)

 

SIC3 Initialization (object)

SBT3 Master Data Event

SIC1 Master Data Events

SBT4 Standard Retail Products

SIC6 Retail transactions (cash-flow-relevant)
to be used for increases in and repayments for loans and time deposits

 

SIC7 Retail transactions

SBT4 Standard Investment Products

SIC5 Principal swap
for cross-currency interest rate swaps only

 

SIC9 Investment Products

 

Accounting fields in the business transaction

Header fields

Field

Explanation

Document Date

The document date is filled in the document header.

External Posting Date

The posting date (reporting-relevant) is filled in the document header.

Value Date

This is used to fill the position date in the accounting document for financial transactions.

Trade Date

This is used to fill the position date in the accounting document for financial instruments.

Settlement Date

This is used to fill the position date in the accounting document for financial instruments that are unsettled transactions.

Operational Event Type

This is used to derive the type of application event.

Partner Legal Entity

The legal entity of the counterparty must be filled for internal transactions.

Organizational Unit of Trading Partner

The organizational unit of the counterparty must be filled for internal transactions only.

Trading Partner

The counterparty must be filled for internal transactions only.

Indicator: Unsettled

This indicator is a defining characteristics used in the financial position for financial instruments.

Business Transaction Type

This is used to fill the business transaction type for accounting

Legal Entity

This is a defining characteristic in the financial position, and used a selection criteria for posting external business transactions.

Reset Default Posting Date

You can import a reset data for unsettled transactions. If you do not import a reset date, the system uses the date specified in the selection screen for the Post External Business Transactions function.

 

Item fields

Field

Explanation

Position Amount

Amount of the business transaction in object currency (currency of the financial position)

For initialization for item class SIC3 the amount is in the financial reporting currency.

Position Currency

Object currency (currency of the financial position): This field must always contain a value, since it is a required defining characteristic in the financial position.

Transaction Amount

This field is used for certain business transactions only:

-          Principal swap: The field contains the equivalent value of the position amount.

-          Checking account payments in a different transaction currency: The field contains the amount in the transaction currency.

Transaction Currency

Currency for the transaction amount

Role in sender/receiver relationship

This field contains the value S for sender items, R for receiver items, or N, for postings across positions.

Item Type

This is used to fill the item type for accounting

Post to Currency Leg

This field contains a value only if a posting is to be made to the currency leg of a structured financial position if the primary object in the SDL does not contain a relevant leg (for example, for multicurrency bonds).

Default Default Holding Category

This is used to fill the default holding category for IAS for financial instruments.

No. of Sub BT

This field can be used to process multiple items for a business transaction in the SDL as separate business transactions in Accounting.

Impairment indicator

This field can flag a financial position as impaired if the item contains an item type that modifies characteristics.

Default Position Class

This is used to fill the default position category for financial instruments under the German Commercial Code (HGB).

Payment Date

This date is used for cash flow items as the value date of the cash flow in cash flow generation.

 

Business transaction types for all products

The following external business transaction types can be used for all products.

Business Transaction Type

Explanation

S099

Initialization

S100

External impairment (IFRS)

S102

Specific provision (HGB)

S104

Direct Write-Off (HGB)

S140

External impairment for cash flow transactions (IFRS)

S150

Change in external impairment for cash flow transactions (IFRS)

S160

Repayment of impaired cash flow transactions (IFRS)

S170

Reversal of impairment (IFRS)

SY01

Interest payment

SY02

Fees/commission

SY03

Dividend payment

SY04

Accrued interest

SY05

Netting of payable/receivable

 

Filters for business transaction types and item types

Business Content excludes business transactions that are not relevant for all accounting systems (such as charge-offs or reclassifications) from certain accounting systems. This also applies for combinations of business transaction type and item type.

Accounting Event Processing

Banking Services 6.0 separates changes to market data from flow data. Changes to market data are stored as operative events in the Source Data Layer, and flow data is stored as business transactions.

Operative events can affect accounting, as they change the characteristics stored in the financial position. This can result in a posting or a revaluation. The system derives posting events from operative events. In the Process Accounting Events transaction you can use posting events to create a worklist for Accounting Processes.

In Business Content, the following event types are processed by Accounting:

      Rollover

       Posting that clears the remaining discount

      Change to the profit center

       Change to the characteristic in the financial position

       Clearing and reposting of the balance for the new profit center in the document.

Derivation of general ledger accounts

The chart of accounts and the general ledger accounts are defined in the FI general ledger and transferred to Bank Analyzer via BI (extraction of master data values for the InfoObjects  0CHRT_ACCTS and 0GL_ACCOUNT from FI to Tool BI).

There is one chart of accounts, BKMG, for both accounting systems (S_IAS und S_HGB). You can use the account number to see in which accounting system the general ledger account is uses:

      #####1: Account is used for IAS only

      #####2: Account is used for HGB only

      #####3: Account is used for IAS and HGB

The general ledger account is derived for each posting key figure when external business transactions are posted, and when internal business transactions are updated. This updates the general ledger. In Business Content, general ledger accounts are derived for the general balance sheet/profit and loss structure of the general ledger. In some cases subledger key figures are assigned directly to general ledger accounts, and in other cases the values of certain characteristics are called (for example, the financial position type or whether the flow is an asset or liability).

Because the asset or liability status of a flow (characteristic /BA1/C55ALSFL) can differ (for instance, in an external posting, the cash flow for a loan is defined as liability because the loan repayment was processed before the loan was actually disbursed) be expected due to the new asset/liability logic (see Note 1037248), the last rule in the derivation process for general ledger accounts is a dummy rule. This ensures that a general ledger account is derived in such cases as well.

Accounting under IFRS and the German Commercial Code (HGB)

Initialization of Accounting

Business Content contains business transaction class SBT2 and item classes SIC3 (initialization – financial reporting currency) orSIC4 (initialization – object currency) for transferring the initialization business transactions from the SDL.

Rather than being updated in accounting as derived business transactions, initialization business transactions are entered directly as external postings. For this reason, no derivation rule is assigned to the BT type (S099) provided for initialization.

The book value from a source system cannot be transferred directly to the accounting book value in SAP Accounting for Financial Instruments, since the accounting book value is made up of various components. Separate item types are therefore provided in Business Content for posting the book value components (see the Microsoft Access Business Content documentation tool BCMODOT). The table below contains an overview of the sample item types in Business Content for the initialization process.

Item Type for Debit Posting

Item Type for Credit Posting

Initialized Posting Key Figures

Description of Posting Key Figure

I48A

I47A

_KACINPO

Accrued Interest (B/S) (OC)

I48B

I47B

_KACINTO

Position Component: Accrued Interest (OC)

 

I59A

I58A

&55TEVR

Total Position: Equivalent Value

I67A

I66A

&55GCPO

General Position in Object Currency

I69A

I68A

&55GEVR

General Position: Equivalent Value

I75A

I74A

&55ORCPO

Object Position in Object Currency

I77A

I76A

&55OREVR

Object Position: Equivalent Value

I79A

I78A

&55TCPR

Total Position in Reporting Currency

I84A

I83A

_KSTPAYO

Short-Term Liability from Variation Margin (Obj. Crcy)

I84B

I83B

_KSTRECO

Short-Term Receivable from Variation Margin (Obj. Crcy)

I87A

I86A

_KRESFXR

Balance Sheet Reserve for Foreign Currency (Reporting Currency)

I88A (Quantity for Credit/Value of Debit

I89A (Quantity for Credit/Value of Debit

_KAQO

Book value component ‘acquisition value’ (object currency)

I90A

I91A

_KAQO

Book value component ‘acquisition value’ (object currency)

I92A

I93A

_KRVO

Balance sheet reserve for securities (OC)

I94A

I95A

_KRVAMO

Balance sheet reserve for security - accrued (object currency)

I96A

I97A

_KAMO

Book Value Component for Amortization (Object Currency)

I98A

I99A

_KTVTO

 Book Value Component: Valuation of Security (Object Currency)

K73A

K72A

_KIAIMCO

Clearing of impairment (object currency)

K75A

K74A

_KIAIMAO

Permitted appreciation of impairment (object currency)

N22A

N23A

_KHDO

 Profit/Loss from Hedge (Object Currency)

N22B

N23B

_KRESREO

 Realized Profit/Loss (Object Currency)

N22C

N23C

_KVALO

Profit/Loss from Valuation (Object Currency)

N22D

N23D

_KAMINCO

Amortization Income (Object Currency)

N22E

N23E

_KAMEXPO

Amortization Expense (Object Currency)

N22F

N23F

_KEXADJO

Expense from Provision (Object Currency)

N22G

N23G

_KINPYIO

Interest Income (Object Currency)

N22H

N23H

_KINPYEO

Interest Expense (Object Currency)

N22I

N23I

_KDIVEAO

Dividend Income (Object Currency)

N22J

N23J

_KCOMINO

Income from Fees (Object Currency)

N22K

N23K

_KCOMEXO

Expense from Fees (Object Currency)

 

The second entry for double-entry accounting is posted to key figure _KCINIO (initialization clearing in object currency) or  _KCINIR (initialization clearing in financial reporting currency).

 

Direct Postings

Business Content uses the direct posting function for some business transaction types (see Note 1037248). This applies for postings for checking accounts (business transaction types SQ01 and SQ06) and in accounting system S_HGB for general ledger postings that are not specific to a product (SY01 to SY05).

For accounting system S_IAS, the two-step method is still used for business transaction types SY01 to SY04, since this is required for integrated management accounting.

The new asset/liability logic described in Note 1037248 has been activated for both accounting systems in Business Content. (This is required in order to use the direct posting function).

Generation of Zero Postings for Key Date Valuations

It may be the case that you need to create postings for each the key date valuation, regardless of whether there are values to be posted. This documents whether a key date valuation was run for a given financial position and on a given date.

Calculation step SS05 (amortization) generates a posting even if the result for the valuation method was zero. You can use step SZ99 (zero posting) for calculation procedures that do not contain step SS05. Step SZ99 generates a zero posting when the other steps in the procedure have not resulted in any postings. This configuration is included in Business Content.

Foreign Currency

SAP Accounting for Financial Instruments is based on single-currency position management and item-based posting logic. Independent, closed currency circles are kept for each currency.

Currency positions are generated in the following cases:

      If currencies are swapped (conversion from one currency to another)

      When non-monetary foreign currency positions are posted whose foreign currency valuation result is shown in the revaluation reserve, and not recognized through profit and loss (due to the different way in which monetary and non-monetary items are treated)

      When net incomes from expenses and revenue in a foreign currency are translated to the financial reporting currency

The currency gain is calculated in accounting for the generated currency positions on the balance sheet key date. For this purpose, the profit or loss in foreign currency is translated from the object currency to the reporting currency during the key date valuation with a separate calculation procedure that is used for all products (see also the Business Content documentation tool BCMODOT).

Calculation procedure: S01F: Currency Gain Trans.   

Calculation template: 0Q40: Trans. Post. Forex Gain

Step

Description

Item Type

Debit

Description

Item Type

Credit

Description

SU40

FX: Take Profit Off Books in Obj. Crcy

K41A

FX: Take Cost Off Bks

K40A

FX: Take Rev. Off Bk

SU42

FX: Post Profit in Reporting Currency

K43A

FX: Post Cost

K42A

FX: Post Revenue

SU44

FX: Profit Position Equiv. Val. Entry

K45A

FX: Equiv. Value Entry from Cost Pos.

K44A

FX: EV Entry: Revenue Position

 

The profit-related foreign currency positions are divided using the following BC-specific key figures:

Key Figure

Description

BSO Type (for each CURR leg)

_KCRCPO

P/L Position in Object Currency

Profit position

_KCRCPR

P/L Position in Reporting Currency

Profit position

_KCRPCR

Equivalent Value of P/L Position in Reporting Currency

Profit position

_KORCGR

Currency Gain from Object Position

Product

_KGCCGR

Currency Gain from General Position

General position

_KGCPCR

Currency Gain from Profit Position

Profit position

 

The determination of financial statement items for currency positions is described in a separate document that you can download from SAP Service Marketplace.

IFRS. Trade Date Versus Settlement Date Accounting

All financial assets or debts must be recognized at fair value when the transaction is concluded as legally binding. According to IAS 39, entities have the option of using either trade date or settlement date accounting for regular way contracts. This option is specified once and must be applied to all categories of financial instrument in a uniform way. Both trade date accounting and settlement date accounting are supported in Business Content.

Unsettled transactions, which are formed as a result of using settlement date accounting, are supplied on the balance sheet key date from the source system. These transactions contain the additionally defining position object characteristic Indicator: Unsettled (/B20C/S_CFLGPEND).

When the external business transaction is posted, the transaction amount is posted directly to the Position Component: Acquisition Value (Unsettled) key figure (_KAQUIPO). A two-step posting method is not used for unsettled transactions. In other words, an empty calculation procedure (S000) without calculation steps is derived in Business Content, using the characteristic Indicator: Unsettled.

In the key date valuation, fair value changes are recognized through profit and loss as per the holding category:

Holding
Category

Calculation Procedure

Calculation Step

Description

AfS

S00P

SS06

Instrument Valuation

DFV

S00P

SS06

Instrument Valuation

HFT

S00P

SS06

Instrument Valuation

HTM

SXXB

-

-

LAR

SXXB

-

-

OLI

SXXB

-

-

(The Microsoft Access documentation tool BCMODOT contains the posting logic.)

 

The instrument valuation must be reset by the system on the following day. In the case of business transactions in AfS, the instrument valuation is reset against the valuation reserve. In the case of business transactions in HFT, it is reset in the income statement in the subsequent period. For the business transaction (BT) types in the table below, unsettled transactions have been created, and the automatic reset function has been defined for them:

BT Type

Description

SC01

Full Disbursement of Loan

SC02

Partial Disbursement (L)

SC12

Purchase of Loan

SC13

Sale of Loan

SD01

Purchase of Bond (Asset-Side)

SD02

Sale of Bond (Asset-Side)

SE01

Purchase of Warrant Bond

SE02

Sale of Warrant Bond

SF01

Purchase of Stock

SF02

Sale of Stock

SF08

Exercise Subscription Right

(The reset BT type is always S094 – Reset Unsettled BTs.)

Impairment

You can treat impairments under IFRS in the following way:

      You calculate the impairment outside of Bank Analyzer and import the amount in a business transaction.

      You import estimated cash flows for the transaction, and calculate the impairment in Bank Analyzer.

Impairment business transactions can be imported using business transaction type S100. The BT type to be used for (and derived from) the external supply  is displayed in the following table:

BT Type

BT Type Description

BT Category

BT Category Description

S100

External Impairment

0001

Operative

S101

External Impairment (Derived)

0004

Derived

Customizing in Business Content contains a method for the derivation of the calculation procedures for the AfS and LAR holding categories for impairment business transactions. The Microsoft Access Business Content documentation tool BCMODOT contains the calculation procedures that are relevant for the impairment; you can download this documentation tool from SAP Service Marketplace.

In the second option, you first import a new version of the financial transaction/instrument that contains the changed cash flows. You then need to import the business transaction, which triggers the calculation of the impairment. Business Content contains the following business transaction types for this:

BT Type

BT Type Description

BT Category

BT Category Description

S140

 External Impairment of Cash Flow Transactions

0001

Operative

S141

 External Impairment of Cash Flow Transactions, Derived

0004

Derived

S150

Change in External Impairment of Cash Flow Transactions

0001

Operative

S151

Change in External Impairment of Cash Flow Transactions, Derived

0004

Derived

S160

Repayment of Impaired Cash Flow Transactions

0001

Operative

S161

Repayment of Impaired Cash Flow Transactions, Derived

0004

Derived

S170

Reversal of Impairment

0001

Operative

S171

Reversal of Impairment, Derived

0004

Derived

 

The modeling for impairments has only been implemented for the product Loan, as an example, from modeling, through accounting and balance processing, right down to reporting. If you would like to use other products for impairments, you must make necessary adjustments for them in all areas, as per the example for loans.

German Commercial Code: Specific Provisions and Direct Write-Offs

Business Content contains the business transaction types S102 to S105. These are for specific provisions and direct write-offs for the German Commercial Code (HGB), and have been configured for loans.

BT Type

BT Type Description

BT Category

BT Category Description

S102

Specific Provision (HGB)

0001

Operative

S103

Derived Specific Provision for HGB

0004

Derived

S104

Direct Write-Off (HGB)

0001

Operative

S105

Direct Write-Off, HGB, Derived

0004

Derived

 

German Commercial Code: Measurement Principles

Each position category is measured differently under the German Commercial Code (HGB):

      Trading book (TB)

       Strict lower-of-cost-or-market-value principle (written down to the lowest market price, § 253, paragraph 3 HGBS)

       Recognition of the recovery in the value of an asset (written up to a maximum of the acquisition value, § 280, paragraph 1 HGB)

      Liquidity reserve (LR )

       Strict lower-of-cost-or-market-value principle

       Provisions for expected losses can be retained if the asset recovers in value (in the event of a recovery, the asset can be, but does not have to be, written up to a maximum of the acquisition value, § 340f, paragraph 2, s. 1 HGB).

      Banking book (BB)

       Modified lower-of-cost-or-market-value principle (written down to the lower value if the impairment is expected to be permanent, §§ 253, paragraph 2 s. 3, 340e, paragraph 1 s. 3 HGB)

       Recognition of the recovery in the value of an asset

Business Content contains three calculation steps that reflect these measurement principles. Different rules are assigned to these calculation steps.

Calculation Step

Write-Ups

Write-Offs

S06A Measurement, Write-Up/Impairment HGB

To the acquisition value

To the fair value

S06B Impairment Only, HGB

No write-up

To the fair value

S06C Measurement, Write-Ups Only, HGB

To the acquisition value

No write-down

 

To be able to derive the key date valuation method (that contains one of the calculation steps above), the system needs the position category HGB and the following information:

      Modified lower-of-cost-or-market-value principle: Whether the asset is expected to be permanently impaired (characteristic /1BA/_BA1C_INDDD - Indicator Impairment Expected to be Permanent“, 0 = no, 1 = yes)

      Retention of provisions for expected losses: Whether the asset is to be written up (characteristic /1BA/_BA1C_INDVR - Indicator: Recovery, 0 = no, 1 = yes).

You can define these characteristics under Attributes in the financial instrument.

Deferred Taxes

Business Content contains key valuation methods for each product type that you can use to include or exclude the calculation of deferred taxes. You use the key date valuation type (01: with deferred tax; 03 without deferred tax) to define whether deferred tax is to be calculated and posted.

If you want the system to calculate deferred tax, in the Result Data Layer you have to enter the tax book value in the position you want to measure. The tax book value must be imported as a key date result in result type SF_KEYDT to key figure &55TXVAL (tax book value). 

Analytics

General Ledger Connector

The General Ledger Connector aggregates subledger documents from the RDL and sends them to the general ledger. The chart of accounts BKMG and settlement account 903003 - G/L Clearing are derived for the other side of the posting for the general ledger accounts from the Processes and Methods Layer.

Financial Statement Preparation

The Customizing for financial statement preparation has been created in accounting system S_IAS for all products, and in accounting system S_HGB for loans and listed options.

Modeling of Balance Objects

Balance object management for Business Content contains modeling for the balance objects and balance subobjects for all the products listed above.  You can display the characteristics and key figures relevant for a given product in Customizing.

Balance Methods in Balance Processing

The balance methods are used to enrich balance objects (BO) or balance subobjects (BSO) with data, with regard in particular to the notes. In Balance Processing, balance methods are applied in postprocessing. The balance methods are used for final information enrichment prior to assigning single transactions to the respective balance sheet, income statement, and notes items.

Business Content contains the following methods:

Fair Value 32 method:

This method is used to calculate the fair value for notes information in accordance with IAS 32. The method calculates the fair value and enters it in a key figure for each balance subobject. For the Fair Value 32, the data required is added either the value of the existing “book value” key figure or a value calculated by means of the “Fair Value” service module.

Residual Maturity:

The objective of maturity determination is an initial maturity grouping, which can be achieved with a cash flow and a characteristic-based method. Business Content contains the configuration for the cash flow method, and the Customizing settings for the products loan, bond, multicurrency bond, and interest rate swap.

Cash-flow-based method:

In this method, cash flow transactions are aggregated within pre-defined maturity groups. With this method, the cash flows are not changed (based on specific conditions, for example). The prerequisite is that cash flows stored in the system or characteristics from the SDL are available.

Characteristic-based method:

This method allows maturity to be determined on the basis of characteristics for BSOs whose initial maturity grouping is based on characteristics to be supplied. In doing so, a characteristic-based procedure is stored for one or more classes of BSO in compliance with the respective customer requirements. For example, if the entire balance sheet value has to be calculated on the basis of the supplied final due date in a specific group, the maturity group for an OTC option is determined on the basis of the “final due date” characteristic. The maturity grouping is contained in the balance subobject in question. This procedure is not used in Business Content 5.0.

Determination of Financial Statement Items

For the definition of financial statement items, it is necessary to define the individual reporting requirements resulting from the creation of the balance sheet and profit and loss statement and the required notes information. Business Content contains a very general balance sheet and income statement that cover the minimum requirements, and a small number of more specific requirements. Criteria in the form of characteristics are used to assign key figures to the relevant financial statement items. The characteristics are specific to each type of product. This process is mapped for each product in a flowchart (which can be called up separately in the Service Marketplace) for balance sheets, income statements, and notes.  

In Business Content, the following characteristics require checking:

This makes it possible, for example, to sort loans in the following way in BI:

Loans and advances to customers:

Due from other banks

Reporting

Business Content supports the following notes information and financial reports, which are shipped with BI Content 7.03. All the reports are examples and are designed to show customers how key figures, characteristics, financial statement items, and reporting are related, so that they can develop their own reports on the basis of this.

B Balance Sheet

The subledger scenario for Bank Analyzer contains a subledger for a bank's general ledger. As compared to the merge scenario, this means that only a part of the financial statements are generated in Bank Analyzer.

 

The main structure for financial statements is defined in ERP GL. The IFRS structure in Business Content is based on the recommendations (FINREP) for IRFS published by the Committee of European Banking Supervisors (CEBS), and the structure for the German Commercial Code (HGB) is based on the structure specified in the directive on the accounting of banks and financial services institutions (Verordnung über die Rechnungslegung der Kreditinstitute und Finanzdienstleistungsinstitute (RechKredV)).

The detailed information required in the financial statements for the break-down of items (for example, retail claims shown for domestic and foreign customers) are imported from the financial statement items in Bank Analyzer. See the product documentation for information about which key figures for products are assigned to which financial statement items, and the rules used to assign them.

Income Statement

The basic structure for the income statement is also defined in the ERP GL.

Segment Reporting

In segment reporting, the profits and losses from the P/L accounts are presented by business segment. Allocations between the business segments are not considered.

Business Content contains the following example segments:

        Retail banking

        Corporate banking

        Investment banking

        Other

The segment ID characteristic (/B20C/S_CIASSEGM) is stored as a descriptive characteristic in the account attributes.

Currency Balance Sheet

This report provides, for each currency, a balance sheet with equal and opposite debit and credit values in the relevant currency.

IFRS: Notes – Maturity Grouping

Here, the payables and receivables are grouped by their maturity for the products loan, bond, multicurrency bond, and interest rate swap in order to make the liquidity risks more transparent. The period between the balance sheet date and the contractual due date of the payable or receivable is considered as the maturity. Business Content contains the following maturity groups:

Maturity Group

Description

01

IAS Maturity Band: < 1 Month

02

IAS Maturity Band: < 3 Months

03

IAS Maturity Band: 3 to < 9 Months

04

IAS Maturity Band: 9 to < 12 Months

05

IAS Maturity Band: 12 Months to < 2 Years

06

IAS Maturity Band: 2 to < 3 Years

07

IAS Maturity Band: 3 to < 5 Years

08

IAS Maturity Band: > 5 Years

IFRS: Notes – Fair Value of Financial Instruments

Here, the fair values of the balance sheet items that are not measured at fair value in the balance sheet are compared to their book values. The “Fair Value 32” balance method is used for this purpose. For the Fair Value 32, the data required is added either the value of the existing “book value” key figure or a value calculated by means of the “Fair Value” service module. The value is calculated specifically for the following products:

      Loan

      Bond

      Multicurrency bond

      Repo

      Securities lending

The result is stored in the balance subobject type Other2 in the key figure “Stat. Fair Value RC” (SKFVS) and compared to the statistical book value (SKBVR) in the report (“carrying value”). The statistical book value contains the book value calculated on the basis of the amortized cost.

IFRS: Notes – Loans and Advances to Customers/Due from Other Banks

Here, the balance sheet items “loans and advances to customers” are sorted by customer type, country, and subsidiary.

IFRS: Notes – Financial Assets

Here, the balance sheet item “investment securities” is sorted by bonds (bonds and multicurrency bonds) and stocks with and without stock exchange listings. An asset history sheet for the position trend is also shown. Since the holding category HTM is not used in Business Content, only AfS positions are included.

IFRS: Notes – Hedged Positions

For financial products that can be used as hedged items, the relevant statistical key figures are displayed in this report. The relevant financial products are bonds (including multicurrency bonds), loans, and warrant bonds.

In BI, the relevant data is transferred both from AFI and from the general ledger.  Data is extracted as follows:

In all cases, the data is stored in the BI PSA (Persistent Staging Area).

For the ATP data, notes, and the general ledger, the data is stored after extraction in a data store object (DSO), so that it can then be saved in the appropriate InfoCubes. There is no separate InfoCube for line items. Queries can directly access the DSO.

Business Content contains the following InfoCubes:

ATP: 0BA_FDC01

Notes: 0BA_FDC02

General ledger: 0BA_FDC04

To generate a complete balance sheet, the detailed ATP data from the InfoCube 0BA_FDC01 is then combined with the general ledger data from the InfoCube 0BA_FDC04. The InfoCube 0BA_FDC03 (BA Financial Data Mart) is used for this Balance sheet and profit and loss queries access the "BA Financial Data Mart" InfoCube.

 

End of Content Area