ICAAP (Internal Capital Adequacy Assessment Process)

	Reports     Stress Testing PD ( Stress Test screen & report) Concentration Risk Liquidity Gap Earning at Risk Graph Cost to Close Fall in Market Value of Equity (MVE) Graph ICAAP (Summary report)

	Credit Risk

	Features Details     Basel II (Standardised Approach) Capital Adequacy Calculation & Reports     On & Off Balance Sheet exposures Breakup of Risk Weighted Amounts on CAR screen     Short Term Ratings Ability to select or deselect application of Short term counterparty rating to exposures.     Non Performing Loan Slotting Slotting based on  percentage of provisions     Risk weights for claims on unrated counterparties For mapping exposures in table 2.2, how claim tenor affect the risk weights for unrated claims as per confirmation from SBP     Counterparty Ratings History     Currency Forwards Treatment of Matured Unsettled Forward Contracts as per confirmation from SBP     TFC Slotting

	Credit Risk Mitigation

	Features Details     CRM - Simple & Comprehensive approach Hair Cut screen Collateral screen Credit mapping screen Eligibility screen Configuration screen Mutual Funds definition screen ‘Standardized Specific Risk’ weights definition Regulatory mapping screen     Advances Collateral Treatment COI, Certificate of Deposit, Bill of exchange, Promissory Note - issued by the bank itself     Off Balance Sheet items - Collateral treatment Cash & conventional collateral Non cash collateral (Guarantees)     If lending bank is the issuer of the cash or cash equivalent collateral Is risk weighted 0%. This is applicable only after the collateral has been flagged as eligible.

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	Market Risk

	Features Details     Basel II (Standardized Approach) Capital Adequacy Calculation & Reports     Internal Models Approach Market Risk Charge computation using 60 day tracking of VaR calculations and Type I & Type II Scaling Factor adjustments     Floating rate instruments Slotting criteria of floating rate instruments for Specific risk charge as per confirmation from SBP     IRS Specific Risk for Standardized Approach     Currency Forwards Treatment of Matured Unsettled Forward Contracts as per confirmation from SBP     General Market Risk Netting of Fixed Income issues     Additive VaR Used in ICAAP report when calculating Market Risk using IMA approach

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	Operational Risk

	Features Details     Basel II (Standardised Approach) Capital Adequacy Calculation & Reports     Operational Risk - (alternate approach) Lookup years - ability to select calendar years or from curent year

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	Stress Test

	Features Details     FX Swaps, FX Fwds and IRS Inclusion on Stress Test screens and report     Calculation of weighted average duration Option to select non- interest bearing items in calculation

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	Asset Liability Management (ALM)

	Features Details     Reports Price Sensitive Rate Sensitive Liquidity Gap Net Interest Income (NII) at Risk Earnings at Risk Cost to Close Fall in Market Value of Equity (MVE)     SLR revision As per BSD Circular No. 24 of 2008 SLR limit revised to 10% and this additional increase of 5% can only be met through investments in Pakistan Investment Bonds (PIBs). Furthermore, this increase is applicable on the investments in PIBs held in Bank’s own account only.

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	Value at Risk (VaR)

	Features Details   Reports   Variance Covariance VaR Analysis - Position wise Variance Covariance VaR Analysis - Portfolio IRS Value at Risk VaR Comparison Fixed Income Bond Value at Risk (Summary) Value at Risk Comparison (Detailed) Duration Value at Risk Comparison (Summary) Value at Risk Analysis on Foreign Exchange (in USD) Currency Forwards Value at Risk VaR Summary (Traditional & Derivatives) Value at Risk (Histogram) Value at Risk (Line Graph) Currency Options Value at Risk Structured Products Value at Risk Value at Risk by Tenors for Fixed Income Securities Incremental Value At Risk Risk Dashboard Detail Risk Dashboard Summary Risk Dashboard Highlights VaR Trend     P & L Overlay     Exponentially Weighted Moving Averages

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	Cash Flow & Profit and Loss

	Features Details     Reports Cash Flow Maturity Report (Summary) Cash Flow Maturity Calendar Profit & Loss Statement Balance Sheet Daily P&L

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	Products

Features Details     Term Finance Certificates CAR (Bond Model) VaR - Bond model (Reports & Simulation Screen) Inclusion of Sukuks in SLR Govt issued sukuks that are tied to risk free (PKRV) rates Key Rate Duration Definition screen (cap/floor rate till 6 decimal places) Independent pricing screen     Cross Currency Swap Currency Term Structure screen - Market Term Structure & Custom Term Structure Day count convention for term structures Pricing – Actual/360 (Tbill), Actual/ 365 (PIB) & Actual/ 360(PIB) MTM - Bond Model - YTM – Spot & Fwd starting MTM- Bond Model - Zero Curve – Spot & Fwd starting MTM- Bond Model – Par Curve Price Feed - Currency Term Structure Pricing on Toolkit (Independent Pricing screen )– Fwd Curve & Bond model CAR (Bond Model) Simplified & Standardized Approach Stress Test - Simplified & Standardized Approach & FX Shock FX Risk - FX NOP & Fwd Positions Netting

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	Miscellaneous

	Features Details     Audit Trail for Definition Screens     Weights screen:  Revaluation Reserves (Simplified &  Standardized)     Bond pricing dates from maturity date     Cash Flow dates & Duration     Definitions import: Forwards Counterparty     Counterparty Definition screen - External Ratings - A1+ rating     Import SOC – append/overwrite functionality to existing balance sheet     Link & Merge balance sheet (tab level)     Export Balance Sheet Collateral export for Advances & NFE MTM export     Option pricing screen: Calculation of RHO Domestic when Monte Carlo OR Binomial is selected, domestic interest rate as a divisor Asian option is exercised if average of simulated spots along a price path is greater than Strike for a Call and if Average of simulated spots along a price path is less than a Strike for a Put     Repo and Reverse Repo : ability to select sources from either investments or reverse repo or a combination of both     Definition screen - Mark assets / liabilities / non funded exposures as rate or price sensitive     Liquidity Definitions screen for liquidity reports     Override functionality on reports screen for entering ‘RWA, Regulatory Capital & CAR’ for use on Stress Test reports     Macro selection of assets / liabilities / non funded exposures for Cash flow, P&L and ALM reports     Micro selection of Balance sheet items – selection of assets / liabilities / non funded exposures for all reports     Loan Amortization

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