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Alchemy's - Basel II Reporting
Implementation in Pakistan and reporting to State Bank of Pakistan
After conducting a survey to assess the existing capacity of the banks and their financial position to meet additional capital requirements, State Bank of Pakistan issued a roadmap for the implementation of Basel II in Pakistan. The roadmap provides a plan for a gradual move towards the adoption of advanced approaches in Credit, Market and Operational risk calculation.
At the end of every quarter, the Banks/DFIs are required to submit their calculation in prescribed reporting formats issued by SBP.
Alchemy’s hosted implementation for Basel II reporting
Alchemy’s enterprise risk management solution, Alchemy Risk Manager generates a full set of reports both for Pillar I & II. These reports are compliant with SBP reporting format and use the core banking, treasury back office and other data provided by the client. A team of highly qualified professionals having the requisite domain knowledge and experience handle this reporting process. During the report generation process, the client is kept fully up to date regarding the status of reports and further data requirements if any. Client queries regarding applicability of various regulations and provisions of SBP circulars, prudential regulations etc are responded immediately on an ongoing basis. At the end of the report generation process, a meeting is arranged with the client to discuss the reports.
Given below is a sample report generation timeline however these can vary on a case by case basis due to variations and sizes of client portfolios.
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Item
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Effort |
| Setup information in ARM |
0.5 day |
| Instrument Definitions |
1 day |
| T-Bills |
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| Equity & Mutual Funds |
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| Term Finance Certificates |
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| Call Money Lending |
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| Reverse Repos |
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| Call Money Borrowing |
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| Repos |
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| FX (Spot & Forward Positions) |
1 day |
| Other balance sheet data |
1 day |
| Cash and Balances with Treasury Banks |
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Balances with Other Banks
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Advances & Collateral details
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Other Assets
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Income/Mark-up Accrued
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Non-Funded Exposures - Non Market Related with collateral details
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1 day |
Other Liabilities
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0.5 day |
Deposits
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0.5 day |
Total Time (approx)
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5.5 days |
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It is imperative to highlight here that the client data entered in Alchemy Risk Manager is not only used for the regulatory SBP reporting but is also used by other modules such as ALM GAP analysis, Value at Risk analysis, Stress Test analysis, Advanced measurement approaches of credit and market risk, derivative pricing, treasury limits monitoring etc,.
Following is a selected list of reports that can be generated by Alchemy Risk Manager:
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Credit Risk
• CAP 1 - Overall Capital Adequacy Ratio Summary
• CAP 2 - Other Deductions from Tier 1 and Tier 2 Capital
• CR Summary - Credit Risk Standardized Approach
• CR 1 - Risk Weighted Amount for Credit Risk
• CR 2 - Risk Weighted Amounts for Credit Risk - On Balance Sheet Exposure
• CR 3 - Risk Weighted Amounts for Credit Risk - Off Balance Sheet Exposures
• CR 4 - Off Balance Sheet Exposures - Market Related
Market Risk
• MR 1 - Risk Weighted Amounts for Market Risk - Summary
• MR 2 - Specific Risk Capital Charge for Issuer Risk
• MR 3 - Debt Securities, Debt Derivatives and other Interest Rate Derivatives
• MR 4 - Capital Charge for Equity Position Risk
MR 5 - Capital Charge for Foreign Exchange Risk
• MR 6 - Market Risk Capital Charge for Options
Operational Risk
• OR 1 - Risk Weighted Amount for Operational Risk
Stress Test & Duration
• Stress Test Report (C-5 Annex)
• Balance Sheet Duration (C-5 Annex)
• Balance Sheet Duration Detail (C-5 Annex)
ICAAP
• Concentration Risk
• Concentration Risk Graph
• PD Stress Test
• ICAAP
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• Simulation results
• Variance Covariance VaR Analysis - Position wise
• Variance Covariance VaR Analysis - Portfolio
• IRS Value at Risk Report
• VaR Comparison
• Fixed Income Bond Value at Risk (Summary)
• Value at Risk Comparison (Detailed)
• 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
• VaR by SMA and EWMA Comparison |
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• Price Sensitive
Gap
• Liquidity Gap
• Liquidity Limits
• Rate Sensitive Gap
• Net Interest Income at Risk
• Earning at Risk
• Earning at Risk Graph
• Cost to Close
• Fall in MVE |
• Cash Flow Maturity
• Cash Flow Maturity Calendar
• Profit & Loss Statement
• Balance Sheet Daily PNL |
• Foreign Exchange Exposure Limit
• Stress Test for Equity
• Stress Test for FX
• Stress Test for Fixed Income
• Stress Test (Summary)
• Fixed Income Bond Shifted
• Equity Betas
• Currency Deltas
• Repos - Reverse Repos
• Equity By Sector
• Key Rate Duration
• Equity Risk (Detailed) |
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