Supervisory reporting automation (SPID)
SPID
SPID
SPID Basel IV is a calculator of capital supervisory requirements which supports banks in adapting to new regulations, automating reporting processes and increasing the credibility of reporting data, lowering the costs of realizing reporting obligations in the area of CRR2 and CRDIV regulations.
System allows for calculating capital requests and liquidity meter based on “raw” source data. The range of inbuilt calculation engines includes:
- The scale of trading activities
- Credit Risk and Counterparty Credit Risk
- CVA
- CCP
- Market risk according to position risk:
- Currency
- Debt Instruments Pricing
- Settlements and deliveries
- General interest rates
- Products and services pricing
- Amortized instruments decomposition
- Market risk according to Alternative Standard Method
- Sensitivity risk (DELTA, VEGA, CURVATURE)
- General interest rate risk
- Risk of unsecuritized positions credit spread
- Risk of securitisation positions included in Alternative Correlation Trading Portfolio credit spread
- Risk of securitisation positions not included in Alternative Correlation Trading Portfolio credit spread
- Currency risk
- Share pricing risk
- Product pricing risk
- Non-performance risk
- Residual risk
- Financial leverage
- Large Exposure
- Liquidity meter:
- LCR – Liquidity Coverage Ratio
- NSFR – Net Stable Funding Ratio
- ALMM – Additional Liquidity Monitoring Metrics
SPID Basel IV – one process, one platform, one data source for a lot of departments
Banks are obliged to prepare a few hundred or a few thousand reports for different supervisory institutions (EBA, Polish Financial Supervision Authority KNF, the National Bank of Poland NBP, Bank Guarantee Fund BFG, Ministry of Finance) Numerous different data sources supply that information and it has to be prepared and accepted by several departments that – lacking a shared platform – create their own, strictly specialized solutions.
It leads to a situation when most analysts working for specific bank departments take care of operating processes instead of analysing data and working on development. As a result, instead of focusing on developing business, the organisation focuses on completing operational tasks.
SPID BASED IV – full reporting process end-to-end
The solution fulfils all the requirements of modern reporting and guarantees security of fulfilling supervisory requirements. It allows for:
- Integrating a set of data used in calculating mark-ups and regulatory indicators in one place
- Simplification and automation of calculation processes of capital requirement and its reporting
- Sharing with analysts the instruments that shorten the reporting period and increase effectiveness of conducted analyses
- Maintaining full transparency and auditable calculation and reporting process
Business benefits
Minimizing the operational risk - limiting possible human errors, low work effectiveness in a spreadsheet etc
Guaranteeing secure fulfilment of supervisory requirements
Increasing effectiveness of analysts work – eliminating the necessity to do a lot of tiresome and repeating activities for people from different departments with monthly reporting cycle. Savings increase the time needed for analysis and data interpretation and business activity
Minimizing the capital requirements while preserving full compliance with CRDIV, CRR2 regulations and local KNF recommendation
What-if analysis (simulations) for the demand of regulatory capital in case of market changes, introduction of new products etc
Audits for the whole reporting process – transparency and possibility to track the whole reporting process from forms to single source data
Shorter time and lower costs of reporting process – including in one automation system all obligatory reports allows for recalculating for the reporting area. It means also lower costs of service maintenance on the part of banking IT team
Selected functionalities
Automatic data import from a number of data sources
Data integration – clearing data, filling in data gaps, deduplication etc
Data validation – based on inbuilt rules and rules defined in the system
Inbuilt engines for real data calculation – a number of engines dedicated to specific reporting areas
Data correction – made at the level of source data or reports, always by “four eyes” principle
Simulations – what-if analysis, stress-tests, alternative data calculations based on real data or additional user data
Reports – obligatory reports built in the system and own reports defined by users, which can be powered by any calculation engine and/or other reports (including external data sources)
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