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AfiKIDKey Information Document (KID) Calculation and reporting system

The PRIIPs Regulation

AfiKID – Key Information Document (KID): Calculation and reporting systemThe PRIIPs Regulation

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Foreword

The Regulation on key information documents for packaged retail and insurance-based investment products (PRIIPs) introduces a key information document (KID), a simple document giving key facts to investors in a clear and understandable manner.

Afi has an ample track record developing automated systems for calculating and reporting performance measures and risks akin to the metrics stipulated in the PRIIPs Regulation for the KID. In addition, Afi has worked with the leading Spanish financial institutions to have have gotten a head start on these regulatory requirements; these institutions are already providing their customers with clear, relevant and thorough information about the financial characteristics of the products they offer. Afi is, moreover, an independent expert in the assessment and measurement of investment product risks.

The European Commission has published clear guidelines for preparation of the KID, which will be mandatorily applicable from 1 January 2018. Against this backdrop, Afi has created AfiKID, an automated system for generating the PRIIPs-prescribed Key Information Document.

Whom is it targeted at?

Regulation (EU) No. 1286/2014 requires all manufacturers of packaged retail and insurance-based investment products (PRIIPs) to prepare Key Information Documents (KID) for such products before they are made available to retail investors, and those selling or advising on these products to provide the KIDs to retail investors before they buy those products:

4 Investment products such as investment funds.

4 Life insurance policies with an investment element.

4 Structured investment products and deposits.

By extension, the entities affected by the Regulation are:

4 Financial institutions.

4 Insurance companies.

4 UCITs management companies.

The Regulation is applicable from 1 January 2018 (except for management companies, for whom it is binding from 31 December 2019) in respect of all products manufactured by the financial services sector, insofar as the amount repayable to the retail investor is subject to fluctuation because of exposure to reference values, or subject to the performance of one or more assets which are not directly purchased by the retail investor.

www.afi.es

What is AfiKID?

Here at Afi, with our more than 10 years' experience developing calculating and reporting systems for some of the banks that have gotten a head start on these regulatory requirements, we offer the following services:

http://www.afi.es

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En los últimos años, Afi ha desarrollado proyectos en sistemas de información de gestión con las siguientes entidades, lo que nos convierte en una de las principales referencias del sector de consultoría en este ámbito:

Referencias

4 Entidades crediticias: Áreas de Tesorería, Riesgos, Auditoría, Depositaría,

Contabilidad.

4 Entidades financieras no-crediticias como Sociedades de Valores y Bolsa o Gestoras

de Fondos

4 Entidades aseguradoras: Áreas de Inversiones y Riesgos.

4 Empresas no-financieras: Direcciones Financieras, Contabilidad.

4 Reguladores y supervisores: Banco de España, DGSFP, CNMV.

4 Administraciones públicas: Dirección General del Tesoro, ICO, CCAA,

Ayuntamientos.

¿A quién va dirigido?

Áreas de colaboración

4 Valoración de instrumentos derivados, estructurados o ilíquidos.

- Apoyo al front-office en la negociación.

- Contrastes de valoraciones para la auditoría interna y supervisores.

- Apoyo al control por parte de las entidades depositarias.

- Informes periciales.

- Para contabilidad, segregación de instrumentos estructurados (derivados /

contrato principal), realización de tests de eficacia de coberturas.

4 Agente de Cálculo en fondos garantizados, emisiones de warrants, estructurados,

etc.

4 Apoyo a la auditoría interna de metodologías y sistemas de valoración de

instrumentos y medición del riesgo.

4 Implantación de plataformas y de sistemas de valoración, realización de test de

eficacia de coberturas y desarrollo de rutinas específicas de valoración.

4 Asesoramiento en la generación de productos estructurados para la red.

Otros productos4 AfiRisk: una solución robusta, fiable y probada para la medición y gestión de riesgos

Entidades de créditoAltaeBanc AgricoleBanco CaminosBanco Espirito SantoBanco GallegoBanco GuipuzcoanoBanco MadridBanco SantanderBanco PastorBanco UrquijoBancSabadellBanestoBankinterBarclaysBBVACaixa CatalunyaCaixa GaliciaCaixa GironaCaixaNovaCaixa SabadellCaja AsturiasCaja de ÁvilaCaja de BurgosCaja de IngenierosCaja DueroCaja ExtremaduraCaja GranadaCaja GuadalajaraCaja Insular de CanariasCaja Laboral PopularCaja MadridCaja MurciaCaja NavarraCaja RiojaCaja Rural de ToledoCaja SegoviaCajasolCajaSurCAMCECAFibancIbercaja

ICOINGKutxala CaixaSa NostraSociété GénéraleUnicaja

Entidades AseguradorasAllianzAsevalBanSabadell VidaBiharkoCaixa Sabadell VidaCaserHermandad Nacional de ArquitectosMapfreSantander SegurosSeguros Caja SurSeguros Lagun AroSeguros RGA

Otras Entidades FinancierasAhorro CorporaciónBBVA GestiónCaixa Catalunya GestióCaja España FondosCajastur GestiónCapital MarketsGefonsaGesAtlánticoGescaixaGescooperativoGesdueroGesfibancGesmadridGespastorGestifonsaInvercaixaInverSeguros GestiónKutxaGesMorgan Stanley Gestión

MutuactivosNorbolsaOmega CapitalRBC DexiaRenta 4Santander Asset ManagementSogevalUnicorpVital Gestión

Otras EntidadesCementos Portland ValderrivasComisión Nacional del Mercado de Valores (CNMV)Comunidad Autónoma de ExtremaduraComunidad Autónoma de MadridDiputación Foral de VizcayaDirección General del Tesoro y Política FinancieraDirección General de Seguros y Fondos de Pensiones (DGSFP)Duro FelgueraEndesaFAES-FARMAFCCFujitsuGas NaturalGlobal ViaHispasatIberdrolaInditexJunta de Comunidades de Castilla y LeónPrincipado de AsturiasRegión de MurciaRealiaSacyr VallehermosoSociedad Española de Participaciones IndustrialesTelefónica Internacional

Referencias

1. Generation of a file with the calculations required for the KID (xml, xls, etc.).

2. Generation of the KID itself from the results obtained from the entity itself or third parties (PDF).

3. Integration of both services.

The AfiKID tool is articulated around the following methodology:

4 Gathering of calculation inputs:

- Fixed product and portfolio data (structure, components, optionality, etc.).

- Recommended holding periods.

- Historical portfolio performance.

- Cost regime (one-off, recurring and incidental fees).

- Market information.

- ECAI assessments.

4 An information processing tool:

- Información de mercado.

- Calificaciones de ECAI.

4 KID calculation:

- Impact of fees.

- Performance scenarios.

- Summary risk indicator (SRI) calculation.

4 Report generation:

- Creation of the report in PDF format, ready for delivery to the customer.

KID calculations are performed in real time.

Summary risk indicator (SRI) calculation:

Our SRI calculation system encompasses the two required measures and the stipulated performance scenarios:

4 SRI: a summary risk indicator on a scale from 1 to 7, underpinned by:

- A market risk measure (MRM): annualised volatility corresponding to the value at risk (VaR) at a confidence interval of 97.5% throughout the recommended holding period.

- A credit risk measure (CRM), determined by credit ratings.

th th th4 Performance scenarios (values at the 10 , 50 and 90 percentiles).

Generation of the PDF KID file:

AfiKID can generate the KID PDF file using in-house or third-party results in a format that is compatible with that specified in the Regulation.

www.afi.es


http://www.afi.es

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Referencias


Contabilidad.


de Fondos





Ayuntamientos.











etc.













Referencias

www.afi.es

Source: European Comission, Annex to the supplementing Regulation (EU) No 1286/2014.


http://www.afi.es

Technical specifications:

Insofar as the entities affected by the Regulation present highly-varied integration requirements, AfiKID can be used in many ways:

4 Real time:

- SOAP web-based service.

- API REST (JSON, XML).

- URL HTTPS.

4 Batch processing:

- FTP.

- SFTP.

- FTPS.

Complementary services:

In addition to preparing the KID, Afi accompanies its clients by p r o v i d i n g t h e f o l l o w i n g complementary services:

4 Training and consultancy services with respect to the

definition, development and/or implementation of in-house tools.

4 External quality assessment service.

4 External calculation of positions which, on account of their nature, newness or particular complexity, require ad-hoc valuation and risk measurement models.

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Referencias


Contabilidad.


de Fondos





Ayuntamientos.











etc.













Referencias

www.afi.es

Source: European Comission, Annex to the supplementing Regulation (EU) No 1286/2014.

For any additional information or queries, please contact:

Contacts: Ángel Moreno | Borja Foncillas

E-mail address: [email protected] [email protected]

Tel: 915 200 106

Fax: 915 200 167

Website: www.afi.es

Enquiries


http://www.afi.es

http://www.afi.es

mailto:[email protected]

mailto:[email protected]

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