CRR2 Support

SUMMARY

The client, an international central securities depository, required assistance in the transition to the new regulatory reporting requirements (i.e. Capital Requirements Regulation 2 / CRR2) coming into force in June 2021. In particular, the reporting function needed support on the following topics:

• Assessment of the changes to the market and credit risk reporting and its impact on the entity;
• Implementation of the new reporting templates (for example for Net Stable Funding Ratio) and simulation of the bank’s ratios before these would come into force;
• Addressing regulatory inquiries regarding any impacts the institution would experience upon its full transition to CRR2.

CUSTOMER GOALS

The client was looking for additional support in order to conduct ad-hoc research and analysis with regards to the new regulatory requirements, which would allow the core team to focus on the execution of the BAU activities.

CHALLENGES

The project involved a vast scope of regulatory topics and activities performed by the institution. As a result, the primary challenge was to understand and process a great amount of regulatory and internal data in order to arrive at meaningful conclusions. Moreover, due to the client working exclusively on a remote basis, the organisation of meetings and one-off interactions required much more involvement and time than purely on-site work.

SOLUTION

Avantage Reply conducted in depth analysis and delivered a number of solutions, primarily focused on the following:

1. Development of two new excel tools which monitored the levels of exposure to derivatives and FX transactions;
2. Populating the newly required NSFR reports, following the final methodology and the EBA templates;
3. Responding to all regulatory requests in the timely manner;
4. Conducting a number of regulatory required as well as internally requested ad-hoc analyses;
5. Conducting several Board presentations to explain the impacts which CRR2 would have on the institution.