CRR II: acarda ensures full compliance for users of the arep platform by April 2021.

Look-through of investment funds is one of the key topics under CRR II, as the new fallback risk weight for opaque funds is increasing by a factor of 12,5. Therefore, investment managers are expected to have look-through data with higher granularity. The same level of granularity will be required for fund-of-funds structures, i.e. for target funds managed by third party companies. acarda is fully compliant with all CRR II requirements. The successful CRR module of our regulatory platform arep, which also covers reports such as Solvency II, AIFMD and PRIIPS/MIFID including the look through data, provides the basis.

The CRR module offers the following features.

1 Detailed calculation of credit risk in accordance with CRR I with adjustment to CRR II by April 2021.

2 According to the analysis of the reporting template, arep is already in line with CRR 2 requirements according to ITS Annex 1 and Annex 24. This ensures the continuous production of the following templates including all relevant data points and key figures C01.00 (CA1, Own Funds), C02.00 (CA2, Own Funds Requirements), C07.00 (CRR and CCR), C09.04 (Countercyclical Buffer), C22.00 (FX Risk), C34.01 (Derivatives), C34.06 (Counterparties for Derivatives), C34.09 (Types of Derivatives), C25.00 (CVA), C33.00 (Government Exposure), C72.00 (LCR)

3 Effective usage of standard templates for Solvency II TPT, WM CRR as input for the review of external funds. Comprehensive delivery of all necessary standard templates for customer reports such as:

• Country Exposure for calculation of the Countercyclical Buffer (WM Template and/or C09.04)
• Solva report including currency composition (WM Template and/or C22.00)
• Own Fund Deduction Report including the CVA figures (WM Template and/or C07.00)
• Liquidity Reporting (C 72.00 – LIQUIDITY COVERAGE – LIQUID ASSETS)
• Reporting on “Items associated with particular high risk” relevant templates are C02.00, C09.01 or a customized template
• GroMiKV (BVI Template)

Due to the high level of transparency with regard to data management, technical calculation, and the creation and validation of reports, arep is already qualified for auditing by external auditors. Finally, while according to our assessment the ITS templates listed in (2) are suitable for disclosure of investment funds data, their actual production will depend on investor demand. To support the reporting requirements outlined in (2) a “Data Exchange” template will be defined in such a way, as to cover all the datapoints relevant for production of templates in point (2). By combining the standard client reporting templates and the provision of data necessary for the regulatory templates (3) full CRR 2 compliance will be ensured for our clients by April 2021.

We gladly advise you on futher details.