Frankfurt 08. July 2021 – By the end of June 2021 the updated Capital Requirement Regulation (CRR II) came into force The goal of the EU regulation is to introduce a more risk-sensitive framework for management credit risks. One of the key outcomes of CRR II will be a stricter client reporting and disclosure regime. The amendments will not only impact the banking sector but also affect investment managers and their CRR-related client reporting procedures.
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 is equired 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 acarda platform, which also covers reports such as Solvency II, SFDR, 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.
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:
Due to the high level of transparency with regard to data management, technical calculation, and the creation and validation of reports, the acarda platform 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
We gladly advise you on futher details.
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