Aufsichtsrechtliche Sonderanforderungen

 

 
AQR, stress test, financial resilience – in projects for special prudential requirements, the RapidRep Reporting Suite proves to be an efficient tool.

 

In various banks, the RapidRep Reporting Suite is successfully used in projects for the banking authority’s asset quality review (AQR) and the stress test 2014. In the area of recapitalization, in which the European Banking Authority (EBA) and European Central Bank (ECB) will call for annual reports with respect to funding plans from 2015 on (besides respective tests during the stress test), RapidRep also shows itself to be a highly suitable software solution.

Compared to previous stress tests, EBA has increased requirements and scenarios in the EU-wide stress test in 2014. For example, the thresholds for the core capital ratio have been set to eight percent in the baseline scenario and 5.5 percent in the adverse scenario. In addition, the applied adverse macroeconomic scenario by the ESRB is considered in the trade press as "significantly harder" than in the previous stress test (Risiko Manager, Issue 13/2014). The stress test in 2014, covering a period of three years, takes as its starting point the results of a previous asset quality testing and requires that banks stress a number of risk areas such as credit, market, and country risk, securitization and rising funding costs.

Taken together, this means that the financial institutions have to process a large amount of data from different areas and sources (for example, group subsidiaries, subsequent reporting, etc.) in accord with the EBA’s requirements. Therefore, it is imperative to examine the figures for plausibility and quality. In addition, an important keyword of the EBA stress test besides "comparability" is "transparency" - hence the data must also be provided transparently and repeatable. All this then automated as far as possible, especially since the data in question due to the sheer volume is no longer flawlessly testable and editable by people.

In addition to quantitative aspects, however, more and more attention is being paid also to qualitative aspects during the stress test execution. Projects of this kind show that ba-
sically there form overlaps of the RapidRep Reporting Suite’s fields of application such as
Data quality evaluation, Rule-based data processing and Regulatory reporting. The fact that RapidRep covers all these aspects, partly facilitated by wizards and also continuously developed based on the project experience and cooperation with the banks, demonstrates the suitability of the software especially for such special regulatory requirements as AQR and stress test.

Another advantage of the RapidRep Reporting Suite: The required data material is reported primarily in Excel tables to the EBA and ECB. RapidRep supports all current versions of Microsoft Excel and provides a custom output in content and style. In addition to this basic functionality, key processes such as the rule compilation are also made in Excel, so that a clear and simple Excel workflow can be realized with RapidRep.

RapidRep can also be adapted to your requirements - please contact us!