What does effective regulatory reporting assurance look like?

We will select these returns using quantitative and qualitative criteria. This will be based on the complexity and importance of the return, the significance of material ratios that are included within the return and other considerations such as the amount of previous errors found within the return or whether the return is a "hot topic" in the prevailing regulatory landscape.

Our testing methodology encompasses four key aspects: enquiry, observation, review, or reperformance. We use a combination of each of these aspects, with reperformance being the most rigorous and time-intensive method.

• Enquiry: We will ask questions to the regulatory reporting team about how a row is populated to reveal potential common errors.
• Observation: We will examine the amount reported in the final template to check for errors in the summations, applicable weightings and that the correct currency templates are used.
• Review: We will forensically review the amount reported, reconciling the amount reported back to working tabs, ensuring that the row complies with the regulatory instructions and further guidance in the CRR, and that exchange rates and weightings are correctly applied. We will check for consistency across and within the returns, and focus on areas including: currencies, exchange rates, maturity dates, asset types, counterparty/client type, CQS data (Credit Quality Step), encumbrance etc.
• Reformance: We will recreate the methodology used and re-calculate the computation from the offset, reviewing the assumptions and actions at each stage.

We will determine the methodology to be used based on the sampling criteria as above. Most rows would be analysed using the review or reperformance methodology, with the enquiry and observation methodologies used for the simplest rows.