Ilana Gabay

Implementation of the SRB VDS project within the team, Finance and Risk Usage Projects of the Group Financial Department's Architecture and Reporting for 39 entities:

• Drafting of business requirements from various contributors (ZIM, PRUNE, AED, Basel III, Molière, B2C, BFC) and acceptance of received data flows

• Drafting of the data dictionary to define the rules for populating regulatory data based on existing taxonomies (Anacredit, Anatitres, COREP, FINREP)

• Unit and global testing of VDS outputs (Alteryx tool): Test plan

• Implementation of intra-VDS and inter-report controls

• Management of post-dry run feedback and interface with Financial Resilience

• Project management: Implementation of a dashboard, Contributions to various security committees, project committees, and steering committees.

• Monitoring of ALM production (monthly) and 7-day Treasury Forecast

• Participation in projects related to the implementation of the CDC prudential model:

• Integration of subsidiaries for monitoring equity consumption: BPI, CDCPME, CDC HABITAT, and ICADE

• Production of specific indicators for monitoring the Financial Multiannual Plan (FMP).

• Implementation of specific ALM projects:

• Specifications for an initial presentation of accounts under IFRS standards,

• Integration of off-balance sheet items (data completeness),

• Estimation of ratios (Participation Ratio, Permanent Resources Ratio, Liquidity Ratios, CAD, and Liquidity Ratio) and estimation of risk-weighted equity,

• Implementation of new econometric models to improve the reliability of Parametric VaR,

• Management of interest rate and liquidity gaps, sensitivity scenarios, and net banking income,

• Connection to federal reference data (TRR and Third-Party),

• Automation of the process for populating exchange rates, products, interest rate indices, and curves

• Implementation of an accounting reconciliation module.

• Preliminary study for the implementation of LCR, NSFR, and ALMM analyses

As part of the bank resolution workstreams, the CA Group received detailed instructions in December 2020 from the Single Resolution Board (SRB) regarding asset valuation. The group is required to provide 212 data points to an independent valuer to assess the completeness of assets in the event of resolution.

• Organization of workshops with the risk department to assess the availability of SRB data in CRRs, evaluate quality, and identify the business units responsible for the data

• Kick-off meeting with the sponsor: Scenario study, Definition of workstreams, planning, stakeholders, and committee structure

• Specifications with business units for areas not available at CASA in coordination with IT

• Coordination with CASA for data definition and the target scenario for reporting to the SRB

• Data documentation

• Project management: Implementation of a dashboard per workstream