Publications

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ICAAP & ILAAP

Briefing Note

ICAAP & ILAAP Internal Self-Assessment

Leveraging on its experience and in line with market practices, Avantage Reply has developed ICAAP ILAAP self assessments tools. Interactive and easy to use, the self assessment tools cover the key building blocks of ICAAP and ILAAP frameworks and provide an overview that will help benchmarking frameworks in place against supervisory expectations and best practices. ICAAP and ILAAP integrated at the highest level of the organization is key for a proper use of both processes into the decision making process.

Operational Resilience

Briefing Note

Operational Resilience – Principles for a Post-Pandemic World

Covid-19 as well as other physical events have left UK financial institutions anxious about their abilities to continue critical operations during crises. The objective of this paper is to summarize key changes to the Principles for the Sound Management of Operational Risk and highlight the ways in which Avantage Reply can assist FS firms in improving their operational resilience.

Green Economy

Briefing Note

The Roadmap: Paving the Way to a Green Economy

On 9th November, the UK Treasury published a roadmap for mandatory disclosures outlining HMT’s explicit expectations regarding increased transparency and its continued focus on the management and mitigation of climate-related risks. Learn more about the significance of these expectations in this briefing note.

Operational Risk

Briefing Note

Operational Risk - Mitigating Disruption

Banks have now submitted their feedback on the Consultative Document on the Revisions to the Principles for the Sound Management of Operational Risk (PSMOR) published by the BCBS in August. In this briefing note, we contextualise the key proposed revisions to the PSMOR against the regulatory direction of travel over the last decade.

Case Study

IRRBB – Support the transition of the IRRBB metrics computation tool and reconciliation exercise between both outcomes regarding EVE (Economics Value of Equity) and NII (Net Interest Income).

The Client, a huge international bank, request the support of Avantage Reply to further understand and quantify the differences arising between both of their IRRBB metrics calculators. The first, is a hand-made tool provided by the headquarter and the second is a well-known risk software solution used locally. Avantage Reply helps isolating and assessing each of the differences, and in case of materiality, set processes in order to compute overlays. Avantage Reply further helps to add and validate missing products. Validations cover parametrization of the tool, alinement of IRRBB inputs (margin and reference rate) and models (non-maturing products, prepayment, caps, floors,..)

Case Study

IFRS 9 Control Framework

The customer is a retail belgian bank focusing on mortgage loans and consumer credit. Following the implementation of the IFRS 9 ECL calculator, the need arised to implement a control framework to ensure timely and quality calculation and bookings, and integration in the accounting and reporting platforms. Avantage Reply helped the client bridge the distance between different departments to identify the right responsibilities at the right moment in the process to increase its reliability.

Case Study

Internal Audit Co-Sourcing - COREP

The customer is a strong financial player present worldwide providing services in banking sector and insurance. The goal of the project was to conduct a co-sourcing Internal Audit on Common Reporting (Corep). Avantage Reply provided the client with a tailored assistance to its specific needs bringing its expertise and knowledge in order to perform high quality assessment of Corep governance processes.

Green Economy

Briefing Note

Sustainable Finance

During 2019/2020, the UK and EU introduced multiple climate documents to embed sustainable finance into financial systems to assist in the transition to a climate-neutral economic area. The objective of this short paper is to summarise key current documents, followed by an overview of upcoming guidance.

Case Study

Internal Liquidity Adequacy Assessment Process (ILAAP)

Belgian retail bank under the direct supervision of the European Central Bank (ECB). The Bank’s products and services are distributed on-line, through the network of offices in Belgium, and through brokers. The Bank requested Avantage Reply to enhance their Internal Liquidity Adequacy Assessment Process (ILAAP), not only complying with regulatory requirements but also going beyond them to meet supervisory expectations and align to best practices of the market. Therefore, from Avantage Reply we assist in the performance of the official document that will need to be submitted to the supervisory authority. This assignment is not only writing a document, but also looking into the market and new regulations published by the supervisory authorities, analyzing how other banks are facing the new challenges concerning liquidity and sharing our knowledge and experience of the financial industry.

Briefing Note

IBOR Transition: Avantage Reply's Offering

In 2017, the Financial Conduct Authority (FCA) announced that it would cease to compel banks to submit their input rates for the computation of the London Inter-Bank Offered Rate (LIBOR) starting from the end of 2021. The latter has led the Financial Sector to a consensus around structurally different replacement rates that would provide a get-around to the main limitations that led to the discontinuity of LIBOR’s.

Liquidity Management

White Paper

Liquidity Stress Testing Toolkit

Leveraging on its experience and in line with market practices, Avantage Reply has developed a Liquidity Stress Testing model. Flexible and easy to use, it provides financial institutions with a toolkit which allows them to easily perform internal stress tests and integrate outcomes into decision-making processes.

DOWNLOAD THE WHITE PAPER

Liquidity Stress Testing Toolkit 0

Case Study

Avantage Reply provides strategic support on governance

The client is a major player in the Belgian banking sector offering a variety of services in private banking, asset management, investment banking and asset servicing. As one of the seven Belgian banks that fall under the direct supervision of the European Central Bank (ECB), the client’s goal is to comply with the regulatory expectations and maintain its reputation vis-à-vis its customers as well as the supervisors. However, as an independent group owned by private shareholders, the bank presented certain specificities in its functioning that did not correspond to the current regulatory environment, which in turn, lead to a negative assessment (annual SREP review) by the ECB. In this regard, Avantage Reply has been provided with the task of supporting the client in setting up and implementing an action plan to respond to the ECB’s concerns and worked in close collaboration with the management of the Bank to achieve the objectives.

Case Study

Regulatory Reporting Remediation Program - meeting ECB and CSSF requirements

Avantage Reply assisted a well-known Private Bank in Eurozone in improving the quality of FINREP & COREP reporting and in documenting internal production process. Out client needed to meet the requirements for the production of the harmonized reporting for European Central Bank (ECB), both in terms of quality, timely delivery, as well as in term of management of its interaction with the local regulator. Since reporting activities have been offshored, client must demonstrate that its interaction with service provider fulfils additional requirements from EBA and local regulator’s guidelines for outsourced functions. Avantage Reply team defined and implemented adequate control framework, supported analytical review of reports and documented operational aspects of the process. As result, regulatory reports were submitted within regulatory deadlines with considerably higher quality of data.

ICAAP

Briefing Note

ECB report on bank's ICAAP practices

Since the establishment of the Single Supervision Mechanism (SSM) under the European Central Bank’s (ECB) mandate, banks directly supervised by the ECB are required to submit an Internal Capital Adequacy Assessment Process (ICAAP) package on an annual basis. This submission is aimed at demonstrating the robustness of banks’ internal processes in relation to the identification, assessment and measurement of their risk profile and the availability of sufficient capital to support their risk profile.

Case Study

IRRBB Audit Follow-Up

Avantage Reply assisted the internal audit department of a leading Private Bank in the Eurozone, a less significant institution (LSI) that is part of an international group, in the final steps of an internal review of the Interest Rate Risk in the Banking Book (IRRBB) framework. In summer 2019, Avantage Reply assisted the client following an audit by the national regulator regarding IRRBB and established an action plan to deal with the shortcomings identified during the regulator’s on-site inspection. The goal was to identify the status of these shortcomings and possible mitigations in order to achieve full compliance with regulatory requirements.

Case Study

Risk Analysis for the introduction of new lending products

The client, a public lending bank, wanted to introduce two new products to its portfolio and needed to conduct a risk assessment in order to determine the bank’s capital needs for these new products. The main problem was that the client had no internal data to support such an assessment. Using historic statistical data, AR provided the client with a model that allowed to assess the risks associated with these products and determine the capital needs for these products.

Case Study

Documenting the accounting and prudential treatment of complex transactions

Avantage Reply assisted a well-known Private Bank in the Eurozone to document the non-standard accounting and prudential treatment of structured finance transactions. The tailor- made structured finance solutions, e.g. asset-backed finance transactions, operating leases and export leases, do require special consideration regarding regulatory reporting and risk management.

Case Study

Risk Database : Improvements for risk management steering

The risk department was experiencing difficulties with providing timely analysis and reporting to satisfy the internal deadlines for risk management purposes. Avantage Reply was engaged by this public financial institution to improve the risk database and risk metrics production for management purposes.

Case Study

Risk Mapping

In order to improve institution's internal control framework for the risk function, the client has requested Avantage Reply to design and implement a risk mapping and an associated internal control plan for all financial.

Case Study

ICAAP models : Model inventory and multi-year model validation plan

Avantage Reply was engaged to provide subject matter expert support to design an inventory of all ICAAP models and to define a multi-year model validation plan for the independent model validation department.

White Paper

Sustainable Finance (esg, sdg & climate) - risks & opportunities for Banks and Institutions

This paper provides an overview on ESG, focusing on Climate and Environmental Finance and Risk, with emphasis on challenges related to specific ESG factors that could be turned into opportunities if managed promptly.