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Case Study

Liquidity & Interest Rate Risk Assessment on Complex Financing Structures

Avantage Reply assisted a well-known universal bank in the Eurozone to analyze, assess and document the potential liquidity and interest rate risks related to complex financing structures. The tailor-made financing solutions are important for more sophisticated clients, mostly corporations with precise financial needs, and aim at financing them via term loans, leasing, liquidity raising, securitization or short-term investments.

Case Study

National Central Bank Reporting Support

Avantage Reply assisted the finance department of a well-known bank in updating its process to produce monthly and quarterly statistical reporting for the Nation’s Central Bank, following the publication of the updated guidelines. This guideline modifies the statistical reporting requirements for credit institutions

Case Study

Recovery Plan Update

The client, a subsidiary of a leading bank, is required to maintain and update their Recovery Plan on the regular basis. Given internal resource limitations along with new requirements, the client required an assistance in the review and update of the plan. Avantage Reply provided a recovery plan expert who 1) updated the plan according to the latest regulatory requirements and 2) integrated the recommendations received from the internal audit function as well as the national regulator.

Case Study

Support with Credit Risk Regulatory Inspection

The client, a European-based leading bank in online financial services that offers state-of-the-art solutions to meet investment needs, required support from Avantage Reply on the preparation of a regulatory inspection for Credit risk and IT-related topics.

Case Study

Finance Function Support

Avantage Reply supported the Finance department of an internationally operating custodian bank in their daily and monthly production of internal and regulatory reports, as well as other routine activities. The client was handling a large project, the complexity of which had to be managed, while simultaneously completing all regularly occurring tasks to the highest possible standard without any disruption.

Case Study

Supporting daily ALM activity and reporting

Avantage Reply assisted a Finance department of a well-known private bank in daily activity and reporting production of the Assets and Liabilities Management team. The key tasks were assist the team in the improvement and preparation of the Internal Liquidity Adequacy Assessment Process (ILAAP), advise on the regulatory requirements and contribute to the implementation of local.

Case Study

Testing of liquidity regulatory reporting in light of the new BO system

Avantage Reply assisted a Finance department of a well-known private bank in the connectivity test phase within back office tool migration. The project covered a wide range of activities such as conducting multiple User Acceptance Tests (UAT) with on-shore teams, verify the impact of the change on regulatory reporting.

Case Study

Finance reporting support

Avantage Reply assisted a Finance department of a well-known private bank in daily and monthly reporting production related to liquidity. The key tasks were: produce and certify various regulatory reports, such as LCR, AMT, NSFR incl. contributions to group consolidated reports; produce and certify integral liquidity reports based on inputs from various business line.

Case Study

AnaCredit – Data remediation Activity

Avantage Reply assisted a Finance department of a well-known private bank in daily and monthly reporting production related to liquidity. The key tasks were: Produce and certify various regulatory reports, such as LCR, AMT, NSFR incl. contributions to group consolidated reports; produce and certify integral liquidity reports based on inputs from various business lines...

Case Study

Single Supervisory Mechanism (SSM) Transition

The regulatory classification of banking institutions, concerning their competent authority, is an important aspect that determines a lot about their regulatory obligations. Based on several criteria, a bank may be deemed significant.

Briefing Note

BASEL 3.1: BRACE FOR IMPACT

The Bank of England has published its position on Basel 3.1 reforms, introducing a series of fundamental changes to the current prudential regulation regime in the UK. CP16/22 - Implementation of the Basel 3.1 standards has largely been adopted from BCBS standards and its core principle are aligned to global practices. However, there remain some key points of difference/divergence, specific to the practices in the UK market.

White Paper

EBA’S NEW REQUIREMENTS ON CSRBB MANAGEMENT

On 20 October 2022, the European Banking Authority (EBA)published new regulatory requirements on Interest Rate Risk and Credit Spread Risk in the Banking Book (IRRBB / CSRBB) aiming to finalise the implementation of Basel III requirements (BCBS368, Guidelines on IRRBB) in the European Union.

Case Study

Enhancement of Internal Rating Based Framework

The client, a major universal bank featuring a significant wealth management activity, was in the process of enhancing its IRB framework (Internal Ratings Based) following Basel IV requirements and feedback from the European Central Bank (ECB). This program has been launched to repair internal models used to calculate own funds requirements for credit risk under the Internal Ratings Based (IRB) approach.

Case Study

Remediation of the outsourcing control framework

In 2021, an internal systemic Bank launched a holistic risk assessment of its Depositary Bank (DB) business. As part of this review, Avantage Reply performed a review of DB exposure to risks related to outsourcing arrangements including the effectiveness of controls to mitigate associated risks.

Case Study

ILAAP Support

Following the Supervisory Review and Evaluation Process (SREP), the bank received a letter from the Banque Centrale du Luxembourg (BCL) highlighting a number of findings and recommendations concerning its liquidity risk management framework. The bank was asked to address these recommendations as part of its submission of the 2021 Internal Liquidity Adequacy Assessment Process (ILAAP).

Case Study

Risk and treasury processes automation

Following recommendations from Banque Centrale du Luxembourg (BCL) as well as the findings raised by its internal auditor, the bank wished to automate several operational and regulatory processes conducted by the Risk and Treasury departments.

Case Study

Pillar 3 Support

In the context of Pillar 3 on public disclosure requirements and with the implementation of the regulation known as CRR 2, the bank is required to produce and publish every year a Pillar 3 report (annual and semi-annual versions). Avantage Reply was engaged to provide support and expertise in the Pillar 3 and CRR 2 regulatory requirements implementation.

Case Study

Counterparty Credit Risk (Pillar 1 and 2)

The client, a major banking group specialised in the provision of online banking and trading services, was in the process of launching new derivative products for its retail clients and required assistance for the counterparty credit risk calculations and regulatory reporting of these products.

Case Study

Standardised Approach for Counterparty Credit Risk

The client, a major banking group specialised in the provision of online banking and trading services, was in the process of launching new derivative products for its retail clients and required assistance with calculating the capital requirements for counterparty credit risk under the new standardised approach. This project was a continuation of similar work which Avantage Reply performed prior for this client, regarding the mark-to-market approach.

Case Study

Development and implementation of the IRB-models

Avantage Reply supported a large bank in Luxembourg with a complete transformation of the internal credit risk model portfolio. In doing so, our team was involved in several steps of the model lifecycle: model development, model backtesting, model validation by the second line of defense, model review by the ECB and implementation of the model in the bank’s IT system.

Case Study

CRR2 Support

The client, an international central securities depository, required assistance in the transition to the new regulatory reporting requirements (i.e. Capital Requirements Regulation 2 / CRR2) coming into force in June 2021. In particular, the reporting function needed support on the following topics.