Since the 2008 financial crisis, regulators have emphasised the importance for banks of using stress tests to better identify potential weaknesses in their banking books, trading books and liquidity positions in the event of market turmoil. This paper will show model outcomes likely to be observed by banks in the 2021 STEBA and propose solutions and considerations for banks to mitigate the risk of having to deal with unrealistic model outcomes.
On 11 January 2021, the Prudential Regulation Authority (PRA) published a set of documents to outline its approach to international banks (including designated investment firms) operating in the UK, covering both subsidiary and branch structures. This was expected. Our briefing note summarises the key proposals and outlines what they mean for international banks.
Leveraging on its experience and in line with market practices, Avantage Reply has developed several assets for the ICAAP covering risk quantification and capital planning.
This tools are covering the following themes: 1) Risk identification; 2) IRRBB 3) Credit Concentration risk 4) Operational risk 5)Capital planning
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.
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.
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
climate-related risks. Learn more about the significance of these expectations in this
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.
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.
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.
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.
The ECB has mandated a new reporting exercise in the light of the COVID-19 crisis in an effort to ensure the timely and consistent monitoring of the risks sparked by the outbreak and to widen the scope beyond the SREP STEs, FINREP and COREP, through the inclusion of credit moratoria and state guarantees figures. The reporting shall be submitted to NCAs on a monthly basis until at least December 2020, and is expected to raise several implementation challenges for SIs on the organizational and operational levels (including capacity and data aggregation issues).
A growing number of stakeholders, from governments to individuals, pension funds and asset managers, have realised that the application of ESG criteria is in line with their financial objectives. Around the world, investment strategies based on sustainability criteria are growing to become a new service line tending to the needs of the stakeholders: supervisory bodies, financial institutions and all customers.
This opinion paper aims to present and analyse the key facts regarding the impact of the Covid-19 crisis on how financial institutions might need to address the new challenges post the Covid-19 crisis and how it could interfere on ECB supervision agenda and SSM priorities.
The lockdown put in place to contain the spread of COVID-19 has triggered a sudden halt in the economy, with the impact felt intensely more or less across all sectors. So far, the policy response from governments, central banks and bank supervisors has been swift and far reaching, in order to contain the economic fallout and any risks to financial stability.
The CSDR (Central Securities Depository Regulation) was put into effect in September 2014, with the objective of harmonising settlement process and systems across Europe, after the financial crisis. This briefing note focuses on the role of the Settlement Internaliser and its reporting requirements under this regulation.
The European Commission introduced the Securities Financing Transactions Regulation to increase the transparency of securities financing markets. Avantage Reply takes a close look at the implications, challenges and opportunities posed by the regulation.
On October 16th 2019, the EBA published the consultative paper on revised Implementing Technical Standards (ITS) on supervisory reporting, which aim to keep the reporting requirements in line with changes in the regulatory framework.
Article 99 of the CRR (Regulation (EU) No 575/2013) requires the European Banking Authority (EBA) to develop and maintain so-called Implementing Technical Standards (ITS) on supervisory reporting. They shall notably cover own funds, large exposures, leverage ratio, liquidity coverage ratio, additional monitoring metrics (AMM), stable funding, asset encumbrance (regrouped under COREP), financial information (FINREP), supervisory benchmarking (SBP) and resolution planning (Resolution).
Inter-Bank Offered Rates (IBOR, of which LIBOR is one example) are being forced out due to regulatory pressure following a series of scandals. This transition will have significant ramifications as these rates are used as references in many wholesale transactions and some retail transactions. Following industry and regulatory consultations, new Risk-Free Rates (RFR) are replacing IBORs. In this publication, Avantage Reply will explore the impacts of this transition on banks.
This briefing note aims to present and analyse the key facts and main outcomes of the Supervisory Review and Evaluation Process 2018, as applicable in 2019.
This briefing note aims to present first the forthcoming ECB's supervisory stress tests, highlighting areas that banks should anticipate by the summer of 2019, especially concerning operational issues. Secondly, this paper shares a number of market practices surrounding liquidity stress test frameworks for internal management and strategic steering purposes.