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SREP 2019

Briefing Note

SREP 2019: what can be learned regarding SREP 2018 outcomes?

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.

Liquidity Stress Test

Briefing Note

Liquidity Stress Tests: are you ready?

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.

SREP

Briefing Note

EBA’S Revised SREP Guidelines

The comprehensive common EU SREP framework was established in 2014 and has been applied in practice since 2016. Following global regulatory developments, as well as the EBA's supervisory convergence assessments, specific changes were needed to reinforce the SREP framework.

Stress tests

Briefing Note

BCBS/EBA: Latest Publications on Supervisory and Institution Stress Tests

This briefing note focuses on the key sets of guidelines on institutions' stress testing, highlighting areas that banks should carefully evaluate to address the requirements in a timely fashion considering compliance and associated operational issues.

IRRBB

Briefing Note

EBA: latest developments regarding technical aspects of IRRBB

On the 31 October 2017, the EBA published a consultation paper. The objective is to consult on the revisions in the first quarter of 2018, targeting practical implementation by the end of 2018. This publication focuses on the implications of these latest developments for banks, highlighting areas that should be evaluated when addressing the requirements, considering all compliance operational issues.

Custody banks

Briefing Note

FCA plans review of custody banks’operational resilience

On 18 April, the FCA released their 2017/18 Business Plan describing their planned work for the coming year. Amongst their priorities relating to retail customers, technology and AML was an announcement from the FCA of planned supervisory interventions in the custodian banking sector.

UK stress test

Briefing Note

The Bank of England 2017 stress test: A catalyst for more efficient stress testing

On 27 March the BoE published the scenarios for their fourth annual stress test. Clearly this is not just a routine annual process; the BES and IFRS 9 make this test more operationally challenging. This paper takes a brief look at ways banks can improve the efficiency of their stress tests in the future.

Recovery and Resolution

Briefing Note

Recovery and Resolution Frameworks for Insurers

The EIOPA issued on 2 December 2016 a discussion paper on “potential harmonisation of recovery and resolution frameworks for insurers”. The aim of this document is to focus on key aspects of the discussion paper on which EIOPA is seeking feedback from insurers.

Bank's business models

Briefing Note

Banks’ business models: Enhanced monitoring by the ECB

This Briefing Note focuses on the business model analysis, highlighting areas that banks should carefully evaluate to address the requirements in a timely fashion, considering all compliance and associated operational issues.

CRR 2/ CRD 5

Briefing Note

CRR 2/CRD 5: High-level overview of the European Commission Proposals

On 23 November 2016, the European Commission released its proposals to amend the Capital Requirements Regulation (CRR) and the fourth Capital Requirements Directive (CRD 4). This Briefing Note presents an overview of these regulatory developments highlighting areas that banks should carefully evaluate.

Stress Testing

Briefing Note

Analysis of the 2016 Bank of England stress testing results

The Bank of England has published the results of their annual concurrent stress test confirming that, in aggregate, the UK banking system is sufficiently capitalised to withstand a severe stress. However the regulator has been clear: there is more work to do for banks to have a sufficiently robust stress testing process. In this briefing, Avantage Reply provides its analysis and its perspectives on how banks can up their stress testing game.

Standardised Approach of Credit Risk

Briefing Note

The Standardised Approach for Credit Risk

The second consultative document for revisions to the Standardised Approach for Credit Risk was published in December 2015. It proposed significant revisions to the current credit risk capital framework and the first consultative document published in December 2014.

Risk & Compliance

Briefing Note

EDTF guidelines for IFRS 9 impairment-related disclosures

In 2012, the Financial Stability Board set up the Enhanced Disclosure Task Force (”EDTF”), which focused on the quality, comparability and transparency of these disclosures, particularly those flowing from IFRS 9 and US GAAP changes in Expected Credit Loss (“ECL”) approaches. In December 2015, the EDTF issued detailed guidance, including templates, for the requirements relating to changes in disclosures under the IFRS's new ECL regime. 

Risk & Compliance

Briefing Note

EBA Shadow Banking Limits - How will your firm be affected?

On the 14th of December 2015, the European Banking Authority (“EBA”) issued final guidelines for Limits on exposures to shadow banking entities, outlining how financial institutions are to manage limits on shadow banking exposures, effective from 1st January 2017.

Risk & Compliance

Briefing Note

The Leverage Ratio

'Leverage' means the relative size of an institution's assets, offbalance sheet obligations and contingent obligations to pay or to deliver or to provide collateral, including obligations from received funding, made commitments, derivatives or repurchase agreements, but excluding obligations which can only be enforced during the liquidation of an institution, compared to that institution's own funds.

IFRS 9

Briefing Note

IFRS 9 - The novel paradigm for credit loss: implementation challenges and market updates

This publication offers valuable commentary from a broad spectrum of stakeholders including the standard setter, regulators and market participants. It targets C-Level Officers through the IFRS 9 Primer section, which outlines upcoming regulatory impacts and a case study. The remainder of the paper covers more technical topics and is appropriate for Accounting and Risk management staff.

IFRS 9 - The novel paradigm for credit loss implementation challenges and market updates 0

Risk & Compliance

Briefing Note

MIFID II ESMA RTS Analysis

This document provides an overview of the main changes between the technical standards (RTS and ITS) for MIFID II and the final Draft Technical Standards from ESMA.

Risk & Compliance

Briefing Note

FRTB: an Industry perspective on the IT changes needed

With the Fundamental Review of the Trading Book (FRTB) nearing completion, the industry’s attention will move from assessing the impact to implementing the requirements. Given the magnitude of the changes required, this move will create many interesting challenges for banks. One of these challenges will be the adaptation of their IT systems to comply with the new requirements.

Risk & Compliance

Briefing Note

Securitisation at a crossroad? Major recast of the regulatory framework

In September 2015, the European Commission released the Securitisation Initiative. On one hand, it establishes a common framework for all regulated financial institutions in Europe and defines the concept of a simple, transparent and standardised, or STS, securitisation. On the other hand, it implements in Europe the Basel III securitisation framework – finalized by the Basel Committee in December 2014 – but with a twist as STS securitisations qualify for a preferential treatment in the form of reduced capital charges.

Risk & Compliance

Briefing Note

Shadow Banking Entity Exposure Limits: EBA Guidelines

The EBA published a consultation paper on shadow banking entity exposure limits on 19 March 2015. The EBA intends to finalise its guidelines by the end of 2015. It defines “shadow banking entities” as those that carry out credit intermediation activities (bank-like activities involving maturity transformation, liquidity transformation, leverage, credit risk transfer or similar activities) and are not defined excluded undertakings.

Practice note

Briefing Note

Fundamental Review of the Trading Book: Internal Models

The Basel Committee on Banking Supervision’s (“BCBS’s”) second full consultative document on the fundamental review of the trading book (“FRTB”) , supplemented by a third paper in December 2014 covering outstanding issues , sets out significant revisions to the market risk capital requirements framework. Key areas include moving from Value at Risk (“VaR”) to Expected Shortfall (“ES”), varying liquidity horizons, the trading book/banking book boundary, the treatment of credit, hedging and diversification, and the relationship between the internal models-based and standardised approaches. The FRTB document succeeded the Committee’s initial consultation from the previous year. Its proposed revisions are part of a broader reform agenda in response to the material weaknesses exposed in the financial crisis, and they incorporate the lessons learned from recent investigations into the variability of market Risk-Weighted Assets (“RWA”). This note reviews the FRTB changes to internal models-based market risk approaches – Expected Shortfall, confidence level, liquidity horizons, stressed ES, migration risk and backtesting -- assessing their implications for firms and capital requirements.