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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
In anticipation of the coming supervisory stress tests exercise, the client requested Avantage Reply to conduct a pre-framing work on the key methodologies but also to propose a target governance framework.
In order to complete the annual update of the recovery plan, the client has requested Avantage Reply to lead and steer the overall process to adress ECB recommendations and refresh the bank’s recovery scenarios, indicators and options.
In order to actively work on the remediation of ECB recommendations resulting from an OSI on Credit risk management, the client has requested Avantage Reply to set up an independant analysis of all the recommendations, to define a remediation action plan and to steer and follow its implementation.
Avantage Reply was engaged to support this client with improving its IRRBB measurement framework in line with regulatory and internal expectations.
Through an extensive experience in SSM ECB SREP, Avantage Reply was engaged to lead and design the first ICAAP framework and its key components. It was mandated to define and implement the governance framework but also to provide subject matter support on risk models and capital management issues.
In line whit the annual internal stress test exercice, the client requested Avantage Reply to provide subjet matter expert to model P&L components and ensure the proper implementation and steering of the governance framework.
The client was seeking to develop a projected leverage ratio in line with budget assumptions and forecasts in order to strenghten its capital management steering. Avantage Reply assisted the client to design and implement a simple model and associated tool to project the Leverage ratio under different scenarios.
In order to exercise the annual update of the Crisis Recovery Plan of the subsidiary of a large French bank and improve the coherence with the Group’s guide, the client has requested Avantage Reply to update and reinforce their Crisis Recovery Plan report with the focus on the Governance, Business activity analysis, the coherence with Contingency funding plan and the Group’s guide.
As part of the annual review of the Risk Appetite Framework, the clients decided to reshape and redesign its framework to better integrate it with other internal processes such as the strategic plan, the budget process and the ICAAP.
The bank needs the assistance to Luxembourg Regulatory Reporting team in reviewing the statistical reporting procedures, namely S-b-S (Titre Par Titre), SEPA (PS), BOP (Balance of payment) and BoP statec, and training the new resources arriving from a newly acquired company on these reports.
Avantage Reply was requested to assist the client in reviewing and strengthening the IRRBB framework in terms of both methodological support and operational process efficiency to comply with the Group’s standards in the computation of NPVaR and NIIaR metrics.