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.
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.
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.
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.
Avantage Reply assisted a local universal bank with the effective implementation of data governance capabilities. As part of a broader initiative to ensure the bank’s compliance with BCBS 239 principles, our client needed to document the key source data related to credit risk and ALM calculation tools. Additionally, there was a need to define, implement and run processes allowing remediation of data quality-related issues.
Avantage Reply was tasked by a leading Wealth and Fund Management Bank to review and remediate the existing customer base KYC information, specifically for AML/CTF requirements. This task was required on the one hand due to changing regulatory requirements, on the other hand, because of the effect caused by Brexit on the customer’s UK branch.
The client, a crypto-currency exchange, has requested Avantage Reply to assist with an ongoing project around fraud risk. As the regulation around virtual asset service providers is not yet mature, the measurement of new and non-traditional operational risks is not an easy exercise. In fact, several players in the industry have recently found themselves being vehicles for the continuation of various financial crimes, including fraud. In the client landscape, scammers and individuals with malicious intentions have exploited the weaknesses of decentralized finance (DeFi) and have misappropriated even millions of dollars from their victims through first party or third party external fraud.
Avantage Reply assisted a European Institution in implementing its own version of Credit Risk models and migrating from Moody’s RAY to a Java-based solution implementation. The institution needed Avantage Reply support to ensure smooth communication between the business and the developers and to ensure the correct migration and implementation of the new models. All the process required completed documentation.
Avantage Reply has assisted a Private Banking group in the Eurozone in their embedment of Internal Capital Adequacy Assessment Process (ICAAP) & Liquidity Adequacy Assessment Process (ILAAP) exercise, s.c. ICLAAP.
Following the recommendation of the European Central Bank (ECB), bank’s current practice of ICLAAP had to be reviewed and challenged. The results of the review have been presented to the Management Body. In particular, identified gaps and attention points with respective actions to improve the way ICAAP and ILAAP are conducted. The analysis has been enriched with market best practices observed among various financial institutions in the Eurozone.
For a Top Tier Bank within its Data Quality Management (DQM) Department responsible for ensuring delivery of top quality reports to national and international regulators, the functional analyst joined the Agile team in charge of the liquidity-reporting tool: Moody's analytics liquidity solution.
The client is an insurance company where a team of insurance industry veterans who understand the challenges of MGAs and PA. Their goal is the implement and develop their business plan/action (already developed in Malta and in other countries) in the heart of Europe and other countries. We did support them in their policies, in their Third-Party Risk management (“TPRM”), in the completion of their risk register, in the support and control on the Risk Appetite Statement, in the completion of the Key Risk Indicators & metrics documents and in the support & control of the Own Risk and Solvency Assessment (“ORSA”) report.
Our client, one of the most important Belgian retail bank, has requested the help of Avantage Reply for the constitution of a special task force in the field of AML-CFT (anti-money laundering and countering the financing of terrorism (AML-CFT).
Our client is the IT department of a European retail bank and insurance company. They require future-proof financial reporting available to managerial levels of their organisation. To achieve these ambitions, we defined a new reporting framework together with our client, and implemented the necessary tools and processes on that foundation. It has led to a considerable reduced workload in the preparation of reports, freeing up time for value-added activities, increased flexibility in reporting as to gain more insights, and further autonomy for end-users.
Our client, an important Belgian retail bank, has requested the help of Avantage Reply for the support of its second line of defense team in the field of AML-CFT (anti-money laundering and countering the financing of terrorism).
The project was performed for an insurance company acting in the non-life insurance market. As the company grew fast, they required support within the risk and compliance departments, to establish the risk and control register, to elaborate policies and procedures and to work on the due diligence process.
The client required support for different projects including those related to the National and the European regulators’ supervision. In particular, support was provided for researches about the Climate related Risks which is a recent topic covered by regulators. To achieve this objective, a daily ongoing support was performed and an in-depth researches on the Climate related Risk with a Regulatory Monitoring was provided.
The client, a banking institution specialised in financing companies, requested Avantage Reply’s assistance to prepare and provide recommendations for the ICAAP and ILAAP reports, and then based on the recommendations, align the reports with the regulatory requirements.
Avantage Reply supported a large European bank with the submission of the 2020 ECB Stress Test exercise. The bank was looking for the assistance in implementing the new stress test methodology, completing all stress test templates, developing the explanatory notes and performing all necessary corrections during the ECB submission period.
Avantage Reply supported the client through the 2020 ECB Stress Test as well as the 2021 post-COVID relaunch of the ECB Stress Test exercise. In addition, Avantage Reply carried out all project management activities during this project.
The client wished to perform an enhanced gap-analysis of the organisation’s current ILAAP framework against the ECB and EBA guidelines as well as to use this information to design and implement an ILAAP Handbook/Framework document covering all in-scope entities. The final deliverable also included a detailed remediation roadmap, which helped the client and its entities to remediate and align their ILAAP processes across the Group in line with the regulatory and supervisory requirements.
The client has asked Avantage Reply to support one of its subsidiaries in the group-wide LIBOR transition program. The goal of the project was to move the bank from a high dependency on the LIBOR reference rates to the Alternative Reference Rates (ARR), as defined by the different Working Groups in their respective currencies.
The project focused around the full review of the credit rating methodologies for non-financial counterparties, specifically models for sovereigns, corporates, funds and asset managers. The objective of the project was to test and document the credit rating methodologies to meet regulatory requirements and start the model validation process. Avantage Reply started the review with a pre-assessment of the rating model based on the best practices in order to identify the models’ gaps in different areas.
The client requested Avantage Reply’s assistance with the review and validation of their monitoring tool (i.e. Monitoring Scorecard). This tool aimed to standardise, centralise and implement a common control mechanism to the monitoring activities related to the general mandate universe. In the course of the project, Avantage Reply applied its expertise in model validation and worked in close liaison with the team who developed the monitoring tool in order to ensure the comprehensiveness of the tool validation and to analyse a possible extension of the application of this tool to other mandates.
A UK challenger bank, providing a range of services to both individuals and business clients, engaged Avantage Reply to assist with the preparation for the Recovery Plan Fire Drill exercise, in line with the Prudential Regulation Authority’s (PRA) expectations and to provide independent feedback on the exercise conducted.
Avantage Reply supported a UK subsidiary of an Asian G-SIB that provides services to both retail and corporate customers to ensure all of its financial risks associated with climate change are identified and managed appropriately across its businesses.
Avantage Reply assisted a UK subsidiary of an Asian G-SIB with an independent review of its stress-testing methodology for financial risks arising from climate change.
A leading trade association for the UK banking and financial services sector was looking to respond to one of the UK government bodies’ call for evidence on regulatory coordination in respect of recommendations for improving Cost/Benefit Analysis (CBA) by financial-services regulators in the UK. Avantage Reply was able to finalise the policy paper for the client to successfully submit their response to the UK regulator within the required timeframe.
Avantage Reply assisted a UK asset manager that provides services to both retail and institutional clients, in ensuring its operational risk framework and stress testing approach meet the regulatory requirements and are aligned with the industry best practice.
The ECB banking supervision is based on the same rules as local supervision (single rulebook), public information on the differences between both is not commonly available. While there are differences, these are on a practical level and only known to experts with insights on both locally and directly supervised banks. Avantage Reply prepared a review of these differences and the gaps of the client to these the previous year. The client wanted to have an update on these recommendations based on the progress that was made during the year, also with regard to the updated timeline to ECB supervision. To address these topics, Avantage Reply organised workshops with its subject matter experts and the client and reviewed the relevant documents provided by the client.
Avantage Reply assisted a client that was reviewing a potential transaction as part of a strategy to take on selected exposures to second charge mortgages and efficiently deploy its capital resources. As part of its broader review, the client asked Avantage Reply to review their internal materials, identify relevant considerations (primarily from a capital and liquidity perspective) and provide an evaluation of the proposed structure of the transaction.
An EU bank had established a UK subsidiary to continue the activities of their currently passported branch after Brexit. The goal of the project was to assist the client with developing documentation that aligned with internal expectations and regulatory requirements in the UK.
Avantage Reply reviewed the risk management framework documentation for the subsidiary and four key documents for the subsidiary in the UK based on FCA regulation.
Avantage Reply assisted the
UK branch of an
EU bank who was expanding its UK activities in
commercial mortgages. The goal of the project was to assist the client with its regulatory reporting and compliance in the UK.
Avantage Reply reviewed the reporting requirements for the branch and developed a comprehensive suite of all reports that branches in the UK need to review and assess.
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,..)
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.
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.
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.