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Case Studies

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Case Study

Regulatory Reporting of a UK Branch, EU Bank

Avantage Reply assisted the UK branch of an EU bank who was expanding its UK activities in deposit-taking and 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.

Case Study

IRRBB – Support the transition of the IRRBB metrics computation tool and reconciliation exercise between both outcomes regarding EVE (Economics Value of Equity) and NII (Net Interest Income).

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,..)

Case Study

IFRS 9 Control Framework

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.

Case Study

Internal Audit Co-Sourcing - COREP

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.

Case Study

Internal Liquidity Adequacy Assessment Process (ILAAP)

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.

Case Study

Regulatory Reporting Remediation Program - meeting ECB and CSSF requirements

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.

Case Study

IRRBB Audit Follow-Up

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.

Case Study

Risk Analysis for the introduction of new lending products

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.

Case Study

Documenting the accounting and prudential treatment of complex transactions

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.

Case Study

Risk Database : Improvements for risk management steering

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.

Case Study

Risk Mapping

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.

Case Study

ICAAP models : Model inventory and multi-year model validation plan

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.

Case Study

EBA/ECB Stress Tests Framing : Stress tests methodologies and governance framework

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.

Case Study

Update of a recovery plan : Implementation and submission package

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.

Case Study

ECB's OSI CREDIT RISK Remediation plan design and implementation

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.

Case Study

Reshaping of the IRRBB risk measurement framework

Avantage Reply was engaged to support this client with improving its IRRBB measurement framework in line with regulatory and internal expectations.

Case Study

Internal capital adequacy; assessment process (ICAAP) Design and Implementation

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.

Case Study

Internal Stress Tests : Governance framework and P&L modeling

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.

Case Study

Leverage ratio: Budget forecast and modelling

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.

Case Study

Crisis Recovery Plan

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.

Case Study

Risk Appetite Framework Reshaping and integration into budget processing

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.