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Case Studies

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Case Study

Credit Risk Integration

The client recently purchased an international banking conglomerate and was facing challenges in migrating the credit risk of the acquired trading and banking books into its own systems. Avantage Reply provided leadership and technical expertise to develop pragmatic solutions during the complex change process.

Case Study

End to end evaluation of the collateral management process

The client required a full review of collateral management functions to be performed for the purpose of achieving the required standards to meet AIRB status and industry best practice. Avantage Reply carried out the review by utilising a pragmatic approach to identify gaps and make recommendations, and was subsequently requested by the client to work on the implementation and change phases.

Case Study

Global Restructuring Group Integration

The client had recently inherited a large credit portfolio from the acquisition of another banking institution. Avantage Reply overcame the initial hurdles identified by the client to provide a pragmatic tactical solution to integrate the new credit portfolio in line with regulatory requirements while accelerating the management of recoveries.

Case Study

Credit Risk Weighted Assets Quantitative Impact Analysis

The client decided to participate in the review of the Basel II Framework calibration via the Quantitative Impact Studies (QIS), and submit the QIS results to the local regulator. Given the presence of data quality gaps in the client’s source systems due to the fact that the Basel II platform had not yet been fully implemented, Avantage Reply was engaged to develop a temporary solution to source and enrich reliable data to be used for submitting the QIS results, involving definition of requirements, stakeholder engagement and development of assumptions.

Case Study

Credit Risk Model Waiver Application Process

The client was planning to adopt the Internal Ratings Based (IRB) approach to calculating credit risk, which required the submission of a Waiver Application to the UK regulator. Due to the complexity of the client’s IRB approach as a result of multiple information sources, contributors and complex concepts, Avantage Reply was engaged to coordinate the preparation of and review the Waiver Application. Avantage Reply worked with the client to create a waiver application pack, ensuring it was consistent in format and content, it was representative of the actualities of the client, and gaps with regulatory requirements were identified.

Case Study

Basel II Reference Data Solutions

The client lacked the level of data quality required to satisfy the Basel II Accord’s new standards for banks’ information systems. Avantage Reply was engaged to assist with the development and implementation of a reference data strategy to improve the standard of data quality and bring order to the seemingly infinite stores of disparate data and applications. These aims were achieved by developing a clear definition of reference data, organising a data cleansing programme, and developing a new governance and operating model supporting the full data management lifecycle.

Case Study

Basel II, Pillar 1 Reporting Analysis

The client was experiencing difficulties with providing timely analysis and reporting to satisfy the requirements of Pillar 1 of the Basel II Accord, specifically in the area of collateral management. Avantage Reply was engaged to facilitate improvements in the speed and accuracy of Basel II reporting, with the aim of allowing reporting & collateral management teams to move steadily from “fire control” to more strategic planning and development of new processes and systems. Steps were taken also to ensure underlying data quality issues were resolved.

Case Study

Basel III: Policy setting for capital requirements (CRD IV)

Employing an Avantage Reply subject matter expert with project and process management skills helped a Dutch international bank to understand and implement the new CRD IV capital requirements.

Case Study

Intra-group Liquidity Capacity Assessment

The client was considering applying for intra-group liquidity modifications from the FSA requirement for UK-based subsidiaries to be self-sufficient for liquidity purposes. Avantage Reply was engaged to evaluate the merits and feasibility of applying for such a modification, by assessing the liquidity capacity of UK-based subsidiaries and evaluating reporting advantages.

Case Study

Basel II Credit Risk Mitigation Policy

The client initiated a Basel II Credit Risk Mitigation (CRM) Policy project to ensure business processes and capital calculation processes for risk mitigation techniques were covered in a new policy which was compliant with the UK interpretation of Basel II. Avantage Reply was engaged to create the CRM Policy and a framework for its implementation and ongoing maintenance. The CRM Policy document was formally agreed by the relevant business stakeholders and approval was received by the FSA to use the CRM in the client’s loss given default estimates, which led to a significant capital reduction.

Case Study

Regulatory Requirements for Asset Securitisation

The client is a leading participant in the asset securitisation market. To be compliant with Basel II regulatory capital requirements, new enrichment data, calculations, systems, processes and reporting needed to be implemented. Avantage Reply was asked to manage the asset securitisation project for the European Business Unit, and to transition reporting into Product Control in the UK.

Case Study

Review of foreign exchange risk management capability

The client maintains a single currency ledger which does not capture the distinction between realised and unrealised exchange differences arising from non-functional currency transactions, resulting in an inability to manage FX rate risk. Avantage Reply was engaged to specify and report on the appropriate data capture systems and exposure management engine required to identify and quantify all FX transactional exposures. This report would form the basis for a functional specification used by IT to develop the appropriate systems and processes required to implement an effective FX risk management policy.

Case Study

Integration project: Investment funds

Significant data quality issues were being experienced by the client prior to the planned integration of risk exposures of investment funds required from the client’s merger with another large financial institution. Avantage Reply was engaged to support a multidisciplinary task force in providing pragmatic solutions to achieve effective integration while protecting the client’s relationship with fund managers.

Case Study

Carve out of banking assets for disposal – Phase 2

A top UK high street bank engaged Avantage Reply to advise and execute on the risk management aspects of a sale of a large customer portfolio which included an extensive branch network and commercial banking centres. Avantage Reply assisted with creation and operationalization of a new, distinct business entity whilst at the same time preparing the new business for legal closure.

Case Study

Model Development and Validation Governance and Standards

The client initiated a project to define and implement a governance framework for model development and validation, to be applied to credit risk models of its wholesale business. Avantage Reply was engaged by the client to assist with developing the governance framework in the form of a reference handbook of standards to be utilised by stakeholders of the four main stages of the standard model lifecycle; i.e. origination, development, deployment and review. The new framework provided benefits consisting of improved objectivity, consistency, control and transparency throughout the model lifecycle.

Case Study

Support to Compliance Function

In the context of the extension of its activities and the integration of recently acquired businesses, the Luxembourg subsidiary of an international banking group sought to identify relevant risk, treasury and capital management regulatory requirements, and to assess whether its current operating model and capabilities were adequate. Avantage Reply supported the client’s Compliance Function by undertaking a review of existing requirements, developing a user-friendly tool, and providing training sessions.

Case Study

Pre-Arrow visit Preparation and Support

The UK incorporated entity of a leading global investment firm sought to prepare for its forthcoming FSA Arrow review, following previous reviews where the regulator identified it as falling short of its peers. Avantage Reply worked closely with the client’s Risk and Compliance Departments to fully prepare and support senior management before and during the Arrow visit, which concluded with a positive outcome.

Case Study

Intra-group and Whole-firm Liquidity Application

A leading financial services institution, with a number of branches and subsidiaries in the United Kingdom, sought to evaluate the benefits and feasibility of applying for a whole-firm liquidity modification and intra-group liquidity modifications, and to draft the applications. Avantage Reply was appointed to the client’s “Liquidity Project Steering Committee”, evaluated the merits of applying for a modification, and assisted in drafting the applications which were successfully submitted to the FSA.

Case Study

Establishment of a Global Treasury function following an acquisition

A leading custodian bank was establishing a full service Global Treasury in Europe as a platform for growth following a recent acquisition, and sought to build a robust infrastructure in a compressed timescale. Avantage Reply worked closely with the Head of Regulatory Reporting to deliver the FRS reporting solution for the expanded Treasury functions.

Case Study

Implementation of EMIR and CRD IV Counterparty Credit Risk Capital Requirements

Avantage Reply evaluated the impact of EMIR and MiFID 2/MiFIR, and identified the ‘touching points’ between CRD IV, EMIR and MiFID, focussing on the front to back infrastructure implications as well as the risk and reporting implications. Avantage Reply delivered solutions that enabled the businesses to continue to maintain their operating model and service offerings, providing recommendations on how the potential impact of the regulations could be minimised. We further assessed the merits of alternatives or amendments to the existing businesses and/or operating models.

Case Study

Implementation of Dodd-Frank and EMIR within an Investment Bank

The client was seeking to develop and support the Wholesale Regulatory Function. The objectives of the new function consisted of the capture of regulatory change implications. Avantage Reply worked with the businesses across front, middle and back offices to elicit support and agree an operating model and governance structure for creating the appropriate framework for the function.