Supporting daily ALM activity and reporting

SUMMARY

Avantage Reply assisted a Finance department of a well-known private bank in daily activity and reporting production of the Assets and Liabilities Management team. The key tasks were:

• Assist the team in the improvement and preparation of the Internal Liquidity Adequacy Assessment Process (ILAAP)
• Advise on the regulatory requirements and contribute to the implementation of local solutions
• Contribute to the recurrent reporting, both regulatory and liquidity management internal reports

CUSTOMER GOALS

The main goal of our client was to ensure that all regulatory requirements related to liquidity management are respected. Equally important, was the need for the related reporting to be produced in a timely manner and for liquidity risk to be adequately managed.

CHALLENGES

The key challenge encountered during the project were:

• The complexity of local and group systems, overlapping multiple projects and initiatives impacting ALM activity
• The short timeline to implement necessary improvements to the liquidity reports

SOLUTION

Avantage Reply mobilized a liquidity Subject Matter Expert to provide the necessary regulatory guideline and expertise. Typically, the following topics have been covered:

• Optimization of the ILAAP production
• Calculation and consolidation of data for the liquidity regulatory reports, e.g. LCR, NSFR
• User Acceptance Testing (UAT) as part of broader initiatives and projects impacting ALM data feed and production chain
• Contributing to daily liquidity risk monitoring and management, incl. liquidity management for more complex transactions