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Implementing Prudent Valuation

Case Study

Article 105(14) of the Capital Requirements Regulation, and the accompanying Regulatory Technical Standards (RTS) issued by the European Banking Authority in March 2014, aim to reduce the valuation uncertainty inherent within IFRS by introducing ‘prudent valuation’ standards for financial instruments that are classified as ‘fair value’ under IFRS. Avantage Reply supported the client, a major international Dutch bank, with its approach to fully align existing fair value adjustments under IFRS with the new prudent valuation standards. Deliverables included a central policy framework and the application package for the Dutch and European supervisors. By replacing, aligning and centralising policies, methodologies, and calculation and booking processes, which previously were different across banking and trading books, countries, businesses and entities, and by introducing an overarching governance process, the valuation framework of the client was simplified and made more transparent and resilient, both in tems of robustness of processes and in oversight.

Preparation of a Recovery Plan

Best Practice

Avantage Reply assisted a non-significant Private Bank based in Luxembourg in preparing its first Recovery Plan in the required time and in line with the EBA Technical Standards and Guidelines. The project included the development of all of the components of the Recovery Plan and enhancement of the client’s risk management framework. Avantage Reply leveraged its experience in the preparation of Recovery Plans, providing expertise both on- and off-site.

European Central Bank Data Collection

Case Study

Avantage Reply was engaged by the client to enable it to discharge its regulatory reporting obligations under the STE (Short Term Exercise) conducted by the ECB under the Single Supervisory Mechanism.

Solvent Wind-down and Portfolio-wide Stress Testing Data Submissions

Case Study

As part of the regulatory requirements for ongoing recovery and resolution planning firms must be able to demonstrate the ability to wind down their trading books in an orderly manner. The firm was requested by the FHC and PRA to undertake an analysis to determine the extent to which the trading book could be wound down prior to resolution and to produce a credible and detailed solvent wind down (“SWD”). Avantage Reply was engaged to support the execution of PRA and FHC capital projections over the wind-down horizon taking into account model sensitivity and back-test assumptions. The project included counterparty exposure modelling (EE, EEPE etc) for traded products, credit migration and stress testing analyses. The analysis also included a deep-dive on discounted cash flows and netting sets for all traded products.

Supporting Firm Data Submission Framework (FDSF) Solution

Case Study

Avantage Reply was engaged to help the client to run a tactical process to support FDSF submission whilst strategic platform was designed and built.