Topic 28 | LIBOR Transition – The Current Picture (August 2022)

The manipulation of reference interest rates, including LIBOR and EURIBOR, which was uncovered in 2011, served as motivation for IOSCO (International Organisation of Securities Commissions) to initiate a reform of benchmarks. In 2016, the European Union subsequently adopted the Benchmark Regulation (BMR). Critical benchmarks had to be replaced by the end of 2021 - [...]

Topic 25 | How much are the calculated NSFR costs? (July 2020)

In CRR II, the Commission is making the specification of the requirements for the NSFR. After the proposal was approved by the Council on June 7th, 2019 (EU 2019/876) and the new provisions become mandatory two years after its adoption, the standard will be mandatory for banks to report and comply with from July 2021. [...]

Topic 24 | Interest risk impact of optionalities in the banking book (November 2019)

On 19 July 2018, the EBA adopted its final guidelines on minimum interest rate risk management standards in the banking book („Guidelines for the Management of Interest Rate Risk arising from non-trading book positions“ EBA/GL/2018/2). In this article we want to focus on the impact of interest options and the methods for taking into [...]

Topic 23 | Requirements for IRRBB implementation 2019 (June 2019)

On 19 July 2018, the EBA adopted its final guidelines on minimum standards for interest rate risk management published in the banking book („Guidelines for the Management of Interest Rate Risk arising from non-trading book positions“ EBA/GL/2018/2). In this article, we will try to give an overview of the requirements that the IRRBB implementation [...]

Topic 22 | Earnings Impact from Interest Risk Management (November 2018)

Interest rate risk management in Asset Liability Management / ALM – is it worth the effort? Does the interest rate risk have a significant effect on the bank‘s earnings? The supervisor says YES – intensifies the regulations and warns against rising interest rates. We also say YES – because every risk has also a [...]

Topic 21 | ICAAP 2018: Bank Management under future stress conditions (May 2018)

The ECB has published its ICAAP consultation guide and urges for implementation: the guide will be finalized in the second half of 2018 and enforced in 2019 already as the basis of the banks’ SREP assessment. Thus, the banks must implement it in 2018. This also means the consideration of future legal projects within the [...]

Topic 20 | Own funds planning under MREL/TLAC (December 2017)

In order to increase security in equity and debt capital planning, the banking sector has been waiting for a long time for concrete implementation proposals for the MREL specifications. As usual, Basel (here with the corresponding TLAC specifications) sets the direction. In May 2016 the EU Regulation EU 2016/1450 sets the framewor for the [...]

Topic 19 | CRR2 – The end of funds in the banking book (June 2017)

Once the CRR2 regulations are enforced, banks will have to realign their investment in funds completely. Reasons are the new capital adequacy rules for funds (Article 132 CRR2) and the new regulation for the separation of the banking and trading book (Article 104 CRR2). The Regulation follows two principles: individual exposures must be identifiable (Look [...]