Topic 25 | How much are the calculated NSFR costs?

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

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

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

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

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

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.

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 [...]

Topic 18 | The EU-Commission’s final specification of the NSFR within the CRR

The EU-Commission published its final proposal for the implementation of the still unaddressed Basel III Net Stable Funding Ratio (NSFR) on 23rd of November 2016. Since credit institutions lack sufficient experience in NSFR-management it is of crucial importance for them to introduce a working mechanism prior to the compulsory deadline. Moreover, in contrast to the LCR [...]

Topic 17 | ALM Regulations – Basel III Implementation Status

The compliance with the Basel 3 requirements on equity, liquidity and disclosure, entering into force between 2016 and 2019, will constitute a major challenge for banks. The changing regulatory framework influences strategies for the Asset Liability Management (ALM) both directly and indirectly, which makes it essential to keep an eye on the content and [...]

Topic 16 | Impacts of IFRS 9 on the accounting of financial instruments (September 2016)

IFRS 9 results in changes for the calculation of Value Adjustments from 1st January 2018. Additionally, the Basel Committee of Banking Supervision (BCBS) has set the framework for the new standard’s implementation in the banking sector with its “Guidance on credit risk and accounting for expected losses” in December 2015. These changes will have [...]