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 - [...]
Central banks and supervisory authorities are calling for sustainability risks to be taken into account in banks‘ risk management and in monitoring financial market stability. This means that banks are required to systematically take ESG (Environment / Social / Governance) risks into account when aligning their business models in their organizational structures, as well [...]
We now have a special issue for you: This booklet with 8 of the most important interest risk strategies A link to the i28 Interest Risk Simulation in order to apply ALM interest risk strategies in practice An "i28 Proof of Achievement" at the end of the i28 Tutorial to prove your strategy knowledge [...]
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. [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
