ALM Forum

Topic 17 | ALM Regulations – Basel III Implementation Status (January 2017)

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 [...]

Topic 14 | Consequences of the BIS Standards „Minimum Capital Requirements for Market Risk“ for Asset Liability Management (March 2016)

In January 2016 the BIS published its final standards for the new capital requirements regarding market risk in the trading book. The new allocation criteria for trading and banking book positions can lead to an increased trading book. Additional pressure arises to book hedging positions under the IFRS Hedge Accounting standards. A new standard [...]

Topic 13 | The Organisation of ALM / Total Bank Management (TBM) (December 2015)

When managing the banking book, the committee structure represents the usual form of implementation regarding the organisational structure. An essential decision authority goes along with the committees, which has to be clearly structured. Considering Asset-Liability-Management and Total Bank Management as individual entities is a crucial point in this discussion, since these terms are usually [...]

Topic 10 | Final EU – LCR provisions in the finishing straight (December 2014)

The changes in the LCR calibration impose a re-designing of the liquidity strategies in the banks. Our article concretely describes the most important changes in the final LCR regulation. Especially the calculation of the LCR Ratio has become more complex due to multiple constraints introduced. In our article we show an example of the [...]

Topic 9 | Asset encumbrance as a new challenge in ALM (October 2014)

Both the intensified use of collaterals (repos, covered bonds, ECB refinancing, margins with derivatives) as well as the priority ranking of state-guaranteed retail deposits in the new EU resolution regime lead to shrinking volumes of assets available to cover unsecured funds in case of liquidation. Therefore, banks (and the ALM) have to start to [...]

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