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 [...]
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 [...]
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 [...]
Today we are presenting the standard approach for the calculation of the credit spread risk within the ICAAP. It is derived from the BIS standards for the measurements of market risks in the trading book. Please let us know whether the results of the example porfolio within this paper meet your observations in practise. [...]
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 [...]
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 [...]
In recent years regulatory requirements regarding risk measurement approaches have been tightened in almost all risk categories. Interest rate risks within the banking book, however, remained untouched until now. In order to make interest risk in the banking book more transparent and internationally comparable, EBA has published the “Guidelines on the management of Interest [...]
What does “Fully Loaded” mean in the context of the continually increasing capital requirements for the individual bank? This question has to be clarified by the bank management taking into account all currently known and expected regulations. The task of ALM – the overall bank management – will be to steer the bank consistently [...]
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 [...]
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 [...]
