Regulators’ remorse
SVB and the case for
IRRBB capital charges
There is nothing new about the dynamics behind the asset-liability management (ALM) banking crisis of earlier this year: maturity transformation, liquidity risk and interest rate risk are at the heart of the traditional banking business model. But these old threats have been given new life by a shifting regulatory environment, a transatlantic gulf in how rules are applied, changing behaviour of depositors and the historic speed of interest rate hikes.
Over the past decade, regulators have introduced stress tests, liquidity and funding standards and overhauled rules on interest rate risk in the banking book. But they haven’t yet been implemented fully, or equally, from one jurisdiction to another. Regulatory changes are probably inevitable after the crisis, but there are different opinions on whether liquidity ratios need significant recalibrations.
The rate-hiking cycle has been seen as a boon for many banks, pushing up net interest income. But it has also made it more difficult to retain some depositors and has hit the value of bond portfolios. The crisis is likely to result in an overhaul of some ALM practices. Liquidity modellers indicate that banks will need to review their deposit modelling assumptions and change them to reflect shifts in balance behaviour. ALM strategies should be reviewed frequently and adjusted to the changing environment. Held-to-maturity is not the wrong approach in the accounting treatment of securities, but banks should consider the liquidity management perspective when deciding how to classify them.
Asset-liability
management
Special report 2023
How small and medium-sized banks can enhance deposits modelling frameworks
Recent events have called into question the reliability of deposits as a primary source of funding for small and medium-sized banks. Stickiness of deposits that generations of bankers had counted on suddenly seemed ephemeral
Sponsored feature
Basel IRRBB
rules
ALM banking practices for
a new era in liquidity risk
ALM banking
after the crisis
Stress-testing for
more robust liquidity management practices
Sponsored Q&A
For enquires and information regarding Risk.net special reports, contact:
Antony Chambers
Publisher
+44 (0)20 7316 9683
antony.chambers@infopro-digital.com
Asset-liability
management
Silicon Valley Bank suffered fastest bank run
in history, but how should others respond?
Risk modellers navigate fearful
new world of depositor behaviour
Depositor behaviour models
European regulator asks for data on the fair
value and sensitivity of bonds and their hedges
After SVB downfall, EBA stress
test seeks out unrealised losses
EBA
stress tests
Sponsored
feature
A panel of industry experts discusses a new age of depositor behaviour and the expected evolution of regulations in the wake of the ALM banking crisis. They share insights on achieving integrated approaches to ALM, as well as dynamic hedging strategies in the current high interest rate environment and best practice in accounting classification of securities in light of SVB’s collapse
ALM banking after the crisis
Stress-testing for more robust
liquidity management practices
Sponsored
Q&A
Silicon Valley Bank suffered fastest bank run in history, but how should others respond?
Risk modellers navigate fearful
new world of depositor behaviour
Depositor behaviour models
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
After SVB downfall, EBA stress
test seeks out unrealised losses
EBA stress
tests
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters
Did US hedge accounting rules contribute to SVB’s recklessness?
US accounting rules
A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible
Europe’s new IRRBB test
The riddle with no answer
EBA IRRBB
test
A panel of industry experts discusses a new age of depositor behaviour and the expected evolution of regulations in the wake of the ALM banking crisis. They share insights on achieving integrated approaches to ALM, as well as dynamic hedging strategies in the current high interest rate environment and best practice in accounting classification of securities in light of SVB’s collapse
ALM banking after the crisis
Stress-testing for more robust
liquidity management practices
Risk modellers navigate fearful new world of depositor behaviour
Depositor behaviour models
After SVB downfall, EBA stress test seeks out
unrealised losses
EBA stress
tests
Did US hedge accounting rules contribute to SVB’s recklessness?
US accounting rules
Europe’s new IRRBB test: the riddle with no answer
EBA IRRBB test
For enquires and information regarding Risk.net special reports, contact:
Antony Chambers
Publisher
+44 (0)20 7316 9683
antony.chambers@infopro-digital.com
Special report 2023
Special report 2023
Basel Committee on Banking Supervision chair among those who say Pillar 1 capital requirement could have helped control Silicon Valley Bank's risks
Regulators’ remorse
SVB and the case for IRRBB capital charges
Basel IRRBB
rules
Basel Committee chair among those who say Pillar 1 capital requirement could have helped control SVB risks
Regulators’ remorse
SVB and the case for
IRRBB capital charges
Basel IRRBB
rules
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters
Did US hedge accounting rules contribute to SVB’s recklessness?
US accounting rules
A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible
Europe’s new IRRBB test
The riddle with no answer
EBA IRRBB
test