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The recently adopted EU Banking Package 2021, including CRR3 and CRD6, marks a significant shift in regulatory requirements for supervisory reporting and Pillar 3 disclosures. As the implementation date approaches, it is essential for financial institutions to stay ahead of the curve.
Tag Archive for: Banking
Biodiversity is becoming an increasing point of discussion in financial organizations. The signal to get started is becoming increasingly clear. But what does the supervisor think, and what can you pay attention to as a bank?
The recently adopted EU Banking Package 2021, including CRR3 and CRD6, marks a significant shift in regulatory requirements for supervisory reporting and Pillar 3 disclosures. As the implementation date approaches, it is essential for financial institutions to stay ahead of the curve.
The EBA has published its roadmap for implementing the EU banking package (CRR3/CRD6), which encompasses around 140 regulatory products related to credit risk, operational risk, market risk, supervisory reporting, and Pillar 3 disclosure, among others. Learn more about the changes.
The end of the recent period of interest rate volatility begs the question: are Solvency II shocks still adequate?
By the end of this month banks need to have implemented Credit Spread Risk in the Banking Book. We notice that many banks are still developing methods to measure CSRBB amidst limited regulatory guidance. To validate or challenge your internal discussions, our colleague Maurits van den Oever has investigated a simple and intuitive method to quantify systemic credit spread shocks. He calculates shocks for government bonds with different ratings and maturities which can be easily implemented in your IRRBB framework. Interested in further expanding your CSRBB framework in 2024? Then don’t hesitate to get in touch with our IRRBB lead Corné Ruwaard to exchange thoughts.
Assessing Solvency II interest rate shocks in various interest rate environments using Hull-White, Nelson-Siegel, and PCA for comparison.
Gerd-Jan van Wiggen’s column in the Financial Investigator is about The EU Taxonomy Regulation and highlights banks’ exposure, trading books, and green missions.
Svetlana Borovkova’s column in the Financial Investigator is about climate risk assessment for NGFS and portfolio climate risk.
In the Financial Investigator, Koen van Ederen’s column about equity in times of increasing interest, the ECB’s instrument. Our study on the Empirical Duration tells us what the sensitivity of equity is to interest rate fluctuations.