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Total loss-absorbing capacity and minimum requirement for own funds and eligible liabilities: Impact of bail-in rules on balance sheet management and funding
Journal of Risk Management in Financial Institutions,
13
(1),
81-96
(2019)
Abstract
This paper looks at the impact of the new resolution regime, especially the bail-in tools, on balance sheet management and the implications for internal liquidity risk management as well as funding. Minimum Requirement for own funds and Eligible Liabilities (MREL) and total loss-absorbing capacity (TLAC) should be key indicators for total bank management. Due to costintensity, the paper advises optimising the balance sheet structure and the resolution strategy. A prudent funding strategy has to find a balance between the firm-specific funding capacity, continuous market access and limiting costs. The paper also looks at an efficient way to allocate the specific costs within the bank.
Keywords: recovery; resolution (tools/strategy); bail-in; bail-out; too-big-to-fail; capital requirement; insolvency proceedings; loss-absorption; resolution authority; MREL; TLAC; internal target rate; funding strategy; risk appetite; consumption; specific funding costs
The full article is available to subscribers to the journal.
Author's Biography
Christian Hasenclever is the head of Strategic Asset and Liability Management (ALM) in the Treasury department of the German Landesbank NORD/LB. He is responsible for the funds transfer pricing (ftp) system and the strategic liquidity and funding management covering regulatory developments relating to liquidity risk and ftp. He was with Bremer Landesbank as a senior expert in Treasury before and worked at Bankgesellschaft Berlin as a senior fixed-income researcher in Capital Markets. He is a Certified International Investment Analyst (CIIA) and a graduated economist. He gives lectures at the University of Applied Sciences and Arts, Hanover, and works as instructor for the Allied European Financial Markets Association (AEFMA) on liquidity risk and regulatory topics.
Citation
Hasenclever, Christian (2019, December 1). Total loss-absorbing capacity and minimum requirement for own funds and eligible liabilities: Impact of bail-in rules on balance sheet management and funding. In the Journal of Risk Management in Financial Institutions, Volume 13, Issue 1. https://doi.org/10.69554/IEGM7518.
© Henry Stewart
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Publications LLP