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White paper ‘The curse of the UFR-drag’

Roll risk management for pension funds

22 Oct 2020
Lennard Beijering and Bart van der Pijl

balance sheet management financial institutions risk advisory asset managers risk management

For the valuation of pension liabilities, pension funds in the Netherlands use the so-called interest rate term structure (IRTS) with the ultimate forward rate (UFR) curve. This curve basically allows pension funds to apply a higher rate to value their liabilities – the UFR is currently at 1.9% – than interest rates observed in financial markets. Now pension funds are suffering from the so-called UFR-drag.

Structural Foreign Exchange Risk in practice

Managing Capital Adequacy ratios through an open Foreign Exchange position

23 Sep 2020
Erik Vijlbrief

financial institutions fx risk risk advisory banks risk management

Since the introduction of the Pillar 1 capital charge for market risk, banks must hold capital for Foreign Exchange (FX) risk, irrespective of whether the open FX position was held on the trading or the banking book. An exception was made for Structural Foreign Exchange Positions, where supervisory authorities were free to allow banks to maintain an open FX position to protect their capital adequacy ratio in this way.

The curse of the UFR-drag

Roll risk management for pension funds

20 Aug 2020
Bart van der Pijl and Lennard Beijering

asset management financial institutions insurers risk advisory insurers risk management

For the valuation of pension liabilities, pension funds in the Netherlands use the so-called interest rate term structure (IRTS) with the ultimate forward rate (UFR). This curve basically allows pension funds to apply a higher rate to value their liabilities – the UFR is currently at 1.9% – than interest rates observed in financial markets. Now pension funds are suffering from the so-called UFR-drag.

Fallback provisions as safety net

IBOR Reform in Switzerland, Part IV

10 Aug 2020
Martijn Wycisk and Davide Mastromarco

financial institutions ibor model validation risk advisory banks risk advisory insurers risk management saron reform valuation desk

The Swiss Average Rate Overnight (SARON) is expected to replace CHF LIBOR by the end of 2021. The transition to this new reference rate includes debates concerning the alternative methodologies for compounding SARON. This article addresses the challenges associated with the fallback provisions.

Compounded SARON and Swiss Market Development

IBOR Reform in Switzerland, Part III

10 Jul 2020
Davide Mastromarco and Martijn Wycisk

financial institutions ibor model validation risk advisory banks risk advisory insurers risk management saron reform valuation desk

The Swiss Average Rate Overnight (SARON) is expected to replace CHF LIBOR by the end of 2021. The transition to this new reference rate includes debates concerning the alternative methodologies for compounding SARON. This article aims to provide the latest updates on the Swiss National Working Group’s (NWG) view and latest market development on compounded SARON.

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White paper ‘The curse of the UFR-drag’

Roll risk management for pension funds

Structural Foreign Exchange Risk in practice

Managing Capital Adequacy ratios through an open Foreign Exchange position

The curse of the UFR-drag

Roll risk management for pension funds

Fallback provisions as safety net

IBOR Reform in Switzerland, Part IV

Compounded SARON and Swiss Market Development

IBOR Reform in Switzerland, Part III

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