USD interest hedge with “CombiSwap” Initial Situation Storm clouds are brewing on the horizon of the US economy as well. The country appears to be in the final stage of the economic cycle. Thus, for short and medi…
IBOR Transition Aufgrund der hohen Nachfrage und dem positiven Feedback zu unseren bisherigen IBOR Transition Seminaren, findet ein weiterer Termin am 23. Mai 2019 statt. Melden Sie sich jetzt an und tauchen Sie tief in…
(Guest contribution for Zeitschrift für das gesamte Kreditwesen) Since the aftermath of the GFC and the revelation of LIBOR manipulations, regulators are undertaking a fundamental review of the most important benchmar…
The IBOR reform and the resulting transformation towards a new system of reference interest rates imposes a fundamental change on markets and market participants. A key component of the overall challenge towards a succe…
5-year hedge of a maximum interest rate using the “interest cap with contingent premium” Initial Situation In the current interest rate environment, the demand for interest rate hedges for longer-term financings re…
On Monday, February 11th 2019 Christian Behm joined the flagship event hosted by the Swiss Risk Association “LIBOR –Past, Present And Future”. We would like to emphasize following aspects of this highly valuable e…
Will recent developments mark the end of LIBOR and EURIBOR by January 2022? Possibly, a major change for the benchmark roadmap has been discussed during the first reading in parliament on 14 Jan 2019. Members of the Co…
3-year average rate hedge using a ‘multi-EUR-GBP hedge with limited minimum rate’ Initial Situation Despite a postponement of the House of Commons vote, the British Prime Minister Theresa May has not yet achieved th…
Municipal loan platform komuno now available for all banks Frankfurt am Main – The municipal loan platform komuno, a joint venture between Helaba Digital and Lucht Probst Associates (LPA), has also been available to a…
The IBOR reform raises many questions: What is the reform of reference interest rates about and what is its objective? Where are the biggest hurdles to implementation? Christian Behm, LPA, and Costantino Peiser, Dekabank…
IBOR Transition LPA bedankt sich für das sehr positive Feedback zum IBOR Transition Seminar in November 2018. Die 2. Auflage des Seminars in 2019 umfasst eine intensive Beleuchtung des Themas auf Basis der aktuellen Ma…
Yesterday, Prime Minister May presented to her cabinet the 585-page exit agreement negotiated with the EU commission. The media and markets rated the cabinet’s approval as a success. Today, three ministers of this …
Lucht Probst Associates GmbH (“LPA”) is a leading provider of innovative software and advisory services focused on financial services distribution and regulatory compliance solutions New York, London and Fra…
IBOR Transition: Enhancing EURIBOR and LIBOR. While many participants focus on the interest rate benchmarks after the LIBOR and EURIBOR, the administrators are working on enhancing the existing benchmarks to be compliant…
SFTR: A new regulatory heavyweight. At beginning of this year, most financial firms may have breathed a sigh of relief as MiFID II/MiFIR became applicable and with that, exhausting and intense projects ended without the …
During the last two weeks the European Securities and Markets Authority (ESMA) issued a set of revised Q&As on a number of different topics under the Market in Financial Instruments Directive and Regulation (MiFID II…
The special report of Risk magazine on the subject of IBOR transition contains a variety of valuable information on the IBOR transition. We are pleased that LPA was involved with an article on valuation effects of the sw…
During the last quarter a range of central questions were answered and decisions made. The developments all point to the end of IBORs as we know them. The key topics during the last three months are: The Euro Euro Workin…
In cooperation with PRMIA, LPA will host an event regarding the reform of interest rate benchmarks on October 18, 2018. Location: LPA, Große Gallusstr. 9, 60311 Frankfurt Additional information and registration …
ECB working group recommends ESTER as euro risk-free rate and replacement for Eonia The ECB Working Group on euro risk-free rates has selected the successor index to the Eonia (see press release). The favourite euro sho…
The joint venture between Helaba Digital, the investment company of Helaba Landesbank Hessen-Thüringen, and Lucht Probst Associates (LPA) makes public tenders for investment loans and cash advances significantly faster,…
Turf war between ESMA and European Commission delays reporting obligation. Mandatory reporting obligation can be expected gradually as of the first quarter of 2020. More than 16 months have passed, since the European …
LPA Academy offers broad range of seminars in Frankfurt This autumn, the LPA Academy offers various seminars for specialists and executives. In addition to our best-seller seminars about Interest Rate and FX Management,…
July 4 Working Group on Sterling Risk-Free Reference Rates Minutes from the May meeting. Currently, this working group is the most interesting to follow in order to understand how the post IBOR world may look li…
Frankfurt am Main – Helaba Digital GmbH, the investment company of Helaba Landesbank Hessen-Thüringen, and Lucht Probst Associates (LPA), are setting up a joint venture called “Komuno”. Together, they have develop…
The foundation of interest rate markets will be redesigned. The pricing of many financial instruments and financial contracts depends on the accuracy and integrity of benchmarks. Serious cases of manipulation of interes…
Zum 1. Juni 2018 bekommt der Deutsche Derivate Verband (DDV) ein neues Fördermitglied. Mit der Lucht Probst Associates GmbH (LPA) erweitert sich der Kreis auf insgesamt 17 Fördermitglieder. Hierzu erklärt der geschäf…
On the 18th of May, ECB officially announced the implementation of a new reference rate called ESTER (euro short-term rate) until 2020. It is established as the successor of EONIA. This step became necessary, after the E…
Variabilisation of a fixed-rate financing using a “Cancellable Receiver Swap with Cap” Initial Situation In an earlier edition of the „Geistesblitz“ we discussed the increase in fixed-rate financing.1 The i…
Which market parameters have an impact on the attractiveness of the TARF? The TARF in the current EUR-USD market environment The EUR-USD market environment is characterized by two mutually amplifying developments. On…
The adjustment to the COREP ITS is obligatory from December 31, 2018. EBA has published the final draft version of the adjustments on ITS for regulatory reporting on April 17, 2018. The implications on Prudent Valuation…
This entry is available only in German. In aller Kürze. Die neuen EBA „Draft Guidelines on the management of interest rate risk arising from non-trading book activities” überarbeiten die bestehenden Leitlinien au…
This content is only available in German Zum Ende des vergangenen Jahres hat die ESMA ihre Q&A zum Thema Anlegerschutz aktualisiert und insbesondere einige weitere Fragen zum Thema „best-execution“ beantwortet. D…
KIDs for PRIIPs: Analysis and interpretation of performance scenarios 1. Preliminary remark. The KIDs (Key Investor Information Documents), which have been mandatory since the beginning of the year for PRIIPs (Packaged…
The European Commission has started a consultation regarding the implementation of the reforms to finalise Basel III. The respective BCBS paper was published by the Basel Committee on Banking Supervision (BCBS) in Decemb…
The Implementing Technical Standard for COREP (03/2016) and possible consequences for existing Prudent Valuation implementations. In short Implementation and application will happen in 2018. Requirements for granularity…
Bonus-Deposit with contingent interest reduction. The Geistesblitz “Bonus-Deposit with contingent interest reduction.pdf” is an example of alternatives that clients have besides the regular fixed or floating deposits…
LPA (Lucht Probst Associates) opens a branch office in Singapore in order to place its product ranges in new markets. As the largest banking location in the Asia-Pacific region, Singapore provides optimal conditions to …
Lessons Learned aus der bisherigen Umsetzung der Initial-Margin-Anforderungen für nicht-geclearte Derivate In aller Kürze Die Initial-Margin-Anforderungen für nicht-geclearte Derivate treten schrittweise bis 1. Septe…
Read now our current LPA-Geistesblitz “Multi-FX-Forward with extension right”. Following a strong rise of the EUR-USD exchange rate over 3 months, the spot rate has declined lately. The Geistesblitz “Multi-FX-Forwa…
Die European Banking Authority (EBA) hat ein erstes Diskussionspapier zu den delegierten Rechtsakten unter der überarbeiteten Capital Requirements Regulation (CRR II) veröffentlicht. Obwohl das EU-Gesetzgebungsverfahre…
Before MiFID II and MiFIR become applicable throughout Europe from January 2018, numerous documents for discussion, consultation and comment have been or are expected to be published during the specification and drafting…
This entry is available in German only: Basler Ausschuss einigt sich auf neue Methoden zur RWA-Berechnung und zur Leverage Ratio. In aller Kürze. Der Basler Ausschuss hat sich nach langem Ringen auf folgende Elemen…
Aus dem neu konzipierten Leitfaden der BaFin über die aufsichtliche Beurteilung bankinterner Risikotragfähigkeitskonzepte haben wir für Sie die zentralen Aspekte zusammengestellt und deren Bedeutung erläutert. Das Pa…
This content is only available in German Zu den wesentlichen neuen Regularien in Folge der Finanzkrise gehört die angemessene Einschätzung des Risikomanagements. In einem Diskussionspapier stellt die BaFin aktuell ihre…
Here you can find the article by Dr. Silvio Andae, German Sparkassen- and Giroverband, and Josef Gillhaus, Sparkasse Osnabrück, as well as Christian Behm and Sabine Weiner, Partner resp. Senior Manager at Lucht Probst A…
This content is only available in German ESMA veröffentlicht draft Guidelines Im Juli dieses Jahres veröffentlichte die ESMA ein Konsultationspapier zur Konkretisierung ausgewählter Anforderungen an die Geeignetheits…
This content is only available in German Die Umsetzung der MiFID II Anforderungen im Geschäft mit OTC-Derivaten stellt viele Marktteilnehmer aufgrund der Vielzahl an Themen (Derivate-ISIN, ToTV, Geeignetheit, Aufzeichnu…
Hintergrund Im November des vergangenen Jahres hat die EU-Kommission ihre Entwürfe zur überarbeitung der CRR (Verordnung (EU) 575/2013) und der CRD IV (Richtlinie 2013/36/EU) veröffentlicht. Ziel ist die Umsetzung der…
Derivate-ISIN und Sales-Trader Workflow mit LPA-Captano In aller Kürze Die nächste Captano Generation wird zum entscheidenden Baustein in der Umsetzung kritischer Anforderungen im OTC-Derivatebereich. Captano dokumen…
This content is only available in German Im November vergangenen Jahres wurden die Entwürfe zur Überarbeitung der CRR und CRD IV veröffentlicht. Der Ablauf des Gesetzgebungsverfahren, insbesondere die Zeitplanung sow…
This content is only available in German Die Q&A beschäftigt sich noch einmal genauer mit den Algo- und Hochfrequenzhandel-Definitionen. Auch für das SI Regime finden sich weitere Antworten. Die anhängenden „LPA…
We collect simple and pragmatic exact formulae for the convexity adjustment of irregular interest rate cash flows as Libor-in-arrears or payments of a swap rate (CMS rate) at an irregular date. The results are compared w…
This content is only available in German Die ESMA veröffentlichte am 28.02.2017 einen Draft RTS “on package orders for which there is a liquid market“ (ESMA70-872942901-21). Das Dokument behandelt die Fragestellung…
Die nationale Umsetzung der MiFID II und diverser Delegierter Verordnungen konkretisiert sich zunehmend. Der im Dezember 2016 in den Bundesrat eingebrachte Gesetzentwurf zum zweiten Finanzmarktnovellierungsgesetz wurde …
This content is only available in German Im November 2016 gab die ESMA per Q&A bekannt, dass die verpflichtende Anwendung des SI Regimes auf August 2018 verschoben wird. Nun legt sie mit einer Aktualisierung der Q&am…
This content is only available in German In der vergangenen Woche wurde die Delegierte Verordnung zu Risikominderungstechniken für nicht durch eine zentrale Gegenpartei geclearte OTC-Derivatekontrakte im Amtsblatt der E…
This content is only available in German Regulatorische Anforderungen erfordern eine ISIN für Derivate ab 2018: Im Rahmen der Einführung von MiFID II / MiFIR ergeben sich für den Handel mit Derivaten ab Januar 2018 n…
This content is only available in German Best-Execution – das kennen wir doch schon aus MiFID I? Stimmt grundsätzlich. Aber MiFID II verlangt mehr: Alle „angemessenen Maßnahmen“ zu ergreifen für eine best mög…
