La copertura dei mutui a tasso fisso mediante strumenti derivati: profili applicativi in tema di rischio di tasso di interesse, IFRS9 e regolamento EMIR

The use of derivative instruments by Italian retail banks, particularly by the less significant ones, has considerably decreased in recent years after the boom recorded in the past decades. However, the recently regulatory evolution in terms of IFRS9 and EMIR regulation, as well as the current level of interest rates, suggest banks consider the implementation of hedging strategies to optimize in a future perspective their interest rate margin profile. Notably, the asset and liability management strategies put in place by banks are also a function of expectations regarding the future dynamics of interest rates, which, in turn, have an impact on the cost of derivatives. In the current market environment, characterized by low expectations of an increase in interest rates, the implementation of specific hedging strategies can also take place at reasonably low costs. Further, this paper analyzes the opportunities arising from the recent regulatory changes from an integrated perspective, taking into account the risk profile, the internal processes, and the business model of the Italian retail banks. An adequate level of risk culture shared among the commercial and control functions, and more proper and accurate use of these instruments, represent necessary conditions for derivatives to become a strategic option to improve the banks' profitability and act as fundamental drivers for the shareholders' value creation process.