IRRBB, FTP& ALM – Balance Sheet Optimization MasterclassLearn & become an expert to implement IRRBB into ALM & Liquidity frameworks!

On this course you will:

• Implement a best practice IRRBB regime in your bank

• The evolution of ALM and the ALCO process • Funds transfer pricing - FTP • Managing and optimising the balance sheet • Basel III, basel IV & liquidity frameworks • IRRBB measurement, management and

strategies

https://bizenius.com/trainings/banking-finance/irrbbao

https://bizenius.com/trainings/banking-finance/irrbbao          T: +91 990 220 0556            E: connect@bizenius.com

Regulation on interest-rate risk in the banking book (IRRBB) is evolving after being somewhat overlooked in recent years. Banks are now updating their interest-rate risk frameworks and have important choices to make on the design of a new IRRBB framework: what are the risk types that need to be covered and how can a value and earnings measure be created? Nonetheless, this process provides an excellent opportunity for improving regulatory compliance as well as reviewing a financial organization’s benchmarks and best practices.

For the first time in your country, join us for this informative two day training course which will cover in detail all of the key elements of ALM and ensure you are properly managing and optimising your balance sheet.Sessions will include the evolution of ALM, balance sheet management, funds transfer pricing and recovery and resolution planning.

One of the complexities of interest rate risk on the balance sheet is the linkage between Asset Liability Management (ALM), Liquidity (LRP, NSFR), and the IRRBB. A further complication is that interest rate risk of the balance sheet can be measured either through current and future earnings (i.e. Net Interest Income NII) or through changes in Economic Value Added (EVA).In this training we develop a framework of how to integrate these synergetic areas. You will learn the key building blocks of IRRBB, including analytical modeling, data requirements, and governance.

After Attending This Course You Will Be Able To:

• Understand the value and importance of an effective IRRBB mechanism

• Implement the best practice measurement, reporting and hedging for your bank’s IRRBB process framework

• Understand the use, calculation and application of the two reporting measures (NII and EVE)

• Gain insight into IRRBB regulation and how to implement it

• Gain an understanding of how IRRBB is linked to other overlapping frameworks (ALM, Liquidity, Trading)

• Learn how Net Interest Income (NII) derived from IRRBB is a core component of capital stress testing of the regulators

• Examples of the mismanagement of IRRBB in several financial institutions

• Get a deeper understanding of how interest risk is linked to IFRS(9) and expected credit losses

• Learn how to apply behavioral assumptions and optionality models to contractual cash flows

• Learn why static balance sheets for any form of stress testing or forecasting have many pitfalls

• Learn how to overlay business strategy in lending and how liability management impacts interest rate risk (IRR)

• Explore the design of interest rate scenarios and the dynamics of the balance sheet

• Learn more on governance, disclosure and comprehensive regulatory examination including the Asset Liability Committee (ALCO)

• Learn how to minimize risk weighted assets for aninstitution

Course Objectives About BIZENIUS

BIZENIUS offer a wide range of professional training courses designed to give you the skills and strategic edge your industry de-mands. Our course content is always fresh, never generic and continually updated to ensure our curriculum reflects the diverse landscape of innovation across Energy & Re-sources, Banking, Telecom, Finance & Invest-ment, Oil and Gas, Mining, Construction and more.

Whether you want to learn the fundamentals or expand your knowledge with advanced training, we’ve got a programme for you. Our technical and non technical training courses within the industry offer a variety of levels to help you be productive in your work. We offer Introductory and expert level courses as well as customer specific on site training are also offered upon request.

Course Requirements And Certificates

Delegates must meet two criteria to be eligible for BIZENIUS Certificate of Completion for a course:

1. Satisfactory attendance – delegates must attend all sessions of the course. Delegates who miss more than 6 hours of the course sessions will not be eligible for the certificate

2. Successful completion of the course exercises Delegates who meet the above criteria will receive BIZENIUS Certificate of Attendance.

Course AssessmentYour understanding of the course content will be assessed by completion of course exercises in the classroom and active participation.

• Banking Book Risk • Banking Investment

Book • Basel • Capital Management • Change management • Governance • Interest Rate Risk • Internal Audit • IRRBB Policy • IRRBB Program • Liquidity Risk • Market Risk

Management • Model Validation • Regulatory change

management • Regulatory

Compliance • Risk • Risk Analytics • Risk management • Treasury • Treasury risk

Who Should Attend

Day 1 :

Interest Income Metrics

• Time value of money, zero coupon curves, discount factors

• Pricing options, Black Scholes model, delta hedging techniques

• Bond duration, convexity, Macaulay duration, modified duration

• Optionality and callable bonds – pre-payment risk

• Calculating Basis Point Value (BPV) • Explanation of the term structure of

interest rates – the yield curve • Historical examples of different shapes

to the yield curve • Credit spreads – over Treasuries, over

LIBOR, Z-spread • Swap spreads – which curves to use, OIS,

LIBOR • Fundamental statistical tools for

measuring and analysing risk – mean, variance

• Expected Shortfall as foundation for Value-at-Risk (VaR)

Mark to Market Risks for Income Assets and Funding Instruments

• Fair value accounting (IFRS 9 and 13) and mark to market practice

• Trading book exposures – levels 1, 2 and 3 exposures

• Impact of interest rate changes on balance sheet – AFS, banking book exposures, derivatives

• Feedback loops between market risk, credit risk and liquidity risk

• Value-at-Risk – a single measure of enterprise risk

• Explain the differing methodological principles for calculating VaR

• Benchmark rates – distinguish types and suitability for different purposes/objectives

• Market distortions and liquidity issues arising from orchestrated interest rate environment

Implementing your IRRBB measurement solution

• The Basel Committee Standard on Interest Rate Risk in the Banking Book

• The Standardized IRR Framework

• IRR Principles • Internal governance • Enhanced disclosure requirements • Assessing the operational impact of

IRRBB • What does best practice look like? • Strategic ALM

Day 2 :

IRRBB: Setting up limits and managing the balance sheet accordingly

• Goals for IRRBB management and setting up an IRR strategy

• Management philosophies • Concrete examples for limit systems • How are course participants limits

calibrated? • Hedging and steering the balance sheet

Stress Test Methods for Treasury

• Sensitivity to interest rate deltas – quantification and modelling

• Stress Testing bond or loan portfolio • Worst case approach; threshold

approach; base case • Identification of key risk factors • Associating probabilities to risk factors –

quantitative and qualitative approaches • Mapping qualitative and descriptive data

to numerical values • Stress testing volatility episodes – using

weighted approaches to volatility • Impact of interest rate risk on balance

sheet • Feedback loops between market risk,

credit risk and liquidity risk • Benchmark rates – distinguish types

and suitability for different purposes/objectives

• Scenario Based Analysis (SBA) and • Risk Control Self-Assessment (RCSA) • ALCO as clearing house for providers

and users of funds – group and local perspectives

• Different FTP Approaches • Liquidity Term Premium (LTP) – how to

separate from term premium and credit risk

• Liquidity Transfer Pricing for trading book, banking book, derivatives

Models for Interest Rate Forecasting

• Drift, stochastic factors and mean reversion tendencies

• Vasicek and CIR models for modelling evolution of short term rates

• Market volatility as primary risk factor – variance forecasting

• Parallel and non-parallel shifts in the yield curve

• Principal Components Analysis for modelling changing shape of term structure

• Volatility modelling – EWMA and GARCH techniques

IRRBB: Governance

• The cornerstones of IRRBB Governance in modern banking institutions

• Definition of Risk Appetite Framework and IRRBB mission across the organization

• ALM and Risk Management framework: the thee lines of defence model in IRRBB context

• Definition of an IRRBB policy and methodological framework:

• “Hot topics” in IRRBB analysis in the current market environment:

• Management of floors and negatives rates in EVE & NII metrics

• Inclusion of commercial margins in EVE calculation

• Credit Spread Risk in the Banking Book • Systems and data architecture for a

proper IRRBB governance

IRRBB business challenges

• Optionality treatment: Explicit and implicit options in the balance sheet

• Credit spread risks – identifying a risk measure that effectively captures CSRBB

• Front to back alignment from corporate planning to financial modelling and reporting

• IT implementation: data, costs & pitfalls • Dedicated transformation programmes

https://bizenius.com/trainings/banking-finance/irrbb            T: +91 990 220 0556            E: connect@bizenius.com

Your Comprehensive Course Agenda

T: +91 990 220 0556 Email: connect@bizenius.com

Would you like to run this course in-house?

customised training solutionsThe in-house training division of BIZENIUS

“BIZENIUS is doing a fabulous job. The content was very relevant to my role. The interactive discussion on challenges and solutions of reporting structure was the best part of the program. I would recommend this training to all who are involved with IRRBB imple-mentation.”

“It was an extraordinary training methodology and a multidisci-plinary approach, as well as a clear and strong content structure that focused on liquidity ratio. The training methodology helped participants to realize a deeper knowledge of ALM, FTP and IR-RBB.”

”Very well organized, the content is very useful for our day to banking risk and compliance. It was indeed a time well spent and a memorable experience.”

Read Some of The Comments Past Delegates Have Made About This Course

IRRBB, FTP & ALM - Balance Sheet Optimization Masterclass

CLIENTS

Registered Office Address:BIZENIUS Business Solutions Private Limited

#102, Rockview, 2nd Cross, 2nd Main, Gottigerre, Bangalore, Karnataka, India - 560 083

https://bizenius.com/trainings/banking-finance/irrbbao          T: +91 990 220 0556            E: connect@bizenius.com