Interest Rate Risk in the Banking Book
Interest Rate Risk in the Banking Book
This two day course covers the basics of IRRBB.
Day One
Covers what it is and how typically it is managed and controlled.
Day Two
Looks at some more advanced topics including behavioural risk, what constitutes best practice in respect of internal IRRBB governance and then considers the recently announced changes to the regulatory requirements and the impact these may have on banks.
You will learn valuable skills you can instantly use at work.
Who should attend?
The course is aimed both at those new to a role within IRRBB management itself and at those working in other functions who seek a general overview of IRRBB. It may be of particular interest to those working in other areas of Treasury management, Finance, Planning, Audit and IT as well as to more senior colleagues with a governance responsibility for overall balance sheet management. No prior knowledge is required or assumed. Students will find the course a solid foundation for attending further ALMA training courses, including the Certificate in Bank ALM (CertBALM®).
Cost:
Members with printed material £1,270 + VAT
Members without printed material £1,220 + VAT
Non Members with printed material £1,610 + VAT
Non Members without printed material £1,560 + VAT
NOTE: The option to have printed material will NOT be available for anyone booking within one week of the start date. Please note if you choose the 'non-print' option, you will receive a link in advance of the course to download the material.
What will you gain from attending the course?
Participants will gain knowledge of IRRBB, its significance within the firm and an understanding of both Income and Value metrics. The course also covers regulatory expectations of IRRBB management, the importance of behavioural assumptions and structural hedging.
Course Outline
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Introduction to yield curve, basis and option risk
Introduction to Discounted Cash Flow (DCF)
Accrual v. Fair Value accounting
Using interest rate swaps to hedge IRRBB
Definition of the Banking Book
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Value approaches including EV, EVE and VaR
Income sensitivity approaches
Comparing value and income approaches
Treatment of commercial margin and embedded value
The role of the Treasury function in managing IRRBB
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Pipeline risk
Prepayment and Early Withdrawal Risk
Non-Maturing Deposits and Margin Compression Risk
Structural Hedging of Equity and other Non-Dated Liabilities
Residual IRRBB risks including Credit Spread Risk (CSRBB)
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IRRBB as a Pillar 2 Risk
Basel Standards for IRRBB (2016)
PRA Rules and Supervisory Expectations (2021)
Good governance of IRRBB - including risk appetite, challenge to assumptions, the control framework and stress testing
How is the course delivered
The course is classroom-based and held at a Central London location.
Class size is limited (16 places) to facilitate active discussion and group exercises, as well as networking.
Day one will assume no prior knowledge although questioning and discussion will be actively encouraged throughout, both from those new to the subject and from those who might already have some knowledge or experience.
Day two will build on the basic principles covered on Day one but will cover more advanced topics.
Meet your Course Leader - Colin Johnson
Colin Johnson has spent over 20 years in Treasury and ALM related roles within the UK. He is the former Treasurer of The Co-Operative Bank and currently Chair of ALMA.
Colins career includes roles in the challenging bank sector working for Charter Court Financial Services, One Savings Bank and Chetwood Financial Services having also worked in the Banking Market Risk function within Santander UK and spent 3 years in a senior manager role at Lloyds Banking Group within Risk Oversight and Group Corporate Treasury helping to develop the IRRBB and ALM management and also managing the structural hedging of the balance sheet.
“Great presentations supported by a high level of knowledge and experience. It was a very insightful and comprehensive course which I would recommend.”