IRRBB Agenda

IRRBB Agenda

Interest Rate Risk in the Banking Book

Day 1 - Tuesday 6 November

16.00

Check-In and Refreshments

18.00

Introductory Speech:

Welcome remarks and keynote address

18:30

Welcome Dinner

Introductory speech is followed by three-course meal. This is a great opportunity to meet and network with delegates in preparation for the course

Day 2 - Wednesday 7 November

08:30

Refreshments

09:00

IRRBB: Value and income metrics compared

  • Overview of regulatory landscape 
  • Typical metrics employed 
  • Distinction between banking and trading books 
  • Strengths and weaknesses of the value approach
  • Strengths and weaknesses of the income approach 
  • EvE vs MvE
  • What ‘best practice’ looks like 

10:30

Morning Break

11:00

Hedging strategies 

  • Most common hedging strategies 
  • Accounting treatment of IRR derivatives (deposit, hedging) 
  • Changes imposed by IFRS9 

12:30

Lunch

13:30

IRR challenges

  • Modelling assumptions 
  • The issue of non-dated liabilities and their hedging 
  • Pipeline and pre-hedge risk 
  • Credit spread risk – Identifying a risk measure that effectively captures CSRBB
  • Assessing different types of risk – Yield curve, basis, residual 
  • Non-maturing deposits 

15:00

Afternoon Break

15:30

Key Success Factors for an Effective IRRBB Measurement Solution

  • Adopting a trading book mentality and rigour to banking book world
  • Data consistency across both EaR & EVE
  • Front to back alignment from Corporate Planning to Financial Modelling & Reporting
  • Adherence to BCBS 239 standards for completeness, accuracy and timeliness
  • Challenges for global organisations to meet regional needs

Noel O'Mahony, Programme Director, Risk Change, Deutsche Bank

17:00

End of Day Two

Day 3 - Thursday 8 November

08:30

Refreshments

09:00

Current and future issues in IRRBB governance 

  • Evaluating and setting up your IRRBB governance 
  • Governance of changing and operating the IRRBB setup
  • Management of assumptions and internal validation 
  • IRRBB risk appetite and capital 

10:30

Morning Break

11:00

Stress testing

  • Results from the 2017 ECB stress test on IRRBB
  • Selection of stress scenarios
  • Insights into risk management practices
  • Relevance of lessons learnt of IRRBB ST in the light of new EBA GL

12:30

Lunch

13:30

Panel discussion: Behavioural modelling and IRR

This session will bring together participants from both streams of the course to discuss some of the most pressing issues surrounding behavioural modelling

  • Behavioural modelling assumptions
  • Current low/negative EUR rates and consequences
  • Approaches to modelling deposits
  • Economic metrics
  • Data requirements and sophisticated required
  • Business model impact of the IRRBB regulations
  • Managing IRRBB in practice

John Bowyer, Head of Group ALM, Lloyds Banking Group

Nick Ehrhart, Head of Structural Risk, Treasury & ALM, Nordea

15:00

End of Course