IRRBB Programme

Workshop 1: Interest Rate Risk in the Banking Book

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Interest Rate Risk in the Banking Book

Day 1 - 11 July

08:30

Registration

09:00

Chapter I: Defining IRRBB

  • What is IRRBB?
  • What causes IRRBB?
  • Why is IRRBB measured through two different metrics?

Dr Michael Eichhorn, Global Head of Treasury & Liquidity Risk, CREDIT SUISSE

10:00

Chapter II: Measuring IRRBB

  • Measurement practices
  • How to measure Delta Net Interest Income
    • Sensitivities
    • Earnings at Risk
    • (Reverse) Stress Tests
  • How to measure Delta Economic Value of Equity
    • Sensitivities
    • Value at Risk
  • (Reverse) Stress Tests

Dr Michael Eichhorn, Global Head of Treasury & Liquidity Risk, CREDIT SUISSE

11:00

Morning coffee break 

11:30

Chapter III: Managing IRRBB in practice

  • Case study Bank: Global universal bank
  • Case study Bank: European retail and private bank
  • Case study Bank: US retail bank
  • Case study Bank: US commercial bank

Dr Michael Eichhorn, Global Head of Treasury & Liquidity Risk, CREDIT SUISSE

13:00

Lunch 

14:00

Chapter IV: Improving IRRBB in practice 

  • Industry practices and key challenges of European banks
  • Industry practices and key challenges of US banks
  • How to address these challenges in your bank

Dr Michael Eichhorn, Global Head of Treasury & Liquidity Risk, CREDIT SUISSE

15:30

Afternoon coffee break 

16:00

Chapter V:  Wrap up and optional bonus(es)

  • What a former divisional G-SIB Treasurer wants you to keep in mind about IRRBB: A primer!
  • How to integrate qualitative expert input into your end to end process next Monday (example: NMP)!
  • How to review and discuss your entire IRRBB framework in a workshop next Monday (building blocks and choices)!

Dr Michael Eichhorn, Global Head of Treasury & Liquidity Risk, CREDIT SUISSE

17:00

End of training course

Day 2 - 12 July

08:30

Registration

09:00

Implementing an IRRBB measurement solution

  • Comparing suitable/different routes for EVE and EAR
  • Evolution of IRRBB systems and processes
  • Assessing the operational impact of IRRBB
  • Internal reporting practices
  • Enhanced disclosure requirements

Arnau Lopez, Former Global Head of IRRBB Change Delivery, HSBC

10:30

Morning coffee break 

11:00

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

Arnau Lopez, Former Global Head of IRRBB Change Delivery, HSBC

12:30

Lunch

13:30

Funds transfer pricing

  • What are the business users of the FTP Process
  • The E2E FTP Process: Key functional components
  • What is FTP and what are the key Spread Components (Reverse) Stress Tests
    • Term Liquidity Premium
    • Liquidity Buffer / LCR Spread
  • Deriving the FTP Rate
    • The FTP Curve
    • Case Study
    • Term Products FTP
    • Behavioural Products FTP
    • FTP Projections

Arnau Lopez, Former Global Head of IRRBB Change Delivery, HSBC

14:30

Afternoon coffee break 

15:00

Behavioural modelling and IRR

  • Behavioural modelling assumptions 
  • Approaches to modelling deposits 
  • Economic metrics 
  • Methods for calculating EvE and NII
  • What does it mean in terms of timeframes 
  • Data requirements and sophistication required

Arnau Lopez, Former Global Head of IRRBB Change Delivery, HSBC

16:30

End of training course