Compliance with the Basel Committee’s standards on interest-rate risk in the banking book (BCBS 368) and EBA Final Report (July 2018) on Interest Rate Risk in the Banking Book (IRRBB) presents significant challenges to all banks with respect to measurement, calculation, reporting and hedging of interest rate risk, as well as potential implications for Pillar 2a capital requirement, and this whole area is the subject of current focus from the regulatory authorities. Banks need to ensure they can address all the requirements of the regulators whilst ensuring regulatory capital optimisation.

This one-day workshop provides comprehensive coverage of business best practice approach to IRRBB, to ensure optimum compliance with Basel Standards. It explains the process and implementation of an efficient IRRBB measurement, reporting and hedging framework in clear and practical terms, to enable delegates to acquire an understanding of best practice IRRBB principles, and how they can be integrated into ALM policies, thus optimising the bank’s risk management framework.

A well-designed IRRBB framework enables a bank to pursue its strategic objectives, conversely a poorly implemented IRRBB framework can lead to long-term damage to a bank’s balance sheet structure and risk management position, not to mention material additional Pillar 2a capital add-on.

The workshop provides delegates with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk. Key topic areas including approaches to measurement and reporting, stress testing and disclosure requirement are covered in practical detail.

By the end of this workshop you will be able to:

• Understand the value and importance of an effective IRRBB risk management framework
• Be able to ensure best-practice measurement, reporting and hedging for your bank’s IRRBB process
• Understand the use, calculation and application of the two reporting measures (NII and EVE)
• Implement a best-practice IRRBB regime in your bank
• Integrate IRRBB risk management into the bank’s risk appetite statement

This course is repeated on 8 November

Take this training in-house:

If you have five or more delegates who wish to attend this briefing, it may be more cost effective to run it in-company. To find out more about in-company training, please contact the team on 020 3934 1197 or training@ukfinance.org.uk