Interest Rate Risk in the Banking Book

Day 1 covers the basics of IRRBB – what it is and how typically it is managed and controlled. No prior knowledge is required or assumed. Day 2 then 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. The course is designed so that delegates may opt to attend either both days or just one of the two days on a stand-alone basis. Delegates, however, considering attending only Day 2 should review the Day 1 course outline in detail to ensure that they are fully conversant with the subject matter as knowledge of this will be assumed.

8th – 9th November 2022

ALMA Members
1 Day: £500 + VAT
2 Days: £950 + VAT

Non Members
1 Day: £650 + VAT
2 Days: £1250 + VAT

Day 1

Day 2

Fundamentals of IRRBB

  • 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

Principal Measures of IRRBB

  • 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

Behavioural Risks and Structural Hedging of IRRBB

  • 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)

IRRBB Regulatory Requirements and Governance

  • IRRBB as a Pillar 2 Risk
  • Basel Standards for IRRBB (2016)
  • EBA Guidelines (2018)
  • PRA Rules and Supervisory Expectations (2021)
  • Good governance of IRRBB – including risk appetite, challenge to assumptions, the control framework and stress testing

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2 Days: £950 + VAT

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2 Days: £1250 + VAT
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