ALM*Decision Training

Description

Over three seminar days, the building blocks for state-of-the-art ALM interest rate risk and liquidity risk management will be presented and discussed.

Content

• Interest transfer prices – the heart of bank management
  Interest transfer prices to explain the net interest income; Methods for determining interest transfer prices; Delimitation of the interest risk result from the overall bank result; the organizational structure of the ALM and the management of the interest rate risk in the accrual and present value view
•  Interest rate risk management – products and possible uses
  Conventions, pricing, valuation and possible uses in ALM interest rate risk management of plain vanilla swaps, forwards start swaps, EONIA / OIS swaps and basis swaps
  
• Components of the customer calculation and influence on the ALM result
  Methodological approaches and their consequences for the determination and interpretation of the customer calculation and ALM result for liquidity costs / standard risk costs / equity costs / unit costs
  
• Determination and measurement of the interest rate risk
  The mapping of the interest rate risk positions and the validation of the mapping; the determination of the fixed interest rate balance sheet; Interest rate curve, interest rate expectations and management impulses for optimizing the interest gap contribution; Interest accrual versus present value and the use of the total return concept; Basic risk and the consequences for customer business; Implicit interest options, pricing, influence on customer results and influence on the risk management; Risk measurement and the control of the interest rate risk; Interest rate risk measurement in the banking book: economic and regulatory; according to going concern and liquidation approach; the determination of stress scenarios and consequences for the risk-bearing capacity; Pricing of customer flows and risk presentation
  
• Interest Rate Risk in the Banking Book (IRRBB EBA Guidelines)
  Legal requirements regarding interest rate risk measurement in Pillar 2 (ICAAP); Levels of interest rate risk measurement taking proportionality into account; Legal requirements for determining the fixed interest rate for other assets / liabilities and consequences for the management, specifications for the determination of the stress scenarios, consideration of implicit and explicit interest rate options in the risk measurement and management, influence of the interest rate risk on the capital adequacy (SREP surcharges)
  
• IFRS 9 – Hedge Accounting and Value Adjustments
  IFRS requirements for hedge accounting, fair value and cash flow hedges, micro / portfolio and macro hedge accounting, IFRS hedge accounting consequences; Expected loss as the basis for determining the value adjustments under IFRS9
  
• Liquidity transfer prices – the heart of bank managemen
  Principles and consequences of the EBA guidelines “Liquidity Cost Benefit Allocation”, liquidity transfer prices to explain the net interest income; Methods for determining liquidity transfer prices; Differentiation of the liquidity risk result from the overall bank result; the organizational structure of the ALM and the control of the liquidity risk in the accrual and present value view.
  
• Liquidity Risk Management – Products and Applications
  Conventions, pricing, valuation and possible uses in ALM liquidity risk management of repos, cross currency swaps and covered Bond issues.
  
• Determination and measurement of the liquidity risk
  The mapping of the liquidity risk positions and the validation of the mapping; the capital commitment balance sheet and the interpretation of the liquidity risk contribution (from new business and historical); Accrual versus present value and the use of the total return concept; Creation of the capital commitment balance sheet and the contingency funding plan; the determination of liquidity buffers; the importance of stress scenarios and time to wall / survival period, risk measurement and the management of liquidity risk; economic and regulatory (ILAAP); going concern and liquidation approach; the determination of stress scenarios and the consequences for the risk-bearing capacity.
  
• LCR and NSFR
  Legal requirements regarding liquidity ratios in Pillar 1; LCR influencing variables and steering options, the effect of repos in LCR management, the determination and consequences of liquidity buffer costs in the customer calculation and in the ALM result, NSFR influencing variables and steering options, consequences of NSFR for liquidity manageemnt, determination and offsetting of NSFR costs and consequences for product calculation.
  
• Steering consequences of MREL / TLAC and asset encumbrance
  MREL and TLAC requirements, MREL / TLAC consequences for the institutions’ own funds requirements, eligible instruments, current status with regard to the limitation of asset encumbrance, asset encumbrance steering concept