Interest rate risk in the banking book conference

Interest rate risk in the banking book irrbb gained its importance through the regulatory requirements that have been growing and guiding. Interest rate risk in the banking book marcus evans pan asia. Interest rate risk in the banking book irrbb masterclass glc. Interest rate risk in the banking book irrbb masterclass. However, the assets are valued at their book value and a write down in asset value happens only in case of defaults. He heads up the second line of defence in the areas of interest rate risk, liquidity risk, and fx. Prometeia sponsors the 5th edition of the managing interest rate risk in the banking book conference, hosted by marcus evans, in prague, 2425 june 2019.

Meeting the practical challenges moodys analytics introduction in a world of low interest rates, the thought of what could happen if there is a sudden interest rate shock. Interest rate risk in the banking book is a conference dedicated to understanding, implementation and management of sound irrbb policies interest rate risk in the banking book covers topics such as how to derive value from risk appetite. Interest rate risk in the banking book see practical examples of modelling approaches for eve and nii, and understand the assumptions and behavioural scenarios involved 2122 feb 2019 grand copthorne waterfront hotel, singapore. Financial institutions need to consider how they will compete and grow in the new rates environment. This publication can be found online on the ebf website and is.

Dont worry whilst your ability to travel may have been restricted we know your appetite for key business insights. Interest rate risk in the banking book, written by industry expert paul newson, provides a thorough guide to the new regulatory requirements surrounding irrbb and demonstrates the importance of good governance. Interest rate risk in the banking book irrbb irrbb overview interest rate risk in the banking book irrbb is the risk to earnings or capital arising from movement of interest rates. Credit risk modelling 2nd annual european banking summit. He has longterm experience in retail, corporate and investment banking, and expertise in financial risk management in the area of asset and liability management, market risk management, treasury risk. In early 2016, svilen assumed additional responsibilities as a sr.

Two risk management metrics ecbpublic the two metrics are discussed in detail in the eba guidelines on the management of interest rate risk. Understanding the fundamentals of irrbb and how it differs from interest rate risk in the trading book. Content regarding the basel committee on banking supervisions principles for the management and supervision of interest rate risk july 2004 and interest rate risk in the banking book. Interest rate risk in the banking book irrbb best practice. What is the difference between a banking book and a. Template irrbb1 provides quantitative irrbb information, including the impact of interest rate shocks on their change in economic value of equity and net interest income, computed based on a set of prescribed interest rate. Interest rate risk in the banking book irrbb is the risk to earnings or value and in turn to capital arising from movements of interest rates that affect banking book.

Course agenda alm and balance sheet management toronto. Expert panel on interest rate risk in the banking book irrbb. Standards for interest rate risk in the banking book issued. Establisha strategic approach to ebas final irrbb guidelines addressing system and. Look at the interaction of banking book interest rate risk with other areas of. Interest rate risk in the banking book conference adapting your banking book strategy to prepare for and take advantage of associated risk as interest rates rise since the financial crisis, financial institutions have significantly benefited from the low interest rate environment, which has given them lower funding costs and more revenue from new customers. Interest rate risk in the banking book irrbb is part of the basel capital framework under pillar 2 and principles for the management and supervision of interest rate risk were set out in 2004 by the bcbs. Course on managing interest rate risk in the banking book is going to open on 28 feb and finish on 01 mar 2018 it will be a matchless course at the downtown conference center in new york city, new york usa it will be a trendsetting course, wellknown as one of the most innovative meetings within the banking, financial services, risk analysis, risk management, interest rate and banking. Interest rate risk in the banking book see practical examples of modelling approaches for eve and nii, and understand the assumptions and behavioural scenarios involved 2122 feb 2019 grand copthorne. These guidelines on managing interest rate risk in the banking book are intended to provide guidance on designing the strategies and processes required for identifying, measuring, controlling and monitoring interest rate risks in the banking book. Interest rate risk in the banking book irrbb definition. With this measure, we want to help contain the coronavirus. As per extant guidelines on management of interest rate risk in the banking book under pillar ii, banks where the economic value of the banking book declines by more than 20% of the mve as a result of a standardised interest rate.

Interest rate risk in the banking book 2021 70072 clocate. Interest rate risk in the banking book is a conference dedicated to understanding, implementation and management of sound irrbb policies interest rate risk in the banking book covers topics such as how to derive value from risk. Interest rate risk in the banking book is the risk posed by adverse movements in interest rates that cause a mismatch between the rates banks set on customer loans and on deposits. Interest rate risk in the banking book 2019 5th annual european. Interest rate risk in the banking book marcus evans pan. In an abundance of caution all training courses are cancelled beginning march 16, 2020 through may 22, 2020. Interest rate risk in the banking book new york, conference. Interest rate risk is the exposure of a bank s current or future earnings and capital to adverse changes in market interest rates. Eventbrite moneco financial training presents interest rate risk in the banking book monday, september 21, 2020 tuesday, september 22, 2020 at nh. The precise answer is both complex and involves considerable latitude for opinion. Interest rate risk in the banking book covers topics such as.

Agenda for day 1 of interest rate risk in the banking book 2019 5th annual european summit. Any changes in interest rates have an impact on the present value of future cash flows on the bank. Interest rate risk in the banking book irrbb frequently asked questions this publication has been prepared by the european banking federation in response to the questions frequently raised during outreach meetings on the treatment of the interest rate risk in the banking book. What is interest rate risk in the banking book irrbb. Sensitivity analysis of irrbb ecb banking supervision. This gfmi conference will allow financial institutions to discuss the best strategies to manage interest rate risk in the banking book and capitalize on new rates. Interest rate risk is the potential that a change in overall interest rates will reduce the value of a bond or other fixed rate investment. Interest rate risk refers to the risk of loss of a banks current and future revenues due from trading and banking book assets and the risk of erosion in the value of those assets on account of movement in the rates. The gfmi 2 nd annual interest rate risk in the banking book conference will give banks the practical insight to optimize their interest rate risk management strategies in an uncertain economic. Advanced management of banking book risk marcus evans summits. Banks will also gain a critical, last minute opportunity to enhance their understanding of the irrbb regulation by gaining a clarification of the rule and benchmarking their compliance strategies. Interest rate risk in the banking book is a conference dedicated to understanding, implementation and management of sound irrbb policies interest rate risk in the banking book covers topics such as.

The book is essential reading for all those involved with interest rate risk in the banking book but particularly those working in a bank alm function who wish to gain a wider appreciation of the context in which they operate, more generalist and senior bankers who need a grasp of the fundamentals and those working in a trading risk function. By attending this conference you will take away insights on maximizing your interest rate risk strategies to enhance your efficiency and effectiveness. Managing interest rate risk in the banking book semantic scholar. Nii, on the other hand, is always based on cash flows at client rates and thus represents total nii. Implementing bcbs 368 interest rate risk in the banking. I am writing to inform you that, following a comprehensive consultation process with the industry associations, the monetary. Infoline conferences latest regulatory intelligence. Here the banks typically accept credit risk and interest rate risk.

Agenda interest rate in the banking book 2019 5th annual. Interest rate risk in the banking book irrbb marcus. Compliance with the basel committees 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. Nov 07, 2019 interest rate risk exists in an interest bearing asset, such as a loan or a bond, due to the possibility of a change in the assets value resulting from the variability of interest rates.

In the present value perspective, the risk is quantified as an economic value change of the total banking book. Dec 04, 2017 by attending this conference you will take away insights on maximizing your interest rate risk strategies to enhance your efficiency and effectiveness. These standards are intended to replace an earlier guidance set out in the 2004 principles for the management and supervision of interest rate risk4, which laid out the principles and the methods expected to be used by banks for measuring, managing, monitoring and. The interest rate risk in banking book refers to the risk to a bank s capital and earnings arising from adverse movements in interest rates that affect banking book positions. Dec 11, 2019 compliance with the basel committees standards on interestrate risk in the banking book bcbs 368 presents significant challenges to all banks with respect to measurement, calculation and hedging of interest rate risk, and this whole area is the subject of intense focus from the regulatory authorities. He lectured for five years at the city of london polytechnic preparing students for the uk chartered institute of bankers module in accountancy, has delivered many internal courses and, currently, presents the interest rate risk. The nature of irrbb and the typical metrics employed how to identify, measure and mitigate different types of risk. Institutions will minimize the effect of higher cost and less revenue to ensure they maintain strong profits in the new economic environment. Deutsche bank annual report 2017 nontrading market risk. The standards revise the committees 2004 principles for the management and supervision of interest rate risk, which set out supervisory expectations for banks identification, measurement, monitoring and control of irrbb as well as its supervision. The way ahead executive summary interest rate risk in banking book irrbb refers to the current or prospective risk to a banks capital and earnings arising from adverse movements in interest. Maximizing alm, deposits and balance sheet management to ensure that banking book assets are optimized 46 dec 2017 downtown conference center new york, ny, united states of america. He joined from ey where he was a manager in the advisory practice specialising in treasury and alm, and previously spent over five years in the alm function at lloyds banking group.

The interest rate risk in the banking book can be measured and controlled at present value or periodically. Whitepaper interest rate risk in the banking book irrbb. The gfmi 2 nd annual interest rate risk in the banking book conference will give banks the practical insight to optimize their interest rate risk management strategies in an uncertain economic environment. Firms will gain insight into the regulatory priorities and concerns surrounding the proposed irrbb regulation in order to streamline their. Prometeias team joins a qualified panel of speakers, leveraging its expertise to address the regulatory challenges for european banks as far as credit spread risk in the banking book is concerned. To create more consistency across the board and get banks in a position where they. Interest rate risk in the banking book conference 6 8 may 2015 new york city, ny, usa gfmi a marcus evans company since the financial crisis, financial institutions have significantly benefited from the low interest rate. In the present value perspective, the risk is quantified as an economic value change of the total banking book cash flow in case of changes in the yield curve. Compliance with the basel committees standards on interest rate risk in the banking book bcbs 368 presents significant challenges to all banks with respect to measurement, calculation and hedging of interest rate risk. Interest rate risk in the banking book irrbb bankinghub. Excessive irrbb can pose a significant threat to a bank.

This conference will give banks the practical insight to optimize their interest rate risk management strategies in an uncertain economic environment. May 08, 2015 this gfmi conference will allow financial institutions to discuss the best strategies to manage interest rate risk in the banking book and capitalize on new rates, whilst maintaining the level of funding. As md of balance sheet risk, svilen is responsible for leading the. This risk is a normal part of banking and can be an important source of profitability and shareholder value. Agenda interest rate risk management strategies and. Interest rate risk in the banking book marcus evans scam. Course on managing interest rate risk in the banking book is going to open on 28 feb and finish on 01 mar 2018 it will be a matchless course at the downtown conference center in new york city, new york usa. A 2 days conference, interest rate risk in the banking book is going to be held in from 26 mar 2018 to 27 mar 2018 focusing on banking. Interest rate risk in the banking book tickets, mon, sep 21, 2020 at. Interest rate risk in banking book irrbb refers to the current or prospective risk to a bank s capital and earnings, arising from adverse movements in interest rates that affect banking book positions.

For example, if rates were to increase and a bank s deposits repriced sooner than its loans, it could result in the bank paying out more interest. Meeting the practical challenges moodys analytics introduction in a world of low interest rates, the thought of what could happen if there is a sudden interest rate. Interest rate in the banking book 2019 5th annual european summit. Interest rate risk in the banking book 2019 5th annual.

Interest rate risk in the banking book 2021 75723 clocate. This includes gap risk, which arises from the term structure of banking book instruments, basis risk. Constandinos vinall actively manage interest rate risk, improve frameworks and advance behavioural models under the ebas final irrbb guidelines to steer banks into the optimal position. The basel committee on banking supervision has today issued standards for interest rate risk in the banking book irrbb. It generally arises from repricing risk, risks related to the timing mismatch in the maturity and repricing of assets and liabilities and off. Banks will also gain a critical, last minute opportunity to. Interest rate risk in the banking book is the current or prospective risk, to both the groups capital and earnings, arising from movements in interest rates, which affect the groups banking book exposures. Interest rate risk in the banking book irrbb june uk. This gfmi conference will allow financial institutions to discuss the best strategies to manage interest rate risk in the banking book and capitalize on new rates, whilst maintaining the level of funding. Edition managing interest rate risk in the banking book. Mar 28, 2012 interest rate risk in the banking book.

Table irrbba provides information on a bank s irrbb risk management objective and policy. Interest rate risk in the banking book is a conference dedicated to understanding, implementation and management of sound irrbb policies. The different challenges of using the value and income approaches. Huseyin gursah joined prometeia in 2014 working as a senior manager after spending more than 7 years in the international banking sector. These standards are intended to replace an earlier guidance set out in the 2004 principles for the management and supervision of interest rate risk. The new framework replaces its previous version from 2004 and sets out nine principles for banks and. As interest rates rise bond prices fall, and vice versa. The optimal strategy to advance your irrbb internally. With the interest rate risk of the banking book, the basel committee on banking supervision bcbs 1 aims primarily to address the potential loss of economic value of institutions from a change in the interest rates called irr and credit spread risk csr in the banking book.

Communication will follow about scheduled training beyond this timeframe. Director of enterprise liquidity and nontrading market risk, focusing on building a global oversight function for all treasury and banking book related liquidity and market risk exposures. If a bank does an interest rate swap with a customer, thats trading book. For example, if rates were to increase and a banks deposits repriced sooner than its loans, it could result in the bank paying out more interest on deposits than the interest it is receiving from loans. Interest rate risk management strategies and irrbb amsterdam. Interest rate risk in the banking book conference fintech. Interest rate risk in banking book masterclass bizenius.

The way ahead executive summary interest rate risk in banking book irrbb refers to the current or prospective risk to a bank s capital and earnings arising from adverse movements in interest. Interest rate risk in the banking book deloitte south africa. Edition managing interest rate risk in the banking book is a conference that covers topics such as. Interest rate risk refers to the risk of loss of a bank s current and future revenues due from trading and banking book assets and the risk of erosion in the value of those assets on account of movement in the rates. The interest rate risk booklet applies to examinations of community banks. This chapter describes requirements on assessing interest rate risk in the banking book, ie the current or prospective risk to a banks capital and. Mar 18, 2020 amid strong financial performance by banks during the longest u. Interest rate risk in the banking book 2021 73973 clocate.