Summary

Learning Outcomes

• Learn to estimate and benchmark capital for IRRBB and make regulatory reporting format.
• Learn to recognise and treat B/S and P&L items and estimate risk impact on net interest income and economic value of equity (DNII and DEVE)
• Learn to distinguish and measure amenable, non-amenable, and less amenable items.

Who should attend?

• Investment & Product teams with Asset Managers
• Risk management department officials
• Officials from CFO Office
• Mid to senior management officials from relevant branches
• ALM/Treasury dept

Course Content

Day 1

Session 1

• Overview to IRRBB
  • Context, regulations, recent developments, structure of regulatory requirements
• Building Blocks and Hedging
  • Zero coupon yield, Yield Curve Techniques, duration, convexity, portfolio duration & PV01, DV01, FRA, IRS, Caps and Floors, Swaptions, Application of hedge products

Session 2

• Behavioural studies
  • Customer behaviour on assets and liabilities, modelling behaviour and prepayment rates
• Embedded products – 30 min
  • Types of embedded products, their nature

Session 3

• Impact Scenarios
  • Building Regulatory scenarios, internal scenarios, stress scenarios
• Identifying, segregating, and bucketing of IR items
  • assets and liabilities, identifying behavioural items, identifying embedded products

Day 2

Session 4

• Amenable items
  • Items, scenarios, estimations
• Not Amenable items
  • Items, treatment for items, scenarios, estimation

Session 5

• Less Amenable items
  • Items, treatment for items, optionality, scenarios, estimation
• Change in economic value of equity (DEVE)
  • Estimates, bank-wide EVE

Session 6

• Estimating Change in income (DNII)
  • Identifying expense and income items, repricing items, methodology, scenarios application, outcome
• IRRBB Outcomes
  • Capital Assessment, drawing inferences, Reporting/Disclosure

Training dates - December 16-17, 2024

Training fees - ₹ 30,000 + applicable taxes