Events

Training: IRRBB – Interest rate risk in the banking book

This training is provided by MORS Software partner Bearning.

The implementation of the latest regulation on interest rate risk in the banking book – the IRRBB – has become a challenge for many banks. Compliance with the IRRBB requires a consistent measurement of interest rate risk and its subtypes (interest rate risk, yield curve risk, basis risk, optionality, and credit spread risk).

Content

IRR mapping and measurement

  • Successful IRR measurement: FTP system and assignment, new benchmarks after cancellation of xIBOR fixings
  • IRR mapping principles: standard bank products, non-maturing deposits/assets (NMD/NMA), embedded optionality decomposition (floorlets/caplets) fixed income products (bonds, swaps, …), other derivatives
  • Refresher: duration, convexity, zero curve, PV01, scenario analysis, VaR, Expected shortfall – pros and cons
  • Understanding the different interest risk components; measuring IRRBB risk sub-types: IR gaps and level risk, yield curve, basis, and optionality, CSRBB

Regulatory requirements and best practices:

  • Overview of regulatory requirements for liquidity and interest rate risk management from Basel I to Basle III reforms
  • BCBS IRRBB standards and EU revised standards (EBA GL 2018/02)
  • Minimum standard for a compliant bank
  • Available regulatory metrics: EaR, EV, EVE, VaR
  • Effective interest risk management framework and dealing with the regulatory challenges

Balance sheet management and IRR hedging

  • Balance sheet management – design and implementation of hedging strategies
  • Financial market instruments for hedging of interest risks: swaps, bonds, futures options (Cap, Floor, Swaption)

Target group

  • Treasury and financial market experts
  • ALM, risk managers and risk controllers
  • Financial professionals and experts from related areas (audit, back-office, compliance ….)
Register Here

Training: IR Benchmark Reform

This training is provided by MORS Software partner Bearning.

The change in reference interest rates affects many financial products. New risk-free rates (RFR) replace the original Interbank offered rates (xIBOR). What impact does the use of the new RFR have on investors, banks, and their customers? What are the legal, technical, and mathematical aspects of the transition to new interest benchmarks?

Content:

  • Original interest rate benchmarks: EURIBOR, EONIA, LIBOR, other xIBOR. History, conventions and usage, development before and after global financial crisis 2008.
  • New IR benchmarks – risk-free rates (RFR): regulatory standards, differences, major currencies benchmarks (ESTER, SOFR, SARON, SONIA, TONAR)
  • RFR application on different financial products: standard banking products (loans with variable rate), usage in FTP system, bonds with variable rate, derivatives (swaps, futures, options)
  • Transition from xIBOR to RFR
  • Alternatives how to apply O/N RFR fixings on longer maturities:
    • backward-looking rate (in-arrears): averaging and compounding
    • forward-looking rate
  • Basis swap in-arrears, case studies & calculation examples
  • Legal issues with new IR benchmarks, ISDA fallback protocol

Target group:

  • Treasury and financial market experts
  • Corporate bankers
  • ALM, risk managers and risk controllers
  • Financial professionals and experts from related areas (audit, back-office, compliance, accounting….)

Register Here

Aalto Talent Expo Virtual Week

MORS Software will participate in Aalto Talent Expo Virtual Week from 5th October to 9th of October 2020. Aalto Talent Expo is a great opportunity for students to explore diverse career paths and employers as well as create contacts and network with employers’ representatives. At the expo, students have the opportunity to find a job, topic for their thesis or a trainee position.

Event page

Nordic ALM Forum 2020 cancelled

After careful consideration, we have decided to cancel the 2020 Nordic ALM Forum, which was re-scheduled for 16 September. While the COVID–19 pandemic has at least momentarily abated, September still does not seem to be right time for the event. This was not a decision taken lightly – Nordic ALM Forum is a key event for Nordic ALM practitioners. However, prioritising the health and safety of the Nordic ALM community, our partners and employees, we believe cancelling the event this year is the right decision.

The 5th Annual European Summit Interest Rate Risk in the Banking Book, London, UK

Regulators and Banks Dissecting the Implications of Regulatory and Market Developments for IRRBB Practice. Featuring Regulators, Heads of ALM, Treasury, Funding, Liquidity and Balance Sheet Management from Banks and specialist Advisors.

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4th annual Bank Treasury Forum, Moscow, Russia

Roadmap for building smart Treasury policy.