Derivatives and Hedging for ALM in
Banking Institutions Course
Duration
After the experiences of the GFC, the continuing low margin environment
and the recent growth in fixed rate mortgage lending, the management of
interest rate risk has never been more important. Reduced margins and
increased interest rate volatility can severely impact an institution’s net
interest margin. This, together with the increasing need to be able to offer
members the full range of lending products, including fixed rate loans,
demands that institutions better manage their interest rate risk through the
use of derivatives. This 1 day course covers the management of nontraded interest rate risk using derivatives as well as all aspects relating to
using and controlling derivative activity.
1 day
Date
Wednesday 6 May 2015
Are you able to tactically manage your interest rate risk
using interest rate derivatives? Are you prepared?
Cost (incl GST)
Registration $1,100
AM Institute Members $935
Presenter
David Tattam
Location
Christie Conference Centre
3 Spring St Sydney
AM Institute CPD
accreditation
6 hours
What you will get out of this course:
• A detailed understanding of the nature of interest rate risk in an
institution’s balance sheet
• An in depth knowledge of interest rate derivatives including interest
rate swaps
• A knowledge of what is required to commence using derivatives and
the related transaction flow including recording deals, deal
confirmation, settlement and rate setting
• A knowledge of the key controls required over derivative hedging
transactions
• An understanding of the hedge accounting requirements for
derivatives under the current and proposed accounting standards,
AASB 139 and AASB 9, how to document hedges, test
effectiveness and create accounting entries
• An appreciation of the fair value of a derivative and what it represents
• An awareness of the risks relating to using derivatives and how to
control them
• The ability to create a Derivatives and Hedging Policy
• The ability to incorporate derivatives into your risk reporting
David Tattam David is a director of Protecht Pty Ltd. He is a specialist in all facets of risk
management and in particular operational and enterprise wide risk management. He is
recognised internationally as an authority on the discipline. Prior to setting up Protecht,
David held roles as the Head of Operations and Risk Management at WestLB Bank and
the Industrial Bank of Japan in Australia and 7 years with PricewaterhouseCoopers. He
currently consults to, and trains in, a range of industries in relation to setting up risk
management functions and implementing systems to ensure successful Enterprise Wide
Risk Management. He has also been instrumental in the development of a fully integrated ERM software solution.
He is an Associate of the Institute of Chartered Accountants in Australia, an Associate of the Institute of
Chartered Accountants in England and Wales, and a Fellow of the Financial Services Institute of Australia.
Course enquiries contact:
Ken Pickering 0410 464 105
ken.pickering@aminstitute.org.au
Workshop Outline
1. Interest Rate Risk
Review of a typical Banking Institution balance
sheet
Identification and analysis of interest rate risk in
the banking book
2. Interest Rate Derivatives
Overview of derivative concepts
Analysis of interest rate swaps
Analysing the effect of interest rate swaps on
the balance sheet and on fixed rate lending
Other interest rate derivatives: Caps, Collars
and Floors, Deferred start swaps, Swaptions
8. Risk Management of Derivatives
Interest Rate Risk Management techniques
and complying with APS 117
Setting risk appetite and limits for interest rate
risk and derivatives
Credit Risk—calculating the regulatory risk
weighted assets
Operational Risk:
Where things can go wrong
Key Controls
Compliance
3. Requirements for transacting derivatives
Counterparties
Obtaining price quotes and what they mean
Legal (ISDA) Documentation
The new product process—steps
9. Reporting
Incorporating derivatives into risk reports
Interpreting risk reports
4. Requirements to manage derivatives
Delegated authorities
Confirmations
Recording—Deal Tickets
Rate Setting
Setting up the appropriate processes
5. Accounting for Derivatives and Hedging
AASB 139 and AASB 9—the current
accounting requirements
Hedge accounting principles
Hedge accounting requirements:
Documentation, Effectiveness Testing
Accounting Entries
Current status of the changes to financial
instrument accounting under AASB 9 and
changes to the hedge accounting rules
The new accounting rules - AASB 9
10. Derivatives and Hedging policy
Contents of the policy document
Incorporating derivatives into risk appetite
11. Practical implementation of a derivatives
capability
The New Product Process—what things need
to be done
What systems, processes and resources are
required?
6. Regulatory considerations
APRA approval
Impact on APRA reports and Regulatory
Capital
7. Fair Value of Derivatives
Fair Value of an Interest Rate Swap
Obtaining Fair Values
New accounting principles for fair value
How to Register: Online Booking: Click Here
Cost: (incl GST) The cost of the program is
$1,100 with a discounted cost of $935 for
AM Institute members. Where three or more
participants attend the same course from the
same organisation, a 10% discount will be
given on all registrations. The fee includes all
materials, lunch, morning and afternoon
refreshments but excludes any travel,
accommodation, breakfast and evening meal
expenses you may incur.
Course Times: Registration commences at
8.30am. The course commences at 9.00am
and concludes at 5.00pm.
Booking Policy: Please read our Booking
Policy prior to booking—to view Click Here
Course enquiries contact:
Ken Pickering 0410 464 105
ken.pickering@aminstitute.org.au