Bank ALM and NMDs: Hedging Bank NMDs in an Environment of Extreme Low / Negative Interest Rates

Non-maturity deposits (NMDs) are a simple and traditional bank product offered universally, but they create interest rate risks that are relatively complex to measure and manage, particularly in an environment of extreme low / negative rates. In this webinar BTRM Faculty member Patrick Carey sets out a framework that:
- Integrates the Net Interest Income (NII) and Economic Value (EV) view of the interest rate risks arising on NMDs
-Allows the effectiveness of standard hedge prescriptions to be assessed.
The lecture addresses specifically the challenges of applying conventional ALM hedging techniques in the presence of negative convexity arising from a zero rate floor and the customer option to vary deposit balances.
Presenter: Patrick Carey is a former Head of Group Market Risk for the Bank of Ireland Group (retired 2018), where he was responsible for ensuring that the bank measured, managed and controlled the full range of market risks, IRRBB and other market-related structural risks to which it was exposed. He was a member of Bank of Ireland’s Asset and Liability Committee and the European Banking Federation’s Committee on Interest Rate Risk in the Banking Book (IRRBB). Patrick works as a independent consultant and lecturer, operating as Independent Market Risk Consulting (imr-consult.com).
The Certificate of Bank Treasury Risk Management (BTRM)
Next Start Date: Wednesday 5th October 2022
The BTRM has partnered with University of Northwestern Switzerland (FHNW) to offer the programme jointly. We are very proud to be associated with such a prestigious institution, which of course benefits graduating BTRM students who will now be awarded their Certificates from FHNW.
Our partnership with the University of Northwestern Switzerland (FHNW) means all students are awarded the BTRM certificate and also a Certificate of Advanced Studies (CAS) from a prestigious European University, now badged as the International Double Degree BTRM and CAS Bank Treasury Risk Management.