Description

A focused course, tailored for you

IRRBB Implementation for Balance Sheet Risk Advisors

Build the EVE/NII sensitivity framework your banking clients need to pass regulatory review.

Your client's IRRBB submission came back with supervisory questions about EVE shock methodology, NII limit linkage, and behavioural assumption documentation. You need a structured implementation framework, not another read-through of BCBS 368.

$199 one-time

Tailored to your situation. Access within 24 hours. 30-day money-back.

Includes a hand-built implementation playbook delivered alongside course access, generated for your specific situation.

Why this course

Balance sheet risk advisors at large professional services firms work across multiple banking clients simultaneously, each at a different stage of IRRBB implementation. One client needs the shock scenario calibration rebuilt to match EBA Phase 2 requirements. Another needs an NII sensitivity limit framework integrated with its FTP curve. A third needs the full supervisory documentation package before the next ECB targeted review. The common thread is that the technical gap between what the bank's treasury team has built and what the regulator expects to see is always specific, always documented, and always yours to close. This course gives you the implementation architecture for each layer of that gap: how EVE and NII measurement interact under the EBA guidelines, how behavioural modelling assumptions get documented in a form that survives supervisory challenge, and how FTP integrates with the sensitivity limit framework. Every module produces a reusable artefact you can adapt for a client engagement.

What you walk away with

Calibrate EVE and NII shock scenarios to EBA Phase 2 and BCBS 368 parameters and document the methodology in a form that answers supervisory challenge.
Build a behavioural modelling assumption register covering NMD decay rates, prepayment speeds, and pipeline hedges, with a defensible rationale for each parameter choice.
Design an NII sensitivity limit framework that integrates with the client's FTP curve and passes the internal limit-vs-appetite linkage test regulators now require.
Produce the IRRBB supervisory documentation package: model methodology, limit framework narrative, stress scenario rationale, and governance sign-off structure.
Identify the five EVE gaps ECB and PRA examiners flag most frequently in targeted reviews and build pre-emptive responses into the client's next submission.
Adapt the implementation architecture across jurisdictions, moving efficiently from an ECB Significant Institution mandate to a PRA or APRA engagement without rebuilding from scratch.

The 12 modules

Module 1. BCBS 368 and EBA IRRBB Guidelines: What the Regulator Actually Requires

A precise mapping of BCBS 368 and the EBA Phase 2 IRRBB guidelines to the deliverables a supervised institution must produce. Covers the six standardised shock scenarios, the EVE and NII measurement hierarchy, and the specific clauses that supervisors use as the basis for targeted review questions. Ends with a gap-analysis checklist you can run against a client's existing IRRBB framework in the first week of an engagement.

Module 2. EVE Measurement Architecture: Shock Calibration and Discount Rate Selection

How to calibrate EVE shock scenarios to the EBA parallel shift, steepener, flattener, short-rate shock, and long-rate shock parameters without introducing the drift that supervisors catch in sensitivity model reviews. Covers discount rate selection for non-maturity deposits, the treatment of own equity in the EVE calculation, and the documentation standard for shock scenario rationale. Includes a worked example for a mid-size commercial bank balance sheet.

Module 3. NII Sensitivity Measurement: Horizon, Repricing, and the Short-Rate Assumption

NII sensitivity measurement under a 12-month horizon, including how to handle repricing gaps for variable-rate books, the treatment of administered-rate products, and the short-rate assumption that most clients get wrong when the yield curve is inverted. Covers the EBA requirement to show NII sensitivity under both static and dynamic balance sheet assumptions and how to document which assumption the client's board has approved.

Module 4. Behavioural Modelling: NMD Decay Rates, Prepayment Speeds, and Pipeline Hedges

A structured approach to setting and documenting behavioural assumptions for non-maturity deposits, mortgage prepayments, and pipeline hedge portfolios. Covers how to build a parameter register with a clear empirical or judgemental rationale for each assumption, how to document the stability analysis that justifies the NMD core deposit classification, and how to present the assumption review cycle to satisfy the EBA governance requirement. Includes a template parameter register.

Module 5. The EVE-NII Interaction: When the Two Metrics Pull in Opposite Directions

Many IRRBB frameworks optimise EVE and NII independently and then fail the supervisory test of coherence between them. This module covers how to explain the EVE-NII trade-off to a client board in plain terms, how to structure a limit framework that acknowledges the trade-off explicitly, and how to respond when a supervisor asks why the client's hedging strategy reduces EVE sensitivity while increasing NII volatility in a rising-rate scenario.

Module 6. FTP Integration: Linking the Sensitivity Framework to the Transfer Pricing Curve

How to integrate the IRRBB sensitivity limit framework with the bank's funds transfer pricing curve so that the NII limit is not a standalone number disconnected from how the bank prices its loans and deposits internally. Covers the structural FTP curve construction for a multi-currency retail and commercial bank, the IRRBB-adjusted FTP margin, and the documentation the ECB expects to see showing that IRRBB governance and FTP governance are linked at the board level.

Module 7. Limit Framework Design: Appetite, Limits, and the Regulatory Coherence Test

A step-by-step approach to building an IRRBB limit framework that passes the EBA coherence test: the board-approved risk appetite must be traceable through the EVE and NII limits down to the business-line triggers. Covers the structure of a three-layer limit hierarchy, how to set inner limits for the treasury desk and outer limits for the board, and how to document the escalation protocol that regulators require when a limit is breached.

Module 8. Stress Testing IRRBB: Severe but Plausible Scenarios Beyond the Standard Shocks

The EBA Phase 2 guidelines require institutions to run severe-but-plausible scenarios beyond the six standardised shocks. This module covers how to design institution-specific IRRBB stress scenarios for a retail bank, a commercial real estate lender, and a multi-currency wholesale bank, how to document the scenario rationale in a form that satisfies the supervisory plausibility test, and how to integrate IRRBB stress results into the ICAAP capital assessment.

Module 9. Supervisory Documentation Package: The Methodology Document

The IRRBB methodology document is the single most scrutinised deliverable in a targeted review. This module covers the structure regulators expect: model scope, measurement methodology, assumption governance, shock scenario rationale, back-testing results, and the model validation sign-off. Includes a section-by-section template with annotated guidance on the specific language that distinguishes a methodology document that closes a supervisory dialogue from one that opens a new round of questions.

Module 10. Governance and Model Validation: What the Second Line Needs to See

How to structure the IRRBB governance framework so that the second-line model validation team and the board risk committee can discharge their oversight responsibilities without requiring the first-line treasury team to brief them on technical measurement details every quarter. Covers the model validation scope for an IRRBB framework, the annual assumption review process, and the board reporting package that demonstrates ongoing governance without becoming a technical manual.

Module 11. Cross-Jurisdiction Adaptation: ECB, PRA, and APRA IRRBB Requirements

How to move an IRRBB implementation framework across jurisdictions without rebuilding from scratch. Covers the material differences between the ECB IRRBB supervisory expectations under SSM, the PRA SS31/15 requirements, and the APRA APS 117 standard, with a mapping table that shows which components of your client framework need jurisdiction-specific adjustment and which are portable. Includes a checklist for a rapid gap assessment when you take on a new client in an unfamiliar jurisdiction.

Module 12. Delivering the Engagement: From Gap Assessment to Supervisory Submission

How to structure an IRRBB advisory engagement from the initial gap assessment through the implementation workplan to the supervisory submission. Covers how to scope the work to avoid creep, how to manage the client's internal stakeholders across treasury, finance, and risk, and how to deliver a methodology document and limit framework the client's board can own. Includes a sample engagement timeline and a checklist of the most common IRRBB implementation gaps.

How this addresses your situation

Specific modules that map to what you said you are dealing with.

ECB targeted review letter questioning EVE shock calibration: Modules 1, 2, 9.

Client needs NII sensitivity limit linked to FTP curve before next board meeting: Modules 3, 6, 7.

Behavioural assumption register challenged by internal model validation: Module 4.

New engagement in a PRA or APRA jurisdiction: Module 11.

What you get with this course

12 written modules with worked examples specific to balance sheet risk advisory mandates.
Downloadable templates: EVE gap-analysis checklist, NMD parameter register, limit framework structure, IRRBB methodology document section-by-section template, cross-jurisdiction adaptation checklist.
Hand-built implementation playbook tailored to the Balance Sheet Risk advisory context, delivered alongside course access.

What you will have in hand by Day 1, Week 1, Month 1

Within 24 hours your account in the learning environment is provisioned and the tailored implementation playbook is delivered alongside it.

Before and after

Before

You can navigate BCBS 368 and the EBA guidelines but each new client engagement requires rebuilding the EVE and NII framework architecture from scratch, and supervisory questions about behavioural assumptions or FTP linkage consume disproportionate time.

After

You carry a portable IRRBB implementation toolkit: EVE and NII measurement architecture, a behavioural assumption register template, a limit framework structure linked to FTP, and a methodology document template that passes supervisory review. New engagements start from the gap assessment, not from first principles.

What happens if you do not address this

IRRBB supervisory expectations have tightened materially under EBA Phase 2. Clients whose frameworks were adequate three years ago are now receiving targeted review letters. Advisors who cannot close the EVE-NII coherence gap and produce the supervisory documentation package will lose mandates to firms that can.

Who it is for

You advise banking clients on balance sheet risk, interest rate risk in the banking book, or ALM governance. You work at an advisory or professional services firm and carry multiple client mandates simultaneously. You need to be the most credible person in the room when the ECB, PRA, or APRA examiner asks why the EVE sensitivity model diverges from the regulator's published shock parameters.

Who this is NOT for. Treasury staff inside a single bank building their own internal framework. This course is structured for advisors who need a portable implementation toolkit they can adapt across clients with different balance sheet compositions and regulatory jurisdictions.

How it arrives

Text-based course in the Art of Service learning environment, plus downloadable templates and worked examples for every module, plus the hand-built implementation playbook delivered alongside course access.

Time investment. Approximately 8-10 hours across 12 modules. Each module is self-contained and can be read in sequence or used as a reference when a specific supervisory question arises on an active engagement.

Why $199 is the right number

Reading BCBS 368 and the EBA guidelines directly gives you the regulatory text but not the implementation architecture. Internal firm training on IRRBB covers the concepts but rarely produces reusable client-ready templates. This course is structured for advisors who need to move from supervisory requirement to client deliverable without rebuilding the framework each time.

FAQ

Is this relevant if my clients are outside the EU?

Yes. Module 11 maps the ECB, PRA, and APRA IRRBB requirements side by side. The core EVE and NII implementation architecture in Modules 1-10 is jurisdiction-portable; the adaptation layer for each regulator is covered explicitly.

Does the course cover the standardised approach under BCBS 368?

Yes. Module 1 covers the standardised shock scenarios and the simplified standardised approach. Modules 2 and 3 build the EVE and NII measurement architecture that sits above the standardised floor.

Can I use the templates directly in a client engagement?

The templates are structured as working frameworks with annotated guidance. They need to be adapted to each client's balance sheet composition and regulatory jurisdiction, which is what Module 12 covers.

30-day money-back guarantee. If after a week of working through the materials this is not what you needed, reply to the receipt email and a full refund is processed. No questions, no forms.

Within 24 hours your account in the learning environment is provisioned and the tailored implementation playbook is delivered alongside it.