Presentazione Aziendale Obiettivi Processo operativo e risultati Analisi dei modelli reddituali e patrimoniali per la misurazione del Interest Rate Risk in the Banking Book (IRRBB) Implementazione del Fund Transfer Pricing (FTP) in un sistema di Asset Liability Management (ALM)

1. Il fund transfer pricing in un sistema di Asset
Liability Management
Pasquale Attanasio
Giuseppe Flagiello
Antonio Miggiano
Vittorio Paduano
Salvatore Sparaco Diglio
MFA - MASTER IN FINANZA AVANZATA, RISK, FINTECH & BIG DATA

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INDICE
Presentazione Aziendale
Obiettivi
Processo operativo e risultati
1
2
3

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PRESENTAZIONE AZIENDALE
1974
è fondata da un
gruppo di giovani
professori
universitari
diventa un
“think tank”
leader nella
ricerca
economica e
finanziaria
apre la
divisione
consulenza
diventa
leader
nella
consulenza
per i servizi
finanziari
fine
90
2005
2015
diventa
fornitore
leader di
soluzioni
software in
Europa
meridionale
riceve il primo
riconoscimento
internazionale nelle
soluzioni per il Risk e
Wealth Management
2010
inizia l’espansione
nei mercati emergenti diventa
challenger
in Europa,
Africa
e Medio
Oriente
market
leader
in oltre
20 paesi
nell’area
EMEA
Prometeia
2019

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PRESENTAZIONE AZIENDALE

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OGGETTO DEL LAVORO
Analisi dei modelli reddituali e
patrimoniali per la misurazione del
Interest Rate Risk in the Banking Book
(IRRBB)
Implementazione del Fund Transfer
Pricing (FTP) in un sistema di Asset
Liability Management (ALM)

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DATABASE OPERATIVO
ID Product Position Amount Rate type Index parameter
1 C/C liability 18,000 at sight
2 C/C liability 5,000 at sight
3 Time depo liability 1,500 fixed
4 TLTRO liability 3,500 fixed
5 Bond Issuance liability 4,500 fixed
6 Bond Issuance liability 4,500 fixed
7 Bond Issuance liability 1,000 fixed
8 Other non interest bearing liabilities liability 3,500 N/A
9 Own Funds liability 5,500 N/A
10 C/C asset 1,500 at sight
11 Time depo asset 1,250 fixed
12 C/C asset 2,500 at sight
13 C/C asset 6,000 at sight
14 Loans asset 14,000 floating Euribor 3M
15 Loans asset 5,000 fixed
16 Loans asset 7,000 fixed
17 Loans asset 1,000 fixed
18 Bonds asset 5,750 fixed
19 Other non interest bearing assets asset 3,000 N/A
20 IRS hedging – long leg off balance 4,500 fixed
21 IRS hedging – short leg off balance 4,500 floating Euribor 6M
Amounts in millions of euro.

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STATO PATRIMONIALE GESTIONALE
OUTSTANDING RATES INTERESTS 1Y
DURATION
YEARS
AVG. FTP
AVG. FTP BASE
RATE
ASSETS 47,000 2.86% 1,344.81 2.24 1.06% -0.01%
Loans&Receivables – Financial Institutions 2,750 -0.24% -6,639.5 0.08 -0.36% -0.36%
Loans&Receivables – Customer 35,500 3.14% 1,115.70 2.03 1.14% -0.03%
Debt securities 5,750 4.10% 235.75 5.69 1.82% 0.25%
Other non-interest-bearing 3,000 N/A 0 N/A N/A N/A
LIABILITIES 47,000 0.35% 165.10 1.68 0.45% -0.07%
Deposits - Financial Institutions 5,000 -0.05% -2.25 1.31 0.02% -0.18%
Deposits – Customer 23,000 0.10% 24.10 2.37 0.77% -0.09%
Debt securities issued 10,000 1.43% 143.25 1.76 0.31% -0.06%
Other non-interest-bearing 3,500 N/A 0 N/A N/A N/A
Own funds 5,500 N/A 0 N/A N/A N/A
Total (cash position) 2.51% 1,179.71
DERIVATIVES 0.75
Swap - long position 4,500 0.95% 42.75 1.24 N/A N/A
Swap - short position 4,500 0.73% 32.85 0.25 N/A N/A
TOTAL 1,189.61 N/A N/A
Amounts in millions of euro.

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MODELLI REDDITUALI
Maturity Gap
∆𝑁𝑁𝑁𝑁𝑁𝑁 = 𝑅𝑅𝑅𝑅𝑅𝑅 ∗ ∆𝑟𝑟 − 𝑅𝑅𝑅𝑅𝑅𝑅 ∗ ∆𝑟𝑟 = 𝐺𝐺𝐺𝐺𝐺𝐺 ∗ ∆𝑟𝑟
Repricing Gap
∆𝑁𝑁𝑁𝑁𝑁𝑁 = �
𝑖𝑖=1
𝑛𝑛
𝐺𝐺𝐺𝐺𝐺𝐺𝑖𝑖(𝑇𝑇 − 𝑡𝑡𝑖𝑖)∆𝑟𝑟

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REPRICING GAP PER YEAR
8/17

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REPRICING GAP PER MONTH
8/17
-15,000
-11,000
-7,000
-3,000
1,000
5,000
9,000
13,000
17,000
20,000
Jan
10,000
-13,337
Feb
1,250
-97
Mar
18,589
-97
Apr
-97
May
-97
Jun
89
-97
Jul
-97
Aug
1,000
-97
Sep
89
-97
Oct
-97
Nov
-1,097
Dec
89
-97
Months (2020)
Amount
(millions
of
€)
ASSETS
LIABILITIES
OFF BALANCE
CUMULATIVE GAP

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DELTA NET INTEREST INCOME
SHOCK MAGNITUDE
+100 bps -100 bps +200 bps -200 bps
ASSETS 220.65 -220.65 441.30 -441.30
loans&receivables - financial institutions 25.48 -25.48 50.96 -50.96
loans&receivables - customer 195.17 -195.17 390.34 -390.34
debt securities 0 0 0 0
other non interest bearing assets 0 0 0 0
LIABILITIES 129.31 -129.31 258.63 -258.63
deposits - financial institutions 13.77 -13.77 27.53 -27.53
deposits - customer 114.70 -114.70 229.40 -229.40
debt securities issued 0.85 -0.85 1.70 -1.70
other non interest bearing liabilities 0 0 0 0
own funds 0 0 0 0
Total (cash position) 91.34 -91.34 182.67 -182.67
DERIVATIVES
swap - long position 0 0 0 0
swap - short position 33.90 -33.90 67.81 -67.81
TOTAL 57.43 -57.43 114.86 -114.86
% of NII 1Y 4.83% -4.83% 9.66% -9.66%
Amounts in millions of euro.

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MODELLI PATRIMONIALI
Duration Gap
∆𝐸𝐸 = −𝐴𝐴
𝐷𝐷𝐴𝐴
(1 + 𝑟𝑟)
∆𝑟𝑟 − −𝐿𝐿
𝐷𝐷𝐿𝐿
(1 + 𝑟𝑟)
∆𝑟𝑟
Full Evaluation
∆𝑃𝑃𝑃𝑃 = 𝑃𝑃𝑃𝑃(𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐) − 𝑃𝑃𝑃𝑃(𝑠𝑠𝑠𝑠𝑠𝑠𝑠𝑠 𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐)

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MODELLI PATRIMONIALI: DURATION GAP
SHOCK MAGNITUDE
+100 bps -100 bps +200 bps -200 bps
ASSETS -1,241.08 1,241.08 -2,482.16 2,482.16
loans&receivables - financial institutions -2.10 2.10 -4.19 4.19
loans&receivables – customer -836.17 836.17 -1.672.34 1.672.34
debt securities -402.82 402.82 -805.63 805.63
other non interest bearing assets 0 0 0 0
LIABILITIES -913.66 913.66 -1,827.33 1,827.33
deposits - financial institutions -71.37 71.37 -142.74 142.74
deposits – customer -607.87 607.87 -1,215.74 1,215.74
debt securities issued -234.42 234.42 -468.85 468.85
other non interest bearing liabilities 0 0 0 0
own funds 0 0 0 0
Total (cash position) -327.42 327.42 -654.84 654.84
DERIVATIVES
swap - long position -90.12 90.12 -180.25 180.25
swap - short position -11.22 11.22 -22.44 22.44
TOTAL -406.32 406.32 -812.64 812.64
% of OWN FUNDS -7.39% 7.39% -14.78% 14.78%
Amounts in millions of euro.

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MODELLI PATRIMONIALI: FULL EVALUATION
SHOCK MAGNITUDE
+100 bps -100 bps +200 bps -200 bps
ASSETS -1,408.46 1,532.78 -2,705.20 3,204.32
loans&receivables - financial institutions -2.05 2.07 -4.08 4.17
loans&receivables - customer -1,016.02 1,111.76 -1,946.70 2,331.24
debt securities -390.38 418.95 -754.42 868.91
other non interest bearing assets 0 0 0 0
LIABILITIES -1,181.07 1,259.48 -2,290.13 2,604.49
deposits - financial institutions -64.80 66.64 -127.82 135.20
deposits - customer -937.45 1,008.55 -1,809.93 2,095.00
debt securities issued -178.82 184.29 -352.38 374.29
other non interest bearing liabilities 0 0 0 0
own funds 0 0 0 0
Total (cash position) -227.39 273.30 -415.08 599.84
DERIVATIVES
swap - long position -56.28 57.56 -111.31 116.44
swap - short position -12.41 11.24 -23.68 23.64
TOTAL -271.25 319.62 -502.70 692.63
% of OWN FUNDS -4.93% 5.81% -9.14% 12.59%
Amounts in millions of euro.

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IMPLEMENTAZIONE FTP
Product Amort. scheme
Rate
type Customer rate FTP - base rate FTP - liquidity spread FTP (total)
C/C at sight at sight 0.12% -0.03% 0.95% 0.92%
C/C at sight at sight 0.05% -0.28% 0.53% 0.25%
Time depo bullet fixed -0.15% -0.37% 0% -0.37%
TLTRO bullet fixed 0% -0.10% 0.29% 0.19%
Bond Issuance bullet fixed 1.50% -0.04% 0.44% 0.40%
Bond Issuance bullet fixed 0.95% -0.17% 0.14% -0.03%
Bond Issuance bullet fixed 3.30% 0.34% 1.14% 1.48%
Own Funds N/A N/A N/A N/A N/A N/A
Other non interest bearing Liabilities N/A N/A N/A N/A N/A N/A
C/C at sight at sight -0.36% -0.37% 0% -0.37%
Time depo bullet fixed -0.10% -0.35% 0% -0.35%
C/C at sight at sight 3.60% -0.37% 0% -0.37%
C/C at sight at sight 4.35% -0.37% 0% -0.37%
Loans linear amortizing floating 2.38% -0.37% 1.49% 1.12%
Loans linear amortizing fixed 4.10% 1.18% 2.64% 3.82%
Loans bullet fixed 3.10% 0.25% 1.05% 1.30%
Loans bullet fixed 0.95% -0.24% 0.07% -0.18%
Bonds bullet fixed 4.10% 0.25% 1.57% 1.82%
Other non interest bearing Assets N/A N/A N/A N/A N/A N/A
IRS hedging bullet fixed 0.95% N/A N/A N/A
IRS hedging bullet floating 0.73% N/A N/A N/A

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FULL EVALUATION FTP
SHOCK MAGNITUDE
+100 bps -100 bps +200 bps -200 bps
ASSETS -1,074.81 1,168.60 -2,065.08 2,441.58
loans&receivables - financial institutions -2.05 2.07 -4.08 4.17
loans&receivables - customer -728.50 796.24 -1,396.45 1,668.53
debt securities -344.26 370.29 -664.55 768.87
other non interest bearing assets 0 0 0 0
LIABILITIES -761.43 798.69 -1,475.93 1,680.86
deposits - financial institutions -64.71 66.55 -127.64 135.01
deposits - customer -521.30 551.34 -1,002.61 1,178.62
debt securities issued -175.42 180.81 -345.67 367.23
other non interest bearing liabilities 0 0 0 0
own funds 0 0 0 0
Total (cash position) -313.38 369.91 -589.16 760.72
DERIVATIVES
swap - long position -56.28 57.56 -111.31 116.44
swap - short position -12.41 11.24 -23.68 23.64
TOTAL -357.24 416.23 -676.78 853.52
% of OWN FUNDS -6.50% 7.57% -12.31% 15.52%
Amounts in millions of euro.

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-4.93%
5.81%
-9.14%
12.59%
-6.50%
7.57%
-12.31%
15.52%
-15%
-12%
-9%
-6%
-3%
0%
3%
6%
9%
12%
15%
18%
+100 bps -100 bps +200 bps -200 bps
%
Own
Funds
Shock Magnitude
Customer Rate
FTP Base Rate
15/17
CONFRONTO FULL EVE: CUSTOMER RATE VS FTP BASE RATE

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COMPONENTI DEL CUSTOMER RATE
Fund Transfer
Pricing
Expected Loss and
Return on Capital
Costs/Mark-up
Base
Rate
Cost
of
Funding
Expected
Loss
Unexpected
Loss
Operational
Risk
Industrial
Costs
Economic
Value
Added
Customer
Rate

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Danilo
Catalano
(Tutor)
Pasquale
Attanasio
(Team Leader)
Giuseppe
Flagiello
(Member)
Antonio
Miggiano
(Member)
Vittorio
Paduano
(Member)
Salvatore
Sparaco Diglio
(Member)
GRAZIE PER L’ATTENZIONE