IBOR TRANSITION

Concept and implementation of the reference interest rate for private banking products

 
 

Initial situation

Based on regulatory requirements, a major bank is switching from the most commonly used reference rate, the Interbank Offering Rate (IBOR), to Alternative Reference Rates (ARR). Several banking functions in the CFO and CRO areas are affected and have to consider the necessary changes in their business processes.

Project results

FINYON supports the Asset Liability Management (ALM) function in the preparation and transition to the alternative reference rates for private banking products through project management and business analysis activities. The focus is on the following main tasks:

  • Analysis of the impact of the interest rate conversion, due to the inherent differences between the old (LIBOR) and the new (ARR) benchmark interest rates, on risk management, risk measurement and performance management

  • Review and further development of existing business processes in which reference rates for private banking products are applied, including the definition of the methodology and governance framework

  • Design of the architecture, definition of the functional specifications and implementation of the target infrastructure for processing the new reference interest rates

 

IFRS 17 READINESS 

Project management for an insurance company during the adoption of the IFRS standard

 
 

Initial situation

The IFRS project of an international insurance company pursues the goal of adopting the IFRS standard for group accounting and requires a smooth US GAAP/IFRS transition as well as the coordination of the implementation activities of local IFRS standards. The IFRS project launched at group level requires support in various workstreams.

Project results

FINYON supports the IFRS workstream Accounting Policy as a project management office in the conceptual development and implementation of the governance and clearing process for the evaluation and interpretation of the applicable IFRS accounting standards, in particular for insurance contracts (IFRS 17) and financial instruments (IFRS 9). These tasks include, among others:

  • Take on project and stakeholder management activities within the accounting policy workstream

  • Interface with IFRS project workstreams, in particular the Implementation, Impact Assessment and Training workstreams

  • Support to the Chief Accounting Officer and various Policy Advisory Committees

  • Interaction with external auditors to validate accounting policy decisions as well as monitoring of market developments in the IFRS context

 

GOVERNANCE IN LIQUIDITY MANAGEMENT

Definition of a policy framework for the global liquidity management of a major bank

 
 

Initial situation

A large bank expands and optimises its planning process for global liquidity management. In the process, a target operating model is defined for which, in addition to procedural adjustments, the governance model is also expanded and corresponding internal guidelines are adapted and created.

Project results

FINYON supports the global liquidity management function in defining and documenting the governance model for the short- and long-term liquidity planning process. The following aspects are developed in the process:

  • Design and documentation of the end-to-end management process for planning the required liquidity based on the needs of the individual business units as well as definition of the decision-making process and the interaction of the Group companies involved

  • Definition of the roles and responsibilities of the departments and governance committees involved in the process

  • Creation and expansion of several internal guidelines for controlling and monitoring the liquidity planning process

MODELLING OF VARIABLE PRODUCTS

Optimisation of the modelling of core deposit products for a cantonal bank

 
 

Initial situation

In preparation for the introduction of the revised FINMA circular on interest rate risk management, a cantonal bank is conducting a gap analysis. In the quantitative area, the model for modelling core deposit products must be expanded to meet the new requirements.

Project results

FINYON supports the risk management function of the cantonal bank in evaluating the appropriate approach for modelling core deposit products and implements the selected model in a customised software solution. The following activities are carried out as part of the project:

  • Presentation of possible models for modelling core deposit products and support in selecting the appropriate approach

  • Specification of the business requirements for the model and the corresponding software solution

  • Development and testing of the software solution and training of the employees

  • Advice on the calibration of the corresponding model parameters

INTEREST RATE RISK MANAGEMENT IN THE BANKING BOOK

Design of a limit framework for a globally active bank

 
 

Initial situation

The risk function of a globally active bank is realigning its control framework for interest rate risk. The control framework should be adapted to the organisation and management structure of the bank and comply with the requirements of the Basel Committee on Interest Rate Risk Management in the Banking Book (BCBS 368).

Project results

FINYON supports the risk management function in defining and implementing the control framework, coordinating with all relevant stakeholders and documenting the concept accordingly. Together with the client, the following results are developed:

  • Carrying out a gap analysis of the current situation in relation to the requirements of the Basel Committee

  • Determination and definition of the risk ratios for the banking group as well as preparation of a corresponding governance document

  • Definition of a framework with the limit allocation mechanism based on the organisational structure and coordination with the relevant stakeholders in the Group companies