Daniela Soto Peñaloza

FX & Interest Rate Risk in the Banking Book Risk Management

• Responsible of the management of the ALCO Portfolio (PEN 5Bn).
• Responsible of the weekly Market Color send to the local Finance Area and Holding (BBVA Madrid).
• Responsible for IRRBB follow-up, review of models and actionable to drive positioning.
• Monitoring of ALCO's currency risk position and co-management of the hedging program.
• Analysis of ALM's income statement (fixed income portfolio, hedging derivatives, structural financing operations FOREX position and internal operations).
• Monitoring of the domestic and international macro and financial environment.
  

Accomplishments: (1) Development of a mortgage prepayment model that captures the effect of rates volatility (2) Part of the two people in charge of the execution of USD 1,200MM IRS as a positioning strategy for margin sensitivity (3) Part of the executing team of a strategy to increase the portfolio’s duration through the MEF Liability Management: exchange of short term bonds for long term bonds (4) Automation of the FX report through Visual Basic; and automation of the ALCO Portfolio Report.

• Consulting to companies in the financial sector.
• Financial and operational risk analysis.
• Development of financial flows for companies.
  

• Market reports Elaboration
• Construction and analysis of the COAP portfolio.
• Support in monitoring COAP's daily, weekly and monthly collateral.
• Allocation of FTP for business units. Correct pricing for short, medium and long term projects.
• Support in the development of government programs (Reactiva and Reprogramados).
• Support in daily liquidity management.

Achievements: (1) Automation of market deposits reports (2) Elaboration of a Dashboard about the bank situation (liquidity, fixed income portfolio, FX, expected inflows and outflows) and market follow up.