Programme

Programme

ALM & Balance Sheet Optimization Malaysia Programme

Day One - Thursday, 19 September 2019

08:30

Registration and refreshments

09:00

Organising your ALM and the role of the individual

  • The evolution of ALM
  • Driving beyond regulatory compliance
  • Role of the Treasurers and CFOs
  • What is your bank's strategy? How does the regulator support this?
  • ALCO reporting
  • Operating an efficient ALM model
    • Managing Model Risk

Nicholas Wood,  Founder & Managing Director, FinTorque

10:30

Morning break

11:00

Balance sheet optimisation

  • Balance sheet planning
  • Management of funding costs
  • Generating results on balance sheet position
  • Having the right balance sheet mix
    • Product Mix
    • Business Mix

Nicholas Wood,  Founder & Managing Director, FinTorque

12:30

Lunch

13:30

Strategic ALM 

  • What is Strategic ALM
  • The idea of integrated management of financial resources
  • Key challenges
  • Potential features of the final solution
  • How to implement in practice
  • Benefits

Vijay Krishnaswamy,  Partner, True North Partners LLP

15:00

Afternoon break

15:30

Interest Rate Risk in the Banking Book (IRRBB)

  • Current expectations from Basel
  • Core framework
  • Treatment of NMDs
  • Net Interest Income (NII)  vs. EVE
  • IRRBB reporting
  • IRRBB and Risk appetite

Vijay Krishnaswamy,  Partner, True North Partners LLP

17:00

End of course

Day Two - Friday 20 September 2019

08:30

Refreshments

08:45

Fund Transfer Pricing (FTP)

  • How FTP affect a bank’s liquidity reporting
  • Contingent liquidity premium
    • Potential liquidity shocks
  • Stress test liquidity position
  • Optimisation of internal funding
  • Cross-border funding
    • Shortage of local currency funding
    • Fungibility of funding across borders

Nicholas Wood,  Founder & Managing Director, FinTorque

10:00

Morning break

10:15

Balance sheet management simulation exercise

  • ALCO Role Play
    • Balance Sheet Planning Process
    • Balance Sheet Mix
    • Balance Sheet Capital Allocation
    • Asset Momentum
    • Deposit Quality & Price
    • Interest Rate Sensitivity
    • Offshore USD & RMB
    • Supporting delivery of strategy & financial goals

Nicholas Wood,  Founder & Managing Director, FinTorque

11:45

Lunch

12:30

Liquidity framework

  • Metrics we need to manage

  • Scenarios we need to plan for – including stress / contingencies

  • Roles and responsibilities

Nabil Rahman,  Executive Director,  Head Liquidity Management, Treasury Markets (ALM), Standard Chartered Bank

14:00

Regulatory and internal liquidity risk measure optimisation

  • Optimising LCR

  • Setting Board Risk Appetite

  • Managing liquidity for ‘rainy days’

Nabil Rahman,  Executive Director,  Head Liquidity Management, Treasury Markets (ALM), Standard Chartered Bank

15:30

Afternoon break

15:45

Create Higher Shareholder Value – Focus on Returns

  • Pricing client deposits and assets in the regulatory landscape

  • Artificial Intelligence (AI) – How do we need to adapt to the changing world

Nabil Rahman,  Executive Director,  Head Liquidity Management, Treasury Markets (ALM), Standard Chartered Bank

17:00

End of course