Programme

Programme

ALM & Balance Sheet Optimisation | Agenda

08:3009:00

Registration & refreshments

08:30 - 09:00

09:0010:30

Organising your ALM and the role of the individual

09:00 - 10:30

  • 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
  • Defining risk appetite
  • Operating an efficient ALM model: Managing model risk
  • Recovery and resolution planning
  • The impact of banking laws on ALM
    • Impact of regulations: Basel III, IRRBB
       
Nicholas Wood

Founder & Managing Director

FinTorque

  • Advising Zensung (insuretech) and Sunpower Renewables (portable solar) start-ups on strategy and capital raising 
  • Managing Director FinTorque providing innovative, customised and affordable finance & treasury solutions for financial service providers in Emerging & Developing Markets
  • IMF Financial Sector Consultant
  • 4 Global Banks, 36yrs (30 in APAC)
    • Group Treasury Business Head; Asia Treasurer & Country Treasurer (Indonesia, USA); Global Markets Business Manager; Group Market Risk
    • Reshaping business post GFC & Regulations; Balance Sheet Optimisation Tools; Group FTP Policy; Retail Deposit Growth & Securitisation; Trading Room Performance & Efficiency

10:3011:00

Morning networking break

10:30 - 11:00

11:0012:30

Liquidity Management

11:00 - 12:30

  • Product behavioural impact to LCR & NSFR
    • Best practices that optimizes these ratios
    • ALM system to forecast net cash outflow efficiently with minimal manual adjustments and estimation
    • Best practice processes to forecast behavioural/non-contractual cash inflow/outflow
  • Leverage ratio – how this will impact LCR and NSFR
  • Change from cash to collateral margining requirements in mid-2020
    • Effect on ALM and liquidity management
  • Liquidity optimization, deposit pricing
  • Impact of margining requirements
     
Nicholas Wood

Founder & Managing Director

FinTorque

  • Advising Zensung (insuretech) and Sunpower Renewables (portable solar) start-ups on strategy and capital raising 
  • Managing Director FinTorque providing innovative, customised and affordable finance & treasury solutions for financial service providers in Emerging & Developing Markets
  • IMF Financial Sector Consultant
  • 4 Global Banks, 36yrs (30 in APAC)
    • Group Treasury Business Head; Asia Treasurer & Country Treasurer (Indonesia, USA); Global Markets Business Manager; Group Market Risk
    • Reshaping business post GFC & Regulations; Balance Sheet Optimisation Tools; Group FTP Policy; Retail Deposit Growth & Securitisation; Trading Room Performance & Efficiency

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

Embedding Stress Testing and Liquidity Risk into Your Organisation

13:30 - 15:00

  • Understanding Liquidity Risk 
  • Metrics needed to manage Liquidity Risk
  • Understanding roles and responsibilities
  • Introduction to Stress Testing
     
Karen Moss

Director, ALM/BSM senior practitioner

Moody's Analytics

Karen Moss is a Director in Moody’s Analytics. Karen has 15 years of experience in International Banking, with the last 3 years in Asia. She is an expert in liquidity and interest rate risk management. In her last role, she was responsible for managing the balance sheet of Royal Bank of Scotland in Asia Pacific. Prior to this she has worked in various positions in a Treasury capacity in Europe.

Based in Singapore, Karen is responsible for delivering value to our ALM client base, bringing them the latest thought leadership and best practice.

Karen holds a degree in Economics from The University of Birmingham in the UK and the ACTM qualification from the Association of Corporate Treasurers.

15:0015:30

Afternoon networking break

15:00 - 15:30

15:3017:00

Interest Rate Risk in the Banking Book (IRRBB)

15:30 - 17:00

  • Current expectations from Basel
  • Core framework
  • Treatment of NMDs
  • Net Interest Income (NII) vs. EVE
  • IRRBB reporting
  • IRRBB and Risk appetite
  • Managing IRR in practice
  • Behavioral modelling
     
Karen Moss

Director, ALM/BSM senior practitioner

Moody's Analytics

Karen Moss is a Director in Moody’s Analytics. Karen has 15 years of experience in International Banking, with the last 3 years in Asia. She is an expert in liquidity and interest rate risk management. In her last role, she was responsible for managing the balance sheet of Royal Bank of Scotland in Asia Pacific. Prior to this she has worked in various positions in a Treasury capacity in Europe.

Based in Singapore, Karen is responsible for delivering value to our ALM client base, bringing them the latest thought leadership and best practice.

Karen holds a degree in Economics from The University of Birmingham in the UK and the ACTM qualification from the Association of Corporate Treasurers.

17:0017:00

End of Day 1

17:30 - 17:31

08:3009:00

Registration & refreshments

08:30 - 09:00

09:0010:30

Capital Management

09:00 - 10:30

  • Bridging the capital knowledge gap
  • Outsourcing capital optimization to business
  • Capital allocation and optimisation
  • Return on Equity
  • Risk-adjusted return on capital (RAROC)
  • Using risk based pricing to set the right price on capital
     
Nicholas Wood

Founder & Managing Director

FinTorque

  • Advising Zensung (insuretech) and Sunpower Renewables (portable solar) start-ups on strategy and capital raising 
  • Managing Director FinTorque providing innovative, customised and affordable finance & treasury solutions for financial service providers in Emerging & Developing Markets
  • IMF Financial Sector Consultant
  • 4 Global Banks, 36yrs (30 in APAC)
    • Group Treasury Business Head; Asia Treasurer & Country Treasurer (Indonesia, USA); Global Markets Business Manager; Group Market Risk
    • Reshaping business post GFC & Regulations; Balance Sheet Optimisation Tools; Group FTP Policy; Retail Deposit Growth & Securitisation; Trading Room Performance & Efficiency

10:3011:00

Morning networking break

10:30 - 11:00

11:0012:30

Creating shareholder value - impact of different business models on balance sheet management

11:00 - 12:30

  • Key determinants influencing shareholder value creation in banking
  • Case studies: ALCO management for different business models
    • universal bank
    • investment bank
    • regional bank
       
Puay Tin Teo

Executive director, corporate and institutional banking (CIB) structural initiatives

Standard Chartered

Puay Tin is an Executive Director in Stanchart’s Corporate Commercial and Institutional Banking (CCIB) Structural Initiatives team , which focuses on improving business performance by identifying issues and developing solutions to changes in market structure or regulations (e.g. Basel IV, Brexit, interest rate trends and funding approaches). Prior to her current role, she was responsible for managing funding costs and liquidity impacts of Financial Markets, aligning capital resources with business strategies in Treasury and setting up the global prudent valuation framework in Finance for the Bank. Prior to Stanchart , she was in international relations at the Ministry of Finance in Singapore. 

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

Fund Transfer Pricing (FTP)

13:30 - 15:00

  • 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
  • Term liquidity premium, buffer cost calculation
  • FTP approaches in developing and emerging markets
     
Nicholas Wood

Founder & Managing Director

FinTorque

  • Advising Zensung (insuretech) and Sunpower Renewables (portable solar) start-ups on strategy and capital raising 
  • Managing Director FinTorque providing innovative, customised and affordable finance & treasury solutions for financial service providers in Emerging & Developing Markets
  • IMF Financial Sector Consultant
  • 4 Global Banks, 36yrs (30 in APAC)
    • Group Treasury Business Head; Asia Treasurer & Country Treasurer (Indonesia, USA); Global Markets Business Manager; Group Market Risk
    • Reshaping business post GFC & Regulations; Balance Sheet Optimisation Tools; Group FTP Policy; Retail Deposit Growth & Securitisation; Trading Room Performance & Efficiency

15:0015:30

Afternoon networking break

15:00 - 15:30

15:3017:00

Balance sheet management simulation exercise

15:30 - 17:00

  • 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

  • Advising Zensung (insuretech) and Sunpower Renewables (portable solar) start-ups on strategy and capital raising 
  • Managing Director FinTorque providing innovative, customised and affordable finance & treasury solutions for financial service providers in Emerging & Developing Markets
  • IMF Financial Sector Consultant
  • 4 Global Banks, 36yrs (30 in APAC)
    • Group Treasury Business Head; Asia Treasurer & Country Treasurer (Indonesia, USA); Global Markets Business Manager; Group Market Risk
    • Reshaping business post GFC & Regulations; Balance Sheet Optimisation Tools; Group FTP Policy; Retail Deposit Growth & Securitisation; Trading Room Performance & Efficiency

17:0017:00

End of course

17:00 - 17:01