Programme

Programme

ALM and Balance Sheet Management | Agenda

Agenda timing is in HKT/SGT

08:4509:00

Registration

08:30 - 09:00

09:0010:00

ICAAP implementation and ILAAP integration

09:00 - 10:00

  • Impact of COVID-19 on timetable & key focus areas
  • ICAAP/ILAAP regulatory expectations
  • Industry practice
  • Implementation challenges
  • Generating returns on your investment

10:0010:15

Morning break

10:30 - 11:00

10:1511:15

Managing interest rate risk

09:00 - 10:01

  • Impact of negative or ultra-low rates on approaches
  • Using financial futures and options to hedge interest rate risk
  • Customized interest rate agreements
  • Securitization of ALM
  • Behaviour assumptions
  • Optimization through behaviour model
  • Cumulative GAP model and duration GAP model

11:1511:15

End of Day 1

17:30 - 17:31

08:3009:00

Registration

08:30 - 09:00

09:0010:00

Operating an efficient ALM model

09:00 - 10:00

  • How ALM can deliver efficiencies and reduce costs
  • Evolution of ALM
  • The role of asset liability committee
  • ALM function within the treasury
  • How the treasury supports your bank strategies
  • Defining, monitoring, and reporting risk appetite
Nicholas Wood

Financial Sector Consultant

FinTorque

Mr Wood is currently the Financial Sector Consultant for the IMF, analysing changes in the provision of financial services in Asia and Emerging Markets and how these are impacting financial stability, smooth functioning of markets and access to bank credit. Mr Wood has special insights into how global banks are adjusting to regulatory reforms and consequences for global financial system.

Previously, Mr Wood was a Bank Treasury specialist for 38 years, of which 27 were spent in Asia, building highly profitable trading rooms, drafting in-depth country branch and subsidiary balance sheet reviews and shaping global Retail and Wholesale business responses to capital and liquidity regulations post GFC. Mr Wood has firsthand experience of managing idiosyncratic and market wide stress across a 60 country banking franchise. He also has in depth knowledge of how regulation affects banks on both a single legal entity and group consolidated basis. 

10:0010:15

Morning break

10:30 - 11:00

10:1511:15

Balance sheet management

09:00 - 10:00

  • BSM Challenges and solutions in the new normal environment
  • Why banks need balance sheet resources
  • Constraints
  • Frequency of reallocation
  • Behaviour analysis
  • Capital considerations
  • Integrated balance sheet optimization
Nicholas Wood

Financial Sector Consultant

FinTorque

Mr Wood is currently the Financial Sector Consultant for the IMF, analysing changes in the provision of financial services in Asia and Emerging Markets and how these are impacting financial stability, smooth functioning of markets and access to bank credit. Mr Wood has special insights into how global banks are adjusting to regulatory reforms and consequences for global financial system.

Previously, Mr Wood was a Bank Treasury specialist for 38 years, of which 27 were spent in Asia, building highly profitable trading rooms, drafting in-depth country branch and subsidiary balance sheet reviews and shaping global Retail and Wholesale business responses to capital and liquidity regulations post GFC. Mr Wood has firsthand experience of managing idiosyncratic and market wide stress across a 60 country banking franchise. He also has in depth knowledge of how regulation affects banks on both a single legal entity and group consolidated basis. 

11:1511:15

End of Day 2

09:00 - 10:00

08:4509:00

Registration

08:30 - 09:00

09:0010:00

Funds Transfer Pricing (FTP)

13:30 - 15:00

  •  
  • FTP changes for the new normal environment 
  • FTP overview
  • Regulatory requirements on cost/benefit attribution
  • Dealing with the different balance sheet components
  • Setting up replicating portfolio
  • Regulatory cost attribution
  • Steering the balance sheet – management overlays
  •  

10:0010:15

Morning break

10:30 - 11:00

10:1511:15

ALM for capital markets

09:00 - 10:00

  • Improving capital adjusted returns in the new normal environment
  • Capital management
  • Liquidity and funding
    • LCR, NSFR, NCCF for capital market products
    • FTP for capital market products
    • Collateral management
  • Business model optimization
    • Centralized funding units
    • XVA desks
    • Financial resource management
       

11:1511:15

End of Day 3

09:00 - 10:00

08:4509:00

Registration

08:30 - 09:00

09:0010:00

Liquidity risk frameworks

09:00 - 10:00

  • Managing liquidity in the new normal environment
  • Improving liquidity
  • New modelling approaches
  • Assessing the character of the liquidity pool
  • Liquidity coverage ratio
  • Net stable funding ratio
  • Trapped liquidity / legal structure
Mayank Bharati

Vice President & Head – ALM & FPA

Societe Generale Bank, India

More than 11 years of extensive experience in Treasury, Liquidity and Market Risk Management. Industry expert in various aspects of balance sheet management with a special focus on ALM, Liquidity Risk, Interest rate risk in balance sheet (IRRBB), Concentration Risk, FTP, Money Markets, Wholesale Funding, Balance Sheet Strategies, Reserve Management, implementation of Basel regulations (including LCR & NSFR), Capital Planning & Management.

Engineer from India’ Top Institute IIT, Delhi & MBA from India’s premier institute NITIE, Mumbai with major in Finance and Operation. Published international research paper on quantitative studies in textile technology and measurement of volatility in equity markets.

Currently heading ALM and FPA desk at SOCIETE GENERALE INDIA.

10:0010:15

Morning break

10:30 - 11:00

10:1511:15

IBOR reform

09:00 - 10:00

  • Impact of COVID 19 on IBOR reform timetable and approach
  • Reassess ALM strategies
  • Evaluate model inventory
  • Handling the transition
    • Derivatives
    • Loans / deposits / securities
  • Alternative benchmarks
  • Risk free rates

11:1511:15

End of course

17:00 - 17:01