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
       

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
     

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

IBOR to Risk Free Rates

13:30 - 15:00

  • Necessary changes to fallback provisions
  • Possible impacts on internal and external treasury systems
  • Leveraging treasury analytics
  • Managing the ALM implications
  • Transition impact assessment for the balance sheet
  • Structural hedging to reduce interest rate shocks
     

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
     

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
     

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

  • Balance sheet planning
  • Management of funding costs
  • Generating results on balance sheet position
  • Having the right balance sheet mix
    • Product Mix
    • Business Mix
  • Pricing client deposits and assets in the regulatory landscape
     

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
     

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
       

17:0017:00

End of course

17:00 - 17:01