Agenda

Agenda

Effective ALM - Agenda

 

 

Day one - Wednesday 13 November 2019

08:30

Registration and refreshments

09:00

The evolution of ALM and the ALCO process

  • The role of the asset-liability committee and the ALM function within treasury
  • How the treasury supports your bank strategies
  • Operating an efficient ALM model: managing model risk
  • The impact of banking laws on ALM
  • Examining the key challenges of the modern ALM risk manager
  • How can the wider business support ALM?

Speaker: Pascal Vogt, Partner and associate director, treasury, BCG

10:30

Morning break

10:45

Managing and optimising the balance sheet

  • Allocating the balance sheet
  • Behaviour assumptions
  • Balance sheet optimization through optimization model
  • Cash flow predictions and back testing
  • Capital structure optimization
  • Removing silos
  • Top down approach; recommended risk appetite statement and strong public disclosures
  • Liquid vs illiquid assets

Speaker: Tony Morley, Head of group balance sheet management, Bank of Ireland 

12:30

Lunch

1:00

Basel III, basel IV & liquidity frameworks

  • The Basel timeline
  • TLAC/MREL: a comparison
  • Understanding and embedding liquidity risk appetites
  • MREL structuring
  • ILAAP
  • Basel III ratios: LCR, NSFR & Leverage ratio
  • Basel IV: impact analysis
  • Good practice for dealing with the new regulatory framework

Speaker: Filip Charvat, financial risk model oversight manager, TSB Bank

2:30

Afternoon break

3:00

IRRBB

  • Introductory remarks, what is IRRBB and where are we at with it?
  • Setting up an IRR strategy
    • Management philosophies
    • Goals for IRRBB management
    • Translating qualitative statements into a quantitative framework
    • Concrete examples for limit systems and hedging the balance sheet
  • Data quality considerations
  • Modelling IRRBB

Speaker: James Linehan, assistant treasurer & head of asset and liability management, Permanent TSB Bank

4:30

End of course

 

Day two - Thursday 14 November 2019

08:30

Refreshments

09:00

Capital management 

  • Status on bank valuations and outlook
  • Adequate pricing of credits: transfer pricing & RAROC
  • Data & analytics: 360 degrees view on client value
  • Using risk based pricing to set the right price on capital

10:30

Morning break

10:45

Funds transfer pricing

  • What is FTP and what are the benefits
  • Full costs and benefits of funding
  • Thinking about the mismatch centre
  • Repricing premium or term liquidity premium?
  • Basic FTP: the term liquidity premium
  • Building an internal funding framework
  • Adding liquidity risk, liquidity options and market risk

12:00

Lunch

1:00

Data and the treasury

  • What is big data and why is it a valuable treasury asset?
  • Finding information on FX, market-value assumptions, bank data, rates and spread
  • ALM data best practices
  • Leveraging treasury analytics

2:30

Afternoon break

3:00

Recovery and resolution planning

  • Aligning recovery planning with other areas of ALM
  • Ensuring key risk indicators and key recovery indicators relating to funding and solvency
  • Properly assessing recovery capacity for capital and liquidity
  • Utilising ALM for strategic planning

4:30

End of course