INTRODUCTION
Post
the global financial crisis, the role of the Treasury within a bank is more
challenging than ever. The regulation that followed the crisis, in particular
Basel III, has meant that optimization of assets and liabilities is vital in
mitigating the ‘hit’ on Return on Equity that the regulation represents. This
intensive 15-day asset and liability management training looks to explain the
fundamental role of the ALM function and moreover via real life case studies
and excel based simulations explain how the function looks to optimize balance
sheet performance via the more selective deployment of balance sheet resources.
In addition it will explore the fluid regulatory landscape in which ALM is
functioning and outline what the industry considers as best practice in terms
of dealing with the challenges that landscape presents.
Hence by attending the day training, delegates will be better equipped to work
in or with the ALM function and support the optimization of the balance sheet
they are tasked to achieve.
COURSE OBJECTIVES
By the end of the course,
participants should be able to:
·
Describe the role of the ALM function within a bank
·
Articulate the causes and consequences of the global
financial crisis, the motivation for the regulation that has
come in the wake of it and the impact it has had on the ALM function
·
Explain the impact of the regulation on bank’s balance
sheet in particular the resources of capital and liquidity
·
Understand the role of the ALM function in optimizing
the balance sheet via either capital preservation or margin maximization
achieved by a more selective approach to assets issued and funding raised
·
Appreciate what future challenges lie ahead for the ALM
function in particular from the potential introduction of Basel IV
·
Identify ways in which the wider business can support the
ALM function in dealing with these challenges via, for example, communication
and alignment of business incentivization
DURATION
5 Days
WHO SHOULD ATTEND
COURSE CONTENT
Introduction
Session 1: The evolving role of Asset
and Liability Management [ALM]
· Defining the
role of ALM
· Recap on the
Global Financial Crisis
· What caused it?
· What resolved
it?
· What where the
lessons learnt?
· How has it
impacted ALM functions
Session 2: Linking Asset and Liability
Optimisation to Return on Equity
· Impact of Basel
III on Capital
· The risk
constraint ratio
· The leverage
ratio
· Recap on the
Standardised Methodology for Credit Risk
· Credit
Conversion Factors
· Adjusting for
Collateral
· Gearing -
Linking asset and liability pricing to returns on capital
· So what does
this mean for ALM and ultimately strategy?
Session 3: Optimising Assets - Internal
Rating Based (IRB) approach for Credit Risk
· Incentives for
adopting IRB – more complexity less capital
· Foundation IRB
(FIRB) compared to Advanced IRB (AIRB)
· Constructing the
IRB equation for wholesale
· Constructing the
IRB equation for retail
· Adjusting IRB
for calculation of Economic Capital
Session 4: Traded Market Risk
· Sources of
Market Risk
· Evolution of
Market Risk Regulation
· Measuring Market
Risk using Regulatory VaR and Stressed VaR
· Limitations of
Basel II.5 and overview and Fundamental Review of the Trading Book [FRTB]
Interest Rate and Liquidity Risk
Session 5: Asset and Liability Gap Analysis
· Challenges of
Maturity Transformation
· Selecting
appropriate time buckets
· Distribution of
maturing and non maturing assets and liabilities
· Introduction to
behavioural modelling
· Adjusting for
prepayment and redemption
Session 6: Non-Traded Market Risk -
Overview of IRRBB
· What is IRRBB
and what are the sources of it
· Comparing IRRBB
to CSRBB
· Measuring IRRBB
· Economic Value
of Equity [EVE} vs Earnings at Risk [EAR]
· Review of BIS
368 ‘Final’ Standards for IRRBB
· Treatment of
cash flows
· Time bucketing
of cash flows
· Discounting of
cash flows
· Stressing of
cash flows
Session 7: Liquidity Risk
· Typical
Liquidity Metrics
· Evolution of
Liquidity Regulation
· Basel III
Liquidity Regime
· Liquidity
Coverage Ratio [LCR]
· Net Stable
Funding Ration [NSFR]
· How they work in
harmony
· So what does
this mean for ALM and ultimately strategy and liquidity preferences?
Session 8: Beyond Pillar I
· Overview of the
Individual Capital Adequacy Assessment Process [ICAAP]
· Overview of the
Individual Liquidity Adequacy Assessment Process [ILAAP]
· What stress is
appropriate – what qualifies as ‘severe but plausible’
· Harmonising
ICAAP and ILAAP
· Effective
Recovery and Resolution Planning [RRP]
Internal Risk Management - Role of Funds
Transfer Pricing [FTP]
Session 9: Evolution of FTP and its
role in managing Non Wholesale Portfolios
· Challenges in
Non Wholesale Portfolio Management
· Defining FTP
· What is it?
· Why have it?
· Why is it
essential in optimizing portfolios
· Evolution of FTP
methodologies
· Zero cost curve
· Average cost
curve
· Maturity matched
curve
· The regulatory
view
Session 10: Deriving the FTP Curve
· Market sources
and proxies
· Secondary
Trading
· CDS
· Peer spreads
· Challenges of
deriving the curve in an under developed wholesale envrionment
· Use of basis and
cross currency swaps
· Ownership and
governance
Session 11: Operating FTP
· ‘Behaviouralising’
Portfolios
· Methodologies
· Ownership and
governance
· Including in
management reporting – stock/flow rate blending
· Driving
behaviours
· Aligning
business incentivisation
· Tools/Products
to optimise
Session 12: Pricing with FTP
· Pricing flow
business
· Pricing
‘cushions’/buffers
· Reflecting
regulation in FTP e.g. impact of LCR
· Trends and
trajectories in FTP methodologies – inclusion of capital in a FTP mechanism
External Risk Management – Role of FX and IR Hedging Products
Session 13:Tools for Managing FX and
IR Risk
· Recap on Cash FX
instruments
· Spot
· Forwards
· Swaps
· Deriving
Forwards rates and their applications
· Using FX swaps
to optimize funding
· Interest Rate
Swaps [IRS] defined
· Types of IRS and
their application
· Fixed for
Floating IRS [coupon swaps]
· Floating for
Floating IRS [basis swaps]
· Pricing and
valuation of IRS
Session 14: Applications of Cross
Currency Swaps [XCCY] in managing FX and IR risk
· XCCY swaps
defined
· Application of
XCCY swaps
· Long term FX
risk management
· Synthetic
funding efficiency
· Pricing and
valuation of XCCY swaps
Session 15: Structural Hedging
· Best practice in
Structural Hedging
· What to hedge
· When to hedge
· How much to
hedge
· Governance and
review– keeping the structural hedge appropriate
· Distributing the
cost of unwind
Session 16: Future Challenges for ALM
and wrap up
· Total Loss
Absorbing Capacity [TLAC]/Minimum Requirement for Eligible Liabilities [MREL]
· Overview of
Basel IV – focus on consistency
· What does this
mean for ALM?
GENERAL
NOTES
·
This course is delivered by our seasoned trainers who have
vast experience as expert professionals in the respective fields of practice.
The course is taught through a mix of practical activities, theory, group works
and case studies.
·
Training manuals and additional reference materials are
provided to the participants.
·
Upon successful completion of this course, participants will
be issued with a certificate.
·
We can also do this as tailor-made course to meet
organization-wide needs. Contact us to find out more: training@skillsforafrica.org
· The training will be conducted at SKILLS FOR AFRICA TRAINING INSTITUTE IN NAIROBI
KENYA.
· The training fee covers
tuition fees, training materials, lunch and training venue. Accommodation and
airport transfer are arranged for our participants upon request.
·
Payment should be sent to our bank account before start of
training and proof of payment sent to: training@skillsforafrica.org
Dates | Fees | Location | Apply |
---|---|---|---|
09/09/2024 - 20/09/2024 | $3000 | Nairobi |
Physical Class Online Class |
14/10/2024 - 25/10/2024 | $3950 | Kigali |
Physical Class Online Class |
11/11/2024 - 22/11/2024 | $3000 | Mombasa |
Physical Class Online Class |
09/12/2024 - 20/12/2024 | $3000 | Nairobi |
Physical Class Online Class |