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VAT is applicable on virtual programmes to delegates attending from the UK*. If participating from the EU, a valid VAT number is required to ensure VAT will not be charged under the reverse charge mechanism. VAT is not applicable to attendees from all other countries.
*For virtual courses ran through our Asia office, VAT may be applicable to HK and Singapore residents only. Find out more by contacting learning@euromoney.com

 

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Asset & Liability Management (ALM)

Be better equipped in risk measurement & management auditing with our 3-day virtual course
  • During these challenging times, optimal Asset and Liability Management within a bank is more challenging than ever. The regulation that followed the crisis, in particular Basel III, has meant that optimisation of assets and liabilities is vital in mitigating the ‘hit’ on Return on Equity that the regulation represents.

    This highly interactive workshop, will combine virtual classrooms and discussions with ‘screen off’ individual activity to ensure interactivity and engagement.

    It will leverage the trainers extensive experience and that of fellow delegates/industry peers to explore what, within the industry, is considered best practice of an ALM function. Moreover via real life case studies and excel based simulations explain how the function looks to optimise 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.

    By attending the day workshop, delegates will benefit better equipped to work in or with the ALM function and support the optimisation of the balance sheet they are tasked to achieve.

  • Pre-Program Webinar: Overview of the of Asset and Liability Committee [ALCO]

    • Defining Asset and Liability Management
    • Responsibilities and best practice of Asset and Liability Committee [ALCO]
    • Why has ALM becamse so both challenging and critical in recent years?

    Day 1


    Virtual Class: Linking Asset and Liability Optimisation to Return on Equity
    • Impact of Basel III on the balance sheet
    • Recap on the Standardised Methodology for Credit Risk
    • Credit Conversion Factors
    • Adjusting for Collateral
    • Overview of Internal Rating Based Approach [IRB]
    • Wholesale IRB model
    • Retail IRB Model
    • Potential Capital Optimisation
    • Overview of the final revisions to Basel III aka Basel IV
    • Gearing - Linking asset and liability pricing to returns on capital
    • So what does this mean for ALM and ultimately strategy?

    Group Exercise: Balance Sheet Optimisation
    • Delegates will be split into virtual rooms and asked to share best practice and consider a case study focused on the he impact of Basel III Capital Regime on the RoE generated from a simulated balance sheet.
    • They will discuss the merits of asset lead versus liability lead strategies to mitigate these impacts and discuss best practice of how banks are adapting their strategies to achieve this/what success is dependent upon.

    Virtual Class: Feedback on case study
    • Solution to the case study will be shared and discussed
    • What other factors, both quantitative and qualitative, are likely to be considered will also be explored

    The impact of IFRS9
    • Overview of IFRS 9 – what’s new?
    • Linking IFRS 9 to Asset Performance and Capital
    • The drivers of rising impairment under IFRS 9
    • Further considerations

    Group Exercise: Modelling the impact of IFRS 9
    • Delegates will be split into virtual rooms and asked to model the impact of IFRS9 impairment on a balance sheet and discuss best practice in managing it

    Virtual Class: Feedback on case study

    • Solution to the case study will be shared and discussed. A comparison of modelling Expected Credit Losses to behavioural life as opposed to contractual life shall be considered

    Virtual Class: Asset and Liability Gap Analysis Part I

    • Challenges of Maturity Transformation
    • Selecting appropriate time buckets
    • What does Gap Analysis tell us – distinguishing between the different types of risks
    • What is liquidity risk?
    • What is funding risk?
    • What is interest rate risk?
    • Internal Measures of Liquidity and Funding Risk

    Group Exercise: Construct Gap Analysis

    • Delegates will be split into virtual rooms and asked construct a gap analysis post behavioural analysis of non-maturing liabilities and contingent facilities Activity: For the previous constructed gap analysis calculate the MCO and consider the impact of several stresses.

    Virtual Class: Feedback on case study
    • Solution to the case study will be shared and discussed and challenges in arriving at the appropriate behavioural analysis explored.

    Virtual Class: Asset and Liability Gap Analysis Part II
    • Evolving from Static to Dynamic Gap Analysis – the importance of it
    • What to consider in dynamic gap analysis
    • External Drivers - commercial and macro-economic factors
    • Internal Drivers - asset vs liability strategy
    • Crucially! - Interest rates
    • Determining the Maximum Cumulative Outflow [MCO]
    • Distribution of maturing and non-maturing deposits [NMD’S]
    • Behaviouralisng assets and liabilities
    • Potential Stresses
    • Impact of interest rates shocks
    • Impact of market factors e.g. oil price shocks
    • Impact of other factors e.g. digitalisation
    • Consequences for finding risk and interest rate risk

    Group Exercise: Construct Gap Analysis
    • Delegates will be split into virtual rooms and asked, for the previous constructed gap analysis, to calculate the MCO and consider the impact of several stresses.

    Virtual Class: Feedback on case study
    • Solution to the case study will be shared and discussed

    Day 2

    Virtual Class: Overview of IRRBB

    • The sources of IRRBB
    • How do we measure IRRBB?
    • Sensitivity of income - Earnings at Risk [EaR]
    • Sensitivity of balance sheet - Economic Value of Equity [EVE}
    • Refresher on PV01 and DV01
    • Why is IRRBB so ‘in focus’ currently
    • Overview of BIS 368 ‘Final’ Standards for IRRBB
    • What’s changed
    • Why the change?


    Group Exercise: Calculating EaR

    • Delegates will be split into virtual rooms and asked assess for a simulated banking book the impact on cumulative Net Interest Income arising from a parallel shock in the yield curve.

    Virtual Class: Feedback on case study

    • Solution to the case study will be shared and discussed
    Virtual Class: Measuring Earnings at Risk [EaR]

    • Assessing change in cumulative Net Interest Income [NII]
    • Refresher on PV01 and DV01
    • Structural hedging EaR with swaps
    • Fixed vs fixed or float vs float?
    • Challenges of convexity and how to mitigate
    • Impact of change in loan prepayment rates from interest rate changes
    • Impact of change in deposit redemption rates from interest rate changes
    • What do the standards say?

    Group Exercise: Hedging EaR

    • Delegates will be split into virtual rooms and asked assess the impact of interest rates changes on loan prepayment rates and deposit redemption rates for a banking book, by extension the impact on Earnings at Risk and discuss an appropriate structural hedging program in light of these.

    Virtual Class: Feedback on case study

    • Solution to the case study will be shared and discussed

    Virtual Class: Measuring change in Economic Value of Equity [EVE]

    • EVE defined
    • Time bucketing of cashflows:
    • What is a re-pricing?
    • What to include what not to include?
    • Why are fixed instrument cashflows EVE sensitive but floating instrument cashflows virtually insensitive?
    • Calculating change in EVE
    • Impact of change in loan prepayment rates from interest rate changes
    • Impact of change in deposit redemption rates from interest rate changes
    • What do the standards say?

    Group Exercise: Evaluating EVE
    • Delegates will be split into virtual rooms and asked to calculate the change in EVE resulting from a parallel shock in the yield curve and consider how this would be affected as result of changes in loan repayment and deposit redemption rates.

    Virtual Class: Feedback on case study
    • Solution to the case study will be shared and discussed
    Going beyond Parallel Shocks 

    • Measuring the BIS 368 shocks
    • Parallel shock up and down
    • Short rate shock up and down
    • Curve flattener and steepener
    • Quantum of the shocks by currency
    • How to discount future cashflows – continuous compounding treatment
    • Exponential scaling of short rate shocks and long rate shocks
    • Combining short and long rate shocks for curve flatteners and steepener
    • So what?
    • Setting limits for IRRBB
    • Regulatory limits vs internal limits
    • Integrating into the ICAAP [Pillar II]
    • What to report and when [Pillar III]

    Demo: Modelling 6 IRRBB Stresses

     

    A detailed model of the 6 IRRBB shocks shall be shared and considered, including exponential scaling of short rate shocks, curve flattener and curve steepener. 


    Day 3

     Liquidity Coverage Ratio [LCR]
    • Distinguishing between Liquidity and Funding Risk
    • Evolution of Liquidity Regulation
    • Overview of Basel III Liquidity Regime
    • Liquidity Coverage Ratio [LCR]
    • Net Stable Funding Ration [NSFR]
    • How they work in harmony
    • LCR in detail:
    • What qualifies as High Quality Liquid Assets [HQLA]
    • Outflows from deposits
    • Outflows from undrawn contingent commitments
    • Inflows from loans/maturing Securities Financing Transactions
    • Strategies to optimise
    • Numerator vs denominator lead strategies
    • Operational considerations
    • So what does this mean for ALM and ultimately strategy and liquidity preferences?
    Group Exercise: Calculating LCR
    • Delegates will be split into virtual rooms, asked to calculate LCR from a simulated balance sheet and discuss best practice for complying with the regulation optimally.
     Virtual Class: Feedback on case study
    • Solution to the case study will be shared and discussed
     Virtual Class: Net Stable Funding Ratio [NSFR] and beyond Pillar I
    • NSFR in detail:
    • What qualifies as Available Stable Funding [ASF]
    • Calclulating Required Stable Funding [RSF]
    • Strategies to optimise
    • Numerator vs denominator lead strategies
    • Operational considerations
    • So what does this mean for ALM and ultimately strategy and funding preferences?
    • 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]

    Group Exercise: Calculating NSFR 
    • Delegates will be split into virtual rooms, asked to calculate NSFR from a simulated balance sheet and discuss best practice for complying with the regulation optimally.

    Virtual Class: Feedback on case study 
    • Solution to the case study will be shared and discussed
     The vital role of FTP and deriving a maturity matched FTP Curve
    • Defining FTP
    • What is it?
    • Why have it?
    • Why is it essential in optimizing portfolios?
    • Evolution of FTP methodologies
    • Deriving the FTP Curve - Market sources and proxies
    • Challenges of deriving the curve in an under developed wholesale environment
    • Use of basis and cross currency swaps
    • Ownership and governance
     Group Exercise: Constructing a maturity matched FTP curve 
    • Delegates will be split into virtual rooms and asked to derive a maturity matched FTP curve and discuss best practice for achieving this in an under developed wholesale market environment.
     
    Virtual Class: Feedback on case study
     
    • Solution to the case study will be shared and discussed

    Virtual Class: Optimising Deposits Portfolios 
    • Best practice in managing non-wholesale portfolios
    • Segmenting the portfolio – identifying what to grow, migrate or exit
    • How banks are adapting products/strategies to support optimisation
    • Tools and communications to achieve optimisation
    • Detune and migration strategies – calculating the ‘relasticity’

    Virtual Class: Not so distant future challenges 
    • Future Challenges
    • Basel IV
    • MREL
    • IBOR Transition
    • Remember when zero was a low yield
    • 3 days in 15 minutes – key points and takeaways.
    • Closing comments and wrap up.

  • Our Tailored Learning Offering

    Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company’s exact requirements? If you’d like to do either of these, we can bring this course to your company’s office. You could even save up to 50% on the cost of sending delegates to a public course and dramatically increase your ROI.

    If you want to run this course at a location convenient to you or if you want a completely customised learning solution, we can help.

    We produce learning solutions that are completely unique to your business. We’ll guide you through the whole process, from the initial consultancy to evaluating the success of the full learning experience. Our learning specialists ensure you get the maximum return on your training investment.

  • We have a combined experience of over 60 years providing learning solutions to the world’s major organisations and are privileged to have contributed to their success. We view our clients as partners and focus on understanding the needs of each organisation we work with to tailor learning solutions to specific requirements.

    We are proud of our record of customer satisfaction. Here is why you should choose us to help you achieve your goals and accelerate your career:

    • Quality – our clients consistently rate our performance ‘excellent’ or ‘outstanding’. Our average overall score awarded to us by our clients is nine out of ten.
    • Track record – 10/10 of the world’s largest banks have chosen us as there training provider and we have delivered training across the largest banks and have trained over 25,000 professionals.
    • Knowledge – our 100+ strong team of industry specialist trainers are world leading financial leaders and commentators, ensuring our knowledge base is second to none.
    • Reliability – if we promise it, we deliver it. We have delivered over 25,000 events both in person and online, using simultaneous translation to delegates from over 99 countries.
    • Recognition – we are accredited by the British Accreditation Council and the CPD Certification Service. In an independent review by Feefo we scored 4.2/5 on service and 4.7/5 on Coursecheck
This course can be run virtually online or as an in-house, tailored learning solution

Instructor

  • Gareth Vance

    Biography

    Gareth’s banking career spans more than two decades.From 2010 to 2014 he was Head of Barclays Corporates £110 billion liquidity portfolio, tasked with the end-end ownership of pricing and structuring of the portfolio and ensuring that margins were achieved whilst delivering funding ambitions and regulatory requirements.In parallel to this role from 2012 to 2013, Gareth was Co-Head of the Liquidity Management group (50 FTE and £1bn pa business), sitting on the Corporate ALCO and Global Treasury board and worked with treasury colleagues on the adaptation of Basel III/CRD IV within the Corporate Bank - with a particular focus on LCR/Buffer optimisation. Previous to this, Gareth had senior roles within risk solutions at Barclays, where he collaborated with corporate and investment banking colleagues in structuring and marketing bespoke hedging solutions to corporate clients. Prior to Barclays Gareth spent 10 years at Citi where he worked as a Short Term Interest Rate Trader. During that time he made markets and took proprietary risk in G10 currencies against a backdrop of often significant economic turmoil including the Tiger Crisis, formation of the EUR and implosion of the ‘dot com’ bubble. Since leaving Barclays in 2014 Gareth has been consulting on Asset and Liability management, in particular has been focused on the ‘so what’ of Basel III- looking at overcoming challenges in implementing it, it’s impact on Net Interest Margin and ultimately bank strategy.His ciients to date include Barclays, HSBC, Deutsche Bank, RBC, Credit Suisse, ING, Saudi Hollandi Bank, the Bank of England and Central Bank of Ireland, Saudi Arabian British Bank, Saudi Arabian Investment Bank, Santander, Standard Chartered, Standard Bank, Ahli United Bank, EIB, EBRD and many more.Examples of recent engagements include:On behalf of the EBRD working with treasurers of Egyptian, Serbian and Gerogian banks on adopting Basel III Capital and Liquidity RegimeWith the Group Treasurer and regional Heads of Treasury of a Bahrain HQ Gulf regional bank on optimising non wholesale liquidity portfoliosWith the ALM team of a Saudi Arabian Bank on IRRBB including adopting BIS 368 standardsWith the CFO and Treasurer of a Maltese bank on developing a maturity matched FTP mechanismGareth is passionate about developing and getting the best out of people, teams and businesses. His style is energetic and practical, believing that only through applying knowledge can we truly succeed.