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Asset & Liability Management

Learn how the ALM function optimises balance sheet performance and about the current regulatory landscape
  • Course Overview

    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 optimisation of assets and liabilities is vital in mitigating the ‘hit’ on Return on Equity that the regulation represents.

    This intensive 4-day asset and liability management workshop 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 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.

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


    Learning outcomes:

    • 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 came 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 optimising the balance sheet via either capital preservation or margin maximisation 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 incentivisation

    Who should attend?

    • Group Treasurers
    • Chief Risk Officers
    • Accounting and Finance Managers
    • Asset Managers
    • Liquidity Managers
    • Risk Managers and Risk Controllers
    • Risk Officers
    • Auditors and Bank Regulators


  • Day 1

    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]

    Day 2

    Interest Rate and Liquidity Risk

    Session 1: 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 2: 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 3: 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 4: 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]

    Day 3

    Internal Risk Management - Role of Funds Transfer Pricing [FTP]

    Session 1: Evolution of FTP and it’s 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 2: Deriving the FTP Curve

    • Market sources and proxies
    • Secondary Trading
    • CDS
    • Peer spreads
    • Challenges of deriving the curve in an under developed wholesale environment
    • Use of basis and cross currency swaps
    • Ownership and governance

    Session 3: 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 4: 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

    Day 4

    External Risk Management – Role of FX and IR Hedging Products

    Session 1: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 2: 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 3: 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 4: 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?
    • 4 days in 20 minutes – review of key points from the program

  • 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 as an In-house or Tailored Learning programme



    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.


voco Dubai

The course will take place at a central Dubai hotel. The map attached details some of our most frequently used venues