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Masterclass in Bank Asset & Liability Management
Join a cohort of ambitious learners with our fully online, self-paced certificate programmes
Led by industry experts in a modern, engaging and flexible format, these 4-6-week intensive programmes are design to develop real expertise, challenge your thinking, and build confidence. Built using our social learning platform, the Euromoney Masterclasses consist of weekly on-demand lessons with intermittent live interactive classes/Q&As with a Euromoney subject matter expert to discuss the latest modules and reinforce key takeaways.
• Explain the impact of the regulation on bank’s balance sheet in particular the resources of capital and liquidity and appreciate how the industry is looking to mitigate this impact
• Understand how the application of Internal Methods have generated capital benefits for banks, how ‘Basel IV’ is limiting the extent of these benefits
• Appreciate the impact of IFRS9 impairment charges on balance sheets and how banks are looking to potentially mitigate
• Assess Interest Rate Risk in the Banking Book in line with BIS 368 Standards and have greater awareness of best practice for managing it
• Better mitigate impact of Liquidity Coverage Ratio and Net Stable Funding Ratio
• Apply best practice to their own Individual Adequacy Assessment Processes for Capital and Liquidity and better harmonise these
• 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
• Derive and apply maturity Funds Transfer Pricing [FTP] curves, adjust for regulatory impact on liquidity and capital and have awareness of the ongoing evolution of FTP methodologies in the industry
• Better optimise non-wholesale liquidity portfolios
This programme is designed for those:
• Who are relatively new to ALM/Bank Treasury and want a solid platform of knowledge on which to build their experience.
• Who have worked in a silo of ALM/Bank Treasury for some time but want a more holistic understanding of Bank ALM.
• Who work outside of ALM/Bank Treasury and want a better understanding of why ALM is so crucial to the overall performance of the bank. Most relevant areas are:
o Product Management
o Internal Audit
The following case studies will be employed through the programme:
• Impact of a pandemic – how banks’ balance sheets have been impacted by COVID19 and their tolerance to them
• Mitigating the impact of IRFS9 impairments – modelling ECL to behavioural vs contractual life
• Complying with LCR and NSFR optimally – strategies and operational challenges in doing
• Impact of LCR and NSFR on banks deposits appetite
• Re-thinking stress tests – how have recent/on-going events impacted stress testing in banks
• Determining FTP in illiquid wholesale market environments
Note - A good level of spoken and written English is required to attend this course. Delegates should be of an intermediate standard in English at a minimum. Please refer to the Common European Framework of Reference for Languages - as a guide the level required is B2.
Start Date - 28th September 2020WEEK ONE UNDERSTANDING THE ROLE AND CRITICALLITY OF ALM
Delegates wishing to take this course will receive their access from the date above. Materials will be provided on Euromoney's Social Learning platform, and will be a mix of weekly on-demand lessons with intermittent live interactive classes/Q&As with Euromoney Faculty to discuss the latest modules and reinforce key takeaways.
The course is designed to be primarily self-paced, but allows participants to meet and collaborate with fellow participants, learn from and speak to expert faculty, and access a wealth of learning materials.
Topic 1 – The Basic Toolkit
This topic will ensure that participants understand the basic financial statements of a bank and are equipped with the essential maths skills required throughout the program
• Understanding a bank’s balance sheet
o The role of capital
• Understanding the income statement
o Net Interest Income
o Ancillary income
o Return on Equity [RoE]/Return on Tangible Equity [RoTE]
• Financial Maths Bootcamp
o Simple Interest Calculation and Discounting
o Compound Interest Calculation and Discounting
o Continuous Interest Calculation and Discounting
Topic 2 – ALM and the Role of ALCO
By the end of this topic participants will be able to define Asset and Liability Management, it’s criticality within a bank and additionally be able to explain the role of the Asset and Liability Committee [ALCO].
• Aims of ALM – optimisation of resources within constraints.
• Overview of the risk that ALM manage
• Why has ALM became so challenging and critical in recent years?
• Overview of the ALCO
o What is the role of ALCO?
o Who should attend an ALCO?
o What is considered best practice in running an ALCO?
Topic 3 – Crises and the Impact on the Markets and Regulation
By the end of this topic, participants will have insight into the impact of the 2008-2012 global financial crisis on banks in terms of both commercial and regulatory environment. Additionally they will gain appreciation of how the COVID19 is impacting banks balance sheets and business models and by extension ALM.
• Recap on a crisis:
o What caused the 2008-2012 Global Financial Crisis
o What were the lessons from it?
o What was the response of regulators?
o What was the response of banks
• The impact of COVID19:
o How has/is/will it impact banks?
o Can the banks withstand the impact?
• Predicting the next financial crisis
LIVING WITH THE REGULATION– THE IMPACT OF BASEL III AND IFRS9 AND STRATEGIES TO OPTIMISE
Topic 1 – Impact of Basel III on Capital
This topic will explore the impact of Basel III on banks regulatory capital and by the end of if participants will be able to quantify the scale of the impact and how banks have been impacted in terms of both risk and to
• From I to II to III – recap on the evolution of the Basel accords.
• The impact of Basel III on Risk Constraints
o Changes to the ‘hierarchy or regulatory’ capital
o Changes to RWA’s
o Changes to the quantity and quality of regulatory capital required
• The impact of Basel III on leverage
o The leverage ratio defined.
o Rationale for introducing it
o How has it/will it impact banks?
Topic 2 – Recap on Standardised Model for Credit Risk
By the end of this topic, participants will be able to calculate credit risk regulatory capital using the standardised approach for on and off balance sheet items and use it to compare/assess different commercial opportunities ad consider which is optimal.
• Overview of the Standardised Approach and the Standard Risk Weightings ‘Matrix’
• Adjusting the model for off balance sheet items – Credit Conversion Factors [CCF]
• Adjusting the model for collateral
• Linking capital to gearing and to Returns
Topic 3 – The Internal Ratings Based Approach.
This topic will explore how optimisation may be achieved via the development and deployment of more complex risk management architecture, in particular the IRB approach for calculating credit risk capital. more complex By the end of it, participants will have a thorough understanding of the IRB model for both whoslesale and retail lending.
• Recap on the role of capital
• Defining the IRB exam question – “what capital is required to cover 99.9% of unexpected credit losses within a 1 year timeframe”
• Differentiating between Foundation IRB [FIRB] and Advanced IRB [AIRB]
• The FIRB model for wholesale
• The FIRB model for retail
Topic 4 – BASEL IV
From this topic participants will develop insight into what the final revisions to Basel III announced in 2017 (aka Basel IV) are and how they are likely to impact banks:
• Why the need for the fourth accord?
• What’s changing:
o Amendments to the standardised model
o Amendments to the IRB model
o Other amendments
• How are the changes likely to impact banks?
Topic 5 – Impact of IFRS9
By the end of this topic, participants will be able to explain how as a result of the introduction of IFRS9, expected credit losses have to provisioned for and how the extent to which they have to be so varies thought 3 stages of impairment.
• From IAS39 to IFRS9 – what’s different?
• Rationale/motivation for IFRS9
• 3 stages of impairment
• Impact on standardised vs IRB banks
• Potential Optimisation - Modelling impact of behavioural ECL v contractual ECL
ANALYSING THE GAPS – INTEREST RATE, LIQUIDOITY AND FUNDING RISK MANAGEMENT
Topic 1– GAP Analysis
By the end of this topic, participants will be able to generate a gap analysis for a simulated bank balance sheet and describe the risks that are generated as a result.
• 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
Topic 2 – Interest Rate Risk in the Banking Book [IRRBB]
This topic explores the crucial area of Interest Rate Risk in the Banking Book. By the end of ir participants will understand the sources of IRRBB.
• What is IRRBB and what are the sources of it
• Measuring IRRBB
o Economic Value of Equity [EVE} vs Earnings at Risk [EAR]
o PV01 and DV01
• Review of BIS 368 ‘Final’ Standards for IRRBB
o Treatment of cash flows
o Time bucketing of cash flows
o Discounting of cash flows
o Stressing of cash flows
• Best practice in Structural Hedging
o What to hedge
o When to hedge
o How much to hedge
• Governance and review– keeping the structural hedge appropriate
Topic 3 – Liquidity Coverage Ratio [LCR]
By the end of this topic, participants will be able to describe the rationale behind the Basel III Liquidity and Funding Regime, to calculate the LCR and articulate potential optimal strategies to comply with it.
• Differentiating between liquidity and funding risk
• Evolution of Liquidity and Funding Regulation
• Defining LCR and the regulators motivations for it
• HQLA defined
o Level 1 – qualifying instruments and allowances/hair cuts
o Level 2A – qualifying instruments and allowances/hair cuts
o Level 2B– qualifying instruments and allowances/hair cuts
• Calculating net outflows
o Outflows from deposits/liquidity funding
o Outflows from contingent facilities
o Inflows from loans and maturity Securities Financing Transactions [SFT’S]
• Operational challenges in calculating and strategies to optimise.
Topic 4 – Net Stable Funding Ratio [NSFR]
By the end of this topic, participants will be able to calculate the NSFR, articulate potential optimal strategies to comply with it and describe how LCR and NSFR are intended to work in harmony.
• Defining NSFR and the regulators motivations for it
• What qualifies as Available Stable Funding [ASF]
• What qualifies as Required Stable Funding [RSF]
• Operational challenges in calculating and strategies to optimise.
• How LCR and NSFR are intended to work in Harmony
STEERING THE SHIP – THE ROLE OF ‘ICLAAP’ AND FTP
Topic 1 – Beyond Pillar I
From this topic participants will gain insight into the important role that Pillar 2 ICAAP and ILAAP play not only in communicating the banks ability to manage risk and survive shocks to the regulator but also to the bank itself, By the end of it they will appreciate the cruciality of how these documents should be seen as organic within the organisation and central to the commercial decision making process.
• 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]
Topic 2 – Funds Transfer Pricing (FTP)
By the end of this topic, participants will understand how FTP methodologies have evolved in recent years and why they have had to do so. Additionally they will appreciate how the ‘maturity matched curve approach is considered to be best practice, why this is the case and will be able to derive one from a set of market funding proxies.
• Overview of FTP
• Evolution of FTP methodologies
• Comparing maturity matched to average cost
• Deriving the maturity matched curve
• Constructing the maturity match curve from proxies
• What should the ALCO consider when ‘setting’ the maturity matched curve
Topic 3 - Integrating FTP into management performance reporting
This topic links FTP methodologies to commercial performance management/decision making. At the endo of it participants will understand why it is essential that this achieved, what is considered to be best practice in but also appreciate the importance of balancing complexity of FTP methodologies with effectiveness.
• ‘Behaviouralising’ Portfolios
o Ownership and governance
• Including in management reporting – stock/flow rate blending
• Driving behaviours
o Aligning business incentivisation
o Tools/Products to optimise
• Distributing the cost of unwind
Topic 4 – Pricing with FTP
By the end of this topic, participants will be able to articulate FTP can be reflected in the pricing of both on and off balance sheet items and how the impact of regulatory constraints, such as LCR may also be incorporated into it. Additionally they will have gained insight into how FTP methodologies are evolving and how they are likely to do so in the future.
• 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 a FTP mechanism
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
BiographyGareth’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.