Strategic Asset-Liability Management and Integrated ... · Integrated Balance Sheet Management Masterclass Your Comprehensive Course Agenda T: +91 988 699 4381 Email: [email protected]

https://bizenius.com/trainings/banking-finance/salmibsm/

Strategic Asset-Liability Management and Integrated Balance Sheet Management Masterclass

On this course you will: • Knowledge of the ALM regulatory environment • How to create and maintain an effective ALM

strategy • How to integrate strategic ALM and optimize the

balance sheet • How IRR metrics and scenarios impact on behavioral

modelling and interest rate risk • How to model balance sheet risk to optimize balance

sheet management • FTP concepts and how they affect liquidity reporting • Application of machine learning and big data to

balance sheet management

https://bizenius.com/trainings/banking-finance/salmibsm/ T: +91 988 699 4381 E: [email protected]

Strategic Asset-Liability Management (ALM) can significantly improve financial performance by delivering a better balance between returns and risks across a more comprehensive set of both on- and off-balance sheet assets and liabilities.

This advanced programme covers best practice in ALM as well as ALM’s role as a strategic function in financial institutions.

Beyond full coverage of the key ALM areas of interest rate, liquidity, FX and credit risks, their measurement and best practice management; the course also integrates all key risks into a state-of-the-art constrained optimization solution for ALM, compliant with the – now clearer – suite of regulatory requirements banks face going into “Basel IV”.

Practical application and strategic decision making are emphasized throughout the programme via real-world case studies and workshops, which focus on international best practices and explore the experiences of a range of institutions.

Key Learning Objectives:

• Gain a solid knowledge on how to measure and manage all key risks faced in ALM, including through use of derivatives and dynamically over time

• Learn how to set appropriate incentives through funds and full transfer pricing and economic value added frameworks to strategically steer the balance sheet

• Learn how IRR metrics and scenarios impact on behavioural modelling and interest rate risk

• Knowledge of the ALM regulatory environment

• Gain hands-on experience to conduct ALM holistically, integrating all key risks, and subject to all regulatory and risk constraints, to optimize earnings and balance sheet resilience

• Learn how to create and maintain an effective ALM strategy

• Learn how to integrate strategic ALM and optimize the balance sheet

• Learn how to model balance sheet risk to optimize balance sheet management

• FTP concepts and how they affect liquidity reporting

• Learn how to organize your ALM function efficiently

Course Objectives About BIZENIUS

BIZENIUS offer a wide range of professional training courses designed to give you the skills and strategic edge your industry de-mands. Our course content is always fresh, never generic and continually updated to ensure our curriculum reflects the diverse landscape of innovation across Energy & Re-sources, Banking, Telecom, Finance & Invest-ment, Oil and Gas, Mining, Construction and more.

Whether you want to learn the fundamentals or expand your knowledge with advanced training, we’ve got a programme for you. Our technical and non technical training courses within the industry offer a variety of levels to help you be productive in your work. We offer Introductory and expert level courses as well as customer specific on site training are also offered upon request.

Course Requirements And Certificates

Delegates must meet two criteria to be eligible for BIZENIUS Certificate of Completion for a course:

1. Satisfactory attendance – delegates must attend all sessions of the course. Delegates who miss more than 6 hours of the course sessions will not be eligible for the certificate

2. Successful completion of the course exercises Delegates who meet the above criteria will receive BIZENIUS Certificate of Attendance.

Course Assessment

Your understanding of the course content will be assessed by completion of course exercises in the classroom and active participation.

Who Should Attend • Members of the Asset Liability Committee (ALCO) • Treasury professionals • Money market and FX traders • Management of credit, deposit and other major business

units • Liquidity investment managers and traders • Capital markets teams covering financial institutions • Strategic planning professionals • Risk managers and risk controllers • Financial officers and auditors (internal and external) • Regulators overseeing banking, investment and trading

books • IT professionals specializing in treasury systems • Supervision/Regulation

Day 1:Risk Measurement and Management in ALM

• Overview of ALM • ALM’s expanding role in managing risks and returns

across the bank • ALM organization overview • Key risks managed – interest rate, liquidity, FX and credit

risks • Strategic ALM – Use of funds transfer pricing, full

transfer pricing and economic value added (EVA) to steer the balance sheet

• ALM as a constrained optimization problem – maximizing profit subject to compliance with all regulatory and internal constraints holistically

Interest Rate Risk • Earnings and economic value of equity (EVE) impacts of

interest rate risk (IRR) • Earnings-based IRR measurement models – repricing

gap, maturity-adjusted repricing gap, marginal and cumulative gaps, standardized gap

• EVE IRR measurement models – duration gap, cash flow mapping, duration intervals, modified residual life, clumping

• IRR measurement in the trading book – VAR and expected shortfall; FRTB treatment

• Behavioural and financial options – non-maturity deposits, pre-payments, term deposits, automatic interest rate options

• Basis risk • Yield curve twist and curvature risk • Dynamic analysis of net interest income risk • Managing net interest income risk across currencies • Estimating asset and liability volatilities and correlations • IRR stress-testing and earnings-at-risk • IRR hedging techniques using interest rate swaps,

swaptions, caps/floors/collars, futures, swap futures, forward rate agreements

• New BCBS standards for Interest Rate Risk in the Banking Book (IRRBB)

• Estimating deposit interest rate elasticities

Liquidity Risk • Key sources of liquidity risk – maturity mismatch,

collateral posting requirements and off-balance sheet • LCR and NSFR • Liquidity stress-testing • Key behavioural options – deposits (demand and time);

pre-payable/revolving loans; liquidity/credit facilities • Deposit modelling under stress – deterministic, historic

and stochastic factor models

• Collateral management – CSAs, initial margin requirements, central clearing

• Funding Value Adjustment (FVA) and Margin Value Adjustment (MVA)

• Stressed derivative collateral posting requirements – modelling for ratings triggers and stressed financial market conditions

• Contingency funding plan

Credit Risk • Key sources of credit risks – loans, bonds and

counterparty credit risk • Expected and unexpected credit losses, including

expected credit loss measurement and dynamics under IFRS 9

• Credit value at risk • Using credit derivatives to manage loan book credit risk • Use of securitization for credit risk transfer, funding and/

or capital efficiencies • Options for NPL management – outsourced collections;

sale; creation of non-core units; securitization; EVA approach as best practice

• Counterparty credit risk – Credit value adjustment (CVA); CVA hedging; use of proxies for counterparty credit curves; new standardized approach for CVA (SA-CVA) and how best to arrange derivatives activities for CVA capital efficiency

Strategic ALMALM Optimization

• Recap of key regulatory requirements within which ALM must be conducted – Basel 3 Pillar 1 capital requirements; LCR and NSFR; leverage ratio; Pillar 2 capital and liquidity requirements; total loss absorbency capacity (TLAC) and minimum requirement for eligible liabilities requirement (MREL); various “Basel 4” components including revised standardized approach for credit risk, SMA (operational risk), SA-CVA, new market risk standard (FRTB), IRRBB and capital output floor

• How should banks think of ALM as a constrained optimization problem to maximize earnings subject to these various regulatory requirements as well as internal risk limits



Your Comprehensive Course Agenda

T: +91 988 699 4381 Email: [email protected]

Would you like to run this course in-house?

customised training solutionsThe in-house training division of BIZENIUS

“I have been to many ERM programs and this is the best one I have attended. It is very comprehensive and in-depth. The consultant is a very knowledgeable professional.”

“After attending this course: I have a clear idea of what I need to do; More importantly, the ERM as a tool is clearly more important to the success of an enterprise than I though before attending the course!”

“The trainer was an excellent instructor and shared a rich knowledge and experience of entity risk management. I am confident that I can take what I have learned and apply it immediately. BIZENIUS provided excellent training and the team was professional and responsive”

Read Some of The Comments Past Delegates Have Made About This Course

Day 2Collateral Management

• Understanding Credit Support Annexes (CSAs) • New regulatory requirements for initial margin • Central clearing • Collateral management – rehypothecation vs.

segregation; “cheapest to deliver” collateral optionality; managing the liquidity buffer composition in different stress scenarios

• Funding Value Adjustment (FVA) as a measure of the net cost of variation margin collateral posting

• Margin Value Adjustment (MVA) as a measure of the cost of initial margin collateral posting

• Stressed derivative collateral posting requirements – modelling for ratings triggers and stressed financial market conditions

• How should we manage the liquidity buffer?

Risks and Returns in Fair Value Portfolios • Strategic use of trading book and investment/available

for sale portfolios • VAR, stressed VAR and expected shortfall frameworks

for monitoring risk • Measuring returns on risks taken in fair value portfolios • Risk limit setting • ALM oversight of market risks to control capital and

funding impacts

Funds Transfer Pricing. Full Transfer Pricing and Economic Value Added

• Accurate business unit performance measurement as key to capital allocation

• Transfer pricing broadly as the way to achieve accurate performance measurement and to steer the balance sheet

• The need for liquidity risk pricing and funds transfer pricing (FTP) as the mechanism to do this

• Options for calculating the FTP curve • Effective maturity measurement for FTP on assets and

liabilities with significant behavioural elements • Pricing contingent liquidity risk – deposits, liquidity/

credit facilities, derivatives collateral posting • FTP for investment banking operations – behavioural

holding periods and high contingent liquidity risks • Full transfer pricing and economic value added (EVA) • Should Treasury make a profit from transfer pricing?

ALM and Capital Management • Role of ALM in capital management • Regulatory vs. economic capital • Budgeting by business unit and firm-wide

• Forming the capital plan in conjunction with the business plan and stress testing it for ICAAP or other purposes. What target capital range should we have?

• Setting risk appetite and limits across the group • Optimizing capital issuance – capital composition

choices (equity, Additional Tier 1, Tier 2 and other loss absorbency capacity) and implications for earnings and balance sheet resilience

• Target ratings considerations • Performance measurement and capital allocation across

business units – EVA; returns on risk-adjusted capital; diversification; and strategic considerations

• Deleveraging transactions • Measuring ALM performance • Role of ALM in capital efficiency

Derivatives Hedging in ALM • Derivatives hedge accounting under IFRS 9. What place

for non-designated hedges with economic benefit? • Review of key interest rate and FX derivatives used in

ALM • Level 2 vs. Level 3 valuation • Using interest rate derivatives to manage net interest

income, fair value portfolios, and funding management • Standard vs. non-standard derivatives • Operational and liquidity implications • Enhancing income through use of derivatives • ALM impact of clearing derivatives through central

clearers vs. bilateral margining • Collateral and capital implications of new derivatives

regulations • Impacts on capital and financial performance from

derivatives applications

ALM and Funding • Review of funding instruments, their behaviour,

costs, risks and benefits – deposits (retail, SME, large corporates); interbank; commercial paper and certificates of deposits; secured financing transactions; covered bonds; securitization; senior unsecured debt

• Optimizing the funding mix for the business model • Where is the line between capital and funding? • Target ratings and financial flexibility considerations • Developing and maintaining market access • Managing funding maturity profile • Use of derivatives in financing strategies • Securitization – which assets; what risk retention;

tranching; capital requirements; cash flow considerations • Structured financing products and strategies • Off-balance sheet and special purpose vehicle financing


Your Comprehensive Course Agenda


CLIENTS

Registered Office Address:BIZENIUS Business Solutions Private Limited

#102, Rockview, 2nd Cross, 2nd Main, Gottigerre, Bangalore, Karnataka, India - 560 083


Strategic Asset-Liability Management and Integrated ... · Integrated Balance Sheet Management Masterclass Your Comprehensive Course Agenda T: +91 988 699 4381 Email: [email protected]

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