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TRAINING IDEAS

MODULES

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ALM Masterclass

Intensive 12 module programme covering covering end to end balance sheet optimisation

This intensive workshop looks to explore what, within the industry, is considered best practice of an 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.

Course outline

Module:

1

Linking Asset and Liability Optimisation to Return on Equity


  • Responsibilities and best practice of Asset and Liability Committee [ALCO]

  • 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?

Module:

3

Linking Accounting and Prudential Regulation – Overview 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

Module:

5

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]

  • PV01 and DV01

  • 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

  • Best practice in Structural Hedging

  • What to hedge

  • When to hedge

  • How much to hedge

  • Governance and review– keeping the structural hedge appropriate

Module:

7

Basel Liquidity Regime – Pillar I

  • 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?

Module:

9

Defining and Deriving the 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

Module:

11

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 a FTP mechanism

Module:

2

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

Module:

4

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

Module:

6

Measures of Liquidity Risk

  • Distinguishing between Liquidity and Funding Risk

  • Basic framework of the liquidity statement

  • Liquidity Ratio

  • 1 Week and 1 Month Liquidity Ratios

  • Cumulative Liquidity Model

  • Liquidity Risk Factor

  • Concentration Report and Inter-Entity Lending Report

  • Limitations of the traditional measures

Module:

8

Basel Liquidity Regime - 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]

Module:

10

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

  • Distributing the cost of unwind

Module:

12

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’

© 2021 Moneta Financial Training Limited

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