Agenda

Agenda

Course Agenda | ALM London 2019

Day 1

Wednesday 20th March 2019

08:30

Registration and refreshments

09:00

The Evolution of ALM & the ALCO Process

  • The role of the asset-liability committee and the ALM function within treasury
  • How the treasury supports your bank strategies
  • Defining risk appetite
  • Operating an efficient ALM model: Managing model risk
  • Recovery and resolution planning
  • The impact of banking laws on ALM

10:30

Morning break

11:00

Managing the Balance Sheet 

  • Allocating the balance sheet
  • Behaviour assumptions
  • Balance sheet optimisation through behaviour model
  • Cash flow predictions and back testing
  • Capital structure optimisation

12:30

Lunch

13:30

Behavioural Modelling and Interest Rate Risk

  • IRR metrics;  MVE/EVE NIM; riding the yield curve
  • NMD behavioural modelling
  • Deposit, prepayment & FreeFund modelling
  • Behavioural modelling assumptions
  • Current low/negative EUR rates and consequences
  • Business model impact of the IRRBB regulations
  • Managing IRRBB in practice

Speaker: Thomas Becker, Director, Treasury, CIO Risk, Deutsche Bank 

15:00

Afternoon break

15:30

Funds Transfer Pricing

  • A simple balance sheet to start with
  • Basic FTP: the term liquidity premium
  • Building an internal funding framework
  • Adding liquidity risk and liquidity options
  • Adding market risk
  • FTP and IRRBB

17:00

End of Day 1

Day 2

Thursday 21st March 2019

08:30

Refreshments

09:00

Capital management  

  • Risk weighted assets (RWA) calculations;
    • Market risk requirements
    • Counterparty credit risk
  • What is the cost of capital?
  • How to manage return on equity
  • Capital pricing
  • Active capital management

Speaker: Thomas Ralph, Head of Treasury Risk, Metro Bank 

10:30

Morning break

11:00

Strategic ALM; integrating and optimising the balance sheet

  • Addressing the 3D balance sheet optimisation problem; meeting the competing needs of regulators, customers and shareholders
  • Removing silos
  • Top down approach; recommended risk appetite statement and strong public disclosures
  • Liquid vs illiquid assets
  • Breakdown of liabilities; retail deposits, wholesale funding & capital

Speaker: Tony Morley, Head of Group Balance Sheet Management, Bank of Ireland Group 

12:30

Lunch

13:30

Basel III, Basel IV & Liquidity Frameworks

  • Creating and operation the regulatory framework: likely costs and unintended consequences
  • TLAC/MREL holdings; instruments for secured funding & securitisation
  • STS legislation requirements
  • Market risk framework
  • Basel III ratios; LCR, NSFR & Leverage ratio
  • Liquidity risk frameworks; daily LCR, intraday liquidity
  • Basel IV calculations & timelines
  • Best practices for assessing and communicating the costs of new regulatory frameworks

Speaker: Maurizio Garro, Senior Audit Manager, Modelling, Capital Methodologies and Market Risk, Group Internal Audit, Lloyds Banking Group

15:00

Afternoon break

15:30

The Automation of BSM & Capital Markets 

  • Current landscape for IRRBB 
  • Big data, machine learning and artificial intelligence 
  • Drivers behind automation in BSM and capital markets 
  • Trends in technology investment 
  • Risks and opportunities 
  • Use cases for ML & AI in BSM and capital markets 

Speaker: Aasif Sarigat, Head of Asset & Liability Management (Interim), Secure Trust Bank

17:00

End of course