ALM Agenda

ALM Agenda

ALM & Balance Sheet Optimisation

Day 1 - Tuesday 6 November

16.00

Check-In and Refreshments

18.00

Introductory Speech:

Welcome remarks and keynote address

18:30

Welcome Dinner

Introductory speech is followed by three-course meal. This is a great opportunity to meet and network with delegates in preparation for the course

Day 2 - Wednesday 7 November

Training course chaired by Chris De Stigter, Head of FTP Center, ALM, ABN Amro

08:30

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

Speaker: Chris De Stigter, Head of FTP Center, ALM, ABN Amro 

10:30

Morning Break

11:00

Managing the balance sheet 

  • Allocating the balance sheet 
  • Behaviour assumptions
  • Cash flow predictions and back testing 
  • Optimisation of regulatory buffers and contingency tools
  • Two way link to capital allocation process and funding strategy 
  • Capital structure optimisation 
  • Potential impact of TRIM reviews on balance sheet management  

Speaker: Alper Özün,  Head of Asset-Liability and Capital Management Operations for EMEA, HSBC

12:30

Lunch

13:30

Funds transfer pricing  

  • How FTP affects a banks liquidity reporting 
  • Building your internal funding framework  
  • FTP as a profitability management tool
  • Budgeting / forecasting / profitability 
  • Governance / accountability requirements 
  • Break funding charges, clarifying risk ownership 
  • FTP aligning under NSFR 

Speaker: James Leeming, Head of ALM, Treasury, Nationwide Building Society

15:00

Afternoon Break

15:30

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: Bruce Aitken, Senior Technical Specialist, Bank of England

17:00

End of Day Two

Day 3 - Thursday 8 November

Training course chaired by Chris De Stigter, Head of FTP Center, ALM, ABN Amro

08:30

Refreshments

09:00

Basel III, Basel IV & liquidity frameworks 

  • Creating and operating 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 

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

Panel discussion: Behavioural modelling and IRR

This session will bring together participants from both streams of the course to discuss some of the most pressing issues surrounding behavioural modelling

  • Behavioural modelling assumptions
  • Current low/negative EUR rates and consequences
  • Approaches to modelling deposits
  • Economic metrics
  • Data requirements and sophisticated required
  • Business model impact of the IRRBB regulations
  • Managing IRRBB in practice

Panellists:

John Bowyer, Head of Group ALM, Lloyds Banking Group

Nick Ehrhart, Head of Structural Risk, Treasury & ALM, Nordea

15:00

End of Course