The post-Basel III regulatory environment had already demanded that banks work proactively towards balance sheet optimization in order to satisfy the sometimes competing demands of the regulator, the customer and the shareholder, and to preserve shareholder value efficiency. The impact of the Covid-19 related global stress event has made this a more urgent demand. An efficient and effective asset-liability management (ALM) practice discipline is the primary part of the optimization process.
This 3-day online workshop guides participants through the key areas of bank ALM: integrated ALM origination framework, balance sheet optimization, capital management, liquidity risk, Funds Transfer Pricing (FTP) and interest rate risk in the banking book (IRRBB). It addresses both the challenge of implementing an efficient regulatory submissions process (ICAAP and ILAAP), to ensure that a bank is able to implement best-practice processes, and the “3-dimensional” optimization problem of meeting the requirements of all stakeholders.
Material from the instructor’s book The Moorad Choudhry Anthology is used in the workshop. Real world examples and case studies are used during the course to reinforce learning.
Online learning
During the pandemic we teach some of the courses online. The feedback has been excellent and in the online workshops the learning has been at least equal to that during the courses organized in traditional settings. Online courses allow easy sharing of electronic material during the class in a format that helps the participants to better develop their skills. The virtual breakout rooms enable worked examples to be followed closely and also facilitate practice exercises.
How you will benefit
- Implement best-practice ALM processes
- Ensure effective and best-practice ICAAP and ILAAP processes
- Apply strategic ALM discipline to ensure an optimized balance sheet in Basel III implementation
- Implement an integrated liabilities strategy that will optimize the liability structure while enabling efficient compliance with NSFR and LCR
- Manage the balance sheet efficiently to account for new capital regulations such as Leverage Ratio
- Ensure IRRBB is managed efficiently to maximize hedge effectiveness and to minimize the regulatory capital charge
- Apply best-practice FTP processes into origination strategy to maintain effective balance sheet management
- Adopt an effective ALCO operating framework and governance mechanism that delivers an efficiently managed balance sheet
Program length
3 days
| Day 1 | 09:30 – 17:00 |
| Day 2 | 09:30 – 17:00 |
| Day 3 | 09:30 – 17:00 |
Lunch break: 1,5 hour
Day 1
- Strategic ALM and Best-practice ALM principles
Balance sheet optimization concept
- Customer product origination process and strategic plan
– Board Risk Appetite Statement (RAS), Key Risk Indicators (KRIs) and strategic planning process - Basel III Liquidity: NSFR and LCR
– Reporting
– Strategic ALM and balance sheet management implications - Basel III Additional monitoring metrics
- Basel III Liquidity principles
- ILAAP principles
– What makes a good ILAAP? What makes a poor ILAAP?
– Ensuring an efficient and value-added ILAAP process - Case Study: An ILAAP preview session
Day 2
- Basel III Capital
– Capital management and capital planning - Basel III – Interest Rate Risk in the Banking Book (IRRBB)
– Balance sheet management
– Pillar 2A capital impact on business lines - Basel III – Interest Rate Risk in the Banking Book
– Hedging and Strategic ALM
– Key Metrics NII and EVE - Case Study: IRRBB implementation
- ICAAP best practice principles
– Basel III ICAAP and Management Actions
– Process into Recovery Plan standards
Day 3
- Funds Transfer Pricing (FTP)
– Liquidity term premium best-practice
– Balance sheet management
– The FTP curve methodology - Applying FTP to Banking Book
– Funding policies
– Product applications - ALCO Governance and Framework
- ALCO best-practice principles
– How to ensure an effective ALCO process
– What makes a fit-for-purpose ALCO? - Discussion Forum
The Bank Asset-Liability Management program is relevant to executives who want to better grasp key areas of bank ALM. The training is especially beneficial to:
- ALCO and EXCO members
- Head of Treasury and staff
- Head of Balance Sheet Management
- Head of Money Markets
- Head of ALM
- Head of Liquidity Risk
- Head of Deposits
- CRO and staff
- CFO and staff
- Product management
- Head of Regulatory Reporting and staff
- Head of Internal Audit
- ILAAP and ICAAP authors
- Management consultants in the Basel III space
- Board NEDs
