|March 18th-20th 2019||Singapore|
This three day seminar aims to explain treasury asset liability management techniques and provide an overview of modern best practices bank treasury operations. While the nature and scope of treasury activities may be different from one banking organization to the other, they all hinge upon treasury´s inheritance of the company´s financial balance sheet (and often off balance sheet positions) – which it safeguards for liquidity and interest / currency exchange risks.
The case studies are derived from experiences in treasury operations of large, multi-national money center banks. The customer groups encompass retail and institutional borrowers such as mortgage holders as well as depositors.
This course will analyze how a modern treasury performs its responsibilities ranging from liquidity and liability funding to managing the firm´s banking book(s) – termed as “asset liability management” in industry jargon.
What will we Learn?
- Using EaR and EvE to measure IRR
- Fund transfer pricing (FTP) mechanisms in commercial banks.
- Liquidity management and interest rate management.
- Measuring liquidity cash flow coverage and survival horizons.
- Best practice risk reporting.
- Contingency planning and meeting requirements for regulatory compliance.
- Case studies drawn from leading global financial institutions
Who Should Attend?
- Group Treasurers
- Asset Liability Managers and Liquidity Managers
- Risk Managers and Risk Controllers
- Accounting and Finance Managers, Auditors and Bank Regulators
- Financial Accountants
- Internal and External auditors
Session 1 – Funds Transfer Pricing
- The case for scale economies and skill centralization.
- Identifying Economic Value Added of Customer Banking Businesses.
- Product & Customer Profitability Controls.
- Group exercise: Illustrative Case Study drawn from a mortgage bank´s balance sheet.
Session 2 – The Treasury Business Remit
- The Treasury “Banking Books”: Net Interest Income Generation (with / without customer Margin).
- Case Study with Excel simplified Balance Sheet.
- Liquidity Risk (internal lender of last resort). Case Study with Excel simplified Balance Sheet.
- Re-Pricing Risk (interest rates, FX). Case Study with Excel simplified Balance Sheet.
- Repricing Gaps vs DV01/ Duration.
Session 3 – Interest Rate Risk and FX Risk in Banking Books
- Maturity Mismatch Risk & Dynamics of Liquidity Gaps, Illustration of Citigroup´s Balance Sheet.
- ST (MT & LT) Funding & Securing of Contingent Funding / Liquidity sources.
- Modeling (Replicating) Customer Assets & Liabilities: “The model books” Example of a Swiss Bank.
- The maturity transformation and “riding the yield curves” Example of a Large US Bank.
Session 4 – Management of a Customer Banking Book
- Hedging Risks with “macro-swaps”
- Basis Risks in banking books.
- Case Study: Hedging Re-pricing risks.
- Liquidity Gaps & Managing Asset Liquidity. Case Study.
Session 5 – The ALCO Business Remit
- ALCO vs. Treasury, Long Term Investment Policies, Case Study: Deploying shareholders Equity.
- Treasury Philosophies beyond Liquidity Providers of Last Resort – Profit Centers: NII Producers
and Service Centers: Margin Stability Providers.
- ALCO/ Treasury Governance – Best Practices – Integrated Universal Bank Model, Local Universal
Bank Model, Capital Markets Market Maker Model.
- Funding Liquidity Management – Best Practices – Optimal Funding Diversification – Examples
Contingency Funding Planning – Examples, Cash Capital and Liquidity Gaps – Metrics for Liquidity
Risk Measurements, Liquidity at Risk and LVaR, Black Swans.
Session 6 – The Stress Testing Conundrum
- What does the regulator expect from Banks? Stress Testing Scenarios, Credit Stress Testing,
Reverse Stress Testing, Integration of Stress Testing into the Risk Management Framework.
- Stress Testing Deposit “Stickiness”- Case Study
Session 7 – Accounting for Treasury Books: IFRS 9
- Fair Value Hedges – Key Issues, CVA & Collateral/ Daily Margining, Swapping risk to OIS Curves.
Session 8 – New Regulatory Standards
- Basel III – Leverage Ratio, Net Stable Funding Ratio, Liquidity Ratio, Capital Coverage.
- Basel “2.5”
- EBA (ECBS) Stress Tests on Liquidity
- MARISK (Germany)
- Case Study with simplified Balance Sheet
Session 9 – Modeling Customer Behavior – Risks for non maturing Products
- Replicating Portfolios.
- Option Adjusted Spread Models.
- Stochastic Optimization Models.
Session 10 – Earnings at Risk
- Economic Value of Equity and Duration of Equity – computational conundrums.
- Case Study with simplified balance Sheet.
Session 11 – Best Practices
- Best Practices limit systems (illustration of best practices).
- Risk Governance- Best Practices (illustration of best practices).
- MIS and Reporting standards (illustration of best practices).
Session 12 – Credit & Counterparty Default Risks
- Centralized clearing facilities.
- Q & A Session.
- ALM at large Swiss Universal Bank – Case Study.
End of Programme
To find out a more detailed biography of the course director, please fill in the brochure request.
|Number of Delegates||Price per Delegate|
Early Bird rates are offered up to 4 weeks before the commencement of the programme. Please get in touch for more details
The venue of the training is always in a centrally located 4-5 star hotel. The venue is confirmed 2 weeks before the programme once registration is closed and we know the exact number of delegates attending. We have exclusive rates with the hotel, if you require accommodation during the programme.