Treasury 2021

Treasury 2021


In managing their treasury risk, banks continue to face unprecedented challenges. Even before Basel III/CRD IV has been fully adopted, further regulation that placed unprecedented levels of challenges on how banks manage their balance sheet in normal, stressed and ‘going concern’ scenarios has been announced. Collectively known as Basel IV/CRD V these ‘updates’ continue to place pressure on banks treasury functions, their funding plans and how they interlock with the wider business. Meanwhile other regulation such as IFRS9 is still being digested and all of this is against a backdrop of a continued tough market environment.

This intensive 3-day workshop, seeks to explore these current or near term challenges and moreover share via a series of case studies, exercises and the trainers deep experience, what practical steps banks are taking to mitigate them and to optimise in light of them.

The focus of this program is strategic not tactical. It will be equally useful to Senior Treasury/Risk professionals and/or Senior Coverage Bankers who are tasked with the design/ownership of strategic treasury and/or commercial planning of a bank. It will provide them with foresight of these challenges, what is considered to be best practice in addressing them and by extension better equip them to reflect them in their strategic planning.


  • Appreciate the challenges that lie ahead for bank treasury management particularly from ‘Basel IV/CRD V’ and articulate strategies to mitigate them
  • Describe the challenges presented by the Fundamental Review of the Trading Book [FRTB]
  • Apply the new Standardised Approach for calculation of Counterparty Credit Risk Exposures [SA-CCR]
  • Assess sensitivity of both earnings and equity to interest rate risk in the banking book after applying the most recent Basel Standards for doing so
  • Articulate strategies to optimise the balance sheet in light of impact of Basel IV/CRD V, IFRS9, LCR and NSFR
  • Enhance Pillar 2 funding adequacy process and stress testing in line with the emerging guidelines
  • Appreciate the market challenges and responses to IBOR Transition reforms
  • Enhance Funds Transfer Pricing [FTP] frameworks to better reflect the increased challenges on the balance sheet and articulate how challenges presented by illiquid wholesale markets in doing so can be mitigated
  • Gain insight into how on-going digital transformation of banking is impacting bank treasuries and the opportunities and challenges presented by it


  • Heads/Senior Professionals in Treasury
  • Chief Risk Officer
  • Heads/Senior Professionals in Risk
  • Heads/Senior Professionals in ALM
  • ALCO Professionals
  • Audit and Compliance Professionals
  • Accounting & Finance Professionals
  • Promising Young Leaders of the Future


Session 1 – Introduction – Banking 2020 with Hindsight

  • Banking in Basel IV/CRD V – what can we expect? And what is the impact on Liquidity & Capital
  • Recap of the impact of Basel III/CRD IV
  • Why the need for a fourth accord? What is changing? Amendment to standardised & internal models
  • Potential impact & links to the market environment and what does this mean for Treasury and ultimately strategy?


Consider a detailed Quantitative Impact Survey, relating to the impact of Basel IV/CRD V, discuss relevance to own market/institution and explore what practical steps the industry is taking to mitigate it

Session 2 – Impact of IFRS9 Impairment

  • Motivations for IFRS 9 – Linking accounting to prudential regulation & Lessons from the crisis – were the profitable banks that went bust really profitable?
  • From IAS 39 to IFRS 9 – prospective versus retrospective impairment
  • Impact on ‘Standardised’ banks & impact on ‘IRB’ banks. Strategies to mitigate


Model the impact of IFRS9 impairment on a balance sheet which uses Standardised Approach and evaluate when applied on a contractual and behavioural basis

Session 3 – Focus on Fundamental Review of the Trading Book [FRTB]

  • Overview of FRTB. Why the need for a fundamental review? Recap of Basel 2.5 and issues with Basel 2.5
  • Highlights of FRTB. Capital against Expected Shortfalls, Hard bordering of trading book and banking book, Individual treatment of asset classes – holding periods etc.
  • Overview of Default Risk Charge (DRC) and Non Modellable Risk Factors


Model Value at Risk [VaR] and Expected Shortfall [ES] for a simulated portfolio and consider practical challenges in implementation

Session 4 – Focus Standardised Approach for Counterparty Credit Risk [SA-CCR]

  • Overview of Standard Approach to Counter Party Credit Risk Management [SA-CCR]. Recap on methodologies and rationale for change. Breaking down the model
  • Calculation of Replacement Cost, Calculation of PFE multiplier and add-on’s and Operational impact and strategies to maximise


Calculate the exposure for a hedging set using the SA-CCR model and consider operational requirements to be able to do so


Session 5 – Deep dive on BIS 368 Interest Rate Risk in the Banking Book (IRRBB) Standards

  • Modelling earnings sensitivity to IRRBB, Modelling equity sensitivity to IRRBB and Predicting and adjusting for convexity of profiles
  • Overview and rationale for BIS 368
  • Shocking interest rates – Parallel shock up and down, Short rate shock up and down – including exponential scaling and Steepener and flattener – including exponential scaling of long shock
  • Shocking time bucketing – Adjusting from base prepayment rate to conditional prepayment rate and Adjusting from base redemption rate to conditional redemption rate
  • Including IRRBB in Pillar 2 and Risk Appetite


Delegates will assess the sensitivity of earnings and EVE to interest rate shocks on a simulated banking book

Session 6 – Complying with [LCR] optimally

  • Recap on Basel III Pillar I Liquidity Regime
  • Liquidity Coverage Ratio in detail. The Numerator – What counts as HQLA? The Denominator – Calculating net outflows
  • How to optimise – denominator lead strategies. Practical ways to optimise outflows & Practical considerations for classification of deposits


Calculate the LCR for a balance sheet and evaluate challenges in being compliant and best practice for overcoming these challenges and being compliant optimally

Session 7 – Complying with [NSFR] optimally

  • Recap on Basel III Pillar I Liquidity Regime
  • Net Stable Funding Ratio in detail. The Numerator – What counts as Available Stable Funding [ASF]? The Denominator – What counts as Required Stable Funding [RSF]?
  • How Liquidity Coverage Ratio [LCR] and Net stable Funding Ratio [NSFR] work in harmony
  • Operational challenges in calculation and compliance. Strategies to optimize


Calculate the NSFR for a balance sheet and evaluate challenges in being compliant and best practice for overcoming these challenges and being compliant optimally

Session 8 – Updates to Pillar 2 and Stress Testing

  • Pillar II adequacy assessment process. ICAAP + ILAAP = ICLAAP. 7 principles of ‘good’ ICLAAP
  • Final standards for stress testing
  • The need for a total business approach – how are banks achieving this?


Consider a case study detailing how several banks are harmonizing Individual Adequacy Assessment Processes for Capital and Liquidity [ICAAP+ILAAP=ICLAAP] and discuss the applicability of these to their individual institutions


Session 9 – Case Study: FTP in Illiquid Wholesale Markets

  • Review of FTP methodologies. Zero Cost/Average Cost & Maturity matched the liquidity
  • Challenges presented by illiquid wholesale markets. Determining a swap curve & the maturity match liquidity premium
  • Practical ways to develop proxies
  • Using FTP effectively as an appetite statement/rudder to ‘steer the ship’


Consider a case study of an Eastern European bank operating, who’s the domestic wholesale market is illiquid. Determine proxy measures for constructing a swaps curve and liquidity premium curve. How the bank actually overcame these challenges to construct a maturity matched RTP curve will then be explored and discussed

Session 10 – IBOR Transition

  • A brief history – The LIBOR/EURIBOR fixing process and scandal, The Wheatley report and recommendations and Issues with LIBOR/EURIBOR
  • Why OIS is the right choice for the discount curve – Secured vs. unsecured and Desirable features of a ‘better’ Risk Free Rate [RFR]
  • Challenges in replacing LIBOR
  • Overview of SOFR and ESTER – Calculation processes, Building synthetic term rates and RFR plans in other currencies


Consider a case study of how European markets have adjusted for ESTER and how several European Banks have implemented the reforms.

Session 11 – Evolving Funds Transfer Pricing Models

  • Adjusting to reflect the capital cost of funding & Adjusting to reflect regulatory cost e.g. LCR & NSFR
  • Adjusting to reflect IFRS9 impairment
  • What else can be reflected? Importance of balancing complexity with effectiveness


A maturity matched FTP curve adjusted for LCR and Capital charges will be derived and then applied to a balance sheet. Best practice for achieving this, based on how FTP methodologies of several banks are evolving to reflect these adjustments will then be discussed

Session 12 – Bank Treasury in a Digital World

  • How has/is/will the digitalisation of banking impacted bank treasuries – Data Capture, Robotic Process Automation, Big Data and Blockchain
  • Opportunities – Forecasting, Decision Support and Cycle Times
  • Challenges – Operational Risk – Financial Crime, Cybercrime, systems failures and others, Competition and Mobility of Funding
  • What is the regulatory view and how are they adjusting?


Case study of how a bank in Asia is utilizing digital innovation to enhance its group treasury center.

End of Programme

To find out more about the course director please fill in a brochure request.

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 registrations have closed and we know the exact number of delegates attending. We have exclusive rates with the hotel, if you require accommodation during the programme.

Course Locations
0 alternative locations available
£2750 GBP
Arrange a Call back
Download Brochure
Run this Course
Enjoy this course at a location of your choice at a lower cost and a schedule that suits you best

Fully customised
According to your goals!