Treasury Risk Management

Treasury Risk Management


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.
  • Evaluate the impact of IFRS9 impairment charges and assess on a both a contractual and behavioural through life basis.
  • Articulate strategies to optimise the balance sheet in light of impact of Basel IV/CRD V, IFRS9, LCR and NSFR and the role played from innovative capital raising and deposits optimisation in achieving these.
  • Increase the development and optimisation of deposit portfolios and better appreciate the importance of doing so in the current environment.
  • Gain awareness of best practice in the management of Intraday Liquidity.
  • Appreciate the challenges presented by the Fundamental Review of the Trading Book [FRTB].
  • Enhance Pillar 2 funding adequacy process and stress testing in line with the emerging guidelines.
  • 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.


  • 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 a Basel IV/CRD V – what can we expect? And what is the impact on Liquidity & Capital
  • Recap of 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 – Balance Sheet Optimisation & Challenges

  • What is success dependent upon? Gearing – linking changes in return on asset to return on capital.
  • Optimisation strategies – asset lead vs liability lead. Adjusting performance measures.
  • Best practice – how are banks overcoming operational challenges to drive RoE


Analyse the impact of Basel Regime on the RoE generated from a simulated balance sheet, consider the merits of asset lead versus liability lead strategies to mitigate these impacts and discuss best practice of how banks are adapting their strategies to achieve this/what success is dependent upon.

Session 4 – Innovative Capital Raising

  • Examples of Innovative Capital Instruments – Going & Gone Concern Instruments
  • What innovative instruments qualify as regulatory capital. Pricing & valuation of Structured Instruments


Consider the balance sheet of European Case Study bank and opine on potential innovative capital issues for it.


Session 5 – 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 6 – 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 optimise.


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 7 – Strategies to grow & optimise deposits

  • Interrogating portfolios – the good, the bad and the ugly of deposit portfolios.
  • Creating positive ‘flow – Products and propositions to attract ‘sticky’ balances.
  • Optimising ‘Stock’ – squeezing the basis points. Understanding behaviours – possession is 9/10th of the law. Evaluating deposits ‘relasticity’ and it’s implications. Migration & De-tune strategies.


The impact of several de-tune/migration strategies applied to a mixed deposits portfolio shall be assessed. How a European bank overcame challenges to successfully deliver these strategies shall be discussed.

Session 8 – Intraday Liquidity Management

  • Evaluating Intraday Liquidity Requirements. All reporting, participating & correspondent banks.
  • Stress testing Intraday liquidity.
  • Optimising Intraday Liquidity Funding, Collateral & Payment systems. Regulatory considerations.


Assess intraday liquidity requirement under normal and stressed scenarios for a simulated bank.


Session 9 – 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 harmonising Individual Adequacy Assessment Processes for Capital and Liquidity [ICAAP+ILAAP=ICLAAP] and discuss the applicability of these to their individual institutions.

Session 10 – Focus on Traded Risk

  • Overview of Fundamental Review of the Trading Book [FRTB].
  • Why the need for a fundamental review? Recap and issues with Basel II.5
  • Highlights of FRTB. Capital against Expected Shortfalls, Hard bordering of trading book and banking book, Individual treatment of asset classes – holding periods etc. Operational Considerations.


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

Session 11 – Case Study: FTP in Illiquid Wholesale Markets

  • Review of FTP methodologies. Zero Cost/Average Cost & Maturity matched 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 domestic wholesale market is illiquid. Determine proxy measures for constructing a swaps curve and liquidity premium curve. How the case study a ban actually overcame these challenges to construct a maturity matched RTP curve will then be explored and discussed.

Session 12 – Evolving Funds Transfer Pricing Models

  • Adjusting to reflect 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.

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.

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