Thursday March 15th

Asset-Liability Management and the On-going Crisis

09:00 Registration

09:30 A regulatory update

  • Public authority responses to the crisis
  • Restoring confidence in the banking sector - EU measures
  • Central Bank actions
  • Rejuvenating unsecured funding markets
  • Avoiding futher deleveraging
  • Regulatory measures
  • Strengthening bank capital and liquidity
  • Implementation and monitoring exercises
  • Proposed timeline and progress to date

Speaker: Brian Scott-Quinn, Director, Head of Banking Programmes, ICMA Centre

10:30 Morning break

11:00 Managing the balance sheet through uncertainty

• ALM best practices pre-crisis
     o Basic theories
     o Hedging and securitisation
• Perceived characteristics of the crisis that have placed a new emphasis on asset-liability management
• New roles and management functions for ALM
• The role and required skills of the ALM committee
• The modern role of the treasury in relation to business front offices
     o Accuracy of funding curves
• New governance processes and the challenges they are presenting
• The developing relationship between ALM and the CRO/risk managers
• The broad steps that can be taken to control ALM during the current period of uncertainty

Speaker: Amit Kalyanaraman, Head of Product Risk Management, Retail Banking, Barclays

12:30 Lunch

13:30 Impact of new regulation for ALM and funding

• The new global regulatory framework: Basel III
     o Capital
     o Leverage ratios
     o LCR and NSFR liquidity coverage
• Regulatory incentives and reasoning behind Basel III
• Important outstanding issues in liquidity coverage regulations
• Capital management under Basel III and impact on the balance sheet
• What are the recognised implications on risk, liquidity management and treasury functions?
• Implications for business models within the bank
• Implications for banking industry
• Countercyclical measures and asset-liability management
• IFRS accounting measures and the implications for ALM and balance sheet management.

Speaker: Christian Goerlach, Head of ALM, Europe, Deutsche Bank

14:45 Afternoon break

15:15 Lower-for-longer interest rates: managing the banks' "worst nightmare"

• Traditional techniques for managing interest rate risk
• How will lower for longer interest rates hamper the banking industry?
• What is the risk to profitability and risk management?
• What does this mean for ALM and treasury functions?
• Methods for the analysis of net interest-rate margin
• Various factors incentivising banks to increase retail deposits
• How do retail clients respond to market compared with other clients?
• Scenario analysis for retail business
     o Historical observations and examples
     o Business expertise
• Stress testing analysis for non-maturing liabilities
• How will Vickers report compound this effect?

Speaker: Colin Johnson, Senior Manager, Balance Sheet Management Group, Lloyds Banking Group

16:30 Close day one


Friday March 16th

Asset-Liability Management Analysis and Global Liquidity

08:30 Registration and coffee

09:00 Bank internal funds transfer pricing (FTP): business best practice for constructing the TLP curve and implementing the optimum FTP model

• Objectives of the internal funds transfer pricing model
     o Liquidity risk component
     o Interest rate risk component
     o Correct pricing of liquidity and correct cost of stressing the balance sheet
     o Desired resource allocation and accurate PnL reporting
• Business best-practice approaches to constructing the internal risky funding curve:
     o Market inputs
     o The most appropriate interpolation model
     o Smoothing mechanisms
     o Longer time periods
     o Qualitative judgement
• Necessary market and internal data
• Communicating FTP curve to the business
• Formalising funding policies for different business lines
• Implications for business models within the bank: driving behaviour
     o Trading book
     o Banking book
     o Retail: assigning FTP to non-contractual maturity products

Speaker: Prof. Moorad Choudhry, Head of Business Treasury, Global Banking and Markets, Royal Bank of Scotland

11:00 Morning break

11:30 Scenario analysis and stress testing framework

• How does stress testing contribute to effective ALM?
• Establishing an efficient and organised stress testing framework
• How a stress testing function might be integrated into treasury operations
• Benefits of effective stress testing
     o Forward looking assessments: how ready are we?
     o Allows analysis of impact of stress periods
• Regulation on stress test validation and reporting

Speaker: Gabor Winkler, Head of ALM, Raiffeisen Bank

12:30 Lunch

13:30 Dynamic asset-liability management and resolution planning

• Stress testing as the basis for establishing triggers and early-warning signals for strategy
• Reverse stress testing
• Important factors for stress testing results to communicate
     o Potential losses
     o Impact on profitability of portfolio/business line/institution
     o Liquidity shortages and risks under stress
     o Capital allocation
• Roles and responsibilities to ensure strategic measures are implemented in timely and cost effective manner
• FSA CP 11/16: a model for managing ALM in stressed periods

Speaker: Mario Onorato, Managing Director, Head of Balance Sheet Management, Algorithmics

15:00 Afternoon break

15:30 The effects of Central Bank liquidity provision

• How will central bank monetary policy affect funding
• Late 2011 central bank liquidity action
     o Response of the markets
• Role of the European Central Bank in averting a funding and liquidity crisis
• Role of the Federal Reserve
• Sovereign solvency crisis: possible developments and concerns for ALM functions

Speaker: Brian Scott-Quinn, Director, Head of Banking Programmes, ICMA Centre

16:30 Close of course