March 22nd

Asset-Liability Management and the On-going Crisis

09:00 Registration

09:30 A regulatory update

• Restoring confidence in the banking sector
• Strengthening bank capital and liquidity
     o International and regional initiatives: Basel III and Dodd-Frank
     o Federal Reserve initiative to improve formulate reporting and monitoring standards
     o Proposed timeline and progress to date
• New regulatory structure and objectives

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 roles and required skills of the ALM committee
• The modern role of the treasury in relation to business front offices
      o Funding, liquidity and interest rate risk units
• New governance processes and the challenges
• 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

12:30 Lunch

13:30 Impact of new liquidity risk regulations and stress testing regulation

• The Basel liquidity risk framework: overview
• Important outstanding issues in liquidity risk regulations
• ALM decisions under Basel III and impact on the balance sheet
• Systemic liquidity risk
• Liquidity risk stress testing under the IMF Financial Sector Assessment Program (FSAP)

14:30 Afternoon break

15:00 Lower-for-longer interest rates: managing the banks' "worst nightmare" and associated interest rate risks

• 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 and corporate business
      o Historical observations and examples
      o Business expertise
• Stress testing analysis for non-maturing liabilities

16:30 Close


March 23rd

Asset-Liability Management Analysis and Repercussions for Business Lines

08:30 Registration and coffee

09:00 Analysing funding implications of financial market downturn and volatility

• Analysing the implications and managing reduced net-interest rate margins
      o Deposit based funding
      o Term funding
      o Scarce currencies
            ALM role in organising cross-currency funding
            Managing basis risk
      o Poor inter-bank market
• Introduction to stressed analysis of funding sources: ALM role and working with risk
• Implications for business models within the bank: FTP analysis
      o Objectives of funds transfer pricing model
            Externally sourcing funds cheaply
            Internally analysing profitability of business units
      o Necessary market and internal data
            Liquidity risk component
            Interest rate risk component
      o Industry approaches to producing a FTP curve:
            Roles and responsibilities
            Intra-day curves
            Longer time periods
            Qualitative judgement

10:30 Morning break

11:00 ALM scenario analysis and stress testing framework

• How does liquidity stress testing contribute to effective ALM?
• Establishing an efficient and organised stress testing framework
• How a liquidity 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
• Scenario analysis and stress testing contractual cash-flows
• Behavioural analysis and liquidity
      o Scenario modelling customer behaviour
      o Analysing implications of negative/stressed behavioural scenarios
            Interest rates moving
            Changing competitive environment
            Crisis examples
• Regulation on stress test validation and reporting

12:30 Lunch

13:30 Dynamic asset-liability management and balance sheet 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
• Communicating effectively with senior management
• Regulatory Resolution Planning concepts: helpful model for managing ALM in stressed periods

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

16:30 Close of course