ALM Workshop

ALM Workshop

14-15 August 2018, Sydney

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Owen Deane

Senior Manager, Market and Liquidity Risk

AMP Bank

Currently leading the market and liquidity risk function for AMP Bank, Owen has a broad range of experience across financial markets. After qualifying as a CPA in Australia in 1998, Owen worked as a financial accountant in London before settling in New York. He spent 7 years with Swiss Re as a Vice President in interest rate derivatives and become a CFA charter holder in 2005. On return to Australia in 2008 Owen spent 3 years in Treasury at Macquarie Bank managing interest rate risk for the Banking and Financial Services division as well as implementing an asset liability management system. In 2011 he moved to CBA as a lead modeller for the Bank’s LCR project and ran liquidity stress testing.

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Graham Tooley

Treasurer

Greater Bank

Graham Tooley leads the Greater Bank treasury team tasked with maximising investment returns from the Bank’s prudential and surplus liquidity portfolios, minimising the costs of durable and diverse wholesale funding for the Bank and maintaining interest rate risk exposure within Board risk appetite levels.

Graham has more than 25 years of Treasury experience including with the National Australia Bank, HSBC Bank, Fonterra and Greater Bank and has extensive expertise in both purchasing and issuing secured and unsecured debt issuances, public and private placements and interest rate risk management techniques.

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Rahul Kale

Managing Director

Sedna Business Consultants

Rahul is the Managing Director of Sedna Business Consultants, a boutique advisory firm that provides consultancy and analytic services, with core competencies in Finance, Risk & Treasury.

Rahul, alumni of Monash University, Australia has almost two decades of experience in the banking and finance industry, and has held senior leadership positions in leading financial institutions across Asia Pacific. He has a strong consultancy background and was on the Risk

Management Leadership programme with GE Money, Australia before moving to a consultancy firm in Singapore where he managed the firm’s expansion into Asia.

Rahul is an expert in Balance Sheet Management and Optimisation and a subject matter expert in stress testing, balance sheet analytics, policy governance and ALM. As Head of Balance sheet optimisation at Standard Chartered Bank, he drove the bank’s balance sheet review and

optimisation initiatives to deliver tangible benefits to the banks RoE. He has the unique perspective of knowing both sides of the balance sheet and is a big proponent of holistic balance sheet management covering Capital and Liquidity. He has led teams in performing balance sheet analytics and delivering deal level advisory to front line business teams. Most recently, Rahul headed the Liquidity management and stress testing function focusing on policy, analytics, governance, and optimisation of the bank’s short term liquidity ensuring liquidity buffers are adequate and optimised under stress conditions.

Rahul has in depth knowledge on banking regulation and his experience in regulatory management has led to his close engagement with regulators across Asia Pacific. He has written and presented papers on banking regulation and its impact on banks and businesses, and works closely with industry bodies like BAFT-IFSA, IIF and ICC. Rahul was the Asia liaison for BAFT where he covered the industry engagement and collaboration of Asian banks on key issues impacting the Transaction Banking business. He is regularly invited to speak at conferences on treasury and balance sheet related topics, and is an experienced trainer with Risk.net and other training organisations.

Over the last 20 years as a banker working throughout Asia pacific, Rahul has developed a sharp business acumen and ability to assess risk and work at a strategic level. He possesses strong leadership qualities, excellent interpersonal skills and multicultural awareness, and has a proven track record in shaping business strategy and organizing the business to deliver optimal value through its day to day operations. He is Six Sigma Green belt certified and specialises in business transformation and driving process and system efficiencies in the organisation.

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Peter Yue

ALM Expert

Mr Peter Yue is currently the Head of Policy, Analytics and Supervisory, Asset Liability Management - Risk at OCBC Bank. Mr Yue has 17 years of Treasury and Asset Liability Management experience.

Before joining OCBC Bank, Mr Yue was the Head of Liquidity Management of the Asia Pacific region and Treasurer of Singapore at Deutsche Bank.

Day 1 | 14 August 2018

08:30

Registration

09:00

Organising your ALM and the role of the individual

  • The evolution of ALM
  • Driving beyond regulatory compliance
  • Role of the Treasurers and CFOs
  • What is your bank's strategy? How does the regulator support this?
  • ALCO reporting
  • Operating an efficient ALM model
    • Managing Model Risk

Peter Yue, ALM Expert

10:30

Morning Coffee Break

11:00

Balance sheet optimisation

  • Balance sheet planning
  • Management of funding costs
  • Generating results on balance sheet position
  • Having the right balance sheet mix
    • Product Mix
    • Business Mix

Rahul Kale, Managing Director, SEDNA BUSINESS CONSULTANTS

12:30

Lunch

13:30

Regulatory and internal liquidity risk measure optimisation

  • LCR optimisation
    • Operational deposit
    • Stable retail deposit
    • HQLAs selection
  • Setting internal stress assumptions
    • Determine asset liquidity under GFC type of scenario
    • Intraday stress assumption

Owen Deane, Senior Manager - Market and Liquidity Risk, AMP BANK

15:00

Afternoon Break

15:30

Adapting to new liquidity context and balancing client business implications

  • Liquidity management
    • Funding strategy and plan for the bank
    • Client business imperatives
    • Internal governance and strategies
  • Modeling and contingency plans for liquidity
  • Different types of funding and imperatives
  • Understanding client business management and policies
  • Evolving role of technology

Owen Deane, Senior Manager - Market and Liquidity Risk, AMP BANK

17:00

End of Day 1

Day 2 | 15 August 2018

08:30

Registration

08:45

Fund Transfer Pricing (FTP)

  • How FTP affect a bank’s liquidity reporting
  • Contingent liquidity premium
    • Potential liquidity shocks
  • Stress test liquidity position
  • Optimisation of internal funding
  • Cross-border funding
    • Shortage of local currency funding
    • Fungibility of funding across borders

Graham Tooley, Treasurer, GREATER BANK

10:45

Balance sheet management simulation exercise

  • ALCO Role Play
    • Balance Sheet Planning Process
    • Balance Sheet Mix
    • Balance Sheet Capital Allocation
    • Asset Momentum
    • Deposit Quality & Price
    • Interest Rate Sensitivity
    • Offshore USD & RMB
    • Supporting delivery of strategy & financial goals

Rahul Kale, Managing Director, SEDNA BUSINESS CONSULTANTS

11:45

Lunch

12:30

Capital Management

  • Risk Weighted Assets (RWA) calculations
    • Market risk requirements
    • Credit value adjustments (CVA)
    • Counterparty Credit Risk
  • What is the cost of capital?
  • Return on Equity
  • Capital Pricing
  • Active Capital Management

Rahul Kale, Managing Director, SEDNA BUSINESS CONSULTANTS

14:00

Liquidity framework

  • Permissible funding resources
  • Concentration limits
  • Contingency funding plan
    • Alternative funding
  • Align global regulatory reporting requirements with:
    • Internal monitoring
    • Reporting framework

Owen Deane, Senior Manager - Market and Liquidity Risk, AMP BANK

15:30

Afternoon coffee break

15:45

Interest Rate Risk in the Banking Book (IRRBB)

  • Net Interest Income (NII) analysis
  • Measures of economic value and capital of IRRBB
  • Governance around IRRBB framework
    • Board-approved risk appetite
  • Net Interest Margin
    • How it develops over time?
  • Interaction with other risk disciplines

Peter Yue, ALM Expert

17:00

End of Workshop