ALM Workshop

ALM Workshop

ALM Workshop

ALM & Balance Sheet Optimisation
14-15 August 2018, Sydney

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

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

17:00

End of Workshop