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Treasury & Risk Management Masterclass Series
19 August – 11 November 2020
For more Information and to Register for any of the Masterclass Series:
Call us: +973 1781 5555
Email us: banking@bibf.com
Advanced Liquidity Risk Management
1 Day Workshop
Workshop Summary
This one-day course provides business best-practice tools and techniques for bank liquidity risk management. Aimed at senior or experienced Treasury and Finance practitioners, it is an advanced-level workshop that covers the complete spectrum from governance and policy to risk measurement and stress testing. Delegates should leave with a more complete understanding of leading edge liquidity risk practice.
Key Features
- Measuring liquidity risk: liquidity metrics
- Liquidity strategy – Bank policy and risk appetite
- Liquidity policy
- Stress testing, scenario analysis and planning for failure
- Liquidity risk management: limit setting
- Funds Transfer Pricing
- The yield curve and internal curve setting
- Bank Regulations, Basel III and the New Liquidity Paradigm
Workshop Content
- ALM policy and strategy
- Managing liquidity risk
- Liquidity strategy and risk appetite
- Liquidity policy
- Measuring liquidity risk
- Liquidity metrics: baseline metrics
- Liquidity metrics: additional MI
- Stress testing, scenario analysis and planning for failure
- Funds Transfer Pricing
- Business best practice methodology and policy
- Price setting: market implied and proxy measures
- Managing the liquid assets buffer (HQLA)
- HQLA optimisation
- Retail deposit behaviouralisation
- Reverse stress testing, proportionality
- Asset & liability modelling, balance sheet optimisation
Learning Outcomes
By the end of this workshop you will:
- Be familiar with best-practice liquidity risk management policy and process
- Implement a best in class liquidity risk metrics suite
- Ensure an optimised funding structure
- Manage the HQLA efficiently
- Ensure satisfactory regulatory compliance
Who Should Attend?
- ALCO members
- Board Non-executive directors
- Head of Treasury
- Head of Balance Sheet Management
- Head of Money Markets
- Head of ALM
- Head of Liquidity Risk
- CRO and staff
- CFO and staff
- Head of Regulatory Reporting
- Head of Internal Audit
- Management consultants in Basel III space
Fees
BD 50
Date & Time
Date: 15 September 2020
Time: 12:00 PM – 05:00 PM
ALCO Governance Framework Workshop
1 Day Virtual Online Workshop
Workshop Summary
The asset-liability committee (ALCO) is the primary balance sheet risk forum in a bank, and is recognised as such by the Regulatory Authorities to the extent that its importance was once highlighted in a PRA “Dear CEO” letter.
An efficient ALCO process enables a bank to manage risk effectively and optimise its balance sheet, with resulting positive impact on balance sheet resilience and Return on Capital. Crucially, in the era of the Senior Managers & Certification Regime (SMCR), a robust ALCO infrastructure is an essential ingredient in best-practice corporate governance.
This one-day interactive workshop will raise awareness and understanding of recommended best-practice principles for bank ALCO governance and procedure. Aimed at ALCO members, senior managers and executives in any banking institution, as well as all staff involved in the ALCO process, the course presents essential tools required to inculcate the right governance culture in a bank. This includes a range of policy templates that can be applied in any bank, together with real-world examples and case studies to demonstrate techniques.
Learning Outcomes
By the end of this workshop you will be able to:
- Understand the proper role of the asset-liability committee in Bank governance and risk management
- Learn how to implement a genuinely effective and robust ALCO process
- Become familiar with ALCO organisation and operating framework
- Understand the ALCO as part of the balance sheet risk triumvirate
- Draft, as part of a group exercise, the ALCO Agenda and MI Pack
Who Should Attend?
- All ALCO members
- Treasury team members
- CFO and team
- CRO and team
- Board NEDs
- Regulators and bank supervision team
- Regulatory reporting department
- Compliance and Internal audit
Workshop Agenda
- The role of the asset-liability committee in Bank governance and risk management
- Bank risk management operating framework
- Board and ExCo interaction
- ALCO organisation and operating framework
- Membership, responsibilities
- The ALCO Terms of Reference: best-practice framework
- Reporting line and Board-delegated authority
- Confirming the timetable and “standing items” diary
- Sub-committee organisation and reporting
- Balance sheet management committee
- Products pricing committee
- ALM policy framework
- Policy approval process
- Appropriate policy-setting procedure: fitting policy in line with the bank operating model
- Hedging policy
- Working as part of the balance sheet risk triumvirate
- Effective interaction with CRO and CFO offices and committees
- Managing and driving balance sheet risk culture
- The ALCO MI pack
- Guidelines for constructing a fit-for-purpose MI deck
- Recommended ALCO MI pack template structure
- WORKSHOP EXERCISE: Drafting the ALCO Agenda and MI pack
- Balance sheet review: assessing items for the ALCO agenda
- Datasets for inclusion in MI pack
- Most effective way to communicate risk exposure data and MI
- Forward planning: the year’s schedule, agenda of standing items + schedule
Fees
BD 50
Date & Time
Date: 29 October 2020
Time: 12:00 PM – 05:00 PM
Funds Transfer Pricing Workshop
1 Day Virtual Online Workshop
Workshop Summary
Funds Transfer Pricing (FTP) is an essential part of every bank’s liquidity risk management framework – the PRA considers the FTP mechanism to be a vital part of the ILAAP liquidity risk review and approval process, and a detailed description of a bank’s FTP mechanism is a required section of its ILAAP submission. This recognises that FTP is an important part of the risk management process, assisting in understanding the profitability of customers, product
This one-day workshop provides comprehensive coverage of business best-practice approach to the bank internal funds pricing framework. It explains the process and implementation of the FTP mechanism in clear and practical terms, to enable delegates to acquire an understanding of best-practice FTP principles, and how they can be integrated into ALM policies, thus optimising the bank’s liquidity management framework.
A well-designed FTP framework enables a bank to pursue its strategic objectives, conversely a poorly implemented FTP framework can lead to long-term damage to a bank’s balance sheet structure and liquidity position.
Learning Outcomes
By the end of this workshop you will be able to:
- Understand the value and importance of an effective FTP mechanism
- Explain at ALCO and Board level the need to have a robust FTP process in place at the bank
- Observe the interaction of business lines, Treasury, Risk and Finance within the FTP process
- Implement a best-practice FTP regime and funding policy in your bank
- Construct your bank’s FTP funding curve efficiently
Who Should Attend?
- Treasury Senior Management
- CFO and team
- CRO and team
- Heads of ALM/ Money Markets
- ALCO membership
- Business line heads
- Heads of Balance Sheet Management
- Risk Management
- Liquidity Management
- Heads of Funds Transfer Pricing
- Finance Senior Management
Workshop Agenda
- The concept of bank funds transfer pricing
- An effective internal funding framework
- Objectives of internal funding policy
- Consistent liquidity pricing behaviour amongst business lines
- Removing interest-rate risk from the business lines
- Including the bank’s cost of liquidity in product pricing
- The correct internal pricing regime for the bank
- The cost of funds
- Constructing the bank’s internal funding curve
- Different reference funding curves (Libor, OIS, ASW)
- Marginal unsecured curve
- Weighted average cost of funds (WACF) curve
- FTP and liquidity management
- Pricing liquidity via the FTP process
- The concept of the term liquidity premium (TLP)
- Treasury op model, FTP and balance sheet management
- Integrating FTP into balance sheet management
- FTP centre as cost centre or profit centre
- FTP across different business lines: alternative approaches
- FTP and liability strategy
- Integrating FTP strategy into ALM and liability strategy
- Driving liabilities-raising behaviour through the FTP mechanism
- A dynamic FTP regime for changing yield curve environments
- Funding policies
- Banking book
- Trading book
- Derivatives
Fees
BD 50
Date & Time
Date: 22 October 2020
Time: 12:00 PM – 05:00 PM
ICAAP Best-practice Workshop
1 Day Virtual Workshop
Workshop Summary
A bank’s Internal Capital Adequacy Assessment Process (ICAAP) submission is a critical element of its risk management framework as well as its regulatory compliance process. It is also a resource- and time-intensive discipline. This workshop presents practical steps that can be taken to assist an efficient and effective ICAAP process, as well as follow market best-practice.
Workshop Overview
The ICAAP is a time-consuming and resource-intensive process, and one that is important to undertake efficiently and effectively. This workshop delves deep into best-practice principles and draws out the main pointers and processes necessary to ensure efficient ICAAP results, as well assist with delivering an optimised balance sheet management and capital planning strategy. It is appropriate to every banking institution, irrespective of size or business model.
Learning Outcomes
By the end of this workshop you will be able to:
- Operate an efficient and optimised ICAAP process that benefits the entire bank
- Obtain presentable results sooner and with greater effectiveness
- Transfer knowledge bank-wide on “What makes a good ICAAP?”
- Manage the balance sheet efficiently to account for new capital regulations such as Leverage Ratio
- Incorporate latest RWA changes into origination strategy to maintain effective balance sheet management
Who Should Attend?
- ALCO members
- Head of Treasury
- Head of Balance Sheet Management
- Head of Money Markets
- Head of ALM
- Head of Liquidity Risk
- CRO and staff
- CFO and staff
- Head of Regulatory Reporting
- Head of Internal Audit
- Management consultants in Basel III space
Workshop Agenda
- The Risk Management Framework and Risk Appetite Statement
- ICAAP
- Best-practice ICAAP principles
- Processes and workstreams for stress testing, setting, scenario planning and results optimisation
- Stress testing process and standards
- Reverse stress testing
- “What makes a good ICAAP?” “What makes a poor ICAAP?” – pointers for efficient ICAAP process and results
- The role of the Board, Exco, ALCO and senior management
- Sample output and reporting template
- Basel III Capital:
- Capital management and balance sheet management
- CASE STUDIES
- WORKSHOP EXERCISES
- ICAAP Table of Contents
- The Use Test
- Review and Challenge
Fees
BD 50
ILAAP Best-practice Workshop
1 Day Virtual Online Workshop
Workshop Summary
The internal liquidity adequacy assessment process (ILAAP) regime is an important part of the bank risk management framework, and a cornerstone of Basel III and CRDIV regulatory principles. The need to ensure an efficient ILAAP process has also been reinforced with the introduction of the Pillar 2 liquidity regime.
This workshop considers steps that banks can take to maximise efficiency and effectiveness in the ILAAP process, as well as suggest elements of market best-practice.
In order to ensure an effective ILAAP process, banks must adopt a proactive and planned approach to liquidity management taking into account the institution’s specific risk appetite and business model. This workshop presents best-practice ILAAP principles and draws out the main pointers and processes necessary to ensure efficient ILAAP results, as well as an optimised balance sheet and bank liabilities strategy.
Learning Outcomes
By the end of this workshop you will be able to:
- Operate an efficient and optimised ILAAP process that incorporate, and benefits, the entire bank
- Obtain presentable results sooner and with greater effectiveness
- Transfer knowledge bank-wide on “What makes a good ILAAP?”
- Implement an integrated liabilities strategy that will optimise the liability structure in response to NSFR and LCR
- Answer the question, “What makes a good ILAAP?”
Who Should Attend?
- ALCO members
- Board Non-executive directors
- Head of Treasury
- Head of Balance Sheet Management
- Head of Money Markets
- Head of ALM
- Head of Liquidity Risk
- CRO and staff
- CFO and staff
- Head of Regulatory Reporting
- Head of Internal Audit
- Management consultants in Basel III space
Workshop Agenda
- Risk Management Framework and Risk Appetite Statement
- Best-practice ILAAP process principles
- Processes and workstreams for stress testing, setting, scenario planning and results optimisation
- “What makes a good ILAAP?” “What makes a better ILAAP?” – pointers for efficien
- Stress testing and ILAAP results
- Stress testing, scenario analysis and planning for failure
- Reverse Stress Testing
Fees
BD 50
Interest-Rate Risk in the Banking Book (IRRBB) Best-practice Principles
1 Day Virtual Workshop
Workshop Summary
Compliance with the Basel Committee’s standards on interest-rate risk in the banking book (BCBS 368) and EBA Final Report (July 2018) on Interest Rate Risk in the Banking Book (IRRBB) presents significant challenges to all banks with respect to measurement, calculation, reporting and hedging of interest rate risk, as well as potential implications for Pillar 2a capital requirement, and this whole area is the subject of current focus from the regulatory authorities. Banks need to ensure they are able to address all the requirements of the regulators whilst ensuring regulatory capital optimisation.
This one-day workshop provides comprehensive coverage of business best-practice approach to IRRBB, to ensure optimum compliance with Basel Standards. It explains the process and implementation of an efficient IRRBB measurement, reporting and hedging framework in clear and practical terms, to enable delegates to acquire an understanding of best-practice IRRBB principles, and how they can be integrated into ALM policies, thus optimising the bank’s risk management framework.
A well-designed IRRBB framework enables a bank to pursue its strategic objectives, conversely a poorly implemented IRRBB framework can lead to long-term damage to a bank’s balance sheet structure and risk management position, not to mention material additional Pillar 2a capital add-on.
The workshop provides delegates with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk. Key topic areas including approaches to measurement and reporting, stress testing and disclosure requirement are covered in practical detail.
Learning Outcomes
By the end of this workshop you will be able to:
- Understand the value and importance of an effective IRRBB mechanism
- Be able to ensure best-practice measurement, reporting and hedging for your bank’s IRRBB process framework
- Understand the use, calculation and application of the two reporting measures (NII and EVE)
- Implement a best-practice IRRBB regime in your bank
- Operate your bank’s IRRBB process efficiently and effectively
Who should attend?
- Treasury Senior Management
- Heads of ALM/ Money Markets
- Risk Management
- Liquidity Management
- Risk Modelling
- Asset-Liability Management
- Market Risk
- Treasury Risk
- Liquidity Risk
- Balance Sheet Risk
- Stress Testing
- Capital Management
- Regulatory Reporting
Workshop Agenda
- Overview
- Significance of interest rate risk for banks
- Definition of interest rate risk and its various forms
- Regulatory landscape
- Basel standards
- EBA guidelines
- PRA Pillar 2 guidance
- IRRBB link to capital
- Reporting metrics: NII and EVE
- Understanding and applying the value approach
- Understanding and applying the income approach
- Methods for calculating EVE and NII sensitivity
- EVE vs MVE
- IRR challenges and how to overcome them
- Assessing different types of risk – yield curve, basis, option, residual
- Modelling assumptions
- Behaviouralisation approach
- Approaches to modelling deposits
- Non-dated liabilities and their hedging
- Pipeline and pre-hedge risk
- The treatment of capital
- Data requirements
- Balancing model sophistication and the cost of implementation
- Data quality
- Stress testing
- Selection process of shock and stress scenarios
- Reverse stress tests
- Addressing key challenges of running stress testing exercises
- Scenario approach
- Managing/mitigating IRRBB
- Cash versus derivative hedges
- Management actions
- Implementing your IRRBB measurement solution
- The Basel Committee Standard on Interest Rate Risk in the Banking Book
- The Standardised IRR Framework
- IRR Principles
- Internal governance
- Enhanced disclosure requirements
- Assessing the operational impact of IRRBB
- What does best practice look like?
- Strategic ALM
- The Basel Committee Standard on Interest Rate Risk in the Banking Book
Fees
BD 50
Date & Time
Date: 29 September 2020
Time: 12:00 PM – 05:00 PM
Recovery Planning and Resolution Planning Best-practice Principles
1 Day Virtual Workshop
Workshop Summary
The Recovery Plan (RP) and Resolution Plan (RP) are comprehensive, as well as time- and resource-intensive regulatory submissions that banks must produce on a regular basis. They are regulator-required documents (see PRA PS29/17 and CP9/17, and SS19/13) that must be completed to a high degree of detail and precision, and approved by the bank’s Board. The PRA’s “Dear CEO” letter of July 2018 highlighted some of the areas where banks’ Recovery Plans had fallen short of required standards.
This workshop presents a detailed best-practice approach to the RP and RP process, taking into account latest regulator requirements, the specific technical content required and how to ensure an efficient production process. It also looks at the interaction with, and cross-over from, the ICAAP, ILAAP and Liquidity Contingency Process (LCP), all of which are separate, standalone documents alongside the RP and RP.
The Recovery Planning and Resolution Plan production processes are time-consuming and resource-intensive, and ones that is important to undertake efficiently and effectively. This workshop delves deep into best-practice principles and draws out the main pointers and processes necessary to ensure efficient RP/RP results, as well assist with delivering an optimised balance sheet management and capital planning strategy. It is appropriate to every banking institution, irrespective of size or business model.
Learning Outcomes
By the end of this workshop you will be able to:
- Operate an efficient and optimised LCP / RP / RP process that benefits the entire bank
- Obtain presentable results sooner and with greater effectiveness
- Transfer knowledge bank-wide on “What makes a good RP?”
- Understand the cross-over and interaction process from ICAAP, ILAAP to LCP, RP and RP
- Effectively integrate the RP and RP into the bank’s Board Risk Appetite Framework and Risk Indicator triggering and escalation processes
Who should attend?
- ALCO members
- Head of Treasury
- Head of Balance Sheet Management
- Head of Money Markets
- Head of ALM
- Head of Liquidity Risk
- CRO and staff
- CFO and staff
- Head of Regulatory Reporting
- Head of Internal Audit
- Management consultants in Basel III space
Workshop Agenda
- Recovery Plan
- Best-practice documenation principles
- Processes and workstreams for stress testing, setting, scenario planning and results optimisation
- Stress testing process and standards
- “What makes a good LCP / RP?” – pointers for efficient LCP / RP process and results
- The role of the Board, Exco, ALCO and senior management
- Integrating the LCP and RP with ICAAP/ILAAP, the Risk Appetite Statement and the formal risk indicators triggering and escalation process
- Resolution Plan:
- Contents and best-practice documentation principles
- Integrating with escalation process and Playbook, Fire Drills
- Interaction and cross-over with ICAAP, ILAAP and Liquidity Contingency Plan (LCP)
- WORKSHOP EXERCISES
Fees
BD 50
Date & Time
Date: 15 October 2020
Time: 12:00 PM – 05:00 PM
