ALM & Balance Sheet Optimisation 2017

28 - 29 June 2017,  The Excelsior Hotel, Hong Kong

Programme

Day One - Wednesday, 28 June 2017

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

Nicholas Wood, Financial Sector Consultant, IMF

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 mix
    • Product Mix
    • Business Mix

Nicholas Wood, Financial Sector Consultant, IMF

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

Peter Yue, Head of Policy, Analytics and Supervisory and Deputy Head of Asset Liability Management- Risk, OCBC Bank

15:00 Afternoon coffee break

15:30 Adapting to the 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

Sandip Patil, Managing Director and Region Head, Global Liquidity and Investments, Asia Pacific, Citi

17:30 End of Day 1


Day Two - Thursday, 29 June 2017

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

Nicholas Wood, Financial Sector Consultant, IMF

10:15 Balance sheet management stimulation 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

Nicholas Wood, Financial Sector Consultant, IMF

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

Douglas Bongartz-Renaud, Former Global Head of Currency Derivatives and Global Head of Rate Derivatives and Structured Product, ABN AMRO

14:00 Liquidity Framework

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

Douglas Bongartz-Renaud, Former Global Head of Currency Derivatives and Global Head of Rate Derivatives and Structured Product, ABN AMRO

15:30 Afternoon coffee break

15:45 Interest Rate Risk in the Banking Book (IRRBB)

  • Introduction to Basel IRRBB
    • Net Interest Income (NII) analysis
    • Measures of economic value and capital of IRRBB
  • How to measure stable non-maturing deposits
  • Risk free or non-risk free discount curves

Peter Yue, Head of Policy, Analytics and Supervisory and Deputy Head of Asset Liability Management- Risk, OCBC Bank

17:00 End of training course

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