Asset & Liability Management and Capital Adequacy Planning Training Course

Key Benefits of This Asset & Liability Management Course

Here are some key benefits from attending this Asset & Liability Management training course:

• NEW: ALM Simulation Game which is performed on the final day of the course. You will apply the knowledge gained in the course to optimize a bank’s ALM situation. (*Not available in the online version)
• Understand the dynamics of your balance sheet and how to use KPIs
• Identify the key risk factors acting on your balance sheet and how they can be minimized
• How all forms of financial exposure can be defined, measured, monitored and managed
• Benchmark your current ALM practices and develop an action plan to bring your practices to the highest standard
• Adopt effective cash flow management and Value at Risk (VAR) techniques
• How to manage and hedge interest rate and liquidity exposures
• Enhance your capital adequacy planning and balance sheet managementtechniques
• Up-to-Date Techniques and Strategies
• Regulatory Capital Rules
• We give you a framework to assess/write your own internal ALM policy.
• You’re given several practical ALM tools
• Simple, Clear and Practical

ONLINE COURSE SYLLABUS

Introduction to ALM & Challenges Today

• What is ALM (see Module 1, Lesson 1 at 1:58)
• The ALM Framework (see Module 1, Lesson 1 at 3:54)
• Maturity Transformation and Inflows & Outflow Cycle (see Module 1, Lesson 1 at 6:16)
• ALCO and Country ALCO
• What is the ALCO? (see Module 1, Lesson 2)
• The Role of Country ALCO? (see Module 1, Lesson 2 at 1:18)
• Organization of Country ALCO? (see Module 1, Lesson 2 see 1:58)
• Challenges for ALM Today (see Module 1, Lesson 3)
• ALM Challenges: Markets (see Module 1, Lesson 3 at 1:38)
• ALM Challenges: Regulatory (see Module 1, Lesson 3 at 3:09)
• ALM Challenges: Active Management (see Module 1, Lesson 3 at 3:48)

ALM Governance and Structure

• ALM Governance
• The Importance of Governance for ALM and Treasury (see Module 2, Lesson 1 at 0:17)
• Board-Level ALM and Interest Rate Risk (IRR) Policies (see Module 2, Lesson 1 at 3:11)
• Bank Finance and Treasury Structure (see Module 2, Lesson 1 at 3:44)
• Bank Finance and Treasury Responsibilities (see Module 2, Lesson 1 at 4:31)
• Bank Treasury Function in a Branch (see Module 2, Lesson 1 at 5:33)
• The Difference Between Policies and Procedures (see Module 2, Lesson 1 at 6:23)
• Internal Control and Independent Risk Management (see Module 2, Lesson 1 at 8:34)
• ALM Structure at Major Banks
• Organization at a Major Bank – Business Line Approach (see Module 2, Lesson 2)
• Business Unit Involvement in ALM (see Module 2, Lesson 2 at 1:09)
• ALM & Risk Management at Major Banks (see Module 2, Lesson 2 at 4:15)
• A Look at a Bank Balance Sheet (see Module 2, Lesson 2 at 5:05)
• A Look at a Bank Income Statement (see Module 2, Lesson 2 at 6:34)

Capital and Value Creation

• Capital and Value Creation
• How to Add Value (see Module 3, Lesson 1 at 0:11)
• Weighted Average Cost of Capital (WACC) (see Module 3, Lesson 1 at 1:54)
• The Cost of Debt (see Module 3, Lesson 1 at 5:10)
• The Cost of Equity (see Module 3, Lesson 1 at 6:35)
• A Roadmap to Optimal Capital Structure and Ratings (see Module 3, Lesson 1 at 7:46)
• The Spectrum of Financing (see Module 3, Lesson 1 at 10:01)
• World Financial Assets and Macro View (see Module 3, Lesson 1 at 13:52)
• Current Economic Environment

Managing Interest Rate Risks – Short Term Rates

• Interest Rate Cycle and What Yield Curves Tell Us
• Where Are We in the Business Cycle? (see Module 4, Lesson 1 at 0:20)
• The Yield Curve (see Module 4, Lesson 1 at 4:05)
• LIBOR (SOFR) and Risks in Floating Rates
• Interest Rate Risks in Financial Instruments and Positions (see Module 4, Lesson 2)
• How to Manage Floating Rate Debt Exposure (see Module 4, Lesson 2 at 1:45)
• What is LIBOR? *LIBOR was replaced by SOFR in as of June 2023 (see Module 4, Lesson 2 at 3:26)
• Risk in Short Term Rates (see Module 4, Lesson 2 at 7:25)
• Building Block of Managing Interest Rate Risk: FRA’s
• How to Manage Floating Rate Debt Exposure (see Module 4, Lesson 3)
• How to Manage Floating Rate Debt Exposure: Pricing Forward Interest Rates (see Module 4, Lesson 3 at 1:08)
• Interest Rate Forward Solution (FRA) (see Module 4, Lesson 3 at 2:37)

Financial Futures

• Fundamentals of Short Term IR Futures
• Futures and Organized Exchanges (see Module 5, Lesson 1 at 0:11)
• Futures and Their Uses (see Module 5, Lesson 1 at 2:08)
• Exchange Traded Markets (see Module 5, Lesson 1 at 3:01)
• Why Speed of Execution Has Become a Selling Point (see Module 5, Lesson 1 at 4:53)
• Exchange Trade Interest Rate Contracts (see Module 5, Lesson 1 at 5:33)
• Using Financial Derivatives: Eurodollar Futures (see Module 5, Lesson 1 at 6:10)
• Financial Futures – Margin & Leverage (see Module 5, Lesson 1 at 7:30)
• Exchange Traded Contract Margining (see Module 5, Lesson 1 at 8:10)
• Exercise: Financial Futures Margining (see Module 5, Lesson 1 at 9:29)
• The New Derivatives Architecture
• New OTC Derivatives Regime Post-2008 (see Module 5, Lesson 2)
• The Derivatives Landscape (see Module 5, Lesson 2 at 1:47)
• Approaches to End-User Exclusion from Collateral (see Module 5, Lesson 2 at 3:26)
• Trade Repositories (see Module 5, Lesson 2 at 4:46)
• Swap Execution Facilities (SEFs) (see Module 5, Lesson 2 at 5:54)
• The Role of the Clearing House (see Module 5, Lesson 2 at 6:17)
• Central Counterparties (see Module 5, Lesson 2 at 8:13)

Bond Price/Yield, Duration

• Bonds and Price/Yield Relationship
• Calculating Bond Prices
• Bond Duration and Convexity
• Bond Portfolio Theory

Long-Term Derivatives-IRS

• What is an interest-rate swap?
• BIS OTC Derivatives Statistics
• Managing Bond Price Risks with IRS
• OIS

Long Dated Currency Swaps

• Uses of Long Dated Currency Swaps
• Liability Management and Long Dated Currency Swaps
• Structuring the Swap to Match the Liability

Gapping and Gap Analysis

• Net Interest Income and Market Value of Equity
• Gap and NII
• Gap Metrics and Limits
• MVE

FX and Funding

• FX Forward and Swap Terminology and Quotations
• Pricing FX Forwards
• Case Study: Generating USD Funding Through JPY Using FX Swaps

Funds Transfer Pricing

• What is FTP?
• Best Practices for FTP

Basel and the New Regulatory Landscape

• The Role of Bank Capital
• Regulat Capital – Basel III

Basel and Credit Risk

• Credit Risk Weighting for RWA Under Basel
• Credit Loss Modeling Fundamentals
• Credit Spreads and Credit Default Swaps

Basel Market and Operational Risk

• Market Risk and the Trading Book
• Operational Risk and Proposed Changes in Basel

Basel New Liquidity and Leverage Measures

• Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR)
• Leverage Ratio
• New Capital Instruments

Asset & Liability Management In-Person Course Highlights

WHAT IS ASSET LIABILITY MANAGEMENT

• Definition of ALM
• ALM and Challenges Today
• ALM Framework
• ALM Structure at Major Banks – a sample
• Capital and Value Creation
• Indentifying Risks for ALM
• Impact of the External Operating Environment on ALM

ALM GOVERNANCE

• ALCO Function and Structure
• Importance of Policies and Procedures
• Role of Audit and Risk Management

SHORT TERM INTEREST RATE RISK ANALYSIS AND RISK MANAGEMENT PRODUCTS

• How to interpret the yield curve
• Managing Floating Rate Exposure
• Exercises and Case Studies: Managing Interest Rate Risk with FRAs

LONG TERM INTEREST RATE ANALYSIS AND RISK MANAGEMENT PRODUCTS

• Fixed Income Markets
• Exercises and Case Studies: Duration, Bond Portfolio Analysis, and how to calculate VaR with a discussion of expected loss approach
• Interest Rate Derivatives
• Exercises and Case Studies: Hedging Interest Risk in Long Term Interest Rate Exposures, Asset Swaps

GAPPING AND GAP ANALYSIS

• What is the ‘gap’?

ACCOUNTING CONSIDERATIONS FOR ALM

• Trading Book Assets and Liabilities
• Investment Book Assets and Liabilities
• Banking Book Assets and Liabilities
• Hedge accounting for risk management derivative products
• Earnings impact and accounting treatment

FAIR VALUE MEASUREMENT

• Valuation higherarchy
• XVA – the valuation adjustments: CVA, DVA, FVA etc.

FOREIGN EXCHANGE MARKET AND FUNDING TECHNIQUES

• FX pricing and electronic markets
• Forward FX markets and linkages to interest rates
• Exercises and Case Studies: Sourcing alternative funding through the FX market

CAPITAL AND BASEL III

• Credit Risk management and ALM
• Market Risk and ALM
• Operational Risk
• The BIS Leverage Ratio        

LIQUDITY, FUNDING GENERATION AND FUNDS TRANSFER PRICING (FTP)

• Objectives of FTP
• Setting up and managing an FTP system
• Centralizing Treasury liquidity
• Econometric modeling of Deposits
• Structured Deposits
• Exercises and Case Studies: Indeterminate Maturity deposits and FTP
• New Liquidity and Leverage Regulations under Basel III
• Exercises and Case Studies: Calculating the LCR
• New Capital Instruments 

NEW: ALM SIMULATION

• In the final section of the course, using all the knowledge gained over the preceding modules, you will work on a multi-dimensional ALM simulation case involving a bank facing challenges on all sorts of measures.
• Working in teams, this simulation requires managing the balance sheet for such issues as EaR, ROE, LCR, NSFR and more in a fully integrated manner just as the ALCO and Treasurer of a bank would have to do.
• *Calculators are required for the simulation.
• **ALM Simulation is NOT included in the online distance learning version