Asset & Liability Management - Introduction

This one-day course will provide delegates with an understanding of the main activities undertaken within a bank’s treasury area including funds transfer pricing, rate risk management and liquidity risk management.

Delegates who attend the course will leave with a better understanding of the core disciplines within ALM – and how major banks address the challenge of optimizing balance sheet structure in a changing regulatory world.

The instructor will run a number of exercises throughout the course with delegates working either independently or in small groups. The course does not assume any previous direct experience of ALM. Only a basic general knowledge of the financial markets and banking environment is assumed.

Venue may change up to 14-days before the course start date. Enquire for dates.

Learning objectives include developing an understanding of the following:

Bank balance sheet structure

• Assets on a bank balance sheet
• Deposits, bonds and equity
• Risk Weighted Assets (RWA) and the “Basel ratios” – Tier 1 capital
• Basel 3
• Key metrics – Net interest income, net interest margin, return on equity and others

Funds transfer pricing (FTP) and interest rate risk

• Why banks implement FTP
• Using benchmark swap rates and LIBOR as a basis for FTP rates
• Net margin and business line attribution
• Centralised management of interest rate risk
• Hedging rate risk within the ALM unit

Liquidity risk

• Lending long and funding short – a view of some major bank balance sheets
• Product behaviour - effective maturity compared with contractual maturity
• Stress scenarios and normal business conditions
• Including liquidity cost within the FTP process
• Basel 3 liquidity ratios – the Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR)

A deeper understanding of the activities undertaken within a bank’s treasury area is provided in Asset Liability Management - Intermediate.

The course has been designed for delegates with an interest in how banks manage their treasury function – with particular emphasis on liquidity risk, interest rate risk and funds transfer pricing.

The course is targeted at people entering the world of ALM, or those currently working within the field who wish to gain a holistic view of the treasury area. It is also suitable for those who deal with ALM as part of their job role.

This following list is not restrictive, but the course is relevant for those working for commercial banks, investment banks, buy-side asset management firms, accountants, lawyers and consultants. In terms of job function, the course is suitable for those working in the following areas: Operations, middle office, finance, IT, compliance, risk, legal, analysts, and sales.