Bank Balance Sheet Management & Optimization Masterclass 2021
12 November 2013 - 14 November 2013
Manila, Phillippines

Your Expert Trainer

International Bank Balance Sheet Optimization ExpertOver 45 years of experience!

Professional Experience – 45 years banking practitioner and bank training and consulting –   Banking background includes 26 years with ABN Amro Bank NV in roles including: - Global..

About Your Expert Trainer

Your Must Attend Balance Sheet Optimization Masterclass for BANKS!

Balance Sheet Optimization helps banks determine what to do with their assets to better meet regulatory requirements and achieve higher profitability.

How do you optimise the balance sheet in a world of regulatory change? We know it can be challenging and hence the importance of the Equip Global's Bank Balance Sheet Optimization Masterclass 2021!

The workshop aims is to provide participants with a comprehensive understanding of how to approach balance sheet optimisation under Basel 3 constraints and in line with a bank’s own defined goals and risk appetite constraints. Case studies and participant exercises as well as short lecture segments will be employed to explain and analyse Balance sheet optimisation techniques and challenges as well as tools and measures being employed by banks to better manage and optimise their balance sheets.

The workshop will also discuss review and explain severe; models used in the optimisation process for improving bank return on equity (ROE) under the tougher bank capital, liquidity ratio, and leverage constraints being phased into banking regulatory requirements under Basel 3. The workshop will also cover developments in and the central role of bank liquidity and funds transfer pricing (FLTP) in performance measuring and optimisation, especially related to liquidity pricing and cost allocation and impacts of implementation of new IRRBB risk, reporting and capital requirements under Basel 3, Pillar 2..

The course also draws on the use of optimisation modelling for several banking book areas, including estimating behaviour of non-maturing deposits (NMDs), balancing the IRRBB EVE / ΔNII exposure for outlier testing and reporting, and building an optimal interest rate re-pricing gap exposure hedging portfolio in balance sheet currencies in which Interest rate swaps are available.

5 Key Learning Outcomes!

  1. Understand the analysis impact analysis and in inputs driving as effective bank strategic business and balance sheet planning process
  2. Gain a comprehensive insight into the of Basel 3 framework and the economic impacts of its constraints on balance sheet stricture and optimising return on capital under its constraints
  3. Examine optimisation modelling of the balance sheet and understand the basic architecture, requirements and functioning of the models
  4. Learn how to integrate Basel 3 constraints into the bank funds transfer pricing framework and to developing a robust liquidity transfer pricing process
  5. Gain hands on experience from case studies and exercises using  trainer provided spreadsheet calculation tools / examples - Improve Your Bank Balance Sheet Optimization Instaneously! See Immediate Improvements! 

How is the Course Conducted with Your Learning Objectives in Mind?

The course is structured in six 2-hour sessions, delivered over the 3-day period, as follows:
  • Session 1: Background on the challenges of balance sheet structure and management based on bank business model (e.g. wholesale / retail), currencies and financials markets (e.g. liquid / illiquid portions of balance sheet), profit centre structure and infrastructure (e.g. systems infrastructure and funds transfer pricing methodology). Overview of the bank balance sheet intermediation process, composition of the net interest margin and performance measurement process underlying optimisation analysis.
  • Session 2: Basel 2/3 interest rate risk banking book (IRRBB) – how IRRBB risk appetite and exposure measurement / management impact balance sheet performance and optimisation.
  • Session 3: Basel 2/3 comparison in terms of balance sheet optimisation constraints – with focus on the Basel 3 increases in capital and credit risk RWAs, and the introduction of balance sheet leverage ratio ceiling and liquidity ratio limits (LCR and NSFR). Introduction exercise on balance sheet structuring constraints under Basel 3.
  • Session 4: Behavioural modelling of uncertain cash flow assets and liabilities to determine effective maturity and interest rate ‘pass-through’ behaviour. Key role of funds and liquidity transfer pricing (FLTP) in the balance sheet performance (return on capitalidentification) and optimisation modelling. Examples and exercises on the Basel 3 – based reference rate-based FLTP best practice framework.
  • Session 5: Return on capital metrics and calculations (e.g. ROE/RAROC), and role of internal capital and liquidity adequacy assessment (ICLAAP) and bank risk appetite statement (RAS) in defining the balance sheet optimisation strategy. Case study analysis of a bank strategic balance sheet optimisation transition project – design, targets and results.
  • Session 6: Review and analysis of several published balance sheet optimisation models. Discussion and examples on how to construct an optimisation model. Case Study / group exercise on designing a bank business / balance sheet plan to increase its NIM under changing market and regulatory constraint conditions.

Proven Training Methodology / Documentation / Tools:

The course will be conducted, online on Zoom with active engagement of the participants – with each session inducing short presentations and discussions using Zoom share screen and chat functionality and participant exercises using Zoom main and break out room functionality.

Copies of the course presentation materials containing subject content detailed below, will be distributed to participants beforehand. Additionally a number of Excel spreadsheets will be provided by the trainer beforehand in connection with some of the exercises and to provide simple examples of some of the calculation methods covered in the course.

The Best Possible Learning Experience, Structured with YOU in mind!

Who will Benefit from Attending?

  • Bank professionals and practitioners in general and specialists working in asset & liability management (ALM including ALCO members, finance, risk management, treasury and other areas involving balance sheet, funds transfer pricing and capital management)
  • Banking sector consultants, regulators, and IT / systems providers involved in balance sheet optimization

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Bank Balance Sheet Management & Optimization Masterclass 2021
13 December 2021 - 15 December 2021
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