Introduction:

Asset and Liability Management (ALM) in banks is a strategic approach to balancing financial risks while optimizing profitability and liquidity. It involves managing assets such as loans and investments alongside liabilities like deposits and borrowings to maintain financial stability. Effective ALM ensures banks can meet their obligations, adapt to market fluctuations, and comply with regulatory requirements. This training program provides a comprehensive knowledge on ALM strategies, risk assessment methodologies, and financial planning techniques essential for sustainable banking operations.

Program Objectives:

By the end of this program, participants will be able to:

Explore the evolving role of ALM and its impact on banking strategies.
Conduct detailed asset and liability gap analysis to identify and mitigate risks.
Optimize portfolio management through advanced Funds Transfer Pricing (FTP) techniques.
Utilize sophisticated tools for managing FX and interest rate risks.
Develop structural hedging strategies while addressing future ALM challenges.

Targeted Audience:

Bank treasurers and ALM professionals.
Risk managers and compliance officers.
Financial analysts and portfolio managers.
Regulatory and policy advisors.
Banking executives overseeing financial strategy.

Program Outline:

Unit 1:

The Evolving Role of Asset and Liability Management (ALM):

Defining the role and strategic importance of ALM in modern banking.
Global Financial Crisis including causes, resolution, and key takeaways.
Impact of Basel III on capital adequacy, risk constraint ratios, and leverage ratios.
Standardized methodologies for credit risk: Adjustments for collateral and gearing.
Importance of linking ALM optimization to Return on Equity (ROE) and Basel III implications.

Unit 2:

Asset and Liability Gap Analysis:

Frameworks for addressing the challenges of maturity transformation in banking portfolios.
Behavioral modeling techniques for prepayment and redemption adjustments.
Techniques for managing non-traded market risks including IRRBB vs. CSRBB and their measurement.
Liquidity risk measures under Basel III focusing on LCR, NSFR, and their strategic impact.
Beyond Pillar I, ICAAP, ILAAP, and RRP enhance risk management and ensure financial stability.

Unit 3:

Evolution of FTP and Non-Wholesale Portfolio Management:

Fundamentals of FTP and its role in optimizing banking portfolios.
Evolution of FTP methodologies and deriving accurate FTP curves.
Frameworks for behavioralizing portfolios through FTP to align incentives and drive business behavior.
Optimizing tools and products through pricing strategies, regulatory integration, and FTP trends.
Governance and ownership of FTP, including effective reporting and alignment strategies.

Unit 4:

Tools for Managing FX and Interest Rate Risk:

How to apply cash FX instruments in risk mitigation.
Types, pricing, and valuation techniques of Interest Rate Swaps (IRS).
Overview of Cross Currency Swaps (XCCY) and its application in managing FX and IR risks.
Importance of leveraging FX swaps for optimized funding solutions.
Frameworks for managing long-term FX risk with XCCY swaps through pricing and valuation strategies.

Unit 5:

Structural Hedging and Future Challenges for ALM:

Frameworks for establishing governance, defining scope, and ensuring effective execution.
How to manage the costs of unwinding structural hedges.
Preparing for future ALM challenges by addressing TLAC/MREL requirements and Basel IV compliance.
Strategic responses to emerging regulatory and market dynamics.

Asset and Liability Management in Banks