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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Live Online Workshop: Managing a Bank Balance Sheet under Basel III/IV Constraints

With a special focus on IRRBB and Funds & Liquidity Transfer Pricing

6-9 Dec 2021
Online, Singapore

Why You Should Attend

Live Online Workshop: Managing a Bank Balance Sheet under Basel III/IV Constraints

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set

The benefits of attending our training courses are well known. Apart from the practical knowledge gained from the trainer there is also the opportunity to benchmark your business processes against industry best practices, along with gaining valuable insights from the other participants. Sometimes however there are exceptional circumstances that make it impossible- or at the very least extremely difficult- to travel to courses and be there in person. This live online training course has been created in order to enable executives from financial institutions to experience the benefits of a live course from their office or home.

The workshop’s objective is to provide delegates with a comprehensive understanding of the impact of Basel lll on bank balance sheets and to analyse in case studies some of the measures being employed by banks to better manage and optimise their balance sheets. The workshop will discuss an optimisation model developed in Europe 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 lll.

The workshop will also cover developments in bank funds transfer pricing (FTP) that are related to Basel lll, including the important area of liquidity pricing and cost allocation in the FTP process andtheforthcoming impact of bringing interest rate risk in the banking book(IRRBB) into the Basel Pillar 1 capital requirements. The course also draws on the use of optimisation modelling for several banking book areas, including estimating behaviour of non-maturing deposits (NMDs), balancing theIRRBB 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 swaps are available.

About your expert trainer:

Douglas Bongartz-Renaud– FRM is owner and Director of Markets & Risk Solutions Pte  Ltd, a banking consulting and training firm based in Singapore. Recent assignments have included Basel lll training for HSBC and other banks and a seven month project for the IFC (World Bank Group) as treasury and risk advisor at a  large Asian bank. In addition he provided ALM design andimplementation assistance at a bank in East Africa under an IFC sponsored assistance program.

Douglas also provides consulting assistance to an Islamic bank in SE Asia and to a number of banks in Indonesia as a part time SME for KPMG. In addition he has done a number of training and ALM related consulting projects in East Africa (Burundi, Kenya, Tanzania)

Douglas has 35 years of experience in banking in the areas of financial products, risk management, andALM, including 26 years with ABN AMRO where he had a number    of senior roles, including heading the global FX Derivatives, Interest Rate Derivatives, Structured Products businesses andashead of the Bank’s Treasury, Risk and Advisory

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.

Who should attend?

This course is intended to benefit bank ALCO management, ALCO members andriskmanagement & finance department professionals

· Balance Sheet Management

· Funds Transfer  Pricing (FTP)

· Treasury Front Office

· Asset & Liability Management (ALM)

· Liquidity Management

· Market  Risk

· Finance

· Regulatory Reporting

·  Audit

Key Topics

  • Understand and analyse key inputs into a bank’s strategic business and balance sheet planning process
  • Gain an analysis of Basel III business model and economic constraints
  • Have an introduction to optimization modelling of the balance sheet under Basel III constraints
  • Learn how to integrate Basel III constraints into the bank funds transfer pricing framework and to developing a robust liquidity transfer pricing process

  • Why Choose GFMI marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

    Voice of Our Customers
    • “Very intellectually engaging” Investec
    • “Very good, lots of content and applicable and interesting real-life stories/examples” Morgan Stanley
    • “The use of online mini-games and simulations was very engaging. I have enjoyed the interaction with the rest of the learners in the sessions” European Central Bank
    • “The course is amazing; it is interactive, it is educational, and I enjoyed it so much!” TD Bank
    • “Clear instructions and passionate delivery. Very open to answering questions and made everyone fell at ease” RBS
    Join the Discussion

    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Veronika Sapronova

    101 Finsbury Pavement
    EC2A 1ER

    +44 (0)20 3002 3435
    Fax: +44 (0)20 3002 3016
    Email: veronikasa@marcusevansuk.com