Bank Treasury Today - Strategic Challenges, Opportunities and Trends

In managing their treasury risk, banks continue to face unprecedented challenges. Even before Basel III/CRD IV has been fully adopted, further regulation that placed unprecedented levels of challenge on how banks manage their balance sheet in normal, stressed and ‘going concern’ scenarios has been announced. Collectively known as Basel IV/CRD V these ‘updates’ continue to place pressure on banks treasury functions, their funding plans and how they interlock with the wider business. Meanwhile other regulation such as IFRS9 and IBOR reforms are still being digested and all of this is against a backdrop of a continued tough market environment.

This extensive workshop, seeks to explore these current or near term challenges and moreover share via a series of case studies, exercises and the trainers deep experience, what practical steps banks are taking to mitigate them and to optimise in light of them.

The focus of this program is strategic not tactical. It will be equally useful to Senior Treasury/Risk professionals and/or Senior Coverage Bankers who are tasked with the design/ownership of strategic treasury and/or commercial planning of a bank. It will provide them with foresight of these challenges, what is considered to be best practice. in addressing them and by extension better equip them to reflect them in their strategic planning.

Learning Outcomes

• Appreciate the challenges that lie ahead for bank treasury management particularly from ‘Basel IV/CRD V’ and articulate strategies to mitigate them
• Describe the challenges presented by the Fundamental Review of the Trading Book [FRTB]
• Apply the new Standardised Approach for calculation of Counterparty Credit Risk Exposures [SA-CCR]
• Assess sensitivity of both earnings and equity to interest rate risk in the banking book after applying of the most recent Basel Standards for doing so
• Articulate strategies to optimise the balance sheet in light of impact of Basel IV/CRD V, IFRS9, LCR and NSFR.
• Enhance Pillar 2 funding adequacy process and stress testing in line with the emerging guidelines
• Appreciate the market challenges and responses to IBOR
• Transition reforms
• Enhance Funds Transfer Pricing [FTP] frameworks to better reflect the increased challenges on the balance sheet and articulate how challenges presented by illiquid wholesale markets in doing so can be mitigated
• Gain insight into how on-gong digital transformation of banking is impacting bank treasuries and the opportunities and challenges presented by it.

Day 1:

• Session 1: Introduction – Banking 2020 with Foresight
• Session 2: Impact of IFRS9 Impairment
• Session 3: Focus on Fundamental Review of the Trading Book [FRTB]

Day 2:

• Session 1: Focus Standardised Approach for Counterparty Credit Risk [SA-CCR]
• Session 2: Deep dive on BIS 368 Interest Rate Risk in the Banking Book (IRRBB) Standards
• Session 3: Complying with Liquidity Coverage Ratio [LCR] optimally

Day 3: 

• Session 1: Complying with Net Stable Funding Ratio [NSFR] optimally
• Session 2: Updates to Pillar 2 and Stress Testing
• Session 3: Case Study: Funds Transfer Pricing in Illiquid - Wholesale Markets

Day 4:

• Session 1: IBOR Reform
• Session 2: Evolving Funds Transfer Pricing Models
• Session 3: Bank Treasury in a Digital World