ILAAP (Internal Liquidity Adequacy Assessment Process) & Liquidity Risk Management. Training October 2017 Riyadh, Saudi Arabia

Transcription

1 Training ILAAP (Internal Liquidity Adequacy Assessment Process) & Liquidity Risk Management October 2017 Riyadh, Saudi Arabia Workshop Leader: Qaiser Noor & Mark Dougherty This is not a quantitative course. There are no specific prerequisite knowledge requirements although some knowledge of basic banking, risk and liquidity issues would be an advantage.

2 Course Description The course is designed to familiarize the participants with the current regulatory issues in liquidity risk, including Liquidity Risk Management, Asset-Liability Management, Internal Liquidity Adequacy Assessment Process (ILaaP) and the Supervisory Review and Evaluation Process (SREP) for ILaaP. This workshop will provide an understanding of liquidity risk management practices and the application of the new ILaaP framework. Learning Objectives By the end of the course attendees will have obtained an understanding of: Overview for better understanding of the Liquidity Risk landscape Fundamentals of Balance Sheet Asset-Liability Management (ALM) Implementing and understanding ILaaP requirements and reporting LCR (Liquidity Coverage Ratios) requirements NSFR (Net Stable Funding Ratios) requirements Ensuring an understanding of LCR and NSFR internal interaction for better management of risk Intraday Liquidity requirements and operationalising in practice Funds Transfer Pricing, including assessing mechanisms and data requirements for effective application ILaaP reviewing the challenges for ILaaP implementation and interpretation to facilitate internal processes implementing ILaaP requirements and reporting Overcoming data demands and sufficient levels for reporting Changes and challenges on the horizon in Liquidity Management in a changing regulatory and market environment Seminar Benefits Participant will achieve an understanding of ILaaP, Liquidity Risk and Treasury Risk Management. as well as proven approach to construct an ILaaP. Who Should Attend Chief Risk Officer/Head of Risk Head of Liquidity Risk Head of Treasury/Balance Sheet Management/ Asset-Liability Management Head of Market Risk Head of Finance Head of Compliance/Regulation Programme Directors/Project Managers for ILaaP (Internal Liquidity Adequacy Assessment Process) Risk Managers Senior/Executive Management Heads of Audit Basel III Project Managers Business Heads Risk Management Professionals Learning Format The workshop will be comprised of classroom style lectures, exercises/case studies and interactive discussions. Knowledge Pre-Requisites This is not a quantitative course. There are no specific prerequisite knowledge requirements although some knowledge of basic banking, risk and liquidity issues would be an advantage. Knowledge Partner: tel.: john.sebastian@fleming.events

3 About the trainer Qaiser Noor A highly motivated and ambitious professional British and Middle East Banker with a variety of CFO equivalent experience spread over 17 years working in top tier financial institutions of the world. Mr. Qaiser Noor is a seasoned British and Middle East Banker with a variety of CFO level experience spread over 18 years working in top tier International Financial Institutions, Consultants and Supervisors. He is a Chartered Accountant of England and Wales along with having 3 other Chartered Accountancy qualifications and a strong academic background with renowned achievements from international reputable universities. Some of the reputable organisations he has worked in London include PWC, Standard Chartered Bank, HSBC, RBS and Mizuho. His key areas of expertise are Finance (IFRS), Strategic Planning, Islamic Financing, Risk and Assurance, Capital and Liquidity Management (Basel II, Basel III), Treasury, Corporate Governance and Compliance. In his previous roles, he has contributed strongly for development of Enhanced Task Force for Disclosures in UK, Capital and RWA optimisation for Investment Banks, ICB ring-fencing framework for RBS, Risk Operating Model, Product Innovations and Value Additions in Financial/Risk Reporting. Currently, he is providing his expertise in areas relating to Finance, ICaaP, Stress Testing, Banking Compliance, Basel III and Latest Developments in the Middle East Market. He has represented Saudi Arabia in the Basel Regulatory Consistency Assessment Program (RCAP) and FSB peer review process obtaining a compliant and satisfactory rating, which was a great achievement. In addition, he has also undertaken an independent Basel RCAP assessment of Turkey with achievements recognised by the Basel Committee. He is a key member of various Basel working groups ranging from Risk Measurement Group, Standardised Approach to Large Exposures along with providing adhoc support for various international G20 related forums. He is a frequent speaker in various international forums, workshops and intellectual conferences on Finance and Risk. Recently, he presented in Arab Monetary Fund/ Financial Stability Unit on Treasury, Asset and Liability Management and Macro prudential Supervision and Islamic Banking in a High Level Forum organized by AMF and World Bank in Dubai. He is currently writing a book to elaborate on key challenges affecting Middle East Banking Sector. Mark Dougherty Mark Dougherty, is a full time Risk Management Consultant who currently resides in London UK and who periodically takes time out to teach Risk Management courses world-wide, including Liquidity Risk, Asset-Liability Management and Treasury Risk Management. His courses focus on the practical and the important elements that are essential to achieve success. It s not just about textbook learning. Originally from North America, Mark has worked extensively in Toronto & New York and other major financial centres around the globe. Mark has worked in financial services organisations of all types and sizes and, including small and large. He has led major Risk-related transformation programmes using his subject matter expertise for Institution-wide Risk Management and corporate governance initiatives. Mark is an experienced Subject-matter Programme Director with a successful track record in implementing regulatory initiatives to establish industry-leading standards in Risk and Governance. He is most often accountable for programme reporting to the Board and Executive Management. Mark has led programmes and projects involving multidisciplinary teams across different geographies involving various regulatory authorities. Mark is an experienced Subject-matter Programme Director with a successful track record in implementing regulatory initiatives to establish industry-leading standards in Liquidity Risk, Risk and Governance in all aspects of Asset-Liability, Credit, Market, Conduct and Operational Risks. Mark provides global risk training educational services on Risk Management in both developed (British Bankers Association in the UK, ABN AMRO Bank, ing Group and Rabobank in Amsterdam, The Netherlands and Wells Fargo in the USA) and emerging markets, including Egypt, United Arab Emirates (Dubai & Union National Bank, Abu Dhabi), Kuwait, Nigeria, Kenya, Rwanda, Slovenia, Croatia and Bosnia. His design and delivery of courses have included topics such as: Liquidity Risk, Model Risk, Basel II and III, Risk & Capital Management, ALM, Credit Risk, Operational Risk, Treasury Risk Management, ICaaP and Corporate Governance for clients globally. All of Mark's extensive Financial Institutions experience across a wide range of Risk and Corporate Governance areas distinguishes his courses as an expert combination of discussing his actual involvement and providing his detailed know-how and real life examples on the proper approaches to take and how to avoid the common traps in implementation. Mark is the author of the book The Intelligent Citizen s Guide to Risks in Financial Institutions (Amazon, 2014); contributing author for GARP s (Global Association of Risk Professionals) textbook Foundations of Banking Risks (2015) and contributor of numerous Risk Management articles for various professional journals. Mark is a Big Four trained Canadian Chartered Professional Accountant (CPA) & Certified Management Accountant (CMA) and an International Associate of the American Institute of Certified Public Accountants (aicpa) in the United States. His career spans over 30 (thirty) years in Financial Institutions, 19 (nineteen) of which have been in Risk Management.

4 DAY 1 Section A Presented by: Qaiser Noor Session 1: Process for constructing an ILAAP Introduction and Overview of ILAAP in advanced markets Objectives of ILAAP Major components of the ILAAP Major challenges in building an ILAAP The ILAAP Process Session 2: Contents of ILAAP Summary of Bank's Strategies including its Current and Projected Financial and Liquidity Positions Liquidity Adequacy and ILAAP Approach and Methodology and details on models employed Internal Models: Pillar 1 and ILAAP comparisons Stress Testing and Scenarios Applied Liquidity Transferability Between Legal Entities Aggregation and Diversification Session 3: Stress testing and Contingency Funding Plan Details on Stress Testing Details on Contingency Funding Plan Session 4: Q&A Session Q&A

5 DAY 2 Section B Presented by: Mark Dougherty Session 5: Introduction What has changed from ILAA to ILAAP? Session 6: Understanding the basics: Risk and liquidity Liquidity risk identification and quantification Managing bank liquidity in the context of business goals and financial policies Risk balancing The banking landscape Session 7: Banking risk and the place of liquidity in risk management Liquidity at Risk Integrating liquidity and risk management Session 8: Managing liquidity from both strategic and policy bases Liquidity strategy - proactive/reactive/supine (failing to act)? Liquidity policy elements Making the management processes robust and responsive Session 9: Accounting for liquidity risk Liquidity flows Transfer pricing Defining liquidity limits Liquidity pitfalls and Session 10: Introduction to ALM The Basics of Cash Management Budget v. Actual v. Forecast and variance analysis Revenues, Costs and the Breakeven Point Risk versus Return Types of Risk Hedging Approaches and Costs Session 11: Assets, Liabilities and the Balance Sheet (ALM: Asset-Liability Management) Implementing an Effective Approach Modern Philosophies What Drives You? ALCO Composition & Objectives Effective Data Collection Interest rate risks Foreign currency exposures Session 12: The Problems of Funds Transfer Pricing (FTP) Transfer Pricing as a Tool Implementation Issues Setting Transfer Rates Using an Internal Funding Centre Accounting Problems Asset & Liability Pricing Implications tel.: john.sebastian@fleming.events

6 DAY 3 Session 13: Intraday Liquidity Risk Management Introduction to Intraday Liquidity Risk Management. Measuring Intraday Liquidity Risks. Monitoring Intraday Liquidity Risks. Managing Intraday Liquidity Risks. Intraday Liquidity Risk Management Issues. Controlling Intraday Liquidity Risk Session 14: Liquidity Risk Rules Introduction Explanation of Liquidity Coverage Ratio (LCR) Criteria for inclusion as High Quality Liquid Assets (HQLA) Categories of HQLA Level 1, Levels 2A and 2B International framework for liquidity risk management Liquidity risk identification and quantification Liquidity at Risk Integrating liquidity and risk management International framework for liquidity risk management BCBS sound practices for liquidity risk The liquidity coverage and net stable funding ratios (LCR & NSFR) Monitoring tools and techniques What impact will LCR and NSFR have on bank s business model and ROE Session 15: Liquidity Risk - Approach and Calculations A Global Liquidity Standard Liquidity Coverage Ratio (LCR) - Introduction Liquidity Coverage Ratio - Criteria LCR Criteria Net Stable Funding Ratio (NSFR) - Introduction Net Stable Funding Ratio - Criteria Available Stable Funding (ASF) Required Stable Funding (RSF) Early implementation experience Management and supervision of liquidity risk Managing liquidity and operational risks from a bank s perspective Supervisory frameworks for assessing the management of liquidity and operational risks in banks Managing liquidity and operational risks from a bank s perspective Supervisory frameworks for assessing the management of liquidity and operational risks in banks Challenges in implementation Session 16: Monitoring and managing Stress Testing within Liquidity Risk The approaches quantitative and qualitative Why it is necessary Framework for stress testing, scenario modelling and sensitivity analysis Benefits of stress testing What can go wrong in the practice Session 17: ILAAP (Internal Liquidity Adequacy Assessment Process) The key principles Suggested framework, content and layout Prudence and conservatism Period to be covered Proportionality The ILAAP process from preparation to Board approval Challenge and independent review Liquidity position suggested content and layout The process of creating the ILAAP > ILaaP Hot Buttons and regulatory concerns Session 18: ILAAP - Practical Approach to Reporting This section focuses on the actual preparation of the ILAAP document including approaches to use. Introduction Overarching principle Overarching principle Governance Fund Transfer Pricing Identifying, measuring and managing liquidity risk Intra-group liquidity risk management Funding strategy and market access Intraday liquidity risk management Collateral management Stress testing Contingency funding plan Liquidity buffers Public disclose information Conclusion Session 19: Q&A Session and Conclusion Q&A Conclusion

7 Corporate Learning

8 ILAAP (Internal Liquidity Adequacy Assessment Process) & Liquidity Risk Management Sales Contract October 2017 Riyadh, Saudi Arabia Code: DB TEF 181 Please complete this form and send it back to: Phone: to: or fax: Client Identification Details (Please complete form IN CAPITAL LETTERS for each client) Ms Mrs Mr Surname: Name: Ms Mrs Mr Surname: Name: Ms Mrs Mr Surname: Name: Company/Organisation Details Contact person for invoicing: Payment Method Please debit my Visa Eurocard / Mastercard Amex Diners club Card Billing Address: Street: City: Card Holder s Name: Card Holder s Signature: Card Number: Post/Zip Code Visa CVC Number or Eurocard/Mastercard CVV Number (last 3 digits on the back of the card) Valid from Expiry Date I agree to Fleming Gulf FZE debiting my card. 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If the payment is not received on FG s account on the seventh day from the date of the issue of the invoice, FG is entitled to charge the Client an overdue interest of 5% p.a. for every day, for which the Cleint s payment is overdue. The registration fee includes: conference documentation, admission to all conference sessions, lunches and refreshments, admission to networking social breaks during the event. The registration fee does not include: travel, hotel accommodation, transfers or insurance.. 2. Hotel accommodation. Overnight accommodation is not included in the registration fee. A reduced rate may be available at the hotel hosting the event. The reservation form will be sent to the client after the venue has been confirmed, but no later than one month before the event begins. 3. Cancellation by client. The client has the right to cancel his/her participation in the event. Cancellation must be received by FG in writing, either by mail or fax. 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Such circumstances include but are not limited to acts of terrorism, war, extreme weather conditions, compliance with government requests, orders and legal requirements, failure of third party suppliers to timely deliver, and failure to register the minimum target amount of attendees for a given event. FG reserves the right to change the content, date(s), location or venue and/ or special features of an event, to merge the event with another event, or to postpone it or cancel it entirely as appropriate under the circumstances. Client agrees that FG shall not be liable for any cost, damage or expense which may be incurred by client as a consequence of the event being so changed, merged, postponed or cancelled and client agrees to hold FG harmless and to indemnify FG in case of liability caused by any such changes, mergers, postponements or cancellations. 5. Cancellation of the event. 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To the fullest extent permitted by the law, you agree to protect, indemnify, defend and hold harmless FG, its owners, managers, partners, subsidiaries, affiliates, officers, directors, employees and agents, from and against any and all claims, losses or damages to persons or property, governmental charges or fines, penalties, and costs (including reasonable attorney s fees) (collectively the Claims ), in any way arising out of or relating to the event that is the subject of this contract, and regardless of negligence, included but not limited to, Claims arising out of the negligence, gross negligence or intentional misconduct of FG employees, agents, contractors, and attendees; provided, however, that nothing in this indemnification shall require you to indemnify FG Indemnified parties for that portion of any Claim arising out of the sole negligence, gross negligence or intentional misconduct of the FG parties. 9. Other currencies. In case that client requests payment in other than official currency (USD), FG reserves the right to apply 8% currency risk surcharge to the actual exchange rate. 10. Other Conditions. Any terms or conditions contained in the client s acceptance which contradict or are different from the terms and conditions of this registration document shall not become part of the contract unless individually negotiated with FG and expressly accepted by FG.