MAY 3-4, 2016 Enhancing Your ALM Modeling Process MAY 5-6, 2016 Best Practices in ALM Indianapolis, IN Hyatt Regency Indianapolis
Enhancing Your ALM Modeling Process Enhancing Your ALM Modeling Process provides excellent training for anyone responsible for the ALM or Interest-Rate Risk (IRR) modeling processes. This comprehensive two-day program will explore the accountability and responsibility of IRR and provide you with tools and insights you can use to prepare for regulatory scrutiny. Deborah Donaldson, President and CEO of Alpha-Numeric Consulting, LLC, will provide an array of best practices in ALCO reporting, as well as address the top 10 modeling mistakes and how to avoid them. Deborah will give you the tools needed to find out how to define accurate, institution-specific assumptions and characteristics, analyze the model output, identify potential exposure, and learn to interpret the results in order to make the necessary enhancements. Participants Will: Discuss the inputs, data, assumptions, and requirements of an effective ALM modeling process Learn how to test and prove output accuracy and explore ways to improve the IRR model and increase the ALCO s confidence in the results Examine the regulatory requirements for model audits and validations Learn to understand the component parts of ongoing review and comprehensive validation Agenda Tuesday, May 3, 2016 8:00 am Registration and Continental Breakfast 8:30 am to 4:30 pm ALM Model Basics Components of an effective ALM Model The modeling process: What an effective process requires Models and Model Governance Definition of models Model governance and controls Regulatory guidance on model governance How Models Measure Interest Rate Risk Overview of asset/liability management Income simulation models Economic value models ALM Model Policies Developing effective policies What information to include Best practices in ongoing policy development Model validation policies Establishing Risk Limits Developing and defining limits What s appropriate for your institution Maintaining control while retaining flexibility Model Validation Process Written procedures and controls Model inputs (current position data, rates, prepayment, etc) Key assumptions, assumption sources, and support Non-maturity deposits Processing components Model math and change control ALCO Reporting Model outputs and reports (most effective way to present results) Presenting model results Increasing ALCO s confidence to make proactive decisions Case Study Wednesday, May 4, 2016 8:00 am Continental Breakfast 8:30 am to 12:00 pm ALM Modeling Dos and Don ts Best practices in model-risk management Managing model risk : An important ingredient of an effective ALM process The top 10 modeling mistakes and how to avoid them Back testing Stress testing Regulatory Expectations and Exams Increase in examiners expectations Preparing for your next exam Insight from recent exams Key areas of focus
Best Practices in ALM Best Practices in ALM is the perfect training to improve your understanding of today s unusual ALM challenges and gain the skills needed to effectively manage your institution s risk. This program will examine ALM modeling and IRR to help you improve your model validating and reporting processes. Industry experts and long-time FMS Top-Rated Speakers, Jim Clarke and Peter Badger will bring both their conceptual and practical insights to the table to provide you with solutions to the challenges you face daily in your institution. Attendees will find the optimal balance between risk and reward and will gain strategies and techniques to take home and implement immediately. Participants Will Learn To: Develop key strategies to prepare for challenges and opportunities in the future Examine the relationship between risk management and profitability Improve IRR model validating and reporting processes Agenda Thursday, May 5, 2016 8:00 am Registration and Continental Breakfast 8:30 am to 5:00 pm Introduction Review current regulatory environment Discuss financial institution business models Building a Strong ALCO Process Role of board and management Monitoring risk: Meeting regulatory requirements Basel III & QML ALM Versus the Yield Curve Practical interest rate forecasting Theoretical balance sheet positioning The risk/reward tradeoff: Enhanced performance matters Capital Management Sustainable growth: Leverage and profitability implications Sample capital stress test Leverage arbitrage: When to hold and when to fold Liquidity Management Key to ALCO decision making Understanding and using wholesale funding Liquidity contingency plans: Stress testing (April 2009 regulations) Interest Rate Risk Management Current state of interest rate risk policy FFIEC letter of January 2010 January 2012 interagency advisory Defining interest rate risk Measuring interest rate risk Convexity and duration Choosing a model for your institution Back testing assumption and model results Setting board limits & validating Mitigating interest rate risk exposure in current environment Friday, May 6, 2016 7:30 am Continental Breakfast 8:00 am to 12:30 pm Investment Management: Where are we now? A look at the current environment from both an economic and interest rate perspective Where are we headed? Forecasts for: o Economy and business cycle o Interest Rates: Fed Policy How high will rates go? Over what time period? o Shape of the Yield Curve: Short-term vs., Long-term? Impact on the Dollar? o Volatility Can the Fed get out of the way? Implications of QE and ZIRP: What about inflation and deflation? What to do NOW Investment risks worth taking/risks to avoid Key strategies to employ now o The seven best bank investments for this environment/ wholesale leverage o Does it make sense? Managing the Balance Sheet in the Current Environment Managing the Loan Portfolio Aligning asset and liability duration Wholesale options? Deposit management in 2016 Off Balance Sheet Hedging Accounting for derivatives Compliance issues A sample hedge using swaps Caps and floor
Faculty Enhancing Your ALM Modeling Process Deborah Donaldson, President and CEO, Alpha-Numeric Consulting, LLC FMS Top-Rated Speaker Deborah Donaldson is a nationally known educator on a variety of profitability, risk, and audit related topics. Prior to founding Alpha-Numeric Consulting, Deborah accumulated more than 25 years of industry experience in banking and consulting. She is the published author of FMS second edition Internal Auditors Desk Reference Guide, as well as Auditing and Validating Asset/Liability Management Models: A Practical Guide for Community Financial Institutions. Deborah is a member of the Institute of Internal Auditors. She is also an editorial advisor and frequent contributor to the Internal Audit Alert. Best Practices in ALM Jim Clarke, PhD, Principal, Clarke Consulting In 2002, Dr. Jim Clarke founded Clarke Consulting, a firm specializing in ALM and strategic planning for community financial institutions, and is currently a board member of two community banks and a director of an investment company. He is a popular industry speaker, nationwide, and lectures on ALM topics for national and state banking schools and professional associations. Jim has a BA in Economics from LaSalle College and a PhD in Economics from the University of Notre Dame. Peter Badger, Managing Director, National Alliance Securities Peter Badger, MBA, is a Managing Director of National Alliance Securities, a regional broker dealer with trading desks in New York and Austin, where he works for banks and credit unions throughout the United States. With decades of experience in all sectors of fixed income and a specialist in analyzing, structuring, trading, and marketing agency and non-agency mortgage-related instruments, he works with his clients to assure that their investment portfolio closely complements their loan assets and deposit liabilities. He served on the board of FMS from 2001 to 2008 and was National Chairman from 2006 to 2007. Details Location and Accommodations Hyatt Regency Indianapolis One South Capital Avenue Indianapolis, IN 46204 Special FMS Room Rate: $149 Single/Double Deadline for Rate: April 11, 2016 For Reservations Call: 1-800-233-1234 Identify yourself as an attendee of the Financial Managers Society program to receive the preferred rate. If you are making reservations through a travel agent, be sure to request that your reservation be placed in the FMS room block to guarantee the best rate. CPE Credit Enhancing Your ALM Modeling Process: 12 CPE Credits Best Practices in ALM: 13 CPE Credits Level: Intermediate Prerequisites: None Advance preparation: None Field of Study: Finance Instructional Method: Live-Group FMS is registered with the National Association of State Boards of Accountancy as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses. Complaints regarding sponsors may be addressed to: The National Registry of CPE Sponsors, 150 Fourth Avenue, North, Suite 700, Nashville, TN 37219-2417 Web: www.nasba.org. For more information regarding administrative policies such as complaints or refunds, call 800-ASK-4FMS (800-275-4367).
Registration 3 WAYS TO REGISTER QUESTIONS? Call 800-ASK-4FMS (800-275-4367) Mail: Financial Managers Society 1 North LaSalle Street, Suite 3100 Chicago, IL 60602-4003 Fax: 312-578-1308 Internet: www.fmsinc.org/calendar NAME TITLE ORGANIZATION MAILING ADDRESS CITY, STATE, ZIP ASSET SIZE PHONE FAX E-MAIL REGISTER Please select from one of the following options. Call for details about team discounts. Enhancing Your ALM Modeling Process May 3-4, 2016 FMS Member: $975 $ Coworker of Member: $1,075 $ Nonmember: $1,375 $ Best Practices in ALM May 5-6, 2016 FMS Member: $975 $ Coworker of Member: $1,075 $ Nonmember: $1,375 $ Both Seminars May 3-6, 2016 Save $350! FMS Member: $1,600 $ Coworker of Member: $1,800 $ Nonmember: $2,400 $ Please list any special accommodations (including dietary restrictions) you require. Not an FMS member? Join now and save on registration! FMS Regular Membership: $475 $ FMS Affiliate Membership: $495 $ TOTAL $ METHOD OF PAYMENT Payment must accompany registration. o Check enclosed payable to Financial Managers Society o Charge my MasterCard, Visa or American Express Card # Exp. Date Signature Refunds and Cancellations A refund minus a $150 processing fee will be provided for cancellations received by FMS in writing by April 11, 2016. No refunds will be given for cancellations received after that date. A substitution from your institution is welcome at any time. FMS reserves the right to change instructors or reschedule/cancel sessions when necessary. FMS is not responsible for airfare penalties incurred due to the cancellation of the program.
1 North LaSalle Street, Suite 3100 Chicago, IL 60602-4003 www.fmsinc.org 800-ASK-4FMS (800-275-4367) The speaker was excellent and the information is extremely useful. My institution really needed this information! 2015 ALM Program Attendee Presorted Standard U.S. Postage PAID Wheeling, IL Permit No. 38