Bank Liquidity Risk Management

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Course Schedule and Contents

Week 1: Tuesday 7th April

Chapter 1: Introduction to Banking

• Business of Banking
• Bank Balance Sheet and Asset-Liability Management
• Bank Capital and Basel Framework

Chapter 2: Bank Liquidity Management

• Bank Liquidity Definition
• Elements of Liquidity Risk Management
• Liquidity Adequacy
• Principles of Bank Liquidity Risk Management
• Bank Liquidity Policy Statement
• Introduction to Liquidity Risk Metrics
  • Liquidity Coverage Ratio (LCR)
  • Net Stable Funding Ratio (NSFR)
  • Survival Horizon / Days
  • Additional liquidity and funding risk metrics
• Liquidity Risk Reporting
• A New Era of Liquidity Risk Management
• Liquidity and Funding Disclosures
  • Bank View
  • Investor View
  • Leading Practices

Chapter 3: Bank Failures of the Past

• What is Bank Failure?
• Failed Banks in the US and UK/EU: Analysis by Year, Size, and More
• Failed Banks outside the US
• The Myth of Too Big to Fail
• Back to School for Regulators

Activities on Day #1: Case Study 

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Week 2: Tuesday 14th April

Starts with Q&A session from week 1

Chapter 4: Regulatory Environment of Liquidity Risk Management

• Supervisory Perspectives on Liquidity Risk Management
• Rating Liquidity Risk Management with US Banking Regulators’ Rating System
• Foundations Established in BCBS “Sound Practices for Managing Liquidity in Banking Organisations”
• Strategy Setting and the Oversight Role of Directors and Senior Management
• Foreign Currency Liquidity Management
• Core Internal for Liquidity Risk Management
• The Disciplines of Public Disclosures
• Monitoring Adherence to BCBS Standards

Chapter 5: Liquidity Stress Testing Framework

• Liquidity Stress Testing Framework
  • Roles & Responsibilities
  • Stress Testing Scenarios – Name Specific vs. Market Wide
  • Limits, Management Action Triggers, Monitoring Metrics
  • Balance Sheet Items
    • Retail Funding
    • Wholesale Funding
    • Concentration Risk
    • Off Balance Sheet Funding Risk
    • Risk Arising from the Firm’s Funding Tenors
    • Credit Downgrade Risk
    • Cross Currency Funding Risk
    • Portability Risk
    • Funding Risk Resulting from Estimates in Future Balance Sheet Growth
    • Franchise Risk
    • Marketable Assets Risk
    • Non-Marketable Assets Risk
    • Internalisation Risk
  • Non-Maturing Deposits, Applicability to Liquidity Risk, and Behaviouralisation
  • Intraday Liquidity Risk
  • Liquidity Asset Buffer
  • Contingent Liability
  • Liquidity Distribution Initiatives
• Early Warning Indicators
  • Mechanism to Signal Upcoming Liquidity Crisis

Activities on Day #2: Case Study 

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Week 3: Tuesday 21st April

Starts with Q&A session from week 2

Chapter 6: Internal Liquidity Adequacy Process (ILAAP)

• Introduction to ILAAP
• What does that regulatory submission look like?
• Key themes and enhancements
• Overview, approach, and results
• Risk Management Framework – Board Risk Appetite
• Applicability of Liquidity Stress Testing
• Liquidity Contingency Plan

Chapter 7: Intraday, Liquidity Risk Management

• Uses and Sources of Intraday Liquidity
• Risk Management, Measurement and Monitoring Tools for Financial Institutions

Chapter 8: The Convergence of Collateral and Liquidity

• Collateral Management
• Capital Markets Pre- and Post- Great Financial Crisis (2008)
• Case Study: Improved Liquidity and Increased Collateral Efficiency

Chapter 9: Contingency Funding Planning

• Actions in a Liquidity Crisis
• Evolving Capabilities and Enhancements
• Design, Framework, and Building Blocks
• Additional Considerations
• Introduction to Recovery & Resolution Planning
• Liquidity Requirements and Contingency Funding Plan as part of Bank’s Recovery Plan

Activities on Day #3: Case Study 

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Week 4: Tuesday 28th April

Starts with Q&A session from week 3

Chapter 10: LCR, NSR, and Their Challenges

• Details on LCR and NSFR
• Qualitative Requirements and Monitoring Tools
• Tackling the Practical Implementation Challenges

Chapter 11: Liquidity Risk Management Information Systems

• Liquidity Risk Management Information Systems Reference Architecture
• Liquidity Data Governance and Quality Control Framework
• Design and Implementation Considerations

Chapter 12: Optimizing Business Practices

• Strategic and Tactical Implications of the New Requirements
• Strategic Impact of the New Ratios
• Strategies for Optimizing Business Mix and Balance Sheets
• Interplay with Interest Rate Risk in the Banking Book (IRRBB) – NII & EVE Sensitivity

Chapter 13: Funds Transfer Pricing and the Basel III Framework

• Overview of Funds Transfer Pricing Objectives and Approaches
• Capturing Volatility
• A New Focus on Liquidity Risk and FTP

Chapter 14: Emergence of Digital Assets and its Implications on Liquidity Risk Management

• BCBS d545 Guidelines on Digital Assets
• Capital Implications
• Liquidity Implications

Activities on Day #4: Case Study

Concludes with Q&A session for week 4

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Multiple-Choice Test & Certificate:

The BTRM Advanced Treasury Masterclass Series ends with a Multiple-Choice Test. This test is available until Tuesday 5th May.