Events

ALM Workshop – Liquidity and Resolution

This training is provided by MORS Software partner Bearning.

  • Price: Free
  • Place: Online / Zoom

Agenda:

  • ALM – overview of liquidity regulation and its importance
  • Liquidity Coverage Ratio (LCR)
  • Net Stable Funding Ratio (NSFR)
  • Use case – MORS software: Managing bank’s liquidity, LCR, NSFR, scenarios
  • Resolution mechanism and impact on banks’ liquidity
    EU: Minimum Requirement for own funds and Eligible Liabilities (MREL)
  • Use case – MORS software: simulation of MREL bonds issue and its consequences
  • Interactive online quizzes & surveys

Target Group:

  • Banks ALM and Treasury professionals
  • Banks CFOs and ALM Managers
  • Other bank experts with relation to bank’s Assets & Liabilities Management
Watch full recording

Training: ALM & Balance Sheet Optimization

This training is provided by MORS Software partner Bearning.

  • Difficulty: Basic
  • Price: Free
  • Place: Online

Content

  • Introduction to ALM – ALM responsibilities in a bank
  • ALM Principles
  • Balance sheet optimization
    • Use case: How to optimize bank’s balance sheet with MORS
  • Banks’ ALM – Surviving Crisis
    • Use case: Managing bank’s liquidity, NII and EVE with MORS on current market environment
  • Examples and case studies from practice – MORS Software

Target group:

  • Banks ALM and Treasury professionals
  • ALM Managers
  • Banks CFOs
Watch Recording

Training: ALM – Interest Risk Management

This training is provided by MORS Software partner Bearning.

Liquidity management is an important part of Assets and Liabilities Management (ALM). ALM must ensure a correct Interest rate risk management is an important part of Assets and Liabilities Management (ALM). ALM has to ensure correct mapping of all balance sheet items, including administered products without maturity. ALM also prepares the interest risk gaps, and assigns the correct internal rates (FTP). Administered products modeling has its own particularities, and at the same time it is necessary to be compliant with the applicable regulation (IRRBB).

Content

  • Introduction to ALM – ALM responsibilities in a bank, relations to Treasury, market risk and risk controlling
  • Identification of interest risk using FTP(IR), profitability calculation from interest gaps
  • Managing interest risk in a bank:Methods for mapping the balance sheet items for interest risk management – replication portfolio for administered products and items without defined maturity 
  • Interest gaps and measurement of interest risk
  • Yield from balance structure, revaluation, dynamic management and related risks
  • Regulation of interest risk – IRRBB (Interest rate risk of the banking book)
  • Financial markets products for managing of interest risk: money market products (FRA, MM Future, OIS), fixed income products (interest rate swaps, bond futures)
  • Examples and case studies from practice, excel-based calculations and explanations, Bearnig ALM model (IR part) on replication portfolio

Length: 1/2 day (17th February 2022
Difficulty: Expert
Price: EUR 290 + VAT

Aalto Summer Job Day 2022

MORS is participating Aalto Summer Job Day today!

The virtual Summer Job Day is organized as a summer job pitch webinar. The event is open for all Aalto students. For students, the event is a great opportunity to meet us discuss career opportunities.

More information

Training: ALM – Liquidity Management

This training is provided by MORS Software partner Bearning.

Liquidity management is an important part of Assets and Liabilities Management (ALM). ALM must ensure a correct liquidity mapping of all balance sheet items, including the administered products without maturity, and to prepare a relevant output (liquidity gap). It is important to assign the correct internal liquidity premium (FTP-LQ). Administered products modelling has its own particularities, and at the same time it is necessary to be compliant with the applicable regulation.

Difficulty: Expert
Price: 490€ + VAT

More information & Registration

Training: IRRBB – Interest rate risk in the banking book

This training is provided by MORS Software partner Bearning.

The implementation of the latest regulation on interest rate risk in the banking book – the IRRBB – has become a challenge for many banks. Compliance with the IRRBB requires a consistent measurement of interest rate risk and its subtypes (interest rate risk, yield curve risk, basis risk, optionality, and credit spread risk).

Price: 290EUR + VAT, or individual (in-house)

Register Here

Treasury Workshop

This training is provided by MORS Software partner Bearning.

Treasury workshop provides an overview and know-how about financial markets – conventions, product features and rules, trading strategies. Treasury of each bank allows to access financial markets and to execute deals which are necessary for balance sheet management and market risks management. Financial markets are complex and there are traded many products and derivatives; knowing them is essential.

Price: EUR 490 + VAT, or individual (in-house)

Register Here

Intraday Liquidity Masterclass

This Masterclass is for ALMA UK members, if you would like to become a member and participate in this Masterclass and other meetings, courses, and conferences organised by the Association, please find more information here.

Learn the dark art of intraday, how it fits into your broader liquidity management framework and the impact to your technology strategy.

This Masterclass will be led by Intraday Practitioner, Simon Gray, from Baringa Partners and Liquidity technology expert, Peter Serlachius, from MORS Software.

Register Here

Training: IRRBB – Interest rate risk in the banking book

This training is provided by MORS Software partner Bearning.

The implementation of the latest regulation on interest rate risk in the banking book – the IRRBB – has become a challenge for many banks. Compliance with the IRRBB requires a consistent measurement of interest rate risk and its subtypes (interest rate risk, yield curve risk, basis risk, optionality, and credit spread risk).

Content

IRR mapping and measurement

  • Successful IRR measurement: FTP system and assignment, new benchmarks after cancellation of xIBOR fixings
  • IRR mapping principles: standard bank products, non-maturing deposits/assets (NMD/NMA), embedded optionality decomposition (floorlets/caplets) fixed income products (bonds, swaps, …), other derivatives
  • Refresher: duration, convexity, zero curve, PV01, scenario analysis, VaR, Expected shortfall – pros and cons
  • Understanding the different interest risk components; measuring IRRBB risk sub-types: IR gaps and level risk, yield curve, basis, and optionality, CSRBB

Regulatory requirements and best practices:

  • Overview of regulatory requirements for liquidity and interest rate risk management from Basel I to Basle III reforms
  • BCBS IRRBB standards and EU revised standards (EBA GL 2018/02)
  • Minimum standard for a compliant bank
  • Available regulatory metrics: EaR, EV, EVE, VaR
  • Effective interest risk management framework and dealing with the regulatory challenges

Balance sheet management and IRR hedging

  • Balance sheet management – design and implementation of hedging strategies
  • Financial market instruments for hedging of interest risks: swaps, bonds, futures options (Cap, Floor, Swaption)

Target group

  • Treasury and financial market experts
  • ALM, risk managers and risk controllers
  • Financial professionals and experts from related areas (audit, back-office, compliance ….)

Training: IR Benchmark Reform

This training is provided by MORS Software partner Bearning.

The change in reference interest rates affects many financial products. New risk-free rates (RFR) replace the original Interbank offered rates (xIBOR). What impact does the use of the new RFR have on investors, banks, and their customers? What are the legal, technical, and mathematical aspects of the transition to new interest benchmarks?

Content:

  • Original interest rate benchmarks: EURIBOR, EONIA, LIBOR, other xIBOR. History, conventions and usage, development before and after global financial crisis 2008.
  • New IR benchmarks – risk-free rates (RFR): regulatory standards, differences, major currencies benchmarks (ESTER, SOFR, SARON, SONIA, TONAR)
  • RFR application on different financial products: standard banking products (loans with variable rate), usage in FTP system, bonds with variable rate, derivatives (swaps, futures, options)
  • Transition from xIBOR to RFR
  • Alternatives how to apply O/N RFR fixings on longer maturities:
    • backward-looking rate (in-arrears): averaging and compounding
    • forward-looking rate
  • Basis swap in-arrears, case studies & calculation examples
  • Legal issues with new IR benchmarks, ISDA fallback protocol

Target group:

  • Treasury and financial market experts
  • Corporate bankers
  • ALM, risk managers and risk controllers
  • Financial professionals and experts from related areas (audit, back-office, compliance, accounting….)