Asset Liability Management Training Course

Participants can classify balance-sheet positions into meaningful ALM risk categories.

• Classify assets by repricing, maturity, liquidity and embedded-option characteristics
• Segment liabilities by contractual maturity, stability, pricing and withdrawal behaviour
• Map off-balance-sheet commitments, guarantees and contingent liquidity exposures
• Identify concentration risks by depositor, currency, product and funding source
• Reconcile management balance-sheet views with statutory financial statement categories
• Create an ALM inventory linking products to risk drivers

Participants can construct contractual cash-flow ladders from product-level data.

• Extract principal, interest and fee cash flows from product schedules
• Bucket contractual inflows and outflows into daily and monthly maturity bands
• Separate committed facilities from uncommitted customer withdrawal exposures
• Treat amortising loans, bullet securities and revolving credit facilities
• Reconcile cash-flow ladders to general ledger balances and treasury records
• Document data lineage, timing conventions and reconciliation exceptions

Participants can apply documented behavioural assumptions to non-contractual cash flows.

• Core deposit analysis using balance stability, decay rates and segmentation
• Prepayment assumptions for fixed-rate loans under changing interest-rate conditions
• Early withdrawal behaviour for term deposits and notice accounts
• Drawdown assumptions for committed lines and contingent facilities
• Model validation checks for behavioural assumptions and management overlays
• Assumption governance through approval records, review dates and back-testing

Participants can measure and interpret repricing gaps across time buckets.

• Repricing schedules based on next reset dates rather than maturities
• Calculate periodic and cumulative gaps across defined rate-sensitive buckets
• Identify basis risk between benchmark curves, administered rates and product yields
• Distinguish fixed-rate, floating-rate and administered-rate balance-sheet positions
• Assess gap direction under rising, falling and non-parallel rate movements
• Prepare gap reports with material drivers and management commentary

Participants can use duration measures to estimate economic value sensitivity.

• Modified duration estimates for fixed-income assets and fixed-rate liabilities
• Macaulay duration compared with modified duration for price sensitivity
• Convexity effects under larger interest-rate movements and longer maturities
• Economic value of equity derived from discounted asset and liability cash flows
• Key rate duration identifies curve-tenor exposures hidden by aggregate duration
• Interpret duration gaps alongside behavioural assumptions and optionality

Participants can project net interest income under defined interest-rate scenarios.

• Net interest income forecast built from volumes, yields and funding costs
• Apply parallel shocks, steepeners, flatteners and short-rate shock scenarios
• Administered-rate beta assumptions for deposits, loans and savings products
• Model rate floors, caps and reset lags within product cash flows
• Separate volume effects, rate effects and mix effects on margin
• Reconcile projected net interest income to budget and actual results

Participants can organise interest-rate risk analysis around recognised IRRBB requirements.

• Basel IRRBB principles covering governance, measurement and disclosure expectations
• Economic value and earnings measures used for interest-rate risk
• Standardised interest-rate shock scenarios and internally designed scenarios
• Outlier test concepts and supervisory attention to excessive exposure
• Non-maturity deposit assumptions documented under IRRBB model governance
• Board and senior-management responsibilities for IRRBB oversight

Participants can measure liquidity positions using cash-flow and ratio-based methods.

• Liquidity gap analysis across overnight, weekly, monthly and annual horizons
• Stock liquidity measured through unencumbered cash and marketable securities
• Funding concentration analysis by counterparty, instrument, currency and maturity
• Survival horizon calculated from stressed outflows and available liquidity
• Cash-flow mismatch reports distinguish contractual and behavioural liquidity needs
• Early-warning indicators identify deteriorating funding conditions before crisis

Participants can interpret and calculate core Basel III liquidity measures.

• Liquidity Coverage Ratio components: high-quality liquid assets and net outflows
• Operational deposit classification and runoff-rate treatment within LCR calculations
• Net Stable Funding Ratio available funding and required funding factors
• High-quality liquid asset eligibility, haircuts and operational restrictions
• Compare regulatory liquidity ratios with internal liquidity risk appetite
• Explain ratio movements through balance-sheet changes and management actions

Participants can design liquidity stress scenarios and evaluate funding responses.

• Idiosyncratic stress scenarios covering rating pressure, deposit flight and collateral calls
• Market-wide stress scenarios involving disrupted funding markets and asset haircuts
• Combined scenarios test simultaneous funding, liquidity and market-value pressures
• Apply runoff, drawdown, roll-off and haircut assumptions by product
• Estimate contingency funding capacity from secured and unsecured sources
• Document scenario severity, assumptions, results and management response thresholds

Participants can prepare a usable contingency funding plan with escalation actions.

• Contingency funding plan triggers linked to liquidity and market indicators
• Funding actions ranked by speed, cost, capacity and execution risk
• Collateral mobilisation procedures for central-bank and secured funding access
• Crisis governance defines authority, communication and decision-record requirements
• Counterparty communication plans protect funding relationships during liquidity pressure
• Test contingency plans through scenario results and operational readiness reviews

Participants can assess funding options against cost, stability and concentration risk.

• Funding mix analysis across retail deposits, wholesale markets and secured borrowing
• Deposit segmentation distinguishes operational balances, rate-sensitive funds and surplus cash
• Pricing decisions balance margin, retention, liquidity value and competitive response
• Term funding ladders reduce refinancing cliffs and maturity concentrations
• Wholesale funding spreads analysed against benchmark rates and credit perception
• Currency funding plans identify foreign-exchange swap and rollover dependencies

Participants can design a basic FTP approach for pricing liquidity and rate risk.

• Matched-maturity FTP assigns funding costs using internal transfer curves
• Pool-rate FTP compared with matched-maturity methods and their distortions
• Liquidity premiums incorporated into transfer prices for illiquid assets
• Optionality costs assigned for prepayments, withdrawals and committed facilities
• Separate customer margin from treasury margin in product profitability reports
• FTP governance defines curve ownership, updates, disputes and approvals

Participants can align investment portfolio decisions with liquidity and liability requirements.

• Investment portfolio role in liquidity buffers, yield generation and duration positioning
• Classify securities by liquidity, duration, credit quality and encumbrance status
• Ladder, barbell and bullet strategies assessed against liability cash-flow needs
• Yield curve positioning measured through duration, key-rate and spread exposure
• Available-for-sale valuation effects considered within capital and earnings planning
• Set investment limits for issuer concentration, duration and liquid-asset eligibility

Participants can connect ALM decisions to capital usage, profitability and growth plans.

• Balance-sheet growth plans translated into funding, liquidity and capital requirements
• Risk-adjusted return measures compare product growth with funding and capital costs
• Capital adequacy effects of asset mix, credit risk and market valuation
• Margin planning integrates loan pricing, deposit pricing and treasury transfer rates
• Scenario planning tests strategic plans against adverse rate and funding conditions
• Management actions prioritised by profitability, feasibility and risk appetite

Participants can establish an ALM control framework with limits and accountabilities.

• Risk limits for gaps, duration, NII sensitivity, liquidity and concentrations
• Traffic-light thresholds distinguish monitoring levels from formal limit breaches
• ALCO packs present exposures, trends, assumptions, exceptions and recommended actions
• Model inventory records purpose, inputs, methodology, owners and validation status
• Independent review challenges data quality, assumptions and calculation logic
• Audit trails preserve approvals, overrides, breaches and remediation evidence

Participants can prepare clear ALCO reporting that supports timely management decisions.

• ALCO dashboard combines liquidity, rate risk, funding and investment indicators
• Executive summaries explain movements, causes, implications and proposed decisions
• Trend analysis compares actual exposures with limits, budget and prior periods
• Scenario results translated into specific pricing, funding and hedging actions
• Decision logs record approvals, owners, deadlines and follow-up reporting
• Present risk information without obscuring material assumptions and uncertainties

Participants can evaluate when hedging supports approved ALM risk objectives.

• Interest-rate swaps convert fixed-rate or floating-rate balance-sheet exposures
• Caps, floors and collars manage asymmetric rate-risk exposures
• Hedge objectives defined through target gaps, duration limits and earnings sensitivity
• Basis risk assessed between hedging instruments and underlying product behaviour
• Collateral, margining and counterparty limits affect derivative liquidity requirements
• Hedge effectiveness monitoring links positions to approved ALM risk reduction

Participants can assemble linked ALM analyses from balance-sheet data and stated assumptions.

• Build linked balance-sheet schedules for assets, liabilities, capital and commitments
• Develop cash-flow ladders using contractual schedules and behavioural assumptions
• Calculate repricing gaps, duration positions and net interest income sensitivity
• Prepare liquidity ratios, stress projections and contingency funding capacity
• Set proposed limits, early-warning indicators and ALCO escalation thresholds
• Draft management actions for funding, pricing, investments and hedging

Participants can build, review and present a complete ALM pack with recommendations for an ALCO decision.

• Integrate balance-sheet profile, cash-flow ladder and behavioural assumption register
• Present interest-rate sensitivity using gap, duration, EVE and NII measures
• Include liquidity position, stress results and contingency funding actions
• Recommend FTP, pricing, investment and funding decisions with stated trade-offs
• Review proposed limits, breaches, governance actions and implementation owners
• Defend ALCO recommendations against challenge from finance, risk and treasury