POSTPONED - Balance Sheet Management / Liquidity Risk Management

Audience

The objective of the school is to increase the banking supervisor’s knowledge of balance sheet risk management and investment portfolio analytics. The school is designed for field examiners and supervisors with 5-10 years of experience and provides a critical assessment of balance sheet management and liquidity risk management. The school is patterned after similar schools the OCC gives to our own examiners, with modifications to make the school relevant to non-US banking supervisors. Class participants will work in teams on case studies.

Course Objectives

• Assess balance sheet management processes and risk levels within a midsize bank
• Evaluate liquidity risk and contingency funding plans
• Evaluate investment portfolio risk management
• Evaluate interest rate risk management
• Evaluate trading book risk management
• Identify tools for balance sheet risk analytics

Course Topics

Introduction

• US Banking Structure
• Market Condition

Liquidity Risk Management

• Contingency Funding Plan
• Liquidity Coverage Ratio
• Net Stable Funding Ratio

Investment Portfolio Management

• Investment Portfolio
• Credit, Liquidity and Interest Rate Implications

Interest Rate Risk

• Short Term/Long Term Valuation, Sources of Risk
• Interest Rate Risk Management
• Basel Interest Rate Risk In The Banking Book
• Trading Book
• Swap Margin Rule

Pre-Course Reading Materials – will be provided after enrollment

Class Location

Office of the Comptroller of the Currency
Constitution Center
400 7th Street SW Washington, D.C. 20219

Cost

The cost for attending this session is $200 per participant. Instructions for payment will be provided with the invitation letter after enrollment.

Lodging

Participants are responsible for making their own travel and hotel arrangements.

Dress Code

Proper dress for the school is business casual–dress slacks/pants (jacket and tie is not required) and an appropriate shirt or top. Very casual attire, such as jeans, shorts, tank tops, t-shirts, or sneakers, should not be worn.

How to Enroll

If your banking supervisory organization would like to send a representative, please respond by sending an e-mail to FTA@occ.treas.gov and provide the following information:

• Name of School
• Banking Agency Name
• Participant’s Name **(Must Match Name on Passport)**
• Participant’s Title/Position
• Participant’s Telephone Number
• Participant’s E-Mail Address (Required)