World Business StrategiesServing the Global Financial Community since 2000

BTRM Syllabus

Pre-course module: Banking primer

Pre-course module: Banking primer The BTRM programme begins with the single lecture banking primer, covering all the core principles of bank balance sheet risk management. The primer has been designed to ensure all students start the course with the necessary entry-level understanding of bank ALM and the role of the Treasury function.

1. Primer on bank business model, financial statements and regulation.

Module One: Bank balance sheet risk management

We introduce the key tenets of bank ALM and proceed to delve in depth into the tools, techniques and principles available that students must be familiar with if they are to manage ALM strategy for their bank. We assess and analyse key risk and performance metrics including NII/ NIM, and also present best-practice principles of interest rate and FX hedging.

2. Banking products, FX hedging, net interest income (NII), net interest margin (NIM). Risk Appetite Framework (RAF) and Risk Appetite Statement (RAS).

3. Asset-Liability Management: Strategic ALM and balance sheet management. ALM Optimisation Principles.

4. Basel III and “Basel IV” capital and liquidity rules. The FX cross-currency basis.

5. ALM trading and hedging principles I: Money markets. ALM Simulation Game: introduction and discussion.

6. ALM trading and hedging II: Interest Rate Risk in the Banking Book (IRRBB).

Online multiple-choice module test.

Module Two: Bank ALM operating model and risk management governance

An essential ingredient in sound ALM structure is the effectiveness and efficiency of the Treasury operating model. This module presents business best-practice recommendations for the target operating model and the management and operation of the bank’s asset-liability committee (ALCO).

7. Treasury Target Operating Model and reporting line. The Smart Treasury: automated dashboards and efficient ALM systems integration.

8. Asset-Liability Management III: The ALCO ToR / charter; ALCO sub-committee strucure. A Primer on FRTB.

9. ALM and credit risk management; loan provision policy. Principles of IFRS9 and impact on credit risk management process.

Online multiple-choice module test.

Module Three: Strategic ALM and financial markets

Module Three reviews in depth the operation of the bank within the wider capital and financial markets. We review market instruments, the use and application of securitisation for balance sheet management and wider
stakeholder concerns including how a bank should undertake its recovery and resolution planning. We also run through the process of obtaining a formal credit rating.

10A.IFRS9 loan provisioning policy, and hedge accounting

10. Capital markets for bank issuers (AT1, T2, Secured, Unsecured). Small bank Treasury perspectives.

11. Securitisation: mechanics for balance sheet management. Practical issues in structuring a securitisation transaction.

12. Investor relations and the credit rating process. Primer on Hedge Accounting and Macro Hedge Accounting.

13. Recovery Plan (RP) and Resolution Plan (RP): Best Practice Principles.

Online multiple-choice module test.

Module Four: Bank liquidity risk management

Module four is perhaps the most arcane and technical, and yet easily up there with the most important, of all the BTRM modules. It covers all aspects of liquidity risk management and how this vital function should be carried out in order to ensure continuous through-the cycle survivability. Related topics such as yield curve construction and stress testing, an essential part of the Basel III regulatory regime, are covered in depth.

14. Liquidity risk management I: Key Principles. Post crash swap discounting and pricing principles. LIBOR Replacement Update.

15. Liquidity risk management II: Risk metrics and limits. Principles of XVAs (CVA, FVA, MVA).

16. Liquidity risk management III: Liabilities strategy. HQLA portfolio management and optimisation.

17. Internal funds transfer pricing (“FTP”) and funding policies. FTP in frontier markets.

18. Constructing the bank internal funding curve.

18A. SONIA/SOFR/LIBOR Yield Curve construction and Dual Curve Swap Pricing in Excel

19. Liquidity reporting, stress testing and ILAAP. Intraday liquidity risk. Asset encumbrance policy.

20. Collateral management: Bilateral Margin Rules and Central Clearing. Impact of CCPs on ALM. ALM Integration across balance sheet.

Online multiple-choice module test.

Module Five: Bank capital management

This module covers capital management, capital planning and capital strategy. The role of the CFO and Treasurer in this regard is examined in detail. We also present guidelines for the policy template process, where the student will learn about the latest developments in business best-practice and how these are brought to a particular committee such as ALCO.

21A. Negative interest rates and ALM Policy.

21. Capital management I: capital structure. The SREP on-site process.

21B. Capital allocation, cost of capital and return on capital.

22. Capital management II: capital strategy, capital planning and ICAAP process. Regulatory Reporting. Reverse Stress Testing.

23. Operational Risk and ALM. Principles of Policy Documentation.

Online multiple-choice module test.

Following three weeks allocated for revision, in Week 26 students will sit a formal 3-hour closed book written examination. The exam is held on the same day worldwide, in our London exam centre for UK-based students. All non-UK based students sit the exam at their own desktop, using the BTRM online examination and digital invigilator system. The exam is essay-based, and not a multiple-choice test.

The pass mark is 60%, with those achieving 80% being granted a pass with Distinction. The the highest-performing student in the Cohort is awarded the Wiley Prize.

The Diploma is an optional stage of the BTRM following award of the Certificate. It consists of an 8,000-word student dissertation, the successful submission of which confers the designation Dip. BTRM. Students first submit their dissertation proposal and once approved the project will involve 300 hours of self-directed learning.

Teaching hours: 84 (28 lectures x 3 hours)
Total learning hours: 300 (including 216 hours self-directed learning)
Equivalent to one full semester module at MSc level

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