ALMA Advanced - Managing the Group Balance Sheet

Background

This is an advanced course for ALM staff with at least two years experience of some aspect of balance sheet management who now wish to broaden their knowledge.

Less experienced staff may first wish to attend “Understanding Bank ALM” which covers the fundamentals of liquidity, interest risk and capital management, although this is not a prerequisite.

The course runs over three days. The theme is understanding and managing balance sheet dynamics as the bank reponds strategically to opportunities and threats in its business environment such as mergers/acquisitions and regulatory/accounting changes.

Course Design

Course members will be divided into syndicates at the beginning of the course. Each syndicate will be allocated a different bank which will provide the basis for the first part of the extended nine-part case.

As the case develops new scenarios will be provided for successive parts. Following the syndicate discussion of each Case Part there will be a plenary session to present and discuss conclusions.

The case study syndicate work will also be interleaved with Plenary
taught sessions dealing with topics raised by the case work.

Because of the predominance of syndicate work, two tutors will be present throughout the three days.

Course Content

• Asset-led and liability-led banks : ALM issues
• ALM synergies at Group level
• Merger issues
• Challenges arising from current market conditions
• Contingency planning for shock events
• Shareholder value creation / destruction

Course Timetable

DAY 1

• Introduction and Overview

• Plenary : "Industry Review : Drivers of Change"

• Case Part 1: Asset-led & liability-led bank ALM issues, strengths &
weaknesses, potential for growth

• Case Part 2: Active ALM bank objectives, risk appetite, asset
allocation, optimality

• Plenary : "Strategic Approaches to Active ALM"

• Case Part 3: ALM synergies at Group level

DAY 2

• Plenary : “Regulatory Dimension in Bank Mergers”

• Case Part 4 :
A. Capital
B. Liquidity
C. Intra-Group Funding

• Plenary : “Pillar 2 & ICAAP”

• Plenary : “Transfer Pricing to Optimise Performance”

• Case Part 5 : Transfer pricing

• Case Part 6 : Shock event

DAY 3

• Plenary : “Stress Testing & Contingency Planning”

• Case Part 7 : Managing public perceptions & credit rating

• Case Part 8 : Managing internal strategic and tactical responses

• Plenary : “Economic Capital & Shareholder Value”

• Plenary : “Bank Equity Valuation”

• Case Part 9 : Mega Bank expecting the unexpected

• Summary and Learning Points