ALMA - Understanding Bank ALM

Background

This 3-day non-residential course was introduced in 2000. It is run normally twice a year in London under the auspices of the UK Asset & Liability Management Association, a group which includes the country’s major commercial and mortgage banks.

It is intended for primarily for ALMA member firms’ staff who have recently joined bank treasury and balance sheet management teams and for others who interface with these functions, for example auditors, software designers and regulators.

A limited number of places are sometimes available for non-member staff.

Course Content

• overview of bank treasury and ALM
• liquidity management and regulation
• interest risk management
• capital management and regulation
• customer product support

Course Content

Pre-Course Work

• Analysis of Bank Profitability, Financial Structure and Product-market profile

Overview of Banking : 0.50 Days

• Review of Pre-course Work

• ALM : Introduction
- role, objectives, functions
- current drivers of change

• Risk Management Framework
- ALM/treasury risks
- regulatory framework
- bank rating criteria
- implications of credit & liquidity turmoil

ALM : Liquidity Management : 0.50 Days
• Maturity mismatch, volatility and liquidity - accounting, prudential and economic/behavioural
measures;
• Liquidity management - an extreme sport;
• Liquidity spectrum;
• Liquidity gap: static, dynamic, model;
• Managing liquidity risk - on-balance-sheet, off-balance-sheet, stressing
• Joint asset-liability control, mix of wholesale and retail;
• Regulation: new initiatives

ALM : Interest Risk Management : 0.75 Days
• Structural risk and market risk
• Measures: static gap, dynamic gap, duration, VAR
• Derivatives to manage risk
• Non interest bearing balances, administered rates
• Regulation
• Balance sheet projection, simulation amd sensitivity analysis

ALM : Capital Adequacy Management : 0.75 Days
• Risk and capital - accounting, prudential and economic measures;
• Basel 2: Pillars 1, 2, 3 ; ICAAP; recapitalisation
• Links with rating and shareholder value
• Funding subordinated debt (and preferred equity);
• Provisioning; procyclicality
• Securitisation: where to now?

Product Design and Support 0.50 Days
• Use of derivatives in product design and support
• Structured liability, asset and risk management retail products
• Cases to exemplify e.g. fixed rate mortgage, index tracker bond