ASSET & LIABILITY MANAGEMENT
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1 ASSET & LIABILITY MANAGEMENT Best-Practice Balance Sheet Management and Capital Planning Workshop Overview SimArch NV Interleuvenlaan Heverlee BELGIUM Phone Fax
2 SIMARCH SimArch is a premium provider of customised learning solutions within the Financial Services Sector. We assist banks and financial institutions in the enhancement of the skills and core competencies of their employees. Our learning interventions and workshops are designed to accelerate learning, knowledge transfer and the change of behaviour. In order to ensure a powerful learning experience and a successful delivery, we work with all levels of business leaders and management within an organisation. The founding principle of SimArch is based on the conception that human resource development has to integrate seamlessly with the vision and overall strategy of the organisation. Being a customerfocused organisation, we strive at all times to understand the business of our clients completely and to develop and maintain long-term relationships with every client. Since 1999 SimArch has been a full-service education organisation, specializing in the creation of timely solutions that assist our clients with the improvement of their business performance and competitive position. ALM Workshop 2
3 ASSET & LIABILITY MANAGEMENT WORKSHOP INTRODUCTION The ASSET & LIABILITY MANAGEMENT WORKSHOP, designed by SimArch, is used by various Financial Institutions in the training of their personnel. Through the use of an online ALM Simulator, SimArch has turned this training programme into an intensive and practical learning experience. In combination with the classical training approach (Class-room sessions), actual and best-practice issues are discussed and explored. The workshop provides participants with a solid understanding and overview of the Asset Liability Management (ALM) function and processes within a full-services bank. In the light of the current financial crisis, some of the key areas in Financial Risk Management are addressed in order to draw on the lessons learned. The interconnectedness of everything from global economies to international and national regulations and laws that tomorrow's risk-assessment professionals will need to understand thoroughly, are stressed. KEY FEATURES OF THE WORKSHOP The workshop consists of a combination of two parts: a conceptual part and a practical part. The conceptual part includes discussions and exercises on several theoretical and practical elements of the ALM function; The practical part involves the making of various management decisions as well as the management of the ALM function through the use of an online ALM Simulator, called GuardB@nk. ALM Workshop 3
4 KEY LEARNING OBJECTIVES After the workshop participants will be able to: Explain the Asset & Liability Management (ALM) process in a bank; Recognise how these ALM concepts affect day-to-day decision-making in a bank; Better identify and analyse a bank s exposure to the key sources of risk; Assess how performance is measured and value created in a fullservices bank; Function more effectively, directly or indirectly, as part of the ALM process in their bank. PARTICIPANT PROFILE The Asset & Liability Management Workshop provides a unique learning experience for the following target groups: Members of ALCO in a bank; Personnel that form part of the ALM support function in a bank; Treasures and persons in Treasury; Personnel in Risk Management; Chief Financial Officers; Budgeting and Capital Planning Executives; Internal Auditors/Accountants; Central Bankers. NUMBER OF PARTICIPANTS In order to ensure a powerful learning experience the number of participants per workshop is limited to a maximum of 20. DURATION OF THE WORKSHOP The workshop is conducted over a period of three days and is intensive by nature. ALM Workshop 4
5 KEY FEATURES OF THE CONCEPTUAL PART OF THE WORKSHOP The following specific concepts are covered during the conceptual part of the workshop: THE GROWING IMPORTANCE OF ALM Financial Volatility and New Financial Products Regulatory Developments ALM CONCEPTS Risk Management Framework and the ALM Process Scope of ALM Roles/Responsibilities of ALCO ALCO Reports Agenda Points for ALCO meeting VALUE CREATION & BANK PROFITABILITY Value Drivers Performance measurement Profitability measurement Risk-adjusted returns Capital-adjusted returns BANK FINANCIAL MANAGEMENT Balance Sheet structures Off-Balance Sheet items Asset Securitisation LIQUIDITY RISK MANAGEMENT Liquidity Risk Management Framework Liquidity Policy Funding and Trading Liquidity Liquidity Risk Limits Liquidity Management - measuring and reporting Contingency Funding Plan FUNDS TRANSFER PRICING Objectives of Funds Transfer Pricing Transfer Pricing Methodologies Transfer Pricing Items without maturities General examples INTEREST RATE RISK MANAGEMENT Understanding Interest Rates Sources of Interest Rate Risk Earnings and Economic perspectives Interest Rate mismatching (Interest Rate Gaps) Gap Analysis (mechanics, assumptions, reporting) Duration Gap Analysis Earnings at Risk (EaR) Financial Derivatives (FRAs & Interest Rate Swaps) Hedging Strategies CAPITAL MANAGEMENT Regulatory Capital Requirements Capital Planning & Allocation Measuring Capital Adequacy Risk-Based Capital Credit Risk Risk-Based Capital Market Risk Participants apply increasingly all of the concepts discussed/taught and realise increasingly the impact competitors have on their overall performance, as they strive to optimise the performance of their bank and create shareholder value. The simulation can cover up to eight quarters in order to allow the various management teams to experience the full consequences of their decisions. ALM Workshop 5
6 KEY FEATURES OF THE PRACTICAL PART OF THE WORKSHOP (Including the ALM Simulator) During the practical part of the programme, an online ALM Simulator called is used. The simulator depicts a full-services bank operating within a competitive banking environment. Participants are divided into Management Teams, each managing their own bank. As in the real world, banks compete against one another. The teams have to price loans and deposits and make marketing and strategic decisions. Furthermore, they have to manage a portfolio of loans and securities, ensure that their bank meets the capital adequacy requirements and that it manages the ALM function well. All this whilst monitoring various risks in an environment characterized by volatile interest rates. Decisions are made on a quarterly basis. At the end of each quarter participants receive a new set of financial statements. This process assists participants in experiencing and measuring both the immediate and long-term effects of their decisions on the performance of their bank. Each participant to the program has the opportunity to experience the complexities of managing the ALM function in a full-services bank. In order to prepare themselves for the practical part of the programme, participants receive a User Manual, an initial set of Financial Statements and an Industry Report. These pre-reading documents are sent via to participants two weeks prior to the commencement of the training programme. TRANSFER OF KNOW-HOW AND SKILLS Banking Topics - Cases Central Bank Feedback Management Teamss Online Simulation Supervisory Board Meetings The programme ends with an assessment phase. On the final day of the programme the results of all the banks are debriefed in order to see why some banks have been more successful in creating shareholder value than others. ALM Workshop 6
7 ALM SIMULATOR OVERVIEW The following specific banking activities are included in the simulator: Retail Banking Activities Commercial/Corporate Banking Activities Private Banking Activities Investment Banking Activities The following specific banking products/fuctions are included in the simulator: Interbank Loans and Deposits Customer Loans (Commercial Loans - four different industries each with their own risk profile) Retail Loans Distribution Channel management Savings Deposits Certificates of Deposit Medium Term Notes Securities (Long-term bonds) Capital Account Management (Tier 1 and Tier 2 capital) Off-Balance Sheet items (commitments / securitisation/ interest rate swaps). Participants are exposed to the following specific financial risks in the simulator: Liquidity Risk Management Interest Rate Risk Management Credit Risk Management Market Risk Each quarter the following results (output) is produced by the simulation program: Financial Statements, comprising of: Balance Sheet; Income Statement; Notes to the Financial Statements Industry Report; Market Reports. Other unique features of the simulator are: The language of the program as well as all output is in English. The default currency used is the euro (EUR). However, any existing currency can be selected as local currency. Up to two currencies can be specified, local and foreign. The economic environment used during a workshop is customised by the facilitator in order to correspond with the current economic situation in a specific country. ALM Workshop 7
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