Recognize all of the risk schedules and analytics that we already used in Units 4.3-4.5 on interest rate risk, forex risk and liquidity. Interpret the ALM analytics and review the financial performance and exposures of Bank of Commerce under various scenario assumptions.

For this case study, we will use the CALMPRO global financial model that we first introduced in Unit 4.3. You will immediately recognize all of the risk schedules and analytics that we already used in Units 4.3-4.5 on interest rate risk, forex risk and liquidity. For this case, we will actually use the newer Release 4, called the ALMPRO. The ALMPRO adds more deposit and lending product slots, additional interest rate risk hedging opportunities using bond futures and now also models the mark-to-market replacement cost of derivative hedging instruments.

However, this case is not about studying the formulas in the ALMPRO, instead we would like you to interpret the ALM analytics and review the financial performance and exposures of Bank of Commerce under various scenario assumptions.
In order to keep data entry to a minimum, the baseline scenario is already fully captured. You will also notice that most helper sheets and any other risk schedules and date ranges that will not be relevant for the case have been hidden, giving the ALMPRO a cleaner and more manageable look. All sheets are locked against accidental overwriting, leaving only the green shaded data fields open for changes. However, you can always unhide a cell range or worksheet, if you really want to dig deeper. There is no password required to unlock or unhide a sheet (Review -> Unprotect Sheet. Right-click on any sheet tab -> unhide).
The baseline data for December 2018 – December 2020 is in the file CERM15_Case3_Base.xlsx. The file is configured to reflect the operating history and financial forecast for the fictitious Bank of Commerce that operates as a full-service Retail/SME/Corporate bank in Egypt. Bank of Commerce is majority owned by Sparklays Bank UK. The baseline ALMPRO file contains all necessary information about Bank of Commerce including the applicable prudential limits, policy constraints and the most binding covenants. What is captured in the baseline version of the tool is the operating history for 2019 and the 2020 business plan of Bank of Commerce.