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Asset and Liability Management

Our solution offers built-in static and dynamic simulation capabilities to help ALM professionals define more efficient risk-return tradeoffs and comply with regulatory requirements.

The evolving economic landscape presents huge challenges for asset and liability management. Recent financial turmoil has placed greater emphasis on liquidity management with tighter regulations and reporting requirements. Common data and indicators used by asset and liability managers need to be quickly shared with risk departments for sophisticated client behavior modeling and balance-sheet amortizing assumptions. At the same time, asset and liability managers need to focus on interest rate risk management with increasing demand for more dynamic simulations and a better understanding of the sources of profitability through Funds Transfer Pricing (FTP). Treasury and risk managers and ALM Committees (ALCO’s) need a robust and comprehensive balance sheet management solution to meet these evolving needs.

OVERVIEW
KEY FEATURES
DETAILS

The Solution: Enhance Strategic Decision Making and Improve Financial Performance

Consolidate Risk Data

Accurate and consistent data consolidation is critical to achieving sound asset and liability management. At the core of our solution is our datamart — a robust data warehouse enabling multi-user and multi-geographical site connection to a single platform, streamlining simulation and reporting techniques across all legal entities and business units. Its comprehensive data-handling capabilities offer financial institutions a cost-effective, integrated solution that helps improve data quality.

Monitor Risks and Improve Performance

Our ALM solution offers robust and flexible scenario analytics allowing you to monitor interest-rate risk covering client behavior modeling, new business and stochastic scenarios. The robust stress testing engine allows you to manage your liquidity by calculating the liquidity gap. You can also calculate the maturing and non-maturing instruments on your balance sheet through the Funds Transfer Pricing (FTP) module, giving you a clearer understanding of the organization's sources of profitability.

Deliver Comprehensive Risk Management Reports

Our ALM solution manages all of your management reporting needs by delivering fully-customized reports including gap reports, cashflow reports, funds transfer pricing reports, balance sheet and income statements, Earnings at Risk (EaR), Value at Risk (VaR) and EVE (Economic Value of Equity) reports and many more. ALM managers can quickly and easily add new variables to these reports, modify displayed values and save them for future use. Our award-winning Regulatory Reporting Tool (Fermat RRT) allows you to leverage our regulatory reporting expertise to meet local liquidity and balance sheet regulations.

Key Features

Interest Rate Risk
Gain a dual vision of interest rate risk through income sensitivity measurements—covering interest rate gaps, dynamic modeling and stochastic simulations—and comprehensive balance sheet value sensitivity.

Liquidity Risk
Monitor your daily risk positions through cash flow gaps and maximum cumulative outflow measurements. The robust stress testing engine allows you to statically and dynamically simulate systemic and specific events through flexible stress testing.

Foreign Exchange Risk
Analyze currency changes on a range of indicators using our comprehensive currency scenarios.

Client Behavior Modeling
Model deposits and savings using a replicating portfolio approach (helping you define the strategy that minimizes the net interest income sensitivity to interest rate movements) and loan prepayment and renegotiation.

New Business Scenarios
Produce budgetary and customer scenarios defined by type of contract.

Stochastic Scenarios
Produce short rate models and FX rate simulations and measure the correlation between the various risk factors.

Funds Transfer Pricing
Integrated FTP functionality for the whole balance sheet or to complement an existing FTP system.

Regulatory Compliance
Meet local liquidity and interest rate regulatory requirements with a complete audit from the original
exposures to the final regulatory reports.

Extensive Instrument Coverage
Includes a wide range of on- and off- balance sheet instruments which can be extended through the use of proprietary or third-party systems.

The Difference: An Integrated, Robust and Flexible ALM Solution

Integrated Technological Platform

Our ALM solution is a truly integrated solution for comprehensive balance sheet risk management. From data cleansing and storage to internal reporting, the technological framework offers sophisticated scenario analysis within an integrated and secure platform. Its end-to-end capabilities allow it to quickly and effectively manage large volumes of data working alongside other legacy data systems while its built-in OLAP features can be leveraged to create comprehensive internal reports.

Robust Scenario Analysis

The solution offers an unparalleled breadth and depth of scenario analysis allowing you to stress a range of risk factors, storing the results for future use. Interest rate scenarios leverage a range of models including Vasicek, Ho Lee and Hull White while you can use mean reverting and Ornstein Uhlenbeck models to analyze foreign exchange risk. Users can perform scenarios on a past reporting date and compare these with the baseline results.

Proven, Flexible Technology

Flexible and expandable, our ALM solution has translated customer best practices into a scalable platform. Users can leverage pre-defined models or input proprietary models or a combination of both. Multiple users from different entities can simultaneously access the platform sharing data including contracts and personal simulations logic.