Risk Analytics ALM
The Risk Analytics ALM Model provides financial institutions with an understanding of how changes in
interest rates—and the resulting changes to the cash flows of their balance sheet instruments—affect
future earnings as well as the value of their capital.
This Earnings at Risk (EAR) and Value at Risk (VAR/NEV) model provides results for nine interest rate
stress test scenarios of up to 400 basis points.
With no software to purchase this model provides the functionality of the most expensive ALM
models—at a much lower cost and with far less time and effort.
Our professional staff works with you to automate the instrument level data collection process and our
Relationship Managers assist you with any questions regarding data input or the initial results.
- Independent securities pricing and cash flow analytics from nationally recognized third-party
sources to accurately forecast earnings and price volatility under all your rate stress scenarios
- Graphical displays of key information; choose from many charts and graphs
- Executive Summary Package – designed for board members and ALCO
- Full disclosure of all modeling assumptions – for management, regulators, and auditors
- Back Testing Report – to assess the model’s accuracy over time and interest rate changes
- Variance Report – to quickly spot any significant changes to input or results
- Fair Value Report – satisfies the FAS 107 disclosure requirement without incurring additional
- Optional reporting is available for Sources of Risk and Alternate Rate Scenarios.
Balance Sheet Manager
Balance Sheet Manager (BSM), an add-on to the FIMAC Solutions Risk Analytics ALM Model, lets you
immediately create unlimited “what-if” scenarios.
This optional module gives you a quick, powerful, and accurate measurement of the impact balance
sheet management decisions will have before they are implemented, allowing you to efficiently test
multiple ideas or variations, and select the strategy that offers the optimal risk and return profile.
Make better decisions with advance knowledge of the impact to earnings and equity, and the exposure
to changes in interest rates:
- Modeling assumptions – stress test your rate sensitivities, loan prepayments, non-maturity
account lives and reinvestment assumptions
- Balance sheet changes – apply growth and runoff, or simulate balance sheet restructuring
- Offered rates – change your products rates and see the impact over time
- Securities transactions – simulate the purchase or sale of securities the balance sheet impact as
required by your pre-purchase analysis
- Budgeting – combine the net interest margin results of your dynamic balance sheet changes
with changes to your non-interest accounts to prepare your annual budget
- Yield curve – put in your desired yield curve twist or ramp and see the impact on earnings
- Results in minutes, not hours or days
- Run multiple variations to discover the optimal risk and return profile
- See the impact to earnings and earnings at risk along with equity at risk
- Provides impacts to key liquidity and capital ratios
- Monitor your results relative to your management set risk limits
Cash Sources and Uses
Cash Sources and Uses, allows users to incorporate their own operational and contingency cash flow
assumptions for each liquidity stress scenario they create. The resulting Summary Report documents the
scenario name and assumptions, as well as its liquidity coverage ratio results for the next 12 months.
Cash Sources and Uses enable financial institutions to plan for and document various contingency
scenarios, whether they are interruptions of the ability to borrow, runs on deposits, or other liquidity
- Step-by-step interface guides you through the creation of each liquidity scenario
- Easy-to-read summary clearly shows monthly and cumulative cash flows and coverage ratios
- Documentation of modeling assumptions
- Customizable graphical output
- Summary and detailed breakdown of cash flows
- Ability to save scenarios and import them in future periods
- User-defined operational cash flows, such as loan and deposit originations
- User-defined contingency funding sources, such as Fed Funds borrowings, FHLB, or other
brokered Internet deposits, as well as any assumed curtailment of those sources
- Graphical representations of output
- Cash flows for each of 13 incremental interest rate stresses, ranging up and down 400 basis
- Underlying cash flows projected out monthly for 30 years
- Cash flows loaded from product level detail from your ALM report
- Ability to model custom or level deposit run-off assumptions