RISK ANALYTICS ALM MODEL

Our data capture process is designed for efficiency and accuracy. With a robust data conversion and validation process, most modeling data can be imported and then validated in a matter of minutes.

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.

Benefits

  • 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 audit expense
  • Optional reporting is available for Sources of Risk and Alternate Rate Scenarios.

Complementary Modules

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:

Features

  • 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 Benefits
  • 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 stress scenarios. Features

  • 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 Benefits
  • 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 points
  • 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

Specifications

Benefits

  • - Granularity
  • - Instantaneous
  • - Precision in cash flow modeling
  • - SAAS means no software
  • - Instrument level calculations
  • - Parallel, non-parallel, twist, and ramp shocks
  • - Liquidity stress testing
  • - Cash flow modeling
  • - Unlimited user defined scenarios
  • - Thomson Reuters, Moody’s Markit, and IDC Pricing
  • - Executive Summary Report
  • - Integrated with budget
  • - Integrated with FIA
  • - Related services
  • - FRED integration
  • - Option adjusted income simulations