FRSGlobal

FRSGlobal provides Asset & Liability Management solutions tailored to meet your specific requirements

Background

In light of the recent financial crisis US banks of all sizes are re-evaluating the way in which they currently model their ALM risk. Boards and regulators want to see ALM simulations and liquidity linked to Earnings at Risk models and income projections.

ALM models should meet requirements with regards to:

The institution’s inability to renew or replace maturing funding liabilities.
Customers unexpectedly exercising options to withdraw deposits or exercise off-balance sheet commitments.
Stressing changes in market value and price volatility of various asset types.
Changes in economic conditions, market perception, or dislocations in the financial markets.

Interagency guidance for US financial institutions

On March 17^th 2010 the Office of the Comptroller (OCC), Federal Reserve System (FRB), Federal Deposit Insurance Corporation (FDIC), the Office of Thrift Supervision (OTS), National Credit Union Administration (NCUA), and Conference of State Bank Supervisors (CSB) issued guidance to provide consistent interagency expectations on sound practices for managing funding and liquidity risk.

The guidance reiterates the process that financial institutions should follow to identify, measure, monitor, and control their funding and liquidity risk. The guidance re-emphasizes the importance of cash flow projections, stress testing, and well-developed contingency funding plan for measuring and managing liquidity risk.

FRSGlobal enables financial institutions of all sizes put in place sound practices and processes to manage their ALM and liquidity risk that are in line with the interagency guidelines.

FRSGlobal 6-step process for ALM

So how can we help you?

During the installation of the FRSGlobal ALM solution, any data that is required for the ALM risk calculations is mapped to FRSGlobal’s central repository called DataFoundation. DataFoundation is a fully defined, standardized data model that facilitates the streamlined collection, validation and management of contractual, account, risk and transactional information. DataFoundation ensures that the data being used for ALM risk calculations is always current and verifiable. icon Download the FRSGlobal DataFoundation product information »

The FRSGlobal ALM solution provides a comprehensive range of capabilities that cover the following areas:

Value exposure / market risk (static)
For a consistent and comprehensive assessment of the adverse value impact of changes in market risk factors based on common pricing models using gap analysis and analytical/numerical stress testing analysis
Value at risk / market risk (static)
To calculate the loss potential of a specific portfolio or the total balance sheet over a given time horizon and confidence level
Dynamic simulation (“what if” NII analysis)
To assess and manage income, using a dynamically modeled balance sheet and market environment
Earnings at risk (interest rate models)
To calculate the potential to lose income, and to value it in a dynamically modelled balance sheet and market environment
Treasury view
To assess the exposure and risk position of Treasury, using the risk management techniques applied by the firm

Institutions can select which capabilities that they want to implement in the various areas. For a complete listing of capabilities download the FRSGlobal Asset & Liability Management solution sheet »

YouTube

  Andrew Liegel comments on the
  interagency liquidity risk
  management guidelines for
  US banks.

Solution Sheet

icon Download the solution sheet which describes the FRSGlobal ALM solution in full
detail »

Press release

Read the press release: FRSGlobal announces configurable ALM solution for US banks »

ALM Webinar

In March 2010 FRSGlobal presented a webinar entitled: "Dynamic ALM stress testing templates for increased profitability forecasting". If you were unable to attend the webinar you can register to receive a copy of the material or view a recording by registering here »

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