Essential Monitoring of Your Balance Sheet Risks


Fermat ALM, an integrated solution for comprehensive balance sheet risk management for the banking book.  This solution offers built-in static and dynamic simulation capabilities to help ALM professionals improve their efficiency, enhance performance and obtain a more accurate and consistent view of balance sheet risk.

Fermat ALM provides essential monitoring of balance-sheet risks for the banking book. Covering a wide range of financial products, Fermat ALM 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.


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 the Fermat 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

Fermat ALM 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 organizations sources of profitability.

Deliver Comprehensive Risk Management Reports

Fermat ALM 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.



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