Contextual ALM 20
Single unified platform for all Balance Sheet Risk Management

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Winner in Liquidity Risk
& ALM solutions category at RiskTech100 Awards 2019

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Webinar
Contextual ALM –
The changing landscape of balance sheet management in banks

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Industry

Overview

The global financial environment remains an ultra-low interest rate environment, with a high probability that the interest rates might remain low for a prolonged period, due to extreme distress and ensuing economic fallout from the global COVID-19 developments.

Financial institutions should have the processes that identify, measure, monitor and as a result, control their funding and liquidity risk.

While institutions have data within their establishments, the liquidity-specific data from both the internal and external sources including – current and forecasted cash flows; availability and cost of funds; valuation of liquid, and non-cash assets and liabilities – are not always readily available.

ALM practices and operating models are challenged by a new world of expensive, intrusive and data-intensive regulatory regimes, moving towards greater data enablement and analytical sophistication.

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Quotes

Analyst Speak
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Intellect’s OneTREASURY solution covers a range of compliance requirements, offering sophisticated behavior modeling and risk sensitivity measures. The solution emerged from the Citi development environment, and its wide coverage and robust data aggregation capabilities reflect not only its firm institutional roots, but also Intellect’s strong focus on developing comprehensive, integrated liquidity risk management offerings.

Ben Sumner, Senior Editor of Chartis

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Celent

Rated as ‘High level business focused functionality’ vendor in ‘Next Gen ALM & Balance Sheet Management. ’

About

C.ALM

Integrated view of the balance sheet across all risks to help optimise risk versus return profile

C.ALM 20 helps banks manage their balance sheet risks far more efficiently due to the combination of:

  • Coherent Data Fabric which allows seamless data aggregation
  • Dynamic configuration of balance sheet risk algorithms
  • Extensive analytics

Intellect’s Coherent Data Fabric, a low-coding platform, can aggregate data seamlessly from multiple systems simplifying a bank’s interaction with external and internal entities.

 

Six Balance Sheet Risk Algorithms Providing Integrated Risk Impact

Behavioural Qualifications
(Pre-Payment, Non-Maturity Liabilities)

Capital Adequacy

Capital Adequacy

Enough Capital to absorb losses in Tier 1 Capital / Total Assets

01
Leverage

Leverage

Ratio of Assets to Equity

02
Funding

Funding

Right mix of Liabilities/Liquid Assets, FTP

03
Liquidity Risk

Liquidity Risk

Gap Analysis

04
Interest Rate Risk

Interest Rate Risk

Interest Rate Risk Sensitivity & EVE

05
Market Risk

Market Risk

Market Risk on Trading Book

06

Stress Test (Sensitivity and Scenario-based)

Analyse the impact of changes in the balance sheet values, as well as, examine the impact of strategic decisions with an extensive balance sheet risk analytics module that covers:

  • Market Risk
  • Interest Rate Risk & Stress Test
  • Liquidity Risk & Stress Test
  • Capital Adequacy
  • Fund Transfer Pricing
  • Basel III Liquidity Monitoring
  • Balance Sheet Simulations

It has a configurable ratio builder which allows users to create the most important monitoring ratios from the balance sheet. In addition to the standard set of ratios stipulated by various regulators, there is also a flexible ratio builder that helps determine if there are any strains on the assets of the bank or if it is over-leveraged. The solution is aimed at providing insights and deep analysis of the balance sheet, along with effective liquidity management, risk monitoring and business planning.

It covers the Trading Book and the Banking Book:

360-degree view

360-degree view of Balance Sheet

Forecasts and manages potential liquidity

Forecasts and manages potential liquidity gaps at various tenors

manage liquidity risks

Helps monitor and manage liquidity risks

manage interest rate

Helps monitor and manage interest rate risks with detailed NII/NIM analysis

Concentration risk and limits

Concentration risk and limits monitoring

Scenario Analysis

Assesses impact of volatility in market changes through Scenario Analysis

Stress tests

Stress tests the balance sheet to compute Economic Value of Equity

Liquidity Monitoring Tools

Facilitates regulatory compliance through Liquidity Monitoring Tools

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C.ALM

Key Differentiators

Contextual analysis of balance sheet risks and performance forecasting to make critical business decisions

C.ALM 20

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  • Integrated

    Providing a view across trading & banking book

  • Aiding

    Aiding equivalence across geographies through a universal solution

  • Automating

    Automating reporting by catering to a higher degree of real-time reporting requirements

  • Supporting

    Supporting newer market instruments & sophisticated products across the world

  • Assisting

    Assisting banks with regulatory compliance towards risk management

  • Understanding

    Understanding the needs of newer banks to comply with the regulatory guidelines

Process

How it works

Integrated view of the balance sheet across all risks to help optimise risk versus return profile

Liquidity Monitoring Tools

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