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comprehensive ALCO & Fair Value reporting

best practices in out-sourced and co-sourced ALCO reporting

analytics

static and/or planning balance sheets
interest rate analytics
- deterministic approaches with level and/or slope changes
- stochastic approaches
earnings @ risk & value @ risk
stress test & extreme value scenarios

reporting

proprietary ALCO & Board reports (.pdf format)
realistic, trading-quality fair values for quarterly disclosure
- option-adjusted valuations with stochastic approach
includes quarterly Fair Value disclosure and 50 page support document reviewed by Big 4 and other leading accounting firms

online system access & capabilities

“what ifs” for budgeting, forecasting, strategic planning
market rates can be updated daily

cost-effective solution

for in-house forecasting & planning analytics
for enhanced regulatory compliance & risk measurement

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real world solutions >

real time ALCO reporting? Over the past few years, there have been days with historically high interest rate volatility. After several such days, the management of Sample Bank believed their annual budget was no longer accurate.

Working with the ALMnetwork, Sample Bank produced forecasts based on rates “as of” the prior days’ close. While not exactly “real-time” reporting, next day reporting was useful to the management of Sample Bank in comprehending their new earnings position, formulating new tactics and strategies, and fine-tuning their pricing.