New Features in ALM Q1 2025
NEW FEATURES in ALM
Check out these new features and what they mean for you.
Updates to the Navigation Menu
The navigation menu has been updated to provide easier access to solution functions. This update includes changes to the labels, and the ordering and grouping of items. Learn more.
New content for SAS Funds Transfer Pricing
The FTP sample data has been extended to the calculation of FTP rate adjustments at the transaction level. Adjustment rates are fully configurable by the user. The sample data is providing example on liquidity spreads :term premium (LTP), contingency and stable funding.The FTP sample data has been extended to the calculation of FTP rate adjustments at the transaction level. Adjustments rate are fully configurable by the user. The sample data is providing example on liquidity spreads :Term Premium (LTP), Contingency and stable funding. Learn more.
New content for EBA Regulatory Liquidity Risk
The solution is now functionally ready to deliver EBA Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR) , Additional Liquidity Monitoring Metrics (ALMM) and Asset Encumbrance (AE) reporting datasets. The portfolio positions valuation, the generation of the cashflows and their bucketing for the purpose of those reports are done in the Viya solution by the underlying KRM engine. It also includes classification and aggregation processes based on the output of the pricing done by the KRM engine. Learn more.
SPOTLIGHT USE CASE
EBA Regulatory Liquidity Risk
The European Banking Authority (EBA) introduced several mandates around Liquidity Risk (LCR, NSFR, ALMM, AE, etc.…) as part of the Basel III framework to address vulnerabilities exposed during the 2008 financial crisis. The crisis revealed that many financial institutions lacked sufficient liquid assets to withstand periods of financial stress, leading to severe liquidity shortages and systemic risks.
Effective liquidity management is essential to mitigate these risks, ensuring sufficient reserves or contingency plans are in place to weather financial disruptions. Historical cases like Silicon Valley Bank, Northern Rock, and Lehman Brothers showcase how liquidity risks can lead to major financial instability.
SAS Regulatory Liquidity Risk now contains out-of-the-box content to value your portfolio positions, generate the cashflows and their bucketing for the purpose of those reports and includes classification and aggregation processes. All is orchestrated in a dedicated workflow for governance and audit purposes.
TIP OF THE MONTH
Analyzing Large Portfolios
When you run risk analyses with large portfolios using SAS Asset and Liability Management, you must have sufficiently large cloud memory resources available for use. If your memory resources are insufficient, your analyses might fail to run. Learn more.
