NEW FEATURES in ALM
Check out these new features and what they mean for you.
SAS Regulatory Liquidity Risk - Ability to select which EBA liquidity reports to produce
The SAS Regulatory Liquidity Risk solution on Viya was delivering the capability to do the calculations for the EBA LCR, NSFR , ALMM and AE reports, all together. It is now possible to select for which set(s) of reports the calculations need to be processed. It is now possible to select separately:
- LCR full portfolio
- LCR signficant currencies
- NSFR full portfolio
- NSFR signficant currencies
- ALMM full portfolio
- ALMM signficant currencies
- AE reports
INTEX Support
SAS Asset and Liability Management now includes support for the INTEX third-party library of models. INTEX offers a comprehensive library of RMBS, ABS, CMBS, CDO, CLN, and Covered Bond deal models, which are maintained for accurate cashflow projections and price/yield analytics. These models support deals issued in North America, Europe, China, Australia, Japan, and other regions.
INTEX libraries primarily serve the structured finance industry (securitization) for cash flow modeling, risk management, and deal analysis (e.g., ABS, MBS, CLO), used by traders, portfolio managers, and issuers for research, valuation, and new deal structuring.
ADCO Support
SAS Asset and Liability Management now includes support for the Andrew Davidson and Company (ADCO) third-party library. ADCO provides risk analytics for loans, mortgage-backed securities, and asset backed securities.
SPOTLIGHT USE CASE
Andrew Davidson & Co. (ADCO) pricing libraries are primarily used by financial institutions to perform complex valuation and risk management for mortgage-backed securities (MBS) and mortgage-related assets.
The principal use case is ability for determining accurate market value for those mortgage related instruments: ADCO libraries calculate prepayment speeds and credit risk for assets such as residential mortgages, which is essential for determining accurate market value.
TIP OF THE MONTH
The reporting frequency for each set of EBA liquidity reports is not the same. For instance, some have to be reported monthly like LCR, some others quarterly lile NSFR.
Also, in case of corrections, or ad-hoc analysis, the user might not need to have to re-run the calculations for all sets of reports.
It allows for more flexibility, and better performance.
