NUCSOFT. Asset Liability Management

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1 NUCSOFT Asset Liability Management

2 ALM Overview Forecasting, Budgeting & Planning Tool for Advanced Liquidity Management & ALM Analysis & Monitoring of Liquidity Buffers, Key Regulatory Ratios such as Liquidity Coverage ratio & Net Stable Funding ratio Liquidity results based on Deal Contractual Details as well as Sensitivity & Scenario Approach including Behavioral Patterns Allows Incorporation & Modeling of various scenarios for Drawdown Trigger for unused Commitments, Devolvement of Indirect Facilities like Letters of Credit & Guarantee etc to provide a Comprehensive Risk Based View on Liquidity Position of Institution. Complete Integration with other risk modules such as BASEL ii / iii Capital Calculation, Risk Rating, Capital Consolidation, Portfolio Management & Pillar ii / Internal Capital Adequacy Assessment Plan (ICAAP) Stress Testing, including Scenario Generation through Historical Sampling or Conditional Event Mapping to take in Expert Judgment of Asset Manager.

3 Key Features Liquidity Risk Management Cash Flows (inflows & outflows) from Current Position Configurable Time Buckets Bucket wise Liquidity Gap Interest Rate Risk Management Traditional Gap Analysis to measure Interest Rate Risk from Earnings Perspective Duration Gap Analysis to measure Interest Rate Risk from Economic Value Perspective Simplified Framework & Grouping Assets in Suggested Buckets using Suggested Maturity, Coupon & Yield Parameters Present Value Basis Point Analysis for Dynamic Market Risk Analysis & Its Impact on Economic Value Across Time Horizons

4 Key Features Capability to Incorporate Multiple Yield Curves for Managing Basis Risk for variety of Assets across Multiple Time Horizons Provides Detailed Analysis of Funding Liquidity Risk Position to match its Cash Obligations at All Times through variety of Cash Flow Reports Discrete, Cumulative & Dynamic Gap Reports Can Generate Scenarios based on Unencumbered Value of Liquid Assets Post Volatility & Value Adjustments through Haircuts to Estimate forward Liquidity Exposure & Coverage of Cash Obligations.

5 Key Features Allows Aggregation of Facilities & Dynamic Simulation Capabilities for Comprehensive Scenario Analysis for Stress Testing Flexible User Configurable Reporting through Front End for Cash Flow Gap Analysis through desired Asset Liability Combination, Survival Horizon Measurement, Currency wise Gap Reporting for Liquidity & Interest Rate (both NII & economic value approach), Duration Gap & PVBP Analysis, Drill Down features enabling Reporting across Departments, Group Entities & Consolidation Group Level Reporting. Ease & Flexibility to Configure Unlimited Reporting Structures as desired by Business User

6 Key Features Modeling at Transaction, Facility, Exposure & Account Level Rule Engine which defines Cash Flow Splitting & Bucketing Cash Flow Assumptions for Various Products with Distinct & Accurate General Ledger Mapping Batch Processing for One Touch Execution & Reporting Separation of Data Management from Rules Engine Multiple Business Rule Sets Can be Applied on Set of Data for ALM Process & Differentiated Reporting

7 Key Features Ability to Freely Define & Configure Multiple Time Horizons / Time Bucketing for Analysis. Ability to Configure Multiple Distinct Bucketing Assumptions for Regulatory & Internal Analysis & Reporting Sensitivity & Scenario Analysis Ability to Allow Business User to Define & Configure Multiple Reports by Mapping Customised Report Lines to Bank Products & chart of Accounts including Logical Grouping

8 Architecture System Configuration Dimension & Reference Parameter Functional Configuration Bucketing Configuration Product COA Bucketing Map Batch Configuration System Execution Reporting Module Data Management Reporting Configuration Process Setup / Execution Generate & View reports

9 Key Modules Dimension setup Currency & Country static information Product master Multi entity configuration including Organization structure Reference & parameter setup Currency structure Cash flow splitting algorithms Term structures for Multiple Benchmark rate curves Business rule setup Bucketing configuration Product structure & Chart of Account mapping

10 Key Modules Data management Load management Data validation & error management / reporting General ledger reconciliation Processing engine Flexible batch creation & management for one touch reporting Cash flow configuration Business rules execution Reporting engine

11 Key Modules Product chart of accounts (COA) Solution can cater to any product structure & GL chart of accounts along with its associated sub-classification Interest calculation parameters & logic set at this level Maturity & bucketing assumptions set at this level Need not be the same as the GL chart of accounts but will need to be mapped for reconciliation purposes Processing can be filtered based on COA Product COA grouping & aggregation facility Organization Ability to create a parent child structure for solo & group reporting Can accommodate business group & branch structure, risk entities & related hierarchy Processing & reporting can be sliced & diced using this dimension based on user defined filters

12 Key Modules Currency Multi currency processing & reporting for any entity either at solo or group level Ability to configure multi-currency reporting for more than one base currency Bank level static & processing parameters Currency data may be linked to bank level currency tables Cash flow types Equated periodic installment Bullet repayment Periodic interest & bullet principal Diminishing principal Structured repayments Non maturity bucketing & cash flows

13 Key Modules Bucketing configurations Define multiple date buckets for regulatory as well as internal MIS reporting Can be defined for day, month & year level Auto generation of bucketing configuration with flexible display labels COA level bucketing assumptions Enables definition of over-riding business rules for liquidity & rate sensitivity analysis Define product (COA) level assumptions for bucketing In case of non-maturity products For deals for which repayment schedule is not available For overrides of contractual maturity for reporting Associated with the bucketing configurations defined above Processing rules Run time configuration to associate rule sets with different cash flows Run time configuration to report on any combination of rule sets, processing sets & cash flow types

14 Reporting Completely Configurable Report Line Definitions Ability to Configure Grouping of Product COA for Reporting at Any Level of Granularity All Configuration can be done by Client using UI without Technical Intervention Ability to Save & Re-use Reporting Configurations Runtime Configuration of which Cash Flow Elements need to Appear on Report Currency Wise Reporting Run Time Cube Slicing & Dicing of Reporting Information

15 Reporting Liquidity reporting & analysis structural liquidity reports, dynamic liquidity reports Interest rate sensitivity analysis & reporting for economic value & earnings at risk / NII approach Interest rate sensitivity & scenario analysis for sensitizing the in Duration gap analysis for multiple benchmarks & asset classes Present value per basis point analysis for various currencies User may configure further reports through a flexible & easy to use screen based interface

16 Technology Architecture 3 tier browser based architecture Database server MS SQL server 2008R2 & above / ORACLE 10 & above Application server JAVA, J-boss Browser - Firefox, Internet Explorer, Google chrome Separate environments for development, UAT & production Other technical aspects Ability to log all amendments done on any master data sets viz. Models, parameters, user information, counterparty data, etc amongst others. Effective tracking of any amendments by virtue of predefined audit trail reports which log records of all amendments conducted. Any changes made on master data set contents can be easily & effectively tracked on a user level. Auditing & logging for data loads, process executions etc.

17 Implementation Phase 0 Programme initiation phase Phase 1 Business analysis Phase 2 Implementation road map Phase 3 Design & implementation phase Establish project scope Business analysis Define business rules for implementation Formation & deployment of implementation team system installation Understand: - Bank structure - Programme structure - Diagnostic review of as is position - Key decisions / aspirations Model analysis & identification Discuss the drat implementation plan with the bank once the business scope is finalised Identification of project resources Detailed action plan for project implementation & management Implement business rules Design reports Deploy configuration module through parameterization & static information Deploy logical data model & overall technical architecture for implementation First implementation run & UAT for output. Resolve pending UAT & client observations Go live (data migration, final deployment, go live testing, roll out, reporting) Dedicated program management office for overall management, design & monitoring of solution implementation

18 Critical Success Factor Top Management Buy-in is Mandatory for Success of Critical Implementation Programs Formation of Committed Team from Client & Nucsoft for Implementation Complete Involvement from Client s IT & Business Teams for Data Mapping Exercise Planned & Swift Execution of UAT Project Plan which is Tightly Monitored at Close Intervals Quick Turnaround Time for Requests for Key Decisions as well as Data Good Connectivity available between UAT Environment in Client & Nucsoft Development Environment - to Facilitate Offshore Activities

19 Thank you