SAS^® Asset and Liability Management

Cash flow generation & valuation coverage

• Generate both contractual and behavioral (interest and capital) cash flows for a large set of accounts and instruments. Value the most common trading instruments. Integrate custom pricing functions and/or external pricing libraries.
• Run scenario-based calculations and simulations based on market and/or behavioral risk factors, and see results with a dynamic balance sheet.
• Risk-adjusted performance functionality further decomposes/aggregates risk premiums (interest risk, credit risk and liquidity risk), behavioral components and embedded optionalities for more granular analysis.

Interest rate risk & liquidity risk analyses

• Economic value of equity and net interest income.
• Yield, durations and convexities. 
• Liquidity and repricing cash flow gap analysis on user defined time buckets.
• Cash flow optimization.
• IRRBB, LCR and NSFR measures.

Stress testing & simulations

• Market/macroeconomic and behavioral scenario definition and management.
• Historical and model-based simulations.
• Balance sheet evolution assumptions with scenario analyses.

Regulatory & internal reporting

• Regulatory report generation and filing capability.
• Visual analysis and reporting with on-demand slice-dice and drill-down.
• EBA COREP template 2.9 support (requires SAS Regulatory Content for EBA Taxonomies):
  • LCR: C72-C76.
  • NSFR: C60-C61. 
  • ALMM: C66.

Additional capabilities

• Model development, implementation and validation tools.
• Optimization.
• Data integration and quality management.
• Workflow and process management.