Treasury/ALM
Take advantage of opportunities.
Transforming risks into opportunities.
Actively controlling risks in the portfolio is currently gaining importance. Risk transfer and transformation has always been a fundamental component of the banking business. With the development of international financial markets, the continuing negative interest rates, the increasing regulatory requirements and the significant pressure in terms of costs, the requirements of the modern management of assets and liabilities are constantly on the rise.
In today’s world, adequate quantification and effective control of the interest rate, liquidity and foreign exchange risks in the bank portfolio is indispensable. As a central function, the treasury department is responsible for this. The implementation of a modern and innovative system for asset and liability management is therefore one of the most important tasks of a bank and is becoming increasingly critical for the sustainable stability and profitability of the institutions.
We will support you with the right expertise. Measuring and controlling interest rate, liquidity and foreign exchange risks in the bank portfolio have long been amongst our core business fields.We have the necessary business expertise as well as the required system know-how to design and implement for our clients the best possible processes and systems tailored to their specific needs.
Our approach is oriented towards your requirements. Our core competences include the comprehensive support of our clients. Together with you, we design the functional and technical target architecture for your ALM system, your processes and your data. We support you in the IT implementation and advise you through to the roll-out of the new process and software solutions.
30+
successful consulting projects in the field of Treasury and ALM
100%
coverage of all interest, liquidity and foreign exchange risks
Your reliable partner.
- Design and implementation of solutions for measuring, managing, limiting and reporting on liquidity, interest and foreign exchange risks
- Design and implementation of methods for the measurement and steering of interest rate risk in the banking book in terms of present value and period
- Design and implementation of internal FTP models for appropriate allocation of interest and liquidity costs
- Design and implementation of regulatory requirements of the treasury department as well as its management (including LCR, NSFR, ALMM, IRRBB)
- Integration of modern ALM/treasury systems (e.g. FIS Balance Sheet Manager, Calypso) as well as efficient IT architectures and data warehouses
- Analysis of existing Treasury processes as well as support in the orchestration, optimisation and automation thereof
Proven success.
Redevelopment of internal liquidity model
Our task from a German state bank was the business and technical redesign of the internal model for measuring and controlling the short-term liquidity risk.
The starting point for the project was the ECB's new ILAAP guideline with its requirements for the duality of economic and normative management instruments for liquidity risk. The technical basis for the redesign of the internal model was the standard software FIS Balance Sheet Manager and the bank's existing treasury data budget.
In addition to taking over the technical project management, firstwaters supported with business analysts the recording of the status quo, the specification of new functional and non-functional requirements, the IT implementation in FIS Balance Sheet Manager and the testing activities until go-live.
Implementation of IRRBB for periodic interest-rate risk management
Based on the EBA Guideline (EBA/GL/2012/02) as well as the requirements from BCBS 368, a German state bank identified the set-up of a means to periodically assess interest rate risk (NII simulation) as a significant field of action.
As part of the implementation project, we – together with the client – first worked out the technical cornerstones of periodically measuring interest rate risk. This included the definition of risk parameters to be periodically assesses, the determination of the relevant accounting standards, the definition of the risk measurement, the design of the base and risk scenarios and the inclusion of the company subsidiaries.
On the basis of the FIS Balance Sheet Manager standard software, we then took on responsibility for the detailed specification of the central parameters and the implementation of the necessary calculations for the NII simulation. Our project activities conclude with the execution of an approval test and the successful launch of the solution in production.
Implementation of a Treasury target operating model
By opting for Calypso as a front-office system for the treasury department, Firstwaters was the client’s first choice for design, implementation and further development. Firstwaters had already established itself as a reliable expert partner due to its many years of successful collaboration as part of the front-to-back integration of Calypso. These are the best conditions for the integration of the new liquidity module of Calypso in the treasury department of the bank.
Following successful implementation of a production-ready prototype and comprehensive fine-tuning of the functionality of product reproduction and risk analysis together with the software vendor, the target solution was able to be designed, implemented and truly put to the test, to then transition to production operations.
Transferring the complete bank portfolio to Calypso achieved the complete presentation of all items in a modern front-office system and enabled the representation of real-time separation of risk and earnings in the book structure of the treasury department. The market departments were made independent of interest rate and liquidity risks and complete transparency was created with regard to liquidity costs and remuneration.
Additional contributions to earnings for the whole bank were generated using active management and the existing resources were deployed efficiently.
Let's talk.
For further insights, get in touch with our experts regarding the subject of treasury and asset and liability management.
Patrick Arenz
+49 6021 4 54 84 66
capitalmarkets[at]firstwaters.de