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. Ambit Focus, 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.

Redesign 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.

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.

Implementation of a Treasury target operating model

Through the integration of a comprehensive treasury target operating model, the deficits in data quality and determining results were eliminated, the ability to control was increased and operational risks and model risks were reduced. Using its business and technical expertise, Firstwaters made a significant contribution to a sustainable solution through design, implementation and further development.

Let's talk.

For further insights, get in touch with our experts regarding the subject of treasury and asset and liability management.

Ruben Dinter

+49 6021 4 54 84 82
treasuryalmwhatever[at]firstwaters.de