SAS® Asset and Liability Management Features

Core asset & liability management (ALM) capabilities

Interest rate risk

  • Sensitivity analysis – Core measures of interest rate exposure with flexible specifications of effective and modified duration. To gain further insight, interest rate curve positioning can be examined with key rate durations and configurable interest rate shock scenarios.
  • Gap analysis – Maturity/repricing schedule that distributes the interest-sensitive assets and liabilities into time bands according to their time to re-pricing to assess the interest rate risk of current earnings.

Liquidity risk

  • Cash flows projections, and cash flow gaps, in user-defined bucketing schemes.
  • Liquidity stress testing.

Scenario-based analysis

  • Apply market shocks, economic scenarios and changing behavioral assumptions.
  • Analyze static and dynamic portfolios based on balance sheet evolution targets. Incorporate growth mixture assumptions with hypothetical positions into each scenario.

IRRBB-enabled

  • IRRBB requirements can be achieved through the scenario-based EVE and NII analysis.
  • Net Interest Income (NII) – Measures the difference between interest revenues generated by interest-bearing assets and the interest cost of servicing (interest-burdened) liabilities.
  • Economic Value of Equity (EVE) – Reports the aggregated values on a user-defined hierarchy at the as-of date or on a scenario with a future horizon. The EVE is reported as the net value between assets and liabilities. The solution also exports position-level detailed values for analysis with SAS analytics.

Extended instrument coverage & third-party cash flow logic support with analytical model integration

  • Cash flow generation logic for a range of instrument/account types.
  • Configure discount curve and spread through waterfall logic.
  • Users can add in-house/third-party/open-source cash flow and valuation logic.

Behavioral model integration

  • Credit and behavioral assumption can be modeled via a range of techniques, from simple or shockable assumptions up to sophisticated models.

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