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Asset Liability Management


Asset Liability Management

PolyPaths Asset Liability Management (ALM) integrates accounting and income simulation with market value economics and risk.  It brings the analytics for the PolyPaths Trading & Risk Management solution to the strategic challenges of managing a balance sheet, with an emphasis on modeling, transparency, flexibility, and productivity. By bridging the gap between portfolio economics and accounting, ALM revolutionizes the calculation and reporting of assets and liabilities to improve risk measurement and decision making.


ALM puts income simulation in the hands of the decisions makers – across the corporation, in a division or unit, or at an individual level. Business users can change any element – accounting, products, funding, hedging, balance sheet targets, cash management, risk targets – and see the results in just minutes. It is being used across teams for portfolio management, risk management, earnings management, financial planning/budgeting, regulatory stress testing, counterparty exposure, and model validation.


PolyPaths ALM offers a robust set of features and capabilities including:


REAL TIME ACCOUNTING

All accounting treatments are elective and visible on one screen. Users can change accounting elections on the fly and see reports in just minutes.


FLEXIBLE ARCHITECTURE

ALM uses a familiar Excel-based interface so that anyone can run income simulations.  ALM leverages the analytics in PolyPaths Trading & Risk Management for instrument calculations and scenario analysis. Like Trading & Risk Management, ALM also leveraages PolyPaths Distributed Processing and an Enterprise Database for greater speed and scalability.


COMPREHENSIVE REPORTING

PolyPaths ALM features comprehensive reporting capabilities including:

  • 50 standard reports for Balance Sheet, Market Value, Book Income, Cash Flows and Risk (Duration, Convexity, Volatility)

  • 50 reports for FAS hedge relationships

  • 50 transaction reports on funding, hedges and user-defined relationships

  • Over 400 descriptive and 160 time-series fields

FAST SIMULATION RUN TIMES

ALM separates instrument-level calculations from simulation calculations for faster run times. ALM runs the accounting, aggregation and reporting in minutes including new product, funding, hedging, cash management and risk targeting.


RIGOROUS QUALITY CONTROL

ALM includes a self-validating “Report Checker” tool that tests consistency on all instruments and reports to identify data and modeling errors.  Global Model Settings provides easy side-by-side viewing of portfolio files for consistency. ALM includes sophisticated tools to validate version changes and easy viewing of transaction reports to reconcile any process, account or instrument.



LICENSING OPTIONS

Like PolyPaths Trading & Risk Management, ALM can be licensed according to your specific user, processing and data management needs:

POLYPATHS’ DESKTOP FOR ALM WITH
DISTRIBUTED PROCESSING

Features interactive, Excel-based screens for income simulation providing the same analytics and models used in PolyPaths’ Trading & Risk Management products. It also incorporates computational scale and speed for utilizing multiple processors.  

POLYPATHS ENTERPRISE
FOR ALM

Adds data management capabilities to directly feed positions into ALM.  It uses one or more databases including SQL Server and Oracle.  ALM Databases are updated in version changes through simple script within its user authentication application and databases are forward and backward compatible.

Asset Liabilty Management Model
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