Risk Manager

Risk Manager

The Asset/Liability Total Package

Asset/Liability management is not a one size fits all prospect. The right Asset/Liability system is a combination of comprehensive measurement and reporting, combined with a level of complexity that is right for you. The ICBA Securities Risk Manager is the total package. The complexity of the processes used is dependent on your needs, the time and resources available, and the level of risk being managed.

Delivering what you need for the new requirements

Banking regulators have issued new guidance for IRR assessment and reporting. The guidance raised the demands for the types of simulations and assumptions used in modeling. As a result, we have increased the numbers of simulations we process and have enhanced the reporting packages.

Key Benefits

Our Risk Manager Asset/Liability reporting system offers the power, flexibility, and support that you need to both comply with regulatory requirements and manage your balance sheet.

All Risk Manager Reporting Packages

  • Regulatory requirements – the new requirements call for banks to run parallel simulations with rising rate scenarios going up through +400bp, assuming a static balance sheet. All of our reporting packages include these scenarios with our premium packages including the regulatory scenarios in addition to institution-specific configurations.
  • Reporting - Reports are delivered each quarter electronically and includes full color charts and graphics of your current positions, historic data, and peer data. It also includes an executive summary designed to assist you in evaluating risk positions, a risk evaluation for net interest income and balance sheet composition, and a full evaluation of the economic value of equity (EVE). Our premium packages also include detailed files for your records, listing specifics for each scenario processed.
  • Support - Through the years, our customers have learned to rely upon us for un-paralleled service and customer support. Whether you need assistance in documenting your assumptions, understanding of the result implications, or presentations to your board, our trained staff will be here to assist you. Our customer support is available as often as you want, as much as you need. Our only goal is to insure you receive reliable timely data in a format you can use and understand.

Premium Risk Manager Packages

Our Premium Risk Manager Packages offer greater flexibility and customization and are designed to help banks not just assess risk but also manage their balance sheet. They include

  • Rate Scenarios – Interest rates unchanged? Rates shocked or changed over time? Rates changed parallel or dynamic? With the Risk Manager, your performance is forecast over 8 rate scenarios of your choosing. Whether rate shocks for a “worst case” measurement, or ramp rate changes over time, the choice is yours. You decide whether to use parallel shifts in rates, or a more “realistic” rate path, or both.
  • Growth – One of the major components of any A/L model is the changing composition of the balance sheet. Using the Risk Manager, you project what your balance sheet will look like in the future by controlling the growth rates for each account. You can elect to have each account grow by whatever percentage you wish, or not grow at all.
  • Compliance – As you evaluate your A/L position, one of the key aspects is compliance with key ratios approved by your ALCO and directors. Most of these ratios can be tracked by our system and included with your report set. Not just net interest income at risk (NII), and economic value of equity at risk (EVE), but liquidity ratios, balance sheet calculations, and most other ratios defined by your policy. Your reports each quarter include a page just for compliance and include only those ratios you request. The end result is a clear presentation of your position relative to your policy limits.
  • Track your Progress - To help you track your trends and progress, our reports include a comparison to your previous ratios and balances. Additionally, we include selected ratios vs. your peer group, either nationally, regionally, or a peer group you select. The result is a report set that assists your management in evaluation of your current asset/liability position. To assist you, we even include an Executive Scorecard that numerically rates your positions against peer ratios to give you a quantitative measure of your overall risk.

Additional Services and Solutions

One benefit of working with ICBA Securities for your interest rate risk reporting needs is that the complimentary services and solutions available to ICBA Securities’ customers are even more accessible, timely, and comprehensive because of the information available from Risk Manager reports. Examples include

  • Balance Sheet & Portfolio Strategy – Our Investment Strategies Department works with banks to develop balance sheet, investment portfolio, and capital management strategies. Strategists are available to present the Risk Manager reports to management, boards, and ALCO on a quarterly basis, usually over the phone with on-screen, web-based report presentation. The Strategists complement your efforts with insight, analysis, and recommendations aimed at achieving your institution’s objectives.
  • Interest Rate Products – Through Vining Sparks Interest Rate Products, LLC (VSIRP), institutions can manage interest rate risk and create a competitive advantage using their wide array of hedging products. VSIRP provides turnkey accounting and infrastructure solutions which simplify the requirements with interest rate hedging.
  • Loan portfolio and lending solutions – Our Loan Trading group allows institutions to manage not only the investment portfolio and wholesale funding but also the loan segment of the balance sheet. Whether buying or selling, they can bring liquidity and earnings opportunities to an otherwise dormant segment of the balance sheet. In addition, VSIRP’s ability to offer single loan hedging tools, including the SMART Loan Product, provides institutions with greater flexibility and competitiveness for retail loan production.

Contact your account representative or Sheri Davis at (800) 422-6442 for additional information.

Risk Manager Packages
Report Features Model Features Chart of Accounts/Data
Standard Package
NIM Simulations Parallel Shock Basic Chart of Accounts
EVE Simulations Rising rate shock including +400bp Inputs:
Detail NIM Projections - 2yr Static Balance Sheet Investment Portfolio
Cusip Level Securities data  Wholesale Funding
Scenario Specific Assumptions Call Report Schedules
Customer provided:
Repricing assumptions
New Volume Assumptions
Prepayment Assumptions
Deposit Sensitvity
Report Features Model Features Chart of Accounts/Data
Premium Package
Level 1 NIM Simulations Parallel or non-parallel Standardized Chart of Accounts
EVE Simulations Ramps or shocks Inputs:
Detail NIM Projections - 2yr Cusip Level Securities data Investment Portfolio
Policy Compliance Monitoring Account level growth assumptions Wholesale Funding
Historic Comparisons Separate Regulatory Package
including +400bp, parallel Static BS
Call Report Schedules
Supporting Details Loan floors recognized
Strategic Liquidity Estimates Derivative Products supported Customer provided:
Scenario Specific Assumptions Current Repricing assumptions
Growth Assumptions
New Volume Assumptions
Prepayment Assumptions
Deposit Sensitivity
Level 2 NIM Simulations Parallel or non-parallel More Detailed Account Chart
EVE Simulations Ramps or shocks Inputs:
Detail NIM Projections - 2yr Cusip Level Securities data Application System Downloads
Summary NIM Projections - 5yr Account level growth assumptions Investment Portfolio
Policy Compliance Monitoring Separate Regulatory Package
including +400bp, parallel Static BS
Wholesale Funding
Historic Comparisons Loan floors recognized Loan Portfolio segmented by Index & Frequency
Cash Flows Derivative Products supported
Detailed Repricing Gaps Strategic Liquidity Estimates
Funding Gaps Individual Loan & Deposit Data Customer provided:
Repricing Indices compostion Earnings Re-Invested Growth Assumptions
Supporting Details Deposit Rate Lags New Volume Assumptions
Scenario Specific Assumptions Earnings Distribution
Prepayment Assumptions
Deposit Sensitivity
Level 3 All of the capabilities listed above plus:
Custom Report Construction Custom Model Structure Custom Chart of Accounts