ALM Model - Bank Risk

The ALM Model contains Proprietary Asset/Liability Model designed to meet the Interest Rate Risk (IRR) modeling requirements of mid-market and smaller Financial Institutions (FI). Incorporates detailed individual instrument data for securities, loans, CD’s, and balance sheet line items. Data is gathered directly from the FI’s core processing system. The output is designed to give the Board of Directors and Management the most relevant analysis in a concise, easy to understand report. We are not affiliated with any single bond dealer and maintain 3rd party independence.

Please refer to the “Our Team” section to view the professional biographies of Mr. J. Palmer and Mr. P. LaPietra.

 
 

fas 107

 FAS 107 requires most entities to disclose the fair value of financial instruments (cash, evidence of an ownership in an entity, or a contractual obligation/right) recognized and not recognized in the statement of financial position. The entity should value both assets and liabilities. The fair value is to be disclosed for those items in which it is practicable to estimate fair value, and for those items where it is not practicable, additional descriptive information must be disclosed for estimating the value.

We offer two options for a FAS 107 fair value analysis. Either option allows you to efficiently and cost-effectively fill your year-end reporting requirements.

The first method values balance sheet items according to re-pricing and/or maturity cash flow intervals (buckets) and the yields and costs associated with those intervals. The second option values select balance sheet items individually and is considered a more robust method for calculating fair market values.

To perform this analysis, R2Metrics has developed standardized excel templates to be populated with information gathered in normal quarter-end A\L processes.

 

 
 

ALCO Online 

ALCO Online offers a web-delivered menu of important financial institution analytical tools designed to assist important personnel with pricing and other strategic decisions. This includes – converting loans from fixed to floating, floating to fixed, valuing embedded caps and floors, funding optimization, liquidity stress testing, deposit beta and market value calculators, etc.

Please refer to the “Our Team” section to view the professional biographies of Mr. J. Palmer and Mr. P. LaPietra.