Prometeia, the global leader in Risk Management consulting and software solutions, announced the re-design of the ERMAS Performance Management software solutions: Fund Transfer Pricing (FTP) and Margin Accrual.
These new modules combine the best of two worlds: mature and comprehensive funds transfer pricing and profitability tools and a flexible, intuitive ‘Outlook’-style interface which is distinctive of all ERMAS 5 modules. The modules also leverage Prometeia’s Analytical Database (ADB), the new data foundation which supports BCBS 239 requirements in addition to traditional ETL processes.
“Funds transfer pricing policies are being challenged by issues surrounding liquidity, event costs including deal restructuring, and instruments with more complicated structural and behavioural profiles,” says Massimo Pedroni, Partner and Head of International Business at Prometeia. “Our solutions have been re-designed not only to address these issues with supporting calculation methodologies and techniques, but also to enhance user experience and to update the technological foundation.”
ERMAS FTP is designed to ensure full transparency, fairness and a consistent methodology across the banking organization. Based on a building block approach, it combines the rigorous application of financial rules, deep granularity in data processing and output generation, and great flexibility in system configuration and report execution.
The ERMAS Margin Accrual solution provides a comprehensive view of the quantitative impact of each individual risk factor. Each element is quantified starting from the base transfer rate to each individual spread adjustment introduced in order to calculate, analyse, and report the overall profitability.
Key features of the re-designed modules include:
- - Articulate, coherent approach for evaluating separately each relevant interest and liquidity risk component: base rate, term structure and external spreads;
- - Advanced replicating portfolio capabilities for accurate pricing of non-maturity accounts, including ‘caterpillar’ methodology;
- - Break charge calculation allowing the user to define which events trigger the calculation and the discrete ability to define discount curves for the base FTP and liquidity spread;
- - Immediate, interactive display of pricing for hypothetical products enabling the user to visualize the impact of rule application;
- - Profitability measures including customer interest and virtual interest, average amount, event costs, and cash flows for all balance sheet positions which can be aggregated according to user-defined reporting dimensions, fully supporting the analysis of profitability of business units, products, etc.;
- - Advanced indexation formulas to support moving average and rates with component weightings;
- - Results computed and reported in Prometeia’s proprietary Pivot Report builder with high granularity, enabling the user to select the most relevant breakdown dimensions and measures for the analysis.
ERMAS, the new generation of value-centric risk solutions, is used by over 200 clients in more than 20 different countries to support their critical decisions and to comply with local and international regulatory requirements.