Ermas Engine Certified

By unifying liquidity, credit, and interest rate risk into a methodologically consistent framework, ERMAS supports the Treasury department in the definition of hedging strategies and operational A/L management.

• High-performance analysis workflow and optimal computing engine leading to unparalleled performance and scalability. 
• Advanced cash-flow modelling techniques for the analysis of funding, credit, and interest rate risks.
• Balance Sheet and P&L forecasting, explicitly designed to support strategic planning and portfolio optimization.
• What-if analysis of alternative hedging strategies and assessment of optimal funding / collateral mix.
• Multidimensional views of the balance sheet structure, maturity and composition, both for past and future time periods.
• Interactive simulation of future business and market scenarios, automatically comparable with realized P&L of past periods.

The ERMAS module is designed to implement the latest BCBS and EBA methodologies for IRRBB and CSRBB.

• Full coverage of Banking Book products, accounted both as AC and FVOCI items, in terms of Gap, Basis and Option Risk. 
• Full support to rate-dependent behavioral models, covering prepayments, volume attrition, credit lines, pipelines, NPEs, etc. 
• Static and dynamic sensitivity analysis, performed according to the latest BCBS and EBA guidance on Non-Traded Market Risk. 
• Possibility to adjust IRRBB profile by expected credit losses, by feeding sector-based dynamics of credit risk parameters like PD and LGD.
• Automatic generation of optimal hedging portfolio, designed to stabilize or maximize a predefined risk indicator under given constraints.
• Flexible interest rate scenarios setup, enabling to meet the six prescribed BCBS shock scenarios.

ERMAS enables banks to take a proactive approach to optimizing liquidity costs under BCBS regulatory constraints, both in the short and medium-long term, leveraging a powerful cash flow engine.

• Multidimensional views of the liquidity position, for unlimited breakdown dimensions and daily time periods.
• Automatic production of all regulatory reports, with the possibility to drill-down each result to understand the underlying dynamics.
• High flexibility in modelling existing products, customer behaviors, new business strategies and bank’s ability to liquidate its HQLAs. 
• Interactive workspace for managing liquidity strategies and metrics, enabling the users to re-run analyses and simulations in real-time. 
• New business trends defined with alternative techniques such as new volumes, target point/ average amounts, growth percentages, etc. 

A holistic view of the business and market dynamics affecting the balance sheet has become a strategic need for Risk, Finance and Treasury departments.

• Interactive interface enabling users to verify in real-time the impact of the simulation assumptions on final P&L and RWA results. 
• Integrated financial and credit risk data management capabilities, to improve data quality process and reduce reconciliation effort. 
• Product catalogue with multiple planning trees enabling complex waterfall logic to insert strategies for new volumes and spreads. 
• User-friendly tools to model volume and pricing assumptions, aligned with the commercial and trading strategies of the bank. 
• High-performance analysis workflow and optimal computing engine leading to unparalleled performance and scalability.