From the publisher website or publicity

Almonde ALM+ adds IAS and FTP functionality to Almonde ALM. For IAS, it provides hedge effectiveness testing and reporting, IAS 32 reporting, fair value and amortized cost calculations, IAS compliant accounting entries and back-office hedge tagging and tracking. For FTP, it calculates FTP rates for determining commercial margins (for ex-ante product/customer pricing and ex-post profitability analysis) and balance sheet term mismatch margins (for evaluating the interest margin due the bank’s interest rate risk exposure). Hedging performance is measured and monitored via FTP.

Almonde IAS

Almonde IAS handles contract-level banking (including embedded options) and trading book coverage and provides:

 *· Hedge Effectiveness Testing - Historical, current and forecasted testing
 *· Hedge Reporting - Methodology, assumptions, on-going results and effectiveness
 *· IAS 32 Reporting - Cash flow statement, full balance sheet fair value, repricing gap, income and fair value sensitivity shocks to interest rates shocks, internal rate of return, maximum credit risk exposure calculation, credit diversification statement…
 *· IAS compliant GL accounting entries - Fair value and amortized costs adjusted for prepayments and impairment

Almonde handles back-office operation transaction and hedge tagging and tracking. Additional Almonde IAS features include micro-hedge linking to underlying and hedge optimization. Almonde IAS benefits from Almonde's Asset Liability Management expertise in measuring Prepayment exposures and valuation adjustments. Integration with Almonde FTP enables efficient isolating, measuring and monitoring of interest rate / mismatch risk hedging effectiveness.

Almonde FTP

Almonde FTP (Funds Transfer Pricing) precisely calculates and measures interest margins at the contract-level for reuse in decision making. At its core, Almonde calculates and stores FTP rates (on pre-existing contracts) that serve to split the banks interest margins into two components: the Commercial margin and the Term Mismatch margin on ex-post transactions.

Term Mismatch margins are used for:

 *· Measuring and monitoring income due to balance sheet term mismatch
 *· Evaluating hedge effectiveness at a macro and micro level
 *· Measuring hedging performance from period to period via the remaining maturity FTP

Commercial margin are used in a few ways, for:

 *· Pre-transaction commercial deal pricing on by either providing a product/customer pricing grid or as an on-line pricing tool by pricing on-the-fly
 *· Profitability analysis (i.e. product, customer segment, region…) as a decision making tool where FTP rates on pre-existing transaction are inputs and FTP rates on new business are simulated
 *· Advanced profitability analysis (economic value) where the commercial margin is adjusted for expected credit and embedded option loss values calculated in the system

Activity-based costing values can be included as inputs to the system for further adjustment

Expected margins, (i.e. the resulting margin values) are used in the nominator for RAROC calculations

can be achieved by using Basel II regulatory capital as the denominator for measuring and analyzing expected margin vs. regulatory capital consumption

Keywords
Almonde ALM
Almonde IAS
amortized cost
balance sheet
bank
banking
Basel II
commercial margin
contract-level banking
credit
credit diversification
credit risk
current testing
ex-post profitability
fair value
finance
forecasted testing
FTP
FTP rates
GL accounting
hedge
hedge fund
hedge funds
hedge reporting
hedging performance
historical testing
IAS
IAS 32
interest rate exposure
interest rate risk
interest rate shocks
internal rate of return
International Accounting Standards
maximum credit risk
RAROC
regulatory capital
risk
trading book

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Vendor: Almonde