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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 Vining Sparks 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 non-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 Vining Sparks for your interest rate risk reporting needs is that the complimentary services and solutions available to Vining Sparks’ 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) 829-0321 for additional information.

Risk Manager Packages
	Report Features	Model Features	Chart of Accounts/Data
Standard Package
	NIM Simulations	Non-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 Packages
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, Non-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, Non-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