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					                                                                                                     EntErprisE risk ManagEMEnt

Asset and Liability Management (ALM)
Fermat ALM provides essential monitoring of balance-sheet risks for the banking book. Covering a wide
range of financial products, Fermat ALM offers built-in static and dynamic simulation capabilities to help
ALM professionals define more efficient risk-return tradeoffs and comply with regulatory requirements.

    The Challenge: Stronger and More Accurate Balance Sheet Risk Management
    The evolving economic landscape presents huge challenges for asset and liability management. Recent financial
    turmoil has placed greater emphasis on liquidity management with tighter regulations and reporting requirements.
    Common data and indicators used by asset and liability managers need to be quickly shared with risk departments for
    sophisticated client behavior modeling and balance-sheet amortizing assumptions. At the same time, asset and liability
    managers need to focus on interest rate risk management with increasing demand for more dynamic simulations and
    a better understanding of the sources of profitability through Funds Transfer Pricing (FTP). Treasury and risk managers
    and ALM Committees (ALCO’s) need a robust and comprehensive balance sheet management solution to meet these
    evolving needs.

Consolidate Your Data, Customize Scenarios and Deliver Comprehensive Management Reports

                                                                                   Fermat ALM delivers out-of-the-box data
                                                                                   consolidation, scenario generation and
                                                                                   management reporting capabilities from
                                                                                   one central location.
Moody’s Analytics

The Solution: Enhance Strategic Decision Making and improve Financial performance
» Consolidate Risk Data
  Accurate and consistent data consolidation is critical to achieving sound asset and liability management. At the core of our
  solution is the Fermat Datamart — a robust data warehouse enabling multi-user and multi-geographical site connection to a
  single platform, streamlining simulation and reporting techniques across all legal entities and business units. Its comprehensive
  data-handling capabilities offer financial institutions a cost-effective, integrated solution that helps improve data quality.
» Monitor Risks and Improve Performance
  Fermat ALM offers robust and flexible scenario analytics allowing you to monitor interest-rate risk covering client behavior
  modeling, new business and stochastic scenarios. The robust stress testing engine allows you to manage your liquidity
  by calculating the liquidity gap. You can also calculate the maturing and non-maturing instruments on your balance
  sheet through the Funds Transfer Pricing (FTP) module, giving you a clearer understanding of the organizations sources
  of profitability.
» Deliver Comprehensive Risk Management Reports
  Fermat ALM manages all of your management reporting needs by delivering fully-customized reports including gap reports,
  cashflow reports, funds transfer pricing reports, balance sheet and income statements, Earnings at Risk (EaR), Value at Risk
  (VaR) and EVE (Economic Value of Equity) reports and many more. ALM managers can quickly and easily add new variables to
  these reports, modify displayed values and save them for future use. Our award-winning Regulatory Reporting Tool (Fermat
  RRT) allows you to leverage our regulatory reporting expertise to meet local liquidity and balance sheet regulations.

key Features
» Interest Rate Risk                                                » New Business Scenarios
  Gain a dual vision of interest rate risk through income             Produce budgetary and customer scenarios defined by type
  sensitivity measurements—covering interest rate gaps,               of contract.
  dynamic modeling and stochastic simulations—and
                                                                    » Stochastic Scenarios
  comprehensive balance sheet value sensitivity.
                                                                      Produce short rate models and FX rate simulations and
» Liquidity Risk                                                      measure the correlation between the various risk factors.
  Monitor your daily risk positions through cash flow gaps and
                                                                    » Funds Transfer Pricing
  maximum cumulative outflow measurements. The robust
                                                                      Integrated FTP functionality for the whole balance sheet or
  stress testing engine allows you to statically and dynamically
                                                                      to complement an existing FTP system.
  simulate systemic and specific events through flexible
  stress testing.                                                   » Regulatory Compliance
                                                                      Meet local liquidity and interest rate regulatory
» Foreign Exchange Risk
                                                                      requirements with a complete audit from the original
  Analyze currency changes on a range of indicators using our
                                                                      exposures to the final regulatory reports.
  comprehensive currency scenarios.
                                                                    » Extensive Instrument Coverage
» Client Behavior Modeling
                                                                      Includes a wide range of on- and off- balance sheet
  Model deposits and savings using a replicating portfolio
                                                                      instruments which can be extended through the use of
  approach (helping you define the strategy that minimizes the
                                                                      proprietary or third-party systems.
  net interest income sensitivity to interest rate movements)
  and loan prepayment and renegotiation.

2   Moody’s analytics EnTERpRiSE RiSk MAnAgEMEnT
The Difference: An integrated, Robust and Flexible ALM Solution
» Integrated Technological Platform
  Fermat ALM is a truly integrated solution for comprehensive balance sheet risk management. From data cleansing and
  storage to internal reporting, the technological framework offers sophisticated scenario analysis within an integrated and
  secure platform. Its end-to-end capabilities allow it to quickly and effectively manage large volumes of data working alongside
  other legacy data systems while its built-in OLAP features can be leveraged to create comprehensive internal reports. The
  combination of our technological sophistication and reliability, knowledge, experience and commitment brings a unique solution
  to the market.
» Robust Scenario Analysis
  The solution offers an unparalleled breadth and depth of scenario analysis allowing you to stress a range of risk factors, storing
  the results for future use. Interest rate scenarios leverage a range of models including Vasicek, Ho Lee and Hull White while you
  can use mean reverting and Ornstein Uhlenbeck models to analyze foreign exchange risk. Users can perform scenarios on a past
  reporting date and compare these with the baseline results.
» Proven, Flexible Technology
  Flexible and expandable, Fermat ALM has translated customer best practices into a scalable platform. Users can leverage
  pre-defined models or input proprietary models or a combination of both. Multiple users from different entities can
  simultaneously access the platform sharing data including contracts and personal simulations logic.

                                                       Define and Prioritize Risk
                                                       Factors (interest rate risk,
                                                       liquidity risk, foreign exchange
                                                       risk and inflationary pressures)

                           Enhance Bank-Wide                                                   Conduct Customer
                           Hedging Decisions                                                   Behavior Modeling

                                                       Balance Sheet
                                                     Risk Management
                                                                                           Perform Simulation Process
                         Redefine Strategy (ALCO
                                                                                           (market data, behavior data,
                         develops future strategy)
                                                                                           budget and hedging strategies)

                                                       Generate Risk Reports
                                                       (fully-customizable and
                                                       automatic reports produced                 Fermat ALM streamlines your balance sheet
                                                       daily, weekly and monthly)                 risk management giving you efficiency
                                                                                                  improvements, enhanced performance and
                                                                                                  a more accurate and consistent view of your
                                                                                                  organizations balance sheet risk.

                                                                                          EnTERpRiSE RiSk MAnAgEMEnT Moody’s analytics          3
Moody’s Analytics Delivers Comprehensive Enterprise Risk Management Software
Moody’s Analytics enterprise risk management goes beyond credit, market and operational risk and delivers a solution for the entire risk
life cycle, from measuring and pricing for risk in loan origination to portfolio and regulatory risk management and reporting, to managing
balance sheet and liquidity risk. Our solution allows organizations to tie all credit exposures to an obligor, as well as to the entire portfolio,
providing a consistent view of risk from origination to regulatory calculation and reporting to portfolio analysis.

                                               Performance Mgmt, Reporting & Stress Testing

                    Credit Assessment                Portfolio                     Regulatory                     Balance Sheet
                    & Origination                    Management                    & Compliance                   Management
                    » Probability of Default         » Portfolio Management        » Basel II                     » Asset & Liability
                      & Loss Given Default                                                                          Management
                                                     » Economic Capital            » Solvency II
                    » Internal Rating Models         » Exposure Monitoring         » Credit, Market,              » Liquidity Risk
                    » Spreading                                                      Operational Risk &           » Funds Transfer Pricing
                                                     » Deal Impact on                Insurance Risk
                    » Origination Workflow              Portfolio                                                  » IAS
                    » Limits Management

                                                  Benchmarking Data & Professional Services

                                                              Risk Data Warehouse

       About Moody’s Analytics
                                       markets and credit risk management professionals worldwide respond to
       Moody’s Analytics helps capitalPerformance Mgmt, Reporting & Stress Testing
       an evolving marketplace with confidence. The company offers unique tools and best practices for measuring
       and managing risk through expertise and experience in credit analysis, economic research and financial risk
       management. By providing leading-edge software, advisory services, and research, including the proprietary
       analysis of Moody’s Investors Service, Moody’s Analytics integrates and customizes its offerings to address
                business challenges.
       specific Credit Assessment         Portfolio              Regulatory              Balance Sheet
                  & Origination                     Management                  & Compliance                     Management

We encourage you to tr y Fermat ALM for yourself. Please contact Moody’s Analytics to learn more, arrange a trial or schedule a personal demonstration.
E-mail us at or use one of the numbers below:

                                               Benchmarking Data & Professional Services
aMEricas                       EMEa                        asia-paciFic                 Japan
+1.212.553.1653                +44.20.7772.5454            +85.2.3551.3077              +81.3.5408.4100
                                                              Risk Data Warehouse

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