Asset and Liability Management - Excel by uob19357


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									                                                                                                                                     Annexure XIV

                                        Asset & Liability Management and Fund transfer pricing module

Srl.                                  Feature/functionality                                        Level   Vendor   Vendor Reamrks
No.                                                                                                         score
 1        Data         Source       Standard gateway for acceptance of data from multiple           3
       management                   sources
 2                                  Capability to capture/import data on all assets and             3
                                    liabilities from legacy / third party business application
 3                                  Business applications include
 4                                  a) Direct Finance                                               3
 5                                  b) Bills discounting                                            3
 6                                  c) Re-Finance                                                   3
 7                                  d) Promotion & Development and SFMC applications                3
 8                                  e) RTUF application                                             3
 9                                  f) Any other application being used by SIDBI but not            3
                                    mentioned above
10                                  Integration with Treasury and Forex dealing applications        3
                                    to extract data on investment related cash inflows and
11                                  Integration with Forex Transaction application to extract       3
                                    data on Forex related cash inflows and outflows

12                                 Integration with Resource Management application to              3
                                   extract data on cash inflows and outflows pertaining to
                                   fund raising
13                                 Interfacing with risk management application to provide          3
                                   relevant data / inputs on liquidity risk
14                                 Integration with existing accounting application to extract      3
                                   all relevant data on cash inflows and outflows
15                                 Customisable templates and Built-in data entry form for          3
                                   the cases which are not captured through any other
                                   business application
16                                 Ability to handle multiple chart of accounts                     2
17                   Validation/ Tool for automatic verification and validation of uploaded         3
                    Reconciliation data with appropriate measure of correction

18                                  Reconciliation of GL balances with the aggregate account        3
                                    data to identify internal inconsistency of the uploaded
19                      Export      Ability to facilitate user to export (using GUI based drag &    2
                                    drop feature) data from a set of fields to an ASCII file for
                                    off-line analysis
20                                  Ability to transfer reports and other data as EXCEL             2
                                    spreadsheet for separate analysis

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                                                                                                  Annexure XIV

21                           Ability to transfer reports and other data as LOTUS 123          2
                             spreadsheet for separate analysis
22   Standard and            Associate multiple instruments to same repricing types           2
23                           Ability to manual input specific rates or derive rates from      3
                             yield curve
24                           Ability to define different repricing characteristics /rates     3
                             for different periods in an instrument's life
25                           Ability to define different yield curves for different periods   3

26                           Ability to define repricing characteristics for specific dates   2
                             and terms
27                           Ability to define rate caps & floors                             3
28                           Ability to define proprietary gaps other than the                2
                             regulatory gaps
29                           Capability to capture foreign exchange rates                     3
30                           Capability to assign yield curves and benchmark rates            3
31   Standard and            Associate multiple instruments to same payment pattern           2
32   user-defined            types
                             Ability to define different payment characteristics for          3
                             different periods in an instrument's life
33                           Ability to define payment characteristics for specific dates     2
                             and terms
34                           Ability to define 'interest only' payments                       3
35                           Ability to create user specified payment schedule for            3
                             amounts and dates
36   Amortisation            Provides a robust cash flow engine as part of the system
      types for              that supports the following
37    cash flow              Conventional amortisation (EMI)                                  3
38    modeling               Principal only                                                   3
39                           Balloon Payments                                                 3
40                           Amortisation for floating rate instruments                       3
41                           Negative amortisation                                            2
42                           Rule of 78s                                                      3
43    Product                Modeling off-balance sheet instruments                           3
44                           Built-in consistency & validation check for extracted data       3
                             to generate correct cash flows
45                           Ability to specify user-defined buckets for cash flow            3
                             modeling/ forecasting
46                           Ability to generate comparisons of cash flows between            3
47                           Ability to store cash flows for base and scenario results for    3
                             auditing purposes
48                           Non-maturity product modeling                                    3

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                                                                                         Annexure XIV

49   Prepayment       Instrument / account level prepayment assumptions
      Modeling        should be modelled in different ways:
50                    By specifying a constant flat percentage of the current        3
51                    By specifying prepayment rates based on either age, term       3
                      or rate characteristics
52                    By specifying mathematical relationships between               3
                      prepayment rates & spreads
53                    Modular, re-usable prepayment tables                           3
54                    Ability to optionally model seasonality adjustment factors     3
                      based on past experience for prepayments
55 New Business       Ability to forecast business volumes per product type          3

56                    Ability to forecast both new business and roll-over of old     3
57                    Support modelling of new volume & roll-overs using the
                      following (but not limited to) techniques
58                    Target End Balance                                             3
59                    Target Average Balance                                         3
60                    Target Growth Percentage                                       3
61                    Absolute New Volume                                            3
62                    Roll-overs with new volume                                     3
63                    Ability to specify the timing of the new volume of business    3
                      - distributed evenly or at the end of a bucket

64                    Support new volume activity forecasting based on market        3
                      factors (interest rates)
65                    Ability to auto-balance the balance sheet with the new         3
                      business volume assumptions
66 New Business       Ability to define the characteristics of the new business in
     Characteristic   terms of
67                    Term distribution of new business added during each            3
                      forecast period
68                    Pricing linked to market/ interest / rates                     3
69                    Multiple maturity-mix tiers per product                        3
70                    Variable pricing margin assumptions                            3
71 Stochastic         Support atleast the following two yield curve smoothing
     Processing       techniques
72 and Support        Cubic spline                                                   2
73                    Linear Interpolation                                           2
74                    Support the choice of atleast the following term structure
                      models (including no-arbitrage models)
75                    Merton                                                         2

                                                      Page 3 of 7
      and Support

                                                                                          Annexure XIV

76                     Vasicek                                                        2
77                     Ho & Lee                                                       3
78                     Extended Vasicek                                               3
79                     Ability to generate forecast of the index rates (eg. MIBOR)    3
                       based on Monte Carlo forecast of the risk free rate

80                     Optimized random number generator for stochastic               3
                       modeling or rate path generation for MC simulations
81    Provide for      Parallel shifts in the yield curve                             3
82    calculation of   Interest rate shocks for stress tests                          3
83    sensitivity to   Perturbations at individual points on the yield curve          3
84    movements        Changes in spread                                              3
85     Gap Analysis    Static and dynamic gap modeling                                3
86                     Independent time bucketing                                     3
87                     User-defined buckets for gap reporting separate from           3
                       Buckets for cash flows
88                     Provide an option to divide individual cash flows between      2
                       ’grid points’ on an appropriate weighted basis.

89    Multicurrency    Ability to define currency as a dimension in current           3
                       balance sheet and assumptions
90                     Ability to forecast exchange rates                             3
91                     Currency gain/loss calculations                                3
92                     Detailed and consolidated results                              3
93    Market Value     Deterministic and stochastic valuation techniques              2
94                     Duration analysis across product groups                        3
95                     Define unlimited forward valuation dates for deterministic     3
                       valuation of balance sheet
96                     Incorporation of Option Adjusted Spread calculation for        3
                       embedded options
97    Value At Risk    Ability to compute VaR & EaR using Monte Carlo valuation       3
        (VaR) &        technique
98                     Ability to define a user-defined risk period for calculating   3
       Earnings At
                       VaR & EaR
       Risk (EaR)
99                     Output VaR & EaR across all full range of confidence           3
100                    Store VaR & EaR results to utilise for backtesting in future   3

101     Flexibility    User-defined product categorization                            3
       and Control
102                    User-defined aggregation across                                2
                       product/account/business unit for analysis and reporting

103                    User-defined processing criteria - batch or otherwise,         2
                       calculation parameters, audit capabilities
104                    User-defined breakout of time buckets for cash flows and       2

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                                                                                                  Annexure XIV

105                            Flexible financial data output for targeted analysis           2
106        Risk                System to allow definition of 'hedge' products to evaluate     3
107     Coverage               hedge strategies of hedge instruments
                               Separate definition                                            3
108     Strategies             Unlimited transaction capabilities                             3
109    Assumption              Ability to define assumptions for modeling product             3
      Management               characteristics assumptions for forecasting market (int
110                            Ability to define                                              2
                               rate and exchange) factors
111                            Ability to define assumptions for modeling business            2
                               growth and business mix
112                            Ability to define associate hedge strategies with              2
113                            Independence between assumptions/forecasts and data            3
                               (can build multiple assumptions around same data)

114                            Assumptions combined during processing in a batch mode         2

115                            Ability to create unlimited combination of assumptions for     2
                               multiple analyses
116      Capital               Impact of change of product mix                                3
117                            Ability to change product mix and observe impact on            3
                               capital adequecy ratio
118      Basel II              Complying to all disclosure statements on market risk as       3
       compliance              required by RBI
119                            Complying to market risk capital calculation based on          3
                               modified standardised duration approach
120                            Complying to Internal Risk based approach (VAR) for            3
                               calculation for market risk capital charge
121 Miscellaneou               Account level mappings to different sub-classifications        3
            s                  depending upon GL balances
122                            Reliable security system                                       3
123                            Simultaneous multiple user access                              2
124                            Audit trail                                                    3
125 Integration                Ability to share the cash flows generated for both ALM and     3
      and utility              Funds Transfer Pricing requirements
126                            Share business assumptions & rules across applications         3

127 Reports, MIS     Reports   Report at any level of detail (drill down and aggregate)       3
128  & dynamic                 Ability to build customizable hierarchical roll up structure   3
129                            Ability to highlight exceptions in reports using different     2
                               fonts, size and clours
130                            Ability to report across product, account, and business        3
131                            Graphical representation of reports                            2

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      & dynamic

                                                                                              Annexure XIV

132                         Standard reports for following but not limited to :
133                         Static and Dynamic Gaps                                       3
134                         Interest Rate sensitivity                                     3
135                         Currency-wise mismatch                                        3
136                         Bucket-wise mismatch                                          3
137                         Dynamic liquidity                                             3
138                         Variance analysis                                             3
139                         Mark to market reports                                        3
140                         Net Interest Income reports                                   3
141                         Product/ Account Level Profitability Analysis                 3
142                         Line of Business (SBU) Level Profitability Analysis           3
143                         Total Oraganisational Level Profitability Analysis            3
144                         Cost of Fund by Product/Account                               3
145                         Net Interest Margin Analysis                                  3
146                         Interest Rate Risk Analysis/Reporting                         3
147                         Value @ Risk Analysis and Reporting                           3
148                         Earnings @Risk Analysis and Reporting                         3
149                         Market Value - deterministic and stochastic                   3
150                         Scenario Income reports                                       3
151                Others   Gaps statement based on contractual maturity                  3
152                         Should have querying facilities to build own queries          3
153    Funds                Ability to compute transfer charge/ credit at account level   3
      Transfer              for both fixed and floating rate instruments
154                         Ability to support matched maturity funds transfer pricing    3

155                         Separate the NII components i.e. spread on assets,            2
                            liabilities and cost of IRR
156                         Isolate and determine impact of each Int.Rate Risk source     3
                            (in the Funding centre)
157                         Integrated to performance measurement systems - For           3
                            multi dimensional profitability analysis
158                         Transfer pricing of indeterminate maturity instruments        3
159   Ability to            Following methods (but not restricted to) should be
      support               available
160                         a) Yield curve matching with/ without spread                  3
161                         b) Zero discount factors                                      3
162                         c) Duration matching                                          3
163                         d) Moving averages                                            3
164                         e) Pool of accounts average etc.                              3
165                         f) Weighted average rate from different marurities            3
166                         g) Add mark-up/spread over instrument coupon rate             3

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                                                                                     Annexure XIV

167    Option      Calculate transfer rate for original maturity and residual    3
      Adjusted     maturity to evaluate embedded and current risk
168                Support "locking-in" of transfer rate till account maturity   3

169                Calculate Option costs/ Option adjusted spread at account     2
170 Construction   Capability to define multiple yield curves for FTP rate       3
       of Yield    calculations
171    Curves      Capability to assign different curves across products         3
172                Capability to provide means of interpolation on the yield
173                a) linear                                                     3
174                b) cubic splining                                             3
175                Yield curves for Transfer pricing independent of curves       3
                   used for cash flow modeling

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