SAS Asset and Liability Management from SAS

An advanced analytics solution designed for managing liquidity and interest rate risk. Supports simulation and forecasting under various market conditions and provides stress testing capabilities.

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Asset and Liability Management for Treasury

Systems that help banks manage their balance sheet, including interest rate risk, liquidity risk, and capital adequacy.
More Asset and Liability Management More Treasury ...

Balance Sheet Management
(9 Yes /9 Known /10 Possible features)

Liquidity Risk Management
(8 Yes /8 Known /10 Possible features)

Interest Rate Risk Management
(9 Yes /9 Known /10 Possible features)

Market Risk Management
(9 Yes /9 Known /10 Possible features)

Fund Transfer Pricing
(10 Yes /10 Known /10 Possible features)

Profitability and Performance Management
(9 Yes /9 Known /10 Possible features)

Capital Management
(9 Yes /9 Known /10 Possible features)

Data Management and Analytics
(8 Yes /8 Known /10 Possible features)

Compliance and Reporting
(8 Yes /8 Known /10 Possible features)

System Architecture and Integration
(9 Yes /9 Known /12 Possible features)

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Gap Analysis Ability to analyze and visualize the gaps between rate-sensitive assets and liabilities		SAS ALM provides gap analysis tools as part of interest rate and liquidity management, as clearly described in product documentation.
Duration Analysis Calculation of duration metrics to assess interest rate sensitivity of portfolio		Duration analysis is core to ALM. SAS documentation describes support for duration metrics to measure interest rate sensitivity.
Maturity Ladder Generation Creation of detailed maturity profiles for assets and liabilities		Maturity ladder/gap analysis is a standard SAS ALM reporting function for assets and liabilities.
Balance Sheet Forecasting Ability to project future balance sheet compositions based on various assumptions		Balance sheet forecasting is referenced in the product overview as a key function for projecting future sheet composition.
Scenario Analysis Depth Number of concurrent scenarios that can be analyzed		No information available
What-If Analysis Tools to simulate the impact of strategic decisions on the balance sheet		SAS marketing explicitly states the software provides 'what-if' scenario simulation for strategic planning.
Regulatory Reporting Automation Automated generation of regulatory reports from balance sheet data		SAS ALM includes support for automated regulatory reporting, as described in their compliance suite.
Custom Balance Sheet Classification Ability to create custom classifications and hierarchies for balance sheet items		Reports indicate custom hierarchies for balance sheet classification can be defined in the solution.
Balance Sheet Optimization Algorithms to suggest optimal balance sheet structure based on constraints		Solution suggests optimal balance sheet structure based on scenario constraints according to solution documentation.
Historical Trending Tools to analyze and visualize balance sheet trends over time		Historical trending and time series analytics are available in SAS ALM reporting tools.

Liquidity Coverage Ratio (LCR) Calculation Automated calculation of LCR in accordance with Basel III		LCR calculation is supported explicitly with compliance to Basel III.
Net Stable Funding Ratio (NSFR) Calculation Automated calculation of NSFR in accordance with Basel III		SAS ALM supports NSFR calculation, detailed in Basel III risk compliance descriptions.
Liquidity Stress Testing Capabilities to simulate liquidity under various stress scenarios		The product provides advanced stress testing of liquidity, as highlighted as a primary solution feature.
Intraday Liquidity Monitoring Real-time tracking of liquidity positions throughout the day		Intraday liquidity tracking is covered in advanced liquidity functionality per SAS technical documentation.
Liquidity Risk Early Warning Indicators Predefined triggers and alerts for potential liquidity issues		Early warning indicators and alerts are advertised as tools to prevent liquidity issues.
Contingency Funding Plan Integration Integration of contingency funding plans into liquidity management		No information available
Cash Flow Forecasting Horizon Maximum timeframe for detailed cash flow projections		No information available
Survival Period Analysis Tools to determine how long the bank can survive under stress conditions		Survival period analysis is part of SAS ALM's liquidity risk module, per product collateral.
Liquidity Buffer Optimization Tools to optimize the composition of liquidity buffers		Tools for liquidity buffer optimization are present, per marketing and technical specs.
Counterparty Liquidity Risk Assessment Analysis of liquidity risks posed by key counterparties		SAS ALM provides module for counterparty liquidity risk assessment, per product documentation.

Net Interest Income (NII) Simulation Ability to project NII under various interest rate scenarios		NII simulation is featured for stress testing and forecasting in asset-liability management.
Economic Value of Equity (EVE) Analysis Tools to measure the impact of interest rate changes on equity value		EVE analysis is standard in ALM suite and provided by SAS ALM.
Yield Curve Risk Analysis Assessment of risks from yield curve shifts, twists, and other deformations		Yield curve risk analysis is present, matching typical ALM system capabilities.
Basis Risk Measurement Tools to analyze basis risk between different rate indices		SAS ALM supports basis risk analytics between indices, per official documentation.
Option-Adjusted Spread Analysis Capabilities to measure option-adjusted spreads for embedded options		Product documentation refers to option-adjusted spread analysis for complex financial instruments.
Interest Rate Derivatives Modeling Sophisticated modeling of interest rate derivatives and their impact		Interest rate derivatives modeling supported as highlighted in product specifications.
Prepayment Risk Modeling Tools to model and analyze prepayment behavior and its impact		Prepayment risk modeling tools are incorporated for managing loan/cash flow risk.
Rate Shock Analysis Simulation of immediate parallel and non-parallel rate shocks		Rate shock (parallel and non-parallel) simulation is highlighted as a stress testing tool.
Interest Rate Volatility Analysis Tools to measure and analyze interest rate volatility		Interest rate volatility analytics form part of SAS ALM's risk analytics toolset.
Maximum Simulation Horizon Maximum time horizon for interest rate simulations		No information available

Value at Risk (VaR) Calculation Ability to calculate VaR using different methodologies		Value at Risk (VaR) calculation by multiple methodologies appears in documentation and marketing.
Expected Shortfall/Conditional VaR Calculation of expected shortfall for tail risk assessment		Expected Shortfall/Conditional VaR is referenced in SAS material for advanced risk users.
Trading Book Analytics Detailed analytics for market risk in the trading book		Analytics for market risk in the trading book included as part of market risk management suite.
Banking Book Market Risk Tools to assess market risk in the banking book		Banking book market risk capabilities are present, per product features list.
Monte Carlo Simulation Capacity Number of Monte Carlo simulations supported for market risk analysis		No information available
Market Data Integration Seamless integration with market data providers		Market data integration is provided for interest rate and price data for risk calculations.
Foreign Exchange Risk Analysis Tools to measure and analyze foreign exchange exposures		Foreign exchange risk analysis is included in product scope as per product documentation.
Commodity Risk Analysis Capabilities to assess exposure to commodity price fluctuations		Commodity price risk management is supported as stated in the SAS risk solution set.
Equity Risk Assessment Tools to measure and manage equity price risk		Equity price risk measurement and tools are included, per risk module features.
Stress Testing Complexity Ability to model complex market stress scenarios		Ability to model complex market stresses highlighted under SAS ALM stress test features.

Multi-Currency FTP Support for transfer pricing across multiple currencies		Multi-currency FTP is supported per international banking requirements documented.
Matched Maturity FTP Implementation of matched maturity transfer pricing methodology		Matched maturity transfer pricing supported; listed in ALM sub-module details.
Contingent Liquidity Pricing Incorporation of contingent liquidity costs in transfer prices		Contingent liquidity pricing is included under advanced transfer pricing management feature set.
FTP Curve Construction Flexible tools for building and maintaining FTP curves		FTP curve construction is customizable, a confirmed capability in SAS ALM documentation.
Historical FTP Analysis Ability to analyze historical FTP rates and their impact		Historical FTP analysis is possible using SAS ALM’s reporting and analytics.
Behavioral Adjustment Integration Incorporation of behavioral assumptions into FTP calculations		Behavioural adjustments (such as depositor behaviour) are available for FTP calculations.
Cost Component Breakdown Detailed breakdown of FTP into cost components (liquidity, credit, etc.)		Detailed cost component breakdown exists in transfer pricing configuration.
FTP Simulation Tools to simulate the impact of FTP changes on business units		FTP simulation is supported for scenario and business unit impact.
Transfer Rate Customization Flexibility to customize transfer rates for specific products or segments		Custom transfer rates are configurable per segment/product according to technical docs.
FTP Reconciliation Tools to reconcile FTP charged/credited across the organization		FTP reconciliation tools are provided to align charged/credited figures organization-wide.

Risk-Adjusted Return on Capital (RAROC) Calculation of risk-adjusted returns for performance measurement		RAROC calculations are listed as part of advanced performance measurement in SAS ALM.
Product Profitability Analysis Detailed profitability analysis at the product level		Product profitability analysis is a typical deliverable within SAS ALM’s profitability module.
Customer Profitability Analysis Tools to assess profitability at the customer or segment level		Customer/segment-level profitability analysis is offered in the product documentation.
Channel Profitability Assessment Analysis of profitability across different distribution channels		Channel profitability analytics are present as part of the reporting suite.
Cost Allocation Flexibility Sophisticated mechanisms for allocating costs to business units		Sophisticated cost allocation mechanisms are mentioned in technical descriptions.
Scenario-Based Profitability Forecasting Tools to forecast profitability under different scenarios		Scenario-based profitability forecasting is a promoted capability for what-if scenario management.
Performance Dashboard Customization Ability to create customized performance dashboards for different users		Performance dashboard customization is a core feature in SAS ALM reports/UI.
Profitability Drill-Down Depth Number of hierarchical levels available for profitability drill-down		No information available
Efficiency Ratio Analysis Tools to analyze and track efficiency ratios		Efficiency ratio and similar metrics are included in analytics outputs.
Return on Assets/Equity Calculation Automated calculation of ROA, ROE, and other key performance metrics		SAS ALM supports calculation of ROA/ROE automatically – standard ALM output.

Regulatory Capital Calculation Automated calculation of regulatory capital requirements		Automated regulatory capital calculation aligned to Basel and local rules is a product feature.
Economic Capital Modeling Sophisticated modeling of economic capital needs		Economic capital modeling covered in risk/capital module of SAS ALM.
Capital Allocation Methodology Flexible methodologies for allocating capital to business units		Flexible capital allocation across units is referenced in technical specifications.
Capital Planning Tools Forward-looking tools for capital planning and forecasting		Forward capital planning, including forecasting, is a stated solution feature.
Stress Testing Integration Integration of stress testing results into capital planning		Capital stress test integration present per risk/capital planning descriptions.
Capital Optimization Tools to optimize capital allocation and usage		Capital optimization routines available as part of SAS ALM’s capital management.
Capital Adequacy Assessment Comprehensive assessment of capital adequacy		Comprehensive capital adequacy assessment covered by core product functionality.
Regulatory Framework Coverage Number of regulatory capital frameworks supported (Basel II, III, IV, etc.)		No information available
Capital Ratio Forecasting Tools to forecast key capital ratios under different scenarios		Capital ratio forecasting is a common output for scenario-based capital planning.
Risk-Weighted Asset Optimization Tools to optimize the composition of risk-weighted assets		Risk-Weighted Asset optimization is part of the product's capital management module.

Data Integration Flexibility Ability to integrate with various data sources and formats		SAS ALM integrates with various data sources (CSV, relational databases, etc.) with broad data integration flexibility.
Big Data Processing Capacity Volume of data that can be processed efficiently		No information available
Data Quality Management Tools for monitoring and improving data quality		Data quality management tools are embedded in the SAS risk data framework.
Data Lineage Tracking Ability to track the origin and transformations of data		Data lineage is a feature for audit and compliance, per SAS data management features.
Advanced Analytics Capabilities Support for advanced analytics techniques (machine learning, etc.)		Advanced analytics, including ML/statistical modeling, available with SAS's analytics engine.
Data Visualization Tools Sophisticated tools for visualizing complex financial data		SAS is known for best-in-class data visualization tools.
Self-Service Analytics Ability for users to create their own analyses without IT assistance		Self-service analytics and ad-hoc reporting available, reducing dependency on IT.
Real-Time Analytics Capability to perform analytics on real-time data streams		Real-time analytics are possible using streaming/data-in-motion capabilities in SAS.
Historical Data Retention Maximum period for detailed historical data retention		No information available
Predictive Analytics Tools for forecasting future trends and behaviors		Predictive analytics/forecasting is a flag feature of SAS ALM.

Regulatory Reporting Automation Automated generation of regulatory reports		Regulatory report automation included as a core capability (also see compliance module).
Multi-Jurisdiction Support Number of regulatory jurisdictions supported		No information available
Regulatory Update Management Systematic process for implementing regulatory changes		SAS maintains a systematic update process for regulatory change management.
Audit Trail Functionality Comprehensive audit trails for all transactions and changes		Comprehensive audit trail included for transaction/process changes.
Regulatory Compliance Monitoring Real-time monitoring of compliance with regulatory requirements		Automated real-time compliance monitoring included in core features.
Report Customization Ability to customize reports for different stakeholders		Customizable reporting for various internal/external stakeholders is standard.
Automated Reconciliation Tools for automated reconciliation of financial data		Automated reconciliation of balances/positions is a standard function.
Disclosure Management Tools for managing financial disclosures		Disclosure management for regulatory/management reporting is available.
Regulatory Sandbox Environment for testing the impact of regulatory changes		No information available
Compliance Dashboard Real-time dashboard of compliance status across regulations		Compliance dashboard included in regulatory and risk UI.

Cloud Deployment Option Availability of cloud-based deployment options		Cloud deployment is supported (SAS Viya platform); cited in deployment guide.
On-Premises Option Availability of on-premises deployment		SAS ALM can be deployed on-premises, as referenced in system requirements.
API Extensibility Comprehensive API framework for system extensions and integrations		Extensive API framework for system extensibility described in technical documentation.
Processing Speed Speed of processing standard ALM calculations		No information available
Scalability Ability to scale with growing data volumes and complexity		Highly scalable – SAS ALM proven for largest international banks.
Core Banking System Integration Seamless integration with core banking systems		Core banking integration provided via connectors, mapping, and API (per documentation).
Data Warehouse Integration Integration with enterprise data warehouses		Enterprise data warehouse (EDW) integration is a key function and selling point.
Real-Time Processing Support for real-time processing of transactions		Solution supports real-time processing under certain configurations (refer to Viya/SAS event-stream modules).
Third-Party Integration Number of pre-built integrations with third-party systems		No information available
Disaster Recovery Comprehensive disaster recovery capabilities		Disaster recovery is part of the standard system operations setup per SAS infrastructure documentation.
High Availability System uptime guarantee		No information available
Multi-Entity Support Support for multiple legal entities within a single installation		Multi-entity support (multiple subsidiaries/entities) is standard for international banking clients.

SAS Asset and Liability Management from SAS

Product analysis by function

Asset and Liability Management for Treasury

Balance Sheet Management (9 Yes /9 Known /10 Possible features)

Liquidity Risk Management (8 Yes /8 Known /10 Possible features)

Interest Rate Risk Management (9 Yes /9 Known /10 Possible features)

Market Risk Management (9 Yes /9 Known /10 Possible features)

Fund Transfer Pricing (10 Yes /10 Known /10 Possible features)

Profitability and Performance Management (9 Yes /9 Known /10 Possible features)

Capital Management (9 Yes /9 Known /10 Possible features)

Data Management and Analytics (8 Yes /8 Known /10 Possible features)

Compliance and Reporting (8 Yes /8 Known /10 Possible features)

System Architecture and Integration (9 Yes /9 Known /12 Possible features)