NtSaaS® for ALM

A strategic ALM solution for adapting to a changing financial environment

For financial institutions, effective Asset Liability Management (ALM) is essential for optimizing the balance sheet, mitigating mismatch risks, responding to fluctuations in interest rates and liquidity, and securing stable earnings.

Especially in today’s increasingly uncertain economic environment, a forward-looking and integrated ALM approach holds the key to sustainable management.

NtSaaS® for ALM is an integrated, high-performance ALM solution developed to address these complex challenges. Equipped with the flexibility and scalability to support strategic decision-making, it powerfully enables next-generation asset liability management.

01 Integrated Risk View

Manage liquidity risk, interest-rate risk, and earnings-at-risk within a single, unified framework. NtSaaS® for ALM integrates credit risk directly into balance sheet simulations, providing a truly holistic perspective on performance and exposure.

02 Dynamic Simulation & Scenario Analysis

Generate detailed financial scenarios by performing multi-step simulations of path-dependent events at a daily resolution, covering time horizons that can range from days to years.

Simulate general ledger account balances along the time axis to examine short-term interest rate impacts and longer-term effects of mortgage loan prepayments, credit loss, funding operations, taxation, dividends, and future portfolio rebalancing.

Conduct forward-looking stress tests by applying simultaneous shocks to market risk factors, credit ratings, LGDs, and correlations.

03 Valuation & Accounting

Supports multiple accounting methods, including amortization/accumulation and book/market value. For insurers, it offers mark-to-market valuation of specialized insurance instruments, considering factors like prepayment and mortality rates, and allows the input of external liability cash flows from actuarial systems.

04 Interest Rate Risk Management

The service performs both Net Economic Value (NEV) and Net Income (NI) simulations. For banks, it directly supports Interest Rate Risk in the Banking Book (IRRBB) analysis, including the calculation of required metrics such as change in Economic Value of Equity (ΔEVE) and change in Net Interest Income (ΔNII).

05 Advanced Analytics & Reporting

Utilizes a robust Monte Carlo simulator capable of up to one million iterations and performs realistic fat-tail analysis using Johnson SU and Pareto-Gaussian distributions.

Generates traditional ALM reports, such as maturity, cash flow, and BPV/GPS ladders, alongside insightful analytical reports like Income Gain and Income Yield Rate.

Includes Fund Transfer Pricing (FTP) capabilities. A dynamic Online Analytical Processing (OLAP) engine provides a bird's-eye view of the entire portfolio, with the ability to drill down to individual transactions and cash flows. These multi-dimensional analyses are performed on-the-fly for immediate insight.

06 Investment & Funding Planning

Supports dynamic investment strategies and allows for the simulation of future portfolio rebalancing based on predefined market conditions or strategic plans.

For banks, a Business Planning feature supports dynamic portfolio simulation for more comprehensive analysis.

For insurance companies, it supports the establishment of strategic asset allocation strategies.

Modular plans that cover diverse business needs

ALM

Professional

Focus on traditional ALM requirements

ALM

Enterprise

Focus on advanced business planning simulation

Feature Comparison

			ALM
			Professional	Enterprise
Accounting reports and methodology	Balance Sheet (BS), Profit/Loss Statement (P&L), Financial Indicators
	Multiple future evaluation dates	Specify any number of future dates
	Accounting method	Historical cost, Mark-to-market, Impairment
	Fund Transfer Pricing	Supports up to 5 Fund Transfer Pricing for business units
	Financial Closing	Supports the accumulation of net profit/loss and tax payable
	Financial Indicators	Financial Indicator can be customized by formulas
Scenario Type	Market Scenario
	Base Scenario	Scenario where the economic environment does not change from base date
	Forward Scenario	Scenario where the interest rates are based on the forward rates as of base date
	User-defined Scenarios	Supports scenario analysis and stress testing
	Composite Yield	Composite yields are the yield indices calculated from market yield
	Credit Scenario	Based on Merton Structural Model (Merton [1974])
	Integrated Scenario (Market + Credit)
Portfolio Analysis & Evaluation	Balance Report	Book Value, Fair Value Balance
	Profit and Loss Report	Income Gain, Capital Gain
	Ladder Report	Maturity Ladder, Cash Flow Ladder
	Risk Indicator Report	BPV, EXPOSURE
	Spread Adjustment	Spread will be internally calculated for the adjustment of initial market value
	Fair Value calculation	Fair value calculation method can be specified at individual transaction level
Supported Financial Instruments	Interest related product	Loan, Deposit, Bond, Swap etc.
Supported Financial Instruments	Spot and Forward products	Stock, Fund, FX etc.
Results Display	Financial Statements at future evaluation dates	Future Balance Sheet (BS), Profit/Loss Statement (P&L), Financial Indicators
	OLAP (Online Analytical Processing)	Allows analysis by segments according to Transaction attributes
	Balance Report	Book Value, Fair Value Balance
	Ladder Report	Maturity Ladder, Cash Flow Ladder
	Detailed transaction information	Journal, Cash Flow Table etc.