Need to Transition to a New ALM Model Quickly? No Problem!

The Challenge

A multi-billion-dollar bank reached out to VBC relaying that they recently parted ways with their ALM provider. They asked if we could assume their ALM modeling, specifically their fair value disclosures and MSR valuations, in time to file their next 10Q. The bank was under considerable pressure to meet their filing deadlines, and VBC was up to the task.  

Our Approach

We worked with management to get all of the necessary data and assumptions needed to build out the model in a very short period of time. This included gaining an understanding of their balance sheet profile, mapping instrument level data, and developing key assumptions such as prepayments that were specific and relevant to the institution’s balance sheet.

VBC endeavors to provide customized asset liability management solutions that are fully regulatory compliant and also offer valuable insights to maximize the ROI of your models as both a risk management and business decision tool. As part of our modeling process, we evaluate the integrity of the underlying data and, when relevant and possible (depending on data availability), provide alternative assumptions to correct for potential issues.

The Result

Our team was able to fully build and implement their asset liability model and have results out to them with plenty of time to file their 10Q. This led to the institution signing a three-year contract with VBC to provide quarterly Asset Liability Management reports, fair value disclosures, multi-scenario liquidity stress reports, along with a review of their non—maturity deposit and loan prepayment assumptions.

VBC continues to partner with the bank’s management team and board to develop strategies for deposits, liquidity and loans.

This is one example of VBC providing custom model solutions that are much more than a regulatory check box exercise.  Our mission is to position your financial institution for success by engaging with you in a collaborative partnership, enriching you with valuable expertise and useful data and insights, and empowering you to make impactful decisions.  

Learn more about VBC’s Asset Liability Management service.