Many trading and risk systems focus on market and credit risk, without acknowledging the importance of solid asset & liability management. Industry initiatives such as DP24 in the UK are raising the profile of ALM, and Misys Summit has a wide range of tools to support your needs in this area.

These include:

• Gap analysis – one of the most established ways of looking at risk. Gap analysis reports in Misys Summit can be generated on demand or, as part of a scheduled report run, and are also available as real-time risk information
• Cash management – Misys Summit has various reports to show cash positions, either focusing on a trader view (i.e. broken down by book or currency) or a back office view (i.e. broken down by nostro)
• Liquidity reporting – assets and liabilities, stripped into time buckets, showing net flows and cumulative cash movements
• Reset risk – reports to show the dependence of the portfolio on certain rate fixings
• Portfolio composition – a report showing a breakdown of the composition of the portfolio

Cash & Liquidity Reporting

Misys Summit has powerful tools for managing cash positions in real-time. These operate across the whole portfolio, and come in two main flavours – Dealer Cash and Nostro Cash.

Dealer cash management

The dealer cash management tool is a real-time service that gives a completely up-to-date summary of the cash positions across currencies and books. By use of filtering tools, it is possible to focus on subsections of the portfolio, or to view everything together.

The content of the cash position screen is configurable by the user – Misys Summit publishes a wealth of information, and the user simply chooses which columns to display, and in what format.

The screen includes all cash positions and movements, including:

• Current cash positions
• Known notional movements
• Known interest movements
• Expected payments (e.g. unfixed periods)

Nostro cash management

Managing cash on a book basis is not all that is needed in order to make best use of liquidity. Many organisations have multiple nostros, and having an up-to-date view of the cash positions is a vital tool in managing the liquidity properly.

Misys Summit 's real-time Nostro Cash tool gives an up-to-the-second view of the nostros, including:

• Brought forward (i.e. yesterday's positions)
• Known and expected moves for today
• Today's balance
• Projected movements and balances over a user-defined time series

Gap Analysis

Even in today's complex markets, the traditional gap approach to monitoring risk is extremely useful. Misys Summit provides a powerful real-time gap analysis function to push this information out to traders, funding desks and risk officers.

The gap report is available at any number of levels – from a complete portfolio-wide view, to an individual trader's position. The gap position is split out into user-defined time periods, with each period showing a range of information, including:

• Asset & liability positions
• Resulting gap
• Asset, liability and gap movements
• Period interest – gross and NPV
• Bid, ask and break even rates
• Cost to Close and Theoretical P&L

The actual information to be displayed can be selected by the user, and the ordering of the information is also completely configurable.

From the high-level gap report, it is straightforward to drill down:

• by date – this breaks out the individual dates in the selected time bucket, showing the gap details for each of the component dates
• by trade – this shows all trades that contribute to that time period, and their equivalent asset / liability position