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Profitability KPITM

FTP and RAROC based Pricing and Hedging

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Banks need to assess the maturity profile of their assets and determine how their equity and liability balances are financing these activities.

With short term liabilities pre-dominantly supporting the long term assets, the gap in asset-liability maturity profile needs to be transfer-priced accurately.

Profitability KPI is a single access point for origination analysis of deals and portfolios, combining risk and funding costs, tenor and structure. When using the standalone pricing modules, Profitability KPI users are also able to analyze transactions for hedging options. This powerful tool provides interest rate swap recommendations. Interest rate risk can either be transfer-priced or passed to the borrowing entities. With BBA's Profitability KPI, clients can develop insights to fine-tune pricing and asset returns to ascertain if the liquidity provision and risk-adjusted returns are in accordance with the maturity and risk profile of each credit asset.

Combined with FTP calculator, banks can develop customized rate curves, break-even product pricing, competitive scenarios, portfolio performance, and price optimization solutions — everything pricing team needs to run a successful consumer business.

KEY METRICS & FEATURES

  • Risk adjusted return on assets
  • Risk adjusted return on capital
  • Liquidity provision
  • Risk adjusted return on credit portfolio
  • Risk acceptance criteria

KEY MODULES

FTP calculator

Internal yield curve and fixed to variable swap rate calculator

Portfolio RAROC

Liquidity risk-adjusted return for the loan book

Standalone Corporate Mid-market Transaction Pricing

Estimation of the price at which new facilities add value from a risk-adjusted perspective

Profitability Dashboard

Portfolio profitability analysis based on minimum acceptable return

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