SunGard today announced the availability of version 5.6.2 of BancWare Asset Liability Management (ALM).
The new version incorporates credit risk simulation into ALM, providing the ability to model, analyze and manage the credit risk associated with interest only (IO) mortgage loans.
According to LoanPerformance.com, IO mortgage loans in the U.S. have grown in popularity over the past few years, presenting a higher risk for banks that issue such loans because of the higher associated probability of default in the event of a market downturn. The latest version of BancWare ALM provides customers with the ability to model the credit risk associated with IO loans and incorporate it directly into their ALM model.
The new version of BancWare ALM helps banks to forecast the percentages of outstanding IO and other mortgages that will be past-due, delinquent, and default. For those that are more likely to default, BancWare helps customers to calculate the severity of the loss, as well as the associated lag time.
The credit risk analysis in BancWare ALM is fully dynamic such that as market assumptions vary so do past-due, delinquency, and default rates. This allows for more accurate projection and handling of IO loans, and helps ensure that the assumptions around the loans are consistent with overall assumptions used in managing balance sheet risk. This uniformity helps enable banks to forecast their risk more precisely and helps them make better lending decisions overall.
Terence Faherty, president of SunGard's BancWare business unit, said, "BancWare ALM allows customers to model, analyze, and forecast the credit risks associated with their loan portfolios, helping put them in a better position to successfully handle market changes."