The Savings Modelling Solution approach

Design, calibrate and run your non-maturing deposits models using our extensive suite of NMD models

Develop your non-maturing deposits models in five steps

Client rates
Our client rate model forecasts the savings rate throughout the horizon of the cash flow calendar. It estimates a quantified relation with financial variables such as market rates and liquidity spreads.
Client rate flooring
Our model allows for modelling ‘hard’ and ‘soft’ client rate floors, which is necessary in low interest rate environments.
Hidden savings
With savings rates close to current account rates, part of the current account volume tends to behave similar to savings accounts. This is considered the ‘savings substitution’ and is expected to flow out to savings accounts once client rates increase.
Use our solution to get more insight in this behaviour and incorporate into your models accordingly.
Volume model
Forecasts the development of savings volumes based on either a run-off, going concern or interest rate sensitivity based assumption.
Additionally, it allows for amortization of volume, preventing bullet payments at the modelling horizon.
Outflow modelling
Model the volume outflow to derive notional cash flows or construct outflow constraints for the replicating portfolio development.
Model outflows on portfolio level or apply vintage (cohort) analysis.
Core volume
Core volume is a key component of volume models. It determines the interest rate insensitive part of your savings portfolio. Determine the core volume portions, based on historical portfolio behaviour and incorporate this in balance predictions.
Replicating portfolio
Model a savings portfolio based on (fictitious) well-defined products like fixed-rate instruments under a margin level or stability based objective, by replicating the interest rate and liquidity profile.
Hybrid model
Combine the cash flow and replicating portfolio model. Include the duration or bpv resulting from the cash flow model as a constraint in the replicating portfolio construction process.
Step 1
Design and choose your model

Select your model specifications

Our model design workshops help you to determine the model purpose, input requirements, model structure and the impact on risk metrics.

Include the preferred model components in your model specifications, to cover the various modelling challenges.

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Step 2
Calibrate your model
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Historical and/or forward-looking calibration

Upload historical account and market data to estimate model relations based on historical client rates, market rates and account balances.

Add business input on behavioural components to choose models that match expert expectations in relevant scenarios.

Step 3
Implement your model

Align and educate stakeholders

Implementing and embedding the model in the organization is key for the success of the model calibration.

Our support consultants can help you to educate and align the main stakeholders to facilitate model understanding and acceptance.

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Step 4
Day-to-day risk magagement
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Internal and regulatory reporting

Our reporting functionality allows you to calculate value (at-risk) and earnings (at-risk) metrics for internal and external reporting, stress testing and hedging.

Generate the insights you need to stay on top of the latest market and portfolio developments.

Step 5
Continuous improvement

Periodically recalibrate your model

Use our solution to recalibrate periodically to keep your model aligned with best market practice and regulatory demands as well as portfolio and market developments.

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