Asset / Liability Solution from FERNBACH-Software: Application of the Year 2001

The Application of the Year award of the ALM IT department of Commerzbank
Frankfurt Investment Banking goes to FERNBACH-Software.

Commerzbank is one of the few major banks which are able to perform daily asset & liability management aggregating all cash flow changes of the bank into a consolidated interest and cash position.
The IT department looks after the daily operation of the application. It ensures that the operational systems feed their data smoothly to the FERNBACH data warehouse, customizes the application in order to accommodate current requirements, and makes sure release upgrades are installed on time.
Every year, an inhouse application competition is held to award this prize
according to the following criteria:

Application stability
End-user satisfaction
End result, support and consulting quality

25 software solutions competed for the Commerzbank's Application of theYear award.

Reasons for Commerzbank to choose Fernbach-Software

The following characteristics of the product proved to be crucial factors in the decision
of Commerzbank to choose the solution of Fernbach-Software

- Ratios on a cash flow basis
- Facility to drill down to the individual deal
- Seamless integration of potential product add-ons within the system

Commerzbank's requirements for a centralised ALM system included processing capability for 12 million data records, 300 million cash flows as well as specific consolidations and analyses of the interest mis-match analysis on a daily basis (9.00 a.m).

Key characteristics of FlexFinance ® Risk Management

Commerzbank’s solution is based on FlexFinance ® Risk Management which has following delivery scope

| Asset & liability management
| Cash management
| Interest rate risks
| Interest profit & loss
| Options risks

| Mark-to-market valuation
| Durations
| Yields
| Scenario analyses
| Interest income and loss sensitivity
| Trading and accounting income profit & loss
| Back-testing
| Multidimensional scenario analyses of option sensitivities

| Integrating best-of-breed partner products:
| Value at risk according to Risk Metrics
| Benchmark comparisons
| Proposal of control measures
| Dynamic planning horizon simulation
| Representation of products that are valid until further notice using floating averages

Main Features:
| Cash flow generation
| Product splitting
| Free portfolio creation
| Market data including history
| Interfaces for all bank products
| All customer data
| All securities data

Basic Features:
| GUI for the overall application
| Interfaces to national standard products
| MS Office interface
| Data Management Suite
| Reporting engine

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