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www.gnosisgroup.com1
Overview of the Gnosis Independent Risk & Valuation Service and use of the PISA
Risk System
By Gnosis Group
September 2008
www.gnosisgroup.com
Introduction
• Gnosis has developed flexible interest rate sensitivity tools to help financial service companies manage their risk.
• This analytical software is comprised of a number of tools including
PISA
(Portfolio Interest rate Sensitivity Analysis)
• Management of interest rate sensitivity remains a major driver of success for all types of financial service companies and their clients.
• Your institution can make a significant contribution to support its affiliates and clients by offering risk management services which may improve the fee based income for your organization.
www.gnosisgroup.com3
What PISA doesUsing PISA a financial institution or clients has the ability to:
• Decide whether they want to hold and fund or sell existing assets that may include loans, bonds or mortgages.
• Understand the effect of buying or selling certain securities on the risk profile of their portfolio.
• Understand the interest rate sensitivity of parts of or all of their balance sheets to better manage their risk and leverage business opportunities.
PISA:• requires very little additional support from the provider, • runs on Excel or can be available through the Web• can be available on the desktop of the appropriate
managers,• Provides a quick understanding of their risk positions • and interactively create what-if scenarios
PISA is fully customizable to meet the your or your client needs.
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Potential for you or your clients
• PISA could enable your organization to increase sales of securities, loans and other products.
• PISA generates profitable business for your organization by supporting the purchases of mortgages, loans and/ or securities.
• PISA provides better risk management reporting for the banks’ Boards of Directors and regulators.
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Gnosis Group
• Gnosis Group provides risk management training and consulting services.
• Gnosis’ proprietary training materials and interactive software has been used in leading investment banking institutions such as Citigroup and Merrill Lynch.
• Gnosis risk management services and software are provided to community banking institutions.
• Gnosis Group principals are banking professionals with experience in treasury and capital markets services and financial risk management.
• Their experience includes the development of financial analytical services and the implementation and use of sophisticated financial technology solutions.
www.gnosisgroup.com6
PISA functionality
• The slides that follow show examples of the functionality of the Gnosis’ PISA risk management applications.
• In these examples, the functionality is supplemented by the use of Bloomberg market data service.
• Gnosis has significant experience and methodologies to assess and apply market values to hard to value assets and liabilities.
www.gnosisgroup.com7
Flexible risk analysis
PISA has tools available for doing sensitivity analysis and value at risk calculations for all interest rate sensitive assets and liabilities.
www.gnosisgroup.com8
Access to market data
Up-to-the-minute market data such as swap rates, option volatilities, and PSA rates for mortgage backed securities can be provided through Bloomberg
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Creating the portfolios
Position data can be easily loaded into the application using templates
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The risk framework
Portfolios are broken down into risk buckets so PISA can quickly perform rate sensitivity, VaR, and other what-if analyses.
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Different scenarios
Different rate scenarios applied to portfolios can be analyzed.
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Clear results
Understandable results are provided instantly
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Drill down
The user can look deeper into the risks of each asset or liability category, or even individual securities, to better understand how the risks arise.
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Instant What-if’s
What-if scenarios can be analyzed by adding to or removing positions from the portfolio to change the risk profile.
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Immediate results
The results of the what-if scenarios are displayed immediately to support instant decisions where appropriate.
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Focus on bonds
Gnosis has developed specific analytical software for monitoring the risks in investment securities portfolios.
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-250 -200 -150 -100 -50 0 50 100 150 200 250
To
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Re
turn
(%
p.a
.)
Parallel Yield Curve Shift (b.p.)
Total Return of Bond Portfolio
Sub Port 1
Sub Port 2
Sub Port 3
AGGREGATE
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Customizable analysis
Other tools can perform risk comparisons of a bond portfolio containing significant optionality with the risk in a market interest rate swap portfolio of similar size and duration.
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Gnosis & FHLBC Initial Marketing Support
• Gnosis will work with any institution or their clients to adapt PISA or its other tools for their specific use and environment.
• Gnosis will assist your organization or clients on the appropriate
implementation priorities.
• Gnosis will consider differing hosting and support models to facilitate the IT and operational environment
www.gnosisgroup.com19
Gnosis Engagement
Gnosis Deliverables
• Custom tailored applications
• Data templates for each application
• Hosting for the data and the applications on a secure server with Web access
• Direct support and training to your users and clients
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Next Steps
~~~~Gnosis is ready to work with you now