ALM/VAST™: Integrated Mortgage Balance Sheet Risk Management Solution

ALM/VAST™ is an asset/liability model principally designed to evaluate the performance of MSR, Whole Loans, Residuals, Structured Products and their hedge instruments..

ALM/VAST™ can analyze the expected total return performance over any rate shock and over any time horizon with complete user control over the valuation pricing parameters.

ALM/VAST™ will incorporate the anticipated cash flows of the assets and hedges and the future value of the assets and the hedges to create a total return measure.

VAST – Variable Assumption Set Tool is a embedded within the ALM (Asset/Liability Model).   VAST empowers users with complete control over the pricing assumptions for Prospective Attribution Analysis and measuring hedge performance with Retrospective Attribution Analysis.

Hedge instruments modeled include Swaps, Swaptions, MBS TBAs, Constant Maturity Mortgage (CMM), CMT/CMS and Libor Caps/Floors, POs, UST Futures and Options, and nearly every hedge type employed in hedging Secondary Pipelines, MSRs and whole loan assets.

• Fully validated Key Rate Durations, Key Rate Convexities, and Key Volatility Analysis.
• Prospective and Retrospective Attribution Analysis
• Multidimensional hedge and portfolio optimization tools.
• Individual hedge instrument pricing validation tools and support
• Support for Distributed Processing Mode (DPM) of up to 1,000 CPUs.