Prometeia distinguishes its approach by consistently pursuing state of the art methodologies, with a fully dedicated team of econometricians and financial specialists with broad experience in developed and emerging markets. Our internally developed methodologies are constantly updated with the best practices and entirely integrated into the ERMAS Suite, enabling banks to take a proactive approach towards risk management and increasing profitability.

1. BALANCE SHEET RISK MANAGEMENT

2. . . . . . . . . . ERMAS
4
. . . . . . . . . Riskmart
6
14 . . . . . . . . . Fund Transfer Pricing
12 . . . . . . . . . Traded and Non-Traded Market Risk
11 . . . . . . . . . Liquidity Risk management
8 . . . . . . . . . Asset & liability management
16 . . . . . . . . . ALM profitability
18 . . . . . . . . . Interactive integrated balance sheet simulation
24 . . . . . . . . Hedge Accounting

3. THE ONE STOP SOLUTION
FOR ALL YOUR RISK AND
FINANCE NEEDS
Reaching the performance targets in the current
competitive environment is like walking a tightrope:
it requires precision, balance, and confidence in each
step taken. A comprehensive Enterprise-wide Risk
Management framework enables banks to optimise
their potential by steering balance sheet risks and
identifying opportunities to increase profitability.
Prometeia’s unique business model offers a truly
one stop solution to risk management needs,
combining extensive consulting services, advanced
software applications, implementation support and
methodological training. This combination provides our
customer with the end-to-end capabilities needed to
cross the tightrope.
Prometeia distinguishes its approach by consistently
pursuing state of the art methodologies, with a fully
dedicated team of econometricians and financial
specialists with broad experience in developed and
emerging markets.
Ourinternallydevelopedmethodologiesareconstantly
updated with the best practices and entirely integrated
into the ERMAS Suite, enabling banks to take a
proactive approach towards risk management and
increasing profitability.
3
Our Services
and Solutions

4. ERMAS is the advanced and flexible solution provided by Prometeia to
support the active management of enterprise risks and maximise the
value generation, while meeting the requirements set by the regulatory
standards and by the specific business model of the bank.
The modular architecture of the Enterprise Risk Management Solution
(ERMAS) Suite provides clients with an immediate answer to all their needs.
The bank can activate each module independently, to fill a specific gap in its
riskinfrastructure,andbenefitfromtheavailabilityofoneintegratedsolution,
based on a common data warehouse and state-of-the-art technology.
ERMAS guarantees high processing performances and provides a customis-
able and user-friendly interface, including an interactive reporting wizard for
“real time” analysis and simulations. The reporting wizard allows banks to:
Relying on the quantitative skills of its financial engineers and on the experi-
ence of its consultants, Prometeia can guarantee the quality of its solutions
along the entire project cycle, from the design, through the implementation,
up to the final system roll-out.
Highly skilled experts work alongside clients in all the phases of the set-up
process to guarantee the best trade-off between a timely delivery and accu-
rate and precise results.
Implementation Support
Produce standard sets of tableau based on pre-
defined libraries of queries and easy-to-build
reporting templates
Navigate instantaneously and dynamically the
output data produced by the system through a
flexible drag-and-drop facility designed to repli-
cate MS Excel pivot tables
Export directly into Excel and csv format
Break down risk indicators and other output
variables using a limitless number of analytical
dimensions and aggregation keys
ERMAS
4

5. 5
Ermas offers revolutionary high speed
enhanced by advanced technologies such
as Microsoft Parallel Datawarehouse

6. Accurate data preparation is a fundamental step of effective risk analysis.
Prometeia’s state of the art data management system works as a central-
ised data gathering and repository centre forming the foundation of the
ERMAS solution.
The data management system is integrated into the ERMAS suite. It handles
various types of data with diverse updating frequencies and can interface
with the most commonly used data analysis and reporting tools.
Its extensive features provide financial institutions with a flexible and fully
integrated engine, able to enhance data quality and guarantee the highest
elaboration performance. The ERMAS data management system makes it
possible to manage the information required for calculating, monitoring and
reporting all financial risk indicators.
The processed data can be used to support national and supranational regula-
tory compliance, as well as internal bank needs.
Riskmart
6
User friendly market and credit risk model data-
base created specifically for the management of
all financial risk needs
Main Features
Clear visualisation and monitoring of all job statuses
and log files
Batch functionalities for programming automatic
job and storing procedures, fully compatible with
external schedulers
Customisable data entry forms for the manual in-
tegration of elementary information, supported by
default management tools, equation editors, and
automatic propagation rules
Powerful data processing and management tools,
managed through graphical user interfaces, support-
ing the analysis of data files with different levels of
detail and granularity
Remediation and normalisation features designed
to support data integration and cleansing, covering
both standard and customised data dictionaries
Native library of data quality checks, covering all
phases of the data workflow with automatic diag-
nostic messages
Customisable procedures for data aggregation, ex-
plicitly designed to ensure traceability of individual
positions and drill-down capabilities
Reconciliation facilities of input information with
external data and benchmarks, at both aggregated
and granular level

7. 7
All data activity from simple
importing to sophisticated syntax
modelling is a breeze with our
unparalleled ETL application
The data management system can be easily adapted to the IT infrastructure
of each bank, through user facilities which allow full customisation of its rela-
tional structure and ETL functionalities. It offers the bank powerful tools to
define, load, verify, archive, and synchronise data, as well as carry out quality
checks and generate reports.
Offering impressive flexibility and scalability, the ERMAS proprietary data
dictionary can be incorporated to meet any management information need,
for a wide catalogue of financial products and instrument types.
Explicitly designed for multi-user and multi-geographical connections, rigor-
ous user authorisation profiling and comprehensive auditing, allowing banks
to manage data workflows with increased levels of complexity.

8. L I A B I L I T Y A S S E T
A t s i g h t
F i x e d
F l o a t i n g
Asset & Liability
Management
By merging funding and interest rate risk into a methodologically consistent
framework, ERMAS supports active balance sheet management and report-
ing in compliance with regulatory standards.
A highly scalable and flexible solution, ERMAS enables your institution to re-
spond quickly to the evolution of your business, investment strategies and or-
ganisational structure. Approached in this way, ALM becomes a key strategic
process to steer the banking business and foster the financial performance of
the bank.
Together with an unparalleled coverage of different asset and liability class-
es, ERMAS offers a wide range of modelling capabilities for demand depos-
its, prepayable loans, mortgage pipelines, revolving facilities and off balance
sheetitems.Usingthesefacilities,bankscaneasilyintegratetheirownbehav-
ioural assumptions into the system, or benefit from Prometeia’s predefined
econometric models. In this second case, Prometeia offers specialist consult-
ing for calibrating parameters and adapting the methodological frameworks,
based on the bank’s specific needs and on the empirical data available inside
the bank.
Key Risk Indicators are produced according to earnings and economic value
perspective, backed by comprehensive treatment of pricing rules, embedded
optionalities and complex financial structures.
Standard and fully customised reports can be produced easily using graphical
userinterfaces,inordertomeettheanalyticalneedsofTreasury,RiskandAs-
set Liability managers.
8

9. Advanced cash-flow modelling techniques for the
analysis of funding and interest rate risks, integrat-
ing current business, clients’ behavioural and new
business assumptions
Main Features
Multidimensionalviewsofthebalancesheetstructure,
maturity and composition, including gap profile,
duration analysis and funding ratios
Balance Sheet and P&L forecasting, explicitly
designed to support strategic planning, portfolio
optimization, and medium-term budgeting
Interactive simulation of future banking and mar-
ket scenarios, define by product type, organisa-
tional units and other analytical dimensions, based
on alternative business strategies, portfolio mix,
spreads and pricing assumptions
Static and dynamic sensitivity analysis, coupled with
parametric and stochastic scenarios generation, de-
signed to support stress and reverse stress testing
What-if analysis of alternative hedging strategies
and assessment of optimal funding mix, instrumental
to operational ALM and active portfolio management
Full coverage of FX Risk through static and dynamic
analysis, including currency mismatch, basis point
values and other market risk measures
Flexible system setup, supporting group consolida-
tion, complex divisional structures and allocation
of ALM exposures via Fund Transfer Pricing models
9
0
8000
-8000
6000
-6000
4000
-4000
2000
-2000
Present value sensitivity
An integrated view of all fundamental risk drivers
affecting the balance sheet for an effective management

10. ERMAS enables banks to improve the performance of their Liquidity
Management, whilst taking into consideration risk exposures and regula-
tory constraints.
ERMAS is based on a powerful cash flow engine, which quantifies the liquidity
profile of the bank at present and for future time periods.
A comprehensive representation of the bank’s liquidity position includes
Counterbalancing Capacity and Liquidity Buffer analysis in a dynamic vision
and under alternative stressed assumptions.
Prepayment models and roll-over assumptions are fully integrated into the
tool, allowing complete flexibility to the bank in defining the product behav-
iours and reviewing the assumptions for each specific analysis.
Operational liquidity works along with regulatory liquidity analysis, in a con-
sistent and unified data environment, offering the possibility to rely on the
same hierarchical structure and stress conditions or to adapt the reporting
view to complementary managerial needs.
ERMAS allows the bank to manage liquidity risk from the highest level of ag-
gregation, necessary to take the strategic decisions in the ALCO, down to sin-
gle deal level, with the aim of supporting Treasury activities in the daily liquid-
ity management.
Liquidity Risk
Management
10
0 150
100
50
Liquidity Stress Testing
L i q u i d i t y C o v e r a g e R a t i o
S t o c k o f h i g h - q u a l i t y l i q u i d a s s e t s
N e t c a s h o u t f l o w s
9 7 1 . 6 6 4
6 6 6 . 8 7 3
1 . 2 6 2 . 2 3 5
6 0 8 . 1 0 4
c a s h o u t f l o w s
c a s h i n f l o w s
A proactive approach
to balancing liquidity
costs and regulatory
compliance

11. Graphical user interfaces supporting the definition of
liquidity assumptions, business and stress scenarios
Main Features
Multidimensional views of the funding structure, in
terms of product mix, maturity and concentration
Detailed monitoring of collaterals, liquid assets
buffers, contingent assets and liabilities
Multi-currency view with alternative consolidation
rules for hard and soft currencies
Static and dynamic projection of funding mismatch
and liquidity balances (Nostro Account), with flexible
time steps and calendar rules
Extensive stress scenario and simulation capabilities,
run interactively through “in memory” technology
Calculation of static LCR and NSFR, according
to standard Basel III rules and local regulatory
frameworks
Projection of forward-looking LCR and NSFR, start-
ing from a standard Basel III chart of accounts or a
user-defined products catalogue
Optimisation tools to minimise the expected cost
of funding for given level of regulatory ratios and
risk appetite, both under going concern and stressed
scenarios
Calculation of liquidity ratios at solo and consoli-
dated level, based on a flexible perimeter of legal
entities and groups
Possibility to drill-down each aggregated result, to
understand the data, results and causes of liquidity
risk exposures down to single transaction level
High flexibility in modelling existing products,
customer behaviours, new business strategies and
market scenarios
Flexible chart of accounts to guarantee complete
compatibility of data processing, analysis and results
Predefined and customisable reporting structures for
all regulatory and managerial analyses, with break-
down capability and alternative formatting options
11
Liquidity Stress Testing
L i q u i d i t y S u r p l u s / D e f i c i tC o u n t e b a l a c i n g C a p a c i t yC u m u l a t e d C a s h N o t i o n a l
L i q u i d i t y l i m i t m o n i t o r i n g u n d e r g o i n g c o n c e r n s c e n a r i o
25.000
15.000
5.000
-5.000

12. The ERMAS Market Risk Module is designed to cover both Trading and
Banking Book portfolios, integrating the functionalities already available in
the ALM and Liquidity Risk modules.
The solution is represented by three complementary sub-modules, which
shareacommoninputdatastructureandafullydistributedmarketriskengine:
Traded and Non-Traded
Market Risk
ERMAS VaR
ERMAS Stress Testing
ERMAS Back-testing
Stressed VaR measures, that can be used for limit monitoring purposes and
the calculation of BCBS capital requirements
Delta present values per analytical dimension, reflecting the breakdown
views set into the system
Delta present values per risk factor, useful to perform sensitivity analysis
for combined scenarios
The VaR Module covers a wide range instrument types, including structured
products and exotic derivatives, exposed to the typical risk factors: interest
and FX rates, equity and commodity indexes, credit spreads.
The Delta Normal VaR measures are complemented with Delta Gamma and
Component VaR indicators.
For Banking Book exposures, cash-flow mapping reflects the behavioural as-
sumptions set for interest and liquidity risk analysis, ensuring a full consist-
ency between sensitivity and VaR metrics.
Market Risk analysis is based on daily financial data, which can be elaborated
internally by the bank or provided by Prometeia RiskSize Service® through a
simple web connection.
The VaR sub-module includes the ERMAS Back-testing solution.
Compatible with a large number of source systems and input formats, this
module compares VaR measures with external P&L series or, alternatively,
MTM data calculated directly by ERMAS.
Along with VaR metrics, the Market Risk Module includes a powerful stress
test engine with an embedded scenario-generator.
Stress tests can be performed according to hypothetical and historical sce-
narios: specific drill-down functionalities enable the bank to investigate the
drivers of the MTM change and the impact generated by each risk factor.
The standard output is represented by:

13. 1313
NVDA Local Volatily Surface
0,08
0,25
0,42
1,00
3,00
40%
35%
30%
25%
20%
15%
10%
5%
0 - 1 0 %
1 0 - 2 0 %
2 0 - 3 0 %
3 0 - 4 0 %
4 0 - 5 0 %
Extensive coverage of Trading Book products, via
integration with external pricing libraries, provided
by Prometeia or directly supplied by the bank ac-
cording to a predefined syntax
Assessment of the multiple period default prob-
abilities for the calculation of counterparty risk
Main Features
Full coverage of Banking Book products, including
instrument types with multi-phase pricing rules,
administrative rates and irregular amortization
structures
Flexible system setup supporting multidimensional
analysis, cross-sectional views and historical
projections of VaR and P&L data
Full integration with behavioural models set for
ALM analysis, regarding prepayments, volume
attrition and rate stickiness
Open database access, easy connection with
external reporting tools, full Excel compatibility
and user-oriented data environment
A truly integrated framework for banking and trading
books dynamics

14. Fund Transfer Pricing
Fund Transfer Pricing plays a key role in steering multiple strategic processes
ofthebank,suchasperformancemeasurement,riskallocation,externalpricing
andevenassetliabilitymanagementitself.
TheFTPmodelallowstheallocationoffinancialcostsandrevenuestodifferent
risktakingcentres,enablingeachorganisationalunittoevaluateitsprofitability
andtakeresponsibilityforitsownrisks.
TheERMASFTPsolutionisdesignedtoensurefulltransparency,fairnessanda
consistent methodology across the banking organisation. In this way, by trans-
ferring interest, liquidity and other risks to those who actively manage them,
business unitscanfocusontheirfinal goal: maximisingriskadjustedreturns.
Our FTP approach aims at combining rigorous application of financial rules,
deep granularity in data processing and output generation, and great flexibility
inmanagingFTP application.
Threeinterconnectedtoolshavebeendesignedtosupportthecalculationofin-
ternaltransferchargesandtherisk-adjustedpricingofnewbusinessproducts:
Internal Transfer Rate sub-module performs the calculation of FTP rates for
existing business, at the transactional level, in order to support profitability
analysis per product, customer, business units and other managerial views
The Interest and Liquidity Pricing sub-module performs the calculation of
FTP for hypothetical new business trades, according to a catalogue of stand-
ard products / instrument types defined by the bank
The Credit Pricing sub-module integrates the FTP calculation with the cost
of credit, both expected and unexpected loss
14
0,20%
0,30%
0,10%
0,00%
0% 1% 2% 3% 4% 5%
By transferring interest
and liquidity risk to
those who actively
manage them business
units can focus on their
final goal: maximising
risk adjusted return
C l i e n t R a t e
Productspread
Interbank
Liabilities
Bond
Issued
Customer
Asset
Securities
Interbank
Assets

15. 15
Main Features
Calculation of internal transfer rates through a
large variety of user-defined methods and yield
curve models
Full integration with behavioural models set for
ALM analysis, regarding prepayments, volume at-
trition and rate stickiness
Possibility to break down FTP results at any organi-
sational and product level, reflecting the target seg-
mentation required for the profitability analysis
Unparalleled flexibility in customising pricing li-
braries both for interest and liquidity risk factors:
par rate methodology, simple and weighted aver-
ages, alternative interpolation criteria, advanced
models for atypical indexations, etc.
Complete set of tools to manage agreed and con-
ventional FTP rate such as loans to employees,
credit facilities, etc.
Integration with other ERMAS analytical modules
to support net interest income analysis of with a
forward looking and retrospective approach
Proprietary building block approach for evaluating
separately each relevant interest and liquidity risk
component, including money market and capital
market rates, basis risk premium, optionality risk
spread, prepayment adjustment, liquidity premium
originated by country and name-specific risks, oth-
er funding costs originated by mandatory reserve,
tax effects and other user-defined components
Calculation of the contribution margin to be se-
cured from the actual margin at inception or the
expected average margin of multi-phase products.
Main Features
F T P
P r i c i n g
R i s k A l l o c a t i o n
A L M P r o c e s s
P r o f i t a b i l i t y & M I S
The role of fund
transfer pricing

16. Profitability analysis is vital for improving the economic performance of
Treasury business, not only because it allows banks to measure the results of
specific funding and investment strategies, but also because it quantifies the
contribution of the A / L management to the economic result of the bank.
The ERMAS Suite offers an integrated and highly flexible module specifically
dedicated to the profitability analysis of the Treasury / ALM book.
Compared to more traditional MI systems, Prometeia’s solution provides
a comprehensive and financially-consistent view of Treasury profitabil-
ity, based on a sophisticated combination of accrual and mark-to-market
based metrics.
Indeed, while the Fair Value measurement offers a forward-looking as-
sessment of the profits generated by ALM strategies in the long term, the
accrual-basis analysis prevents the rise of unexpected volatility of the
current earnings.
ALM managers can rely on the ERMAS ALM tool to simulate the effects of al-
ternativehedgingstrategiesovertheBank’sNetInterestIncome,andmonitor
the result of their action using the ALM Profitability module.
ALM Profitability
A comprehensive and innovative
approach to measure the
contribution and effectiveness
of Treasury strategies on the
total profitability of the bank
16

17. 17
Main Features
Possibility to replicate the organisational structure
of the bank, in terms of entity structure, divisional
model and risk taking centres
Full integration with ERMAS FTP Module, for the ac-
quisition of internal transfer charges and revenues
between the Treasury and the commercial units
Full integration with behavioural models set for
ALM analysis, regarding prepayments, volume at-
trition and rate stickiness
Capability to measure the P&L of each individu-
al risk factor, typically risk-free rates, liquidity
spreads, other elements included in the transfer
pricing model of the bank
Possibility to define the transfer rules of the dif-
ferent risk components among the organisational
units according to management rules
Quantification of the net profitability for each com-
mercial unit, for the Treasury / department and for
each portfolio of the Interest and Liquidity Risk pool
Multidimensional and multi-periodical view of Key
Performance Indicators, both with earnings and
economic value perspective
Automatic calculation of the cost of funding and
cost of hedging for open positions, both at aggre-
gated and individual portfolio level
Main Features
The contribution of business
units to overall profitability
1 0 M
0 M
2 0 M
3 0 M
4 0 M Retail Network
Proprietary Trading
Corporate Lending
Credit Cards
ALM
Governance Centre

18. 18
Forecasting the evolution of balance sheet, P&L and capital requirements is
a compelling need across the entire bank. As a result, financial and economic
simulation becomes a fundamental tool, demanding accurate calibration and
an high level of methodological sophistication.
In the current market scenario, a robust simulation approach must
necessarily consider the intrinsic relationship between market, credit
and liquidity risk factors, in order to identify potential “spiral” effects and
evaluate the possible mitigation actions.
In this perspective, a holistic view of the internal and external drivers
affecting the balance sheet becomes a strategic necessity, more than a pure
regulatory requirement.
TheERMASDynamicSimulationModulecomplementsthesilo-basedanalyses
of individual risk factors with an integrated and interactive forecasting tool,
which allows to model the interrelation between market scenarios, new
business strategies and credit risk parameters (PD and LGD).
Relying on its in-built simulation capabilities, users can evaluate the Bank’s
risks and returns under a variety of different scenarios, applying either
market-driven or bank-specific stress assumptions.
In respect to similar applications provided by other vendors, Prometeia’s
solution is unique in ensuring a real-time interactive and on-demand
generation of scenario-based simulations, built on an “in memory” elaboration
technology. Relying on a common set of methodology, the module provides a
large number of complementary views:
Interactive Integrated
Balance Sheet Simulation

19. Simulation of the balance sheet positions, according
to their credit and liquidity risk adjusted profiles,
based on internal models (for PD, LGD, EAD) and/or
external parameters
Detailed projection of margins, profits and losses,
with the possibility of splitting each economic re-
sult into its elementary components, including an
extensive treatment of operational costs, upfront
fees, plus/minus generated by FX, etc.
Full Net Interest Income breakdown according to
the allocation rules set by the FTP model (actual
and virtual interest) and the pricing component
incorporated in the transfer rates (base rate,
liquidity cost, option adjusted spread, etc.)
Forecasting of inertial and dynamic funding vol-
umes, including the projection of future liquidity
risk indicators (LTD, LCR and NSFR), according to
managerial and/or regulatory criteria
Analysis of the cost of funding dynamics, taking
into consideration the trend of sovereign spreads,
pass-through assumptions, expected mark-ups and
mark-downs resulting from the evolution of credit
spreads (PD / LDG)
A preliminary aggregation process of the existing
business, performed according to customisable di-
mensions, optimises the elaboration performance:
a financial equivalent portfolio of replicating posi-
tions allows the users to simulate “real time” sce-
narios based on a very limited number of computa-
tional cycles
The possibility to immediately inquire the results of
the balance sheet projection in a graphical reporting
tool triggers an iterative process of selective ad-
justment of the simulation assumptions and a con-
sequent “real time” re-elaboration of the analysis
Nii Simulation process
19

20. A fully integrated approach for net interest
income projection and funding plan to satisfy both
managerial and regulatory requirements

22. Main Features
Market scenarios configuration based on user-
defined libraries of setup parameters, easily
configured through graphical interfaces and
import/export tools from XLS files
External input of simulation volumes and sector-
based dynamics of credit risk parameters such as
PD and LGD, allowing users to fine-tune the Bank’s
specific scenarios, through benchmarking with
other financial sector players
Product catalogue with customised trees enabling
multiple waterfall logics to insert strategies on new
volumes and spreads, with “cascading” mechanism
on the lower hierarchical levels
User friendly tools to model volume and pricing
assumptions, aligned with the commercial
strategies of the bank about the generation of
incoming assets and liabilities
New business trends can be defined with alterna-
tive techniques, inserting new volumes, specifying
target point / average amounts, and growth / disin-
vestment percentages
Accurate definition of the financial characteristics
of the new products, using replication algorithms
based on the current balance sheet mix or,
alternatively, discretionary rules set by users
Full integration of behavioural models, in order to
represent the attrition profile and the rate stickiness
of each product under alternative assumptions
Automatic generation of optimal hedging portfolio,
designed to stabilise or maximise a predefined risk
indicator from interest rate fluctuation
Dividend pay-out simulation tools, allowing to simu-
late the effect of different percentages of retained
earnings on future equity structure / capital ratios
Simulation output available in an Excel style grid,
offering increasing granularity of the breakdown
dimensions and temporal horizon
22
Fully-fledged credit and liquidity risk adjusted
pricing tools, allowing the users to simulate dif-
ferent pricing strategies, based on risk parameter
evolution and bank commercial strategies (risk
free, market rates dynamics, credit risk param-
eters dynamics, funding liquidity spread dynamics,
commercial spread dynamics)

23. 23
R u n O f f
3 1 - 7 - 0 9
3 0 - 6 - 1 0
7 0 0
- 7 0 0
- 3 5 0
3 5 0
0
A s s e t A v e r a g e A m o u n t L i a b i l i t y A v e r a g e A m o u n t C l o s i n g G a p
M a r g i nA s s e t i n t e r e s t L i a b i l i t y I n t e r e s t
Net interest income projection
23
2010 20142012 2016
4
5
6
0
1
-1
2
3
P&L Projection on multiple
scenarios

24. 24
Hedge Accounting
Hedge Accounting is the instrument envisaged by the IAS / IFRS principles
for reducing the volatility of the income statement originated by the MTM
valuation of derivatives.
ERMAS Hedge Accounting Module is designed to cope with the
overwhelming complexities of IFRS schemes, ensuring an easy
implementation of the Hedge Accounting process and a full compliance
with industry best practices.
ERMAS provides a fully adaptable, comprehensive and easy to use
solution that meets all Hedge Accounting needs, from the selection of
the eligible hedged items, through the definition of the optimal hedging
strategies, up to the execution of the effectiveness tests.
ERMAS Hedge offers advanced methodologies for pricing, risk
modelling, fair value calculations and regulatory reporting. It covers all
the dynamics of interest and exchange rate hedges in accordance with
IAS39 and IFRS9 principles.
Within this module, banks can manage hedging transactions relating to
either specific items or portfolios of assets and/or liabilities. As a result,
specific functionalities are designed both for micro and macro hedging.
An “optimal fit” functionality automatically allows the definition of the
target hedging percentage, in order to maximise the effectiveness of the
hedging test.
Behavioural dynamics are also considered for the management of the two
HA frameworks supported by our solution, fair value and cash flow hedge.
h e d g e d i t e m
hedginginstrument
S h o c k - 2 0 0 b p
9 9 , 8 %
S h o c k - 1 0 0 b p
9 8 , 9 %
S h o c k + 1 0 0 b p
9 7 , 1 %
F l a t t e n i n g
9 4 , 3 %
S h o c k + 2 0 0 b p
9 7 , 1 %
S t e e p e n i n g
9 5 , 1 %
Retrospective
test delta FV

25. 25
Specific functionalities for the identification of ho-
mogeneous assets and liabilities, to be designated
as hedged items within the macro-hedging scheme
Recalibration of the hedging relations in order to
take into consideration prepayments, defaults,
derivatives unwinding and other events affecting
hedging lifecycle
Main Features
Fully automated workflow management for hedg-
ing portfolios and data logging of changes in FV,
both on a periodical and cumulative basis
Possibility to apply what-if and stress scenarios to
test the hedge effectiveness under different mar-
ket environments
Production of the hedging card and reporting for
managerial and auditing purposes
FV calculation of the hedged item and instrument
based on a multi curve approach, including the
valuation of embedded options. Exogenous fair
values can also be used, interfacing the HA Mod-
ule directly with the external source - system (e.g.
front office)
Calculation of the hedging ratios with both a pro-
spective and retrospective approach. Multiple
threshold conditions can be included to maximise
the effectiveness
Utilities for interactive reporting and production of
customised output for external accounting systems.
Full transparency of system setup and portfolio
definition, including audit trail and diagnostic of all
calculation processes
L o w e r t h r e s h o l d
H e d g e r a t i o
U p p e r t h r e s h o l d
Retrospective test overtime
1 3 0
1 4 0
1 2 0
1 1 0
1 0 0
9 0
8 0
7 0
6 0
5 0
0 1 - 1 0 - 1 5 0 1 - 0 5 - 1 6
A fully adaptable and comprehensive solution to
simulate and fine tune the effects of the hedging
strategies on current and expecting earnings

26. ITALY | BEIRUT - ISTANBUL - LAGOS - LIBREVILLE - LONDON - MOSCOW - PARIS
Where we are
Our Core Markets
EUROPE
Albania
Bosnia
Bulgaria
Croatia
France
Holland
Hungary
Ireland
Italy
Luxembourg
Poland
Romania
Russia
Slovakia
Slovenia
AFRICA
Algeria
Benin
Cameroon
Chad
Egypt
Ethiopia
Gabon
Guinea
Mauritania
Morocco
Nigeria
Togo
Tunisia
MIDDLE EAST
Iran
Jordan
Kuwait
Lebanon
Oman
Saudi Arabia
Turkey
UAE

27. PARTNERSHIPS RECOGNITIONS
Prometeia’s ERMAS Suite is our flagship solution, integrat-
ing enterprise risk management with balance sheet and per-
formance analysis.
Relying on highly innovative technology, the platforms sup-
ports ALM, market risk, liquidity risk, credit risk analysis,
credit process and regulatory reporting.
Our ERMAS Suite and implementation services offer a fully
adaptable and all-inclusive solution for every risk manage-
ment need.
Wehelpclientsintheanalysis,monitoringandmanagementof
all risk & performance dimensions, with the aim of maximising
theirprofitabilitywhilemeetingregulatoryrequirements.
The application is complemented by a workflow-driven
software platform, ECAPro Suit, that supports the credit
origination process and works in conjunction with ERMAS
risk analytics.
Prometeia is a leading provider of consulting services
and IT solutions focused on Enterprise Risk & Perfor-
mance Management.
Since 1974 we supply highly-specialized advisory, analytical
toolsandtrainingprograms,integratingquantitativemodels,
marketandcustomerdata,financialandeconomicscenarios.
Withover600industryexperts,wecurrentlyservemorethan
200 financial institutions in 20 different countries, through a
consolidated network of foreign branches and subsidiaries
located in Europe, Africa and the Middle East.
Our client base includes primary financial institutions, cen-
tral banks, multilateral organisations, as well as local banks
and credit unions.
Prometeia’s business model sets us apart from other indus-
try players as it combines an unparalleled offer of Risk &
Performance solutions with extensive consulting services,
implementation support and methodological training.
Customer
Satisfaction Award

28. www.prometeia.com