Stable Value Agreement and Provider Exposure Assessment

Banks turn to us for stress tests of their stable value wraps utilizing our proprietary stress-testing software. Our software models scenarios consistent with regulatory stress-test requirements, including:

  • Comprehensive Capital Analysis and Review exercise;
  • Internal budgeting forecasts;
  • Structuring preemptive actions to avoid stable value agreement breaches and other risks.

We’ve even used our analytics to reverse a stable value provider’s refusal to approve a reallocation.

Our modeling can perform both historical simulations and forward-looking projection scenarios:

  • Historical simulations can be run as far back as 1976
  • Projection scenarios can reflect assumptions of future interest rate paths, changes in investment-grade credit spreads, convexity characteristics and costs of funding

To learn more about our Stable Value analytic capabilities, contact us by clicking here.