Financial Institutions Group

AURELIUS FINANCE COMPANY LIMITED’s Financial Institutions Group (FIG) serves the needs of credit unions, banks, thrifts, bankers’ banks and depository institutions. FIG acts as a strategic partner and trusted advisor by aligning our capital markets capabilities with the long-term financial success of our clients. Acting in a consultant capacity, FIG works with senior management, ALCO and Boards to develop value-added strategies tailored to each institution’s initiatives, the market environment and the specific profile of their balance sheet. Ultimately, FIG advises clients on how to:

    ⦿ Grow net interest margin
    ⦿ Improve return on assets and return on equity
    ⦿ Build and protect regulatory capital
    ⦿ Effectively manage and optimise the balance sheet
    ⦿ Identify, measure, monitor and manage risk

To ensure the unique needs of the banking sector are met, FIG brings together a cohesive team of seasoned professionals with deep experience in capital markets, fixed income sectors, depository balance sheets and asset/liability management. Our brokers, strategists and analysts have backgrounds as fixed income portfolio managers, bond traders, ALM managers and analysts, risk managers, balance sheet strategists and depository institution executives.

FIG Solutions & Services Overview

FIG offers a comprehensive suite of solutions, products and services designed to address the ongoing operational needs, regulatory requirements and strategic growth initiatives of our depository institution clients:

    ⦿ Fixed Income Sales & Trading: Institutional bond brokerage
    ⦿ Investment portfolio analytics
    ⦿ Fixed Income Strategy
    ⦿ Balance sheet strategy & analytics
    ⦿ Asset/Liability Management (ALM) modelling & reporting
    ⦿ Financial Strategies Group (FSG)
    ⦿ Loan pool trading & loan participation services
    ⦿ Investment banking: fixed income & equity
    ⦿ Funding assistance
    ⦿ Consulting services
    ⦿ Equity research

Investment Portfolio Analytics

    ⦿ Portfolio analytics and risk/return assessment
    ⦿ Strategic investment planning
    ⦿ “What-if” scenario modelling (before & after scenarios)
    ⦿ Bond swap analysis
    ⦿ Portfolio and trade optimisation

Through our specialised advisory affiliates, Aurelius also provides:

    ⦿ Derivatives consulting & guidance
    ⦿ Credit modelling support
    ⦿ Complex loan and securities advisory, including:
       ⦿ Transaction and structuring advisory
       ⦿ Litigation and dispute support
       ⦿ Data and analytics solutions
    ⦿ Bond accounting services

Balance Sheet Strategy & Analytics

Balance Sheet & ALM Analytics

    ⦿ ALM modelling services with quarterly, semi-annual or annual reporting
    ⦿ “What-if” scenario analysis for the full balance sheet
    ⦿ Yield curve scenario modelling
    ⦿ Stress testing and sensitivity analysis
    ⦿ Parallel run comparisons with existing ALM models
    ⦿ Independent ALM model validation

ALM Modelling & Reporting

Aurelius’ ALM analytics services use a combination of industry-standard modelling platforms and proprietary analytics. Our Financial Strategies Group (FSG) delivers ALM reporting that covers:

    ⦿ Interest rate risk analysis
    ⦿ Economic value of equity (EVE) calculations
    ⦿ Net interest income (NII) simulations
    ⦿ Capital adequacy and regulatory ratio reporting
    ⦿ Scenario and “what-if” modelling
    ⦿ Stress-testing across multiple rate paths

Financial Strategies Group (FSG)

FIG offers balance sheet strategies and analytical tools through the Financial Strategies Group. FSG’s ALM analysts have decades of experience analysing and optimising depository institutions’ balance sheets. Using a top-down methodology, FSG assesses the entire balance sheet taking into account:

    ⦿ Macroeconomic forces
    ⦿ Domestic economic trends
    ⦿ Competitive and regulatory landscape
    ⦿ Current and forward yield curves
    ⦿ Client strategic initiatives
    ⦿ The institution’s financial goals

In conjunction with Fixed Income Strategy, FSG reviews client balance sheets and applies ALM and portfolio analytics in order to:

    ⦿ Devise balance sheet strategies
    ⦿ Create tailored investment portfolios
    ⦿ Identify appropriate fixed income sectors
    ⦿ Select specific bond holdings and trade structures
    ⦿ Run ALM modelling and scenario analysis
    ⦿ Advise senior management, Board and ALCO