Measure interest rate and liquidity gaps, duration and sensitivity, simulate your regulatory scenarios and steer your net interest income with confidence and control.
ALM measures and steers the interest rate risk and liquidity risk of the entire balance sheet. It confronts assets and liabilities by maturity, quantifies gaps, duration and sensitivity, then simulates the effect of rate movements on margin and on the economic value of equity.
A module of the Risk Management platform, fed by the same balance-sheet data and the same calculation engine as capital, stress testing and credit scoring.
The same workspace, the same balance-sheet data and the same calculation engine as the three other modules. The interest rate gap talks to capital forecasting, NII sensitivity feeds the stress tests, and everything flows up to the risk committee in one consistent reporting.
Two working views of the ALM module — the gap ladder and the rate scenario simulation.
Each balance-sheet item is broken down by maturity bucket, from overnight to beyond five years. The module derives the interest rate gap and the liquidity gap, cumulative and within limits, with an alert as soon as a position exceeds the framework set by the committee.
Parallel, steepening, flattening or a custom scenario — the module applies the shock to the balance sheet and instantly returns the impact on net interest income and on the economic value of equity, against your alert thresholds.
From the balance-sheet ladder to ALM reporting, a complete coverage of interest rate and liquidity risk.
Assets and liabilities confronted by maturity, with static and cumulative gap, within limits and alerts.
Duration and modified duration of the balance sheet, and sensitivity to rate movements, item by item and overall.
Parallel shocks, steepening and flattening of the curve, replayed on demand across the whole balance sheet.
Impact of scenarios on net interest income and on the economic value of equity.
Short- and long-term liquidity ratios, tracked over time against regulatory requirements.
ALM dashboards and statements generated automatically for the risk committee and the ALCO.
A clear reading of interest rate and liquidity risk, fast simulations and better-informed ALCO decisions.
Assets and liabilities confronted by maturity, on a single data foundation.
Gaps, duration and NII sensitivity tracked continuously, within limits and alerts.
Rate scenarios replayed on demand, without re-keying or manual rebuilding.
LCR and NSFR calculated and tracked against regulatory requirements.
Margin and economic value measured jointly, for consistent steering.
An asset-liability committee fed with up-to-date, consistent, shared indicators.
Indicative orders of magnitude, varying with context and scope.
A controlled rollout, from balance-sheet data to asset-liability reporting.
Feeding the ALM foundation from the core banking system and the warehouse, with maturity breakdown and quality control.
Calibration of run-off conventions, reinvestment rates and gap, duration and sensitivity parameters.
Application of parallel shocks and curve twists, with calculation of NII and EVE impacts.
Delivery to the ALCO and the risk committee, and generation of ALM and liquidity statements.
ALM shares its data and its calculation engine with the three other modules of the Risk Management platform.
Capital forecasting and own funds adequacy — CET1 trajectory, RWA and buffers.
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Discover the module → MODULE 04Credit score and probability of default — score distribution and average portfolio PD.
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Learn more →Two mastered dimensions: credit risk throughout the loan lifecycle, and balance-sheet risk (ALM, capital) steered at bank level.
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Learn more →In case of default, our solution automates the collections process — through to litigation management where needed.
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Learn more →Request a demo: we walk you through the ALM module — interest rate and liquidity gaps, duration, NII/EVE sensitivity and rate scenarios — on your balance sheet, in the Risk Management platform. Leave us your details and an expert will get back to you.