ALM Engine
Connects positions, funding, contractual cash flows, assumptions, curves, scenarios, and reproducible balance-sheet runs.
The operational problem
Position data lived in core ledgers, treasury files, loan schedules, securities records, and manual spreadsheets. Funding terms and behavioral assumptions were maintained separately from contractual cash flows. Curve inputs changed independently of portfolio snapshots, while product codes and repricing conventions varied by source. Reconciliation occurred after analysis, allowing unresolved differences into exposure reports. Scenario results depended on local workbook states and analyst sequencing. The institution required a governed balance-sheet representation that could reproduce cash flows, shocks, earnings sensitivity, and economic value from a defined data cut.
How it was engineered
Markets IQ separated positions, contractual terms, generated cash flows, behavioral assumptions, curves, scenarios, and runs into linked ledgers. The ingestion gateway snapshots each source and maps local product codes into reference instrument types while retaining original values. Contractual schedules are generated first. Behavioral overlays are applied as explicit, versioned assumptions. Curve construction is isolated from shock design so market-data changes can be distinguished from scenario changes. Validation gates reconcile balances, maturity totals, repricing fields, and cash-flow sums before a run is released. Every run stores source versions, mappings, assumptions, curve set, scenario definition, and calculation outputs. The design requires more mapping effort at intake. That effort makes period comparisons and reruns technically meaningful and independent of local workbook state.
What it enables
The institution can reconcile assets and funding to controlled source snapshots, generate contractual and behavioral cash flows, and rerun rate scenarios from fixed assumptions. It can separate data movements from model changes, explain shifts in earnings and economic value, and compare reporting periods on the same instrument definitions. Reviewers can trace each exposure measure through its curve, scenario, cash flow, position, and source record.
How each sector applies it.
Position gateway; instrument dictionary; cash-flow ledger; curves; scenarios; reconciliation gates; run ledger.
Examine the architecture →Discuss a Related Workflow.
Describe the decision or output, the information behind it, and the review obligation it carries.