Each product family has its own run-off, behaviours and new business. Each indicator has a single formula, identical whatever the product: only the principal trajectory changes.
The products that have a contractual schedule: the engine follows every cash flow, every step, every rate reset, and overlays the customer's decisions.
| Family | What it is | Engine highlights |
|---|---|---|
| Mortgages | Home loans: standard, adjustable, flexible, smoothed, subsidised | Level instalments and steps, rate-sensitive prepayments, renegotiations, deferred drawdowns |
| Equipment loans | Investment loans to companies and professionals | Full loan engine: prepayments, renegotiations, drawdown |
| Zero-interest loans | Subsidised loans with no customer interest | Zero customer rate, margin carried by funds transfer pricing, deferred amortisation |
| Personal loans | Consumer credit | Level instalments, constant prepayment rate |
| Other items | Guaranteed loans, treasury operations, structured finance | Principal steps, forced maturities |
| Term accounts | Deposits locked until maturity | Interest capitalisation, amortising schedule |
| Interbank | Loans and borrowings between institutions | Quarterly or annual instalments, assets and liabilities |
| Securities | Bonds, negotiable debt securities, floating-rate notes | Bullet repayment, coupon steps, premium and discount |
| Swaps | Fixed and floating legs of interest-rate swaps | Forced maturity, inflation-linked clones, reconstructed fixings |
| Repos | Repos and reverse repos | Reconstructed fixings, floating-rate reference for the interest-rate view |
A fixed-rate product stays in the interest-rate gap until maturity. A floating-rate product leaves it at each rate reset: its run-off in the interest-rate view is shorter than in the liquidity view. X-ALM keeps both views for every contract, with the actual fixing calendar, bank holidays and day-count conventions.
Sight deposits, passbook accounts and regulated savings have no end date. The engine applies a conventional run-off by layer, separates the stable portion from the volatile one, and projects inflows and new business.
French regulated savings at a state-set rate. Layered run-off, dedicated new business.
Means-tested regulated savings with a subsidised rate.
Home savings plan: rate generations, closure-rate model, dedicated new business.
Liquid home savings account, with its new business.
Taxable bank savings accounts at a bank-set rate.
Non-interest-bearing current accounts: stable and volatile portions, dedicated new business.
Term deposits treated as a non-maturity balance, distinct from amortising term accounts.
Option instruments are priced at every projection date: caps and floors with the shifted Black or Bachelier model and interpolated volatility surfaces; swaptions with forward swap rate, annuity numeraire and Bachelier. The engine reports the market value, its time value, interest payments and the premium.
Forward rate curves, fixing calendars and accrual conventions are shared with the rest of the engine: the valuation of the options is consistent with the projection of the contracts they hedge.
Reference curves per currency, bootstrapping of zero-coupon curves, log-linear interpolation of discount factors, tenor filtering.
Combinations of underlying curves, time shift, weighted moving averages, recursive curves defined by formula, evaluation order.
Up, down, flattening, steepening, per curve, currency, maturity and month window. Liquidity, inflation and zero-coupon curve shocks.
A scenario assembles its shocks, its models, its new business and its recalculations by name. A run chains as many as needed, on the same book.
Funds transfer pricing and liquidity curves to split net interest income into a rate effect and a commercial-margin effect.
Volumes, rates and run-off profiles per product and per month, new business for balance-sheet adjustment, new-business stress, overlays.
Each indicator is reported by category (existing book or new business), by mode (monthly value, forward view per window, annual contribution), with its window bounds and its sampling step.
| Family | Indicators | What they are for |
|---|---|---|
| Classic | End-of-month and average-of-month balances in the liquidity and interest-rate views, net interest income and its rate / margin breakdown, liquidity, interest-rate, inflation and regulatory gaps, new-business volumes, customer rates | Day-to-day management of the balance sheet and the margin |
| LCR and NSFR | Outflows by time bucket, balance deltas, high-quality liquid assets (HQLA), net cash outflows, available and required stable funding | The regulatory liquidity ratios, projected |
| Annual contributions | Balance, margin and breakdown of each new-business vintage | What today's new business yields, year after year |
| EVE | Economic value of equity, discounted principal and interest cash flows, gaps in the EVE view | The sensitivity of the balance sheet's value to rate shocks |
| Options and market value | Market value, time value, interest payments, premium | The valuation of option-based hedges |
An indicator's formula does not change with the product. What changes is the principal trajectory and the rate scenario. That is what makes the figures reconcilable across products, across scenarios and across entities.
A new product is described by its run-off, its rate rules and its behaviours, and is added without modifying existing products. A guide gives step-by-step instructions for amortising and non-maturity products alike.
That is how X-ALM can be adapted to an insurer's balance sheet, a specialist bank or a local product.
Let's talk about your balance sheet. We will tell you what is covered out of the box, and what needs adapting.
X-ALM Cross ALM