ALM | Benchmarking
ALM
Banks hold 73% of liquidity buffer in cash and level 1 assets, on average
Largest lenders hold highest share of central bank reserves in buffer, latest analysis shows
EVE and NII dominate IRRBB limit-setting
ALM Benchmarking study finds majority of banks relying on hard risk limits, and a minority supplementing with early-warning indicators
Third of banks run ALM with five or fewer staff
Across 46 firms, asset-liability management is usually housed in treasury, but formal remits and staffing allocations differ sharply
One in five banks targets a 30-day liquidity survival horizon
ALM Benchmarking research finds wide divergence in liquidity risk appetites, even among large lenders
Explore the data
ALM inequalities
In terms of core team sizes, bank ALM functions are all over the map: ranging from fewer than 10 at many large regional banks, and even some super-regionals, to 350 at one European G-Sib. At the average bank, one-quarter of staff is dedicated to setting policy, measurement and limits for IRRBB. The next biggest cluster is the 19% of staff engaged in data, technology and management information and reporting – which jumps to 25% at G-Sibs.
Check out a broad selection of the data from our full 46-bank ALM Benchmarking study here:
Bank ALM tech still dominated by manual workflows
Batch processing and Excel files still pervade, with only one in four lenders planning tech upgrades
Many banks ignore spectre of SVB in liquidity stress tests
In ALM Benchmarking exercise, majority of banks have no internal tests focusing on stress horizons of less than 30 days
ALM Benchmarking: explore the data
View interactive charts from Risk.net’s 46-bank study, covering ALM governance, balance-sheet strategy, stress-testing, technology and regulation
Staff, survival days, models – where banks split on ALM
Liquidity and rate risks are as old as banking; but the 46 banks in our benchmarking study have different ways to manage them
