Best in-house ALM technology: EFG Bank

As an international private bank, EFG faces a set of ALM challenges distinct from those of many retail institutions. The business must manage behavioural products, multi-currency exposures and discretionary client flows, as well as sensitivity to market movements and changing customer behaviour across a global footprint spanning more than 40 legal entities and 10 booking centres.

Historically, the bank relied on monthly ALM assessments using its vendor platform. While these calculations provided robust coverage of interest rate risk in the banking book (IRRBB), credit spread risk in the banking book (CSRBB), foreign exchange exposures and liquidity risk, they offered limited support for the rapid strategic decisions increasingly demanded by modern markets.

“The world has accelerated,” says Enrico Piotto, chief risk officer at EFG, during an interview with Risk.net. “Ten years ago, producing a risk report at T+30 was considered a success, getting down from T+45. Today, this is archaeology.”

He argues that the combination of market volatility and changing payment behaviours has fundamentally altered the requirements of liquidity management.

“If someone on the other side of the ocean makes a new post on X or Truth Social, what we reported yesterday is already irrelevant,” he says. “I really need to know live what the situation on the balance sheet is.”

The origins of the project date back to the Covid-19 pandemic, when extraordinary market conditions exposed the limitations of traditional reporting cycles. Faced with rapidly evolving liquidity demands and heightened uncertainty, the bank began developing dashboards capable of providing daily visibility into funding positions and stress scenarios.

What started as an emergency response evolved into a broader strategic initiative.

For us, live monitoring of liquidity is non-negotiable

Enrico Piotto

Built on a centralised Microsoft structured query language data warehouse and using Microsoft Power BI for visualisation, the EFG ALM Risk Suite integrates monthly vendor outputs with daily in-house analytics and data feeds from core banking systems. The result is a single analytical environment spanning IRRBB, CSRBB, FX risk, liquidity risk and capital adequacy.

The integrated view allows users to drill down from board-level metrics to exposures by currency, subsidiary, product and client segment. It also supports automated stress-testing, behavioural modelling and strategic pricing decisions.

A major focus over the past year has been expanding the platform’s liquidity intelligence capabilities.

The bank introduced automated daily stress simulations across both the group and individual subsidiaries, covering business-as-usual, market stress, idiosyncratic and combined crisis scenarios. Survival horizons, liquidity gaps and funding vulnerabilities can now be assessed continuously rather than through periodic manual exercises.

Additional enhancements include repo eligibility analytics, monitoring of unused credit facilities, funding concentration measures and behavioural models for non-maturing deposits and loan prepayments.

The suite also now incorporates intraday liquidity stress simulations and instant payments monitoring, reflecting the emergence of new payment infrastructures in jurisdictions including Switzerland and Luxembourg.

“Clients send instructions 24/7,” says Piotto. “Twenty years ago in banking, if an office closed at 5:00pm, they wouldn’t take the call at 5:05pm. Today that cannot happen. Liquidity moves instantaneously. For us, live monitoring of liquidity is non-negotiable.”

Developing these capabilities required overcoming significant technical challenges.

The bank first focused on establishing a trusted data foundation, consolidating financial and risk information into a central warehouse capable of reconciling on- and off-balance sheet positions across its international operations.

“The key was really to focus on the foundation,” says Maria Ciorciari, EFG’s global head of enterprise risk, ALM and liquidity risk. “If you don’t think carefully about the foundation, then your castle will fall.”

That foundation has been built and refined over six years, creating a platform that balances IT support with business ownership.

Power BI enables risk specialists themselves to build dashboards and analyses without relying entirely on technology teams.

“This was a big win for us,” Ciorciari says. “We could optimise this ourselves and implement what we needed in a very short time.”

If you don’t think carefully about the foundation, then your castle will fall

Maria Ciorciari

Perhaps the most striking impact has been the change in decision-making. The ability to observe positions in near real-time has allowed the bank to reduce the precautionary buffers previously needed to compensate for information delays.

“When you don’t know, the natural reaction is to add a buffer,” explains Piotto. “If you get live monitoring, you don’t need that same size of buffer. I’m not looking in the rear-view mirror anymore. I’m looking ahead.”

The suite has also created new links between risk management and commercial strategy. Real-time alerts on maturing deposits or significant client movements allow the bank to respond quickly through pricing and retention actions, supporting both liquidity resilience and client relationships.

In doing so, the EFG ALM Risk Suite has shifted ALM from a largely retrospective reporting exercise into a forward-looking, strategic discipline.

The result is not simply faster reporting. It is a different philosophy of balance sheet management – one built around continuous insight, integrated decision-making and the belief that, in an increasingly digital financial system, banks need to focus on forward-looking insights.

_{1. Part of Moody’s ALM Solutions business now owned by Regnology}