Financial Services Use Case: ALM Mismatch

[shukpa]

180P Use Case Proposal: Asset Liability mismatch use case for creating financial asset marketplace insights

Proposer: parthbond180

Business case

Asset Liability profiles from various asset managers inform their investment decision making. This data is highly sensitive and cannot be shared outside the AM's organisation. However, individual ALM data from AM's can be aggregated to create a wholistic view of the entire industry. This aggregated view could benefit contributors and power analytics to source better investments.

Data Providers - Financial asset owners (institutional) that hold assets to generate return
Data Consumers - Financial asset brokers/dealers or other intermediaries selling financial assets to institutions

Brokers or dealers are able to get an aggregated and anonymized view of the ALM of the

Implementation details

ALM mismatch

• A and L curves are inherently sensitive data sets owned by asset owners - providers
• A and L curves are netted to construct demand curves
• Demand curves are input data shared to enclaves
• Enclaves compute output ALM curves
• Enclave calculates rewards

Sample input data

For Year 1

Liability (m)	liabilityDiscounted	Assets	Assets risk adjusted	Net A/L (cash basis)	Net A/L (discounted basis)
50	50	550	550	500	500
70	70	770	770	700	700
90	90	990	990	900	900
110	110	1210	1210	1100	1100
130	130	1430	1430	1300	1300
150	150	1650	1650	1500	1500

For Year 2

Liability (m)	liabilityDiscounted	Assets	Assets risk adjusted	Net A/L (cash basis)	Net A/L (discounted basis)
50	50	550	550	500	500
70	70	770	770	700	700
90	90	990	990	900	900
110	110	1210	1210	1100	1100
130	130	1430	1430	1300	1300
150	150	1650	1650	1500	1500