The balance sheet and its controls, as one system.
Curvario is for the teams who plan, stress and run a bank's balance sheet: forecasting and planning, treasury and balance sheet risk, and enterprise stress testing. One set of positions and curves in GBES, the Global Banking Ecosystem data model, carries all of it, with the controls built in.
The numbers pass through five systems. The controls sit outside all of them.
The curve lives in one system. The positions in another. The forecast is a spreadsheet, FTP is a separate tool and the hedge programme is managed somewhere else again.
The controls are further away still. The model inventory is a spreadsheet. Policies sit in a document library. BCBS 239 is an annual attestation, and the EVE and NII disclosures for Pillar 3 and the annual report are assembled after the fact. Each framework is sound on paper, and each runs beside the workflow instead of inside it.
The cost is in the joins: re-keying, reconciling, evidencing the same control twice, and explaining to the committee why two reports built from the same balance sheet disagree.
Curvario brings the controls into the workflow, so the model, the policy and the lineage are recorded as the numbers are made.
Which are you interested in?
Finance, planning and treasury planning teams
Plan the balance sheet on the numbers risk already uses.
- Plans per entity, month by month, brought together for the group.
- Front-book volumes, pricing and margins on the same product definitions as the back book.
- NII measured as it is earned, with FTP splitting it between the business and treasury.
- Scenario runs from the same plan, so the budget and the rate view do not drift apart.
Treasury, ALM and interest rate risk teams
IRRBB and the structural hedge, from the curve to the disclosure.
- Curves built from market data, the Basel standardised shocks and your own scenarios.
- EVE and NII sensitivity, down to the position that drives it.
- Structural hedge programmes sized against the balances they protect.
- ALCO packs and Pillar 3 disclosures from the same runs.
Stress testing, capital planning and risk teams
Stress the whole balance sheet at once, not one model at a time.
- One scenario carried through curves, balances, earnings and valuation together.
- Rate, balance sheet and macroeconomic scenarios run through the same engines.
- Each run records the models and assumptions it used, so a result can be reproduced and challenged.
- Model risk and policy frameworks alongside the numbers, ready for second-line review.
One scenario, from the curve to a three-year earnings forecast.
Pick a scenario. The curve moves first, then the earnings, because the balance sheet is priced off that curve and reprices on its own timetable. The same run answers the interest rate risk question and gives the forecast.
One platform, from market data to the ALCO pack.
- Market modelling
- Yield curves bootstrapped from market data. Shock and stress scenarios, including the six Basel IRRBB shocks. Forward rate matrices, spread history and VaR.
- Balance sheet
- Positions, period close, and contractual and behavioural cash flows. Repricing gap profiles cut by product, currency and entity.
- EVE and NII
- Economic value and earnings sensitivity under each scenario you run, from the headline number down to the position that drives it.
- Forecasting
- Balance sheet plans with back book run-off and front book growth. NII projected per entity, then brought together for the group.
- Funds transfer pricing
- Matched-maturity and replicating-portfolio FTP, priced off the same curves the risk numbers use.
- Structural hedge
- Hedge programmes, liability pools and portfolios, sized against the book they are meant to protect.
- Pricing and behaviour
- Managed-rate pricing grids, deposit betas and prepayment assumptions. Governed, versioned and visible to the modules that use them.
- Scenarios and stress
- Rate, balance sheet and macroeconomic scenarios carried through curves, balances, earnings and valuation together.
- Governance
- Model risk, policy frameworks and BCBS 239 data lineage, built into the same system as the numbers they govern.
Plumbing first.
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One data model
The modules read the same positions, curves and assumptions, held in GBES, the Global Banking Ecosystem data model. Nothing is exported from one tool to be re-keyed into the next.
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Deterministic where it matters
The engines are plain, testable calculation. An LLM never touches the reconciliation path.
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Numbers you can walk back
A figure on an ALCO page should lead back to the run, the curve and the assumption that produced it. That is the standard Curvario is built to.
Built by a practitioner.
Curvario is built by Neuro-XI. Its founder, Stephen Harvey, has implemented and overseen interest rate risk measurement at two global systemically important banks and one domestic one. Curvario is the system he wanted on the desk.
He also writes irrbb.com, an independent site on interest rate risk in the banking book.
Curvario is in private build.
Curvario is in development and parts of it are still being built. If you plan, stress or run a balance sheet and would like an early look, or a say in what comes next, get in touch.