Return excess capital. Reduces Tier 1 capital → tightens CET1 → improves capital efficiency.
USD 0bnUSD 4bn
🔄 HQLA → LoansUSD 0.00bn
Rotate HQLA bonds (3.0%) into floating loans (6.0%). Earns 300bps more. Tightens LCR.
USD 0bnUSD 5bn
Frontier Position
ALM Efficient Frontier — Where Are We?
Deep Inside the Frontier
All constraints have slack. All shadow prices are zero. Significant Net Income unrealised. Pull the levers.
Far InsideNear★ OptimalRiskyBreach
Constraint Metrics & Shadow Prices
CET1 Ratio
Int. target ≥14% · Reg. floor ≥10%
Shadow price
USD 0M
17.5%
slack 3.5pp
SLACK
EVS Outlier Ratio
Int. warning ≤10% · Reg. ceiling ≤15%
Shadow price
USD 0M
8.4%
slack 1.6pp
TIGHT
LCR
Int. warning ≥120% · Reg. floor ≥100%
Shadow price
USD 0M
155%
slack 35pp
SLACK
Duration Gap
Internal limit ±1.5y
+0.63y
slack 0.87y
SLACK
Net Income
Objective · maximise
USD 2.450bn
vs base: —
Balance Sheet Position
Key Line ItemsUSD 100bn total
Float Loans
49.00bn
unchanged
Fixed Loans
35.00bn
unchanged
HQLA Bonds
8.00bn
unchanged
Tier 1 Capital
15.00bn
unchanged
KKT Interpretation
Move the levers to see KKT conditions in action. When a constraint becomes binding, its shadow price turns positive — telling you exactly what that constraint costs in Net Income per year.