Support for monitoring interest rate risk in the banking book

The basis for the creation of the report is:

  • information on Clients
  • Information on Counterparty
  • Calculated daily balance at the level of Counterparty
  • Calculated daily balance at the account of General Ledger

The functionality of reports:

  • Time consistency / inconsistency interest-sensitive items – periodic spacing
  • The interest rate spread is calculated by type of interest rate (fixed interest rate, variable OM subtotal by group reference OM) recorded limits for each time bucket
  • Calculated interest income (NII)
  • Net interest income sensitivity: The effect of appreciation / depreciation rates on interest income (based on scenarios)
  • The impact on the market value of equity on the basis of modified duration, assumed the current yield and a parallel shift in the interest rate by 200 basis points (setting the time codebook cups)

Built-in analysis:

  • The effect of appreciation / depreciation rates on interest income
  • The impact on the market value of equity on the basis of modified duration, assumed the current yield and a parallel shift in the interest rate on the x basis points