Domain 08 · ALM & Balance Sheet
NII, EVE, IRRBB.
Balance sheet risk,
fully modelled.
33 functions covering asset-liability management and structural interest rate risk — from duration gap and NII sensitivity through Economic Value of Equity, IRRBB standardised framework and behavioural modelling of non-maturity deposits.
33
Functions
6
Categories
IRRBB
Standard
EBA GL 2018
Compliant
Function library
33 ALM functions
Showing all 33 functions
Key capabilities
Built for institutional precision
IRRBB Six Standard Rate Shocks
EVE and NII sensitivity across all six BCBS standard rate shock scenarios — parallel up/down, short rate shock, long rate shock, flattener and steepener — in any currency.
Behavioural Modelling (NMDs)
Non-maturity deposit modelling for current accounts, savings accounts and notice deposits. Separates core (stable) from non-core (volatile) and assigns repricing dates per EBA guidance.
Funds Transfer Pricing
Marginal FTP curve construction — assigns a transfer price to each asset and liability based on its liquidity and repricing profile. Supports multi-curve and option-adjusted pricing.
Regulatory alignment
Standards covered
✓
Basel IRRBB Standards (BCBS 368)
Six standard interest rate shock scenarios for EVE and NII sensitivity under BCBS IRRBB framework.
✓
EBA Guidelines on IRRBB (EBA/GL/2018/02)
Internal model approach for IRRBB — behavioural assumptions, scenario design and governance.
✓
PRA Supervisory Statement SS3/19
PRA IRRBB expectations for UK firms — internal limits, stress tests and supervisory outlier test.
✓
EBA NII Sensitivity Assessment
EBA supervisory assessment of NII sensitivity to parallel and non-parallel interest rate shocks.
API example
ALM & Balance Sheet endpoint
POST /api/v1/alm/irrbb
{
"assets": [...],
"liabilities": [...],
"shock": "parallel_up_200",
"currency": "GBP"
}
→ delta_eve: -£14,200,000
→ delta_nii_1y: +£3,400,000
→ duration_gap: 2.34 years
{
"assets": [...],
"liabilities": [...],
"shock": "parallel_up_200",
"currency": "GBP"
}
→ delta_eve: -£14,200,000
→ delta_nii_1y: +£3,400,000
→ duration_gap: 2.34 years
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