An integrated solution for IRRBB financial risk and regulatory metrics

In the dynamic landscape of banking, effectively managing Interest Rate Risk in the Banking Book (IRRBB) is paramount for financial institutions and maintaining financial stability. It is the reason why regulatory bodies such as the Basel Committee, European Banking Authority (EBA), and the Australian Prudential Regulatory Authority (APRA) introduced IRRBB reforms that revised or proposed revisions to the methodologies and reporting requirements.

The OneSumX IRRBB solution offers a unified approach to managing interest rate risk challenges in the banking book.

search-desktop-secondary-multicolor
Integrated management of internal financial risk and regulatory metrics

An integrated solution for managing both internal IRRBB financial risk and regulatory metrics, reducing operational costs and ensuring consistency.

signing-paper-document-secondary-multicolor
Scenario projections


Comprehensive scenario and stress-testing capabilities allow for better analysis and decision-making.

document-connected-secondary-multicolor
Single data layer


A unified data layer eliminates the complexity of managing separate systems, ensuring accurate and reliable reporting.

calendar-primary
Regulatory Compliance


Ensure compliance with current regulatory requirements (Pillar 1 and Pillar 2) and prepare for future reforms. 

Key features of OneSumX IRRBB solution

  • Deterministic shocks analysis
    Perform deterministic shocks on Interest Rate (IR) and Credit Spread (CS)-sensitive products for comprehensive IRRBB and CSRBB analysis.
  • Transactional deposit sensitivity analysis
    Analyse behaviour risk sensitivity to IR and CS risk factors under a static run-off strategy.
  • Sensitivity GAP reports
    Generate reports driven by parallel shock scenarios for Interest Rate and Credit Spread, enhancing risk management insights.
  • Economic value measures (EVE)
    Evaluate cash flows conditional and unconditional to interest rate movements, including Economic Value (EV) and Economic Value of Equity (EVE) measures on a dynamic balance sheet.
  • Contract-level calculations
    Including for regulatory calculations with no approximations (proxies).

EBA IRRBB compliance

The EBA's recent integration of IRRBB guidelines into the regulatory framework has transformed reporting obligations for banks. Banks must now comply with the new IRRBB guidelines and adapt their models to provide the granularity required by the DPM 3.4 reporting changes, with the first reference date for reporting being 30 September 2024.

The EBA guidelines also establish Credit Spread Risk in the Banking Book (CSRBB) as a separate risk category.

OneSumX IRRBB is built on the new OneSumX platform, offering Regulatory Analytics content libraries tailored for the measurement of IRRBB. These libraries include a new IRRBB-SA calculator for EBA Standardized Approach (SA) calculations, such as Economic Value of Equity (EVE) and Net Interest Income (NII), as well as EBA Simplified Standardized Approach (SSA) calculations.

OneSumX IRRBB provides a comprehensive suite of functionalities, including:
  • Full IRRBB Solution: Internal & Regulatory
  • Full & Flexible Scenarios: Market +Credit + Behavioral + Business Factors
  • Complete calculation + reporting regulatory features
    • Regulatory Update Services (RUS) on calculators & reports
    • IRRBB Standard shocks
    • EVE and NII calculations
    • EBA IRRBB Regulatory reporting
    • EBA IRRBB1 Disclosure template
    • EBA reporting automation from your internal model in OneSumX
  • Using the same data, scenarios, and platform, extend to a full ALM solution.
Deploy OneSumX IRRBB on-premises, on the cloud, or software as a service, and empower your institution with confidence in managing interest rate risk.
Business analysis stockmarket chart in tablet and computer for investment in crisis and finance business planning selective stock , cryptocurrency , and fund for Stockmarket crash and Financial crisis
Request More information
Request More Information
Expert insights and related solutions
  • Office Tower in New York City
    Article
    FinancesConformitéESGjuin 16, 2024
    Excelling in IRRBB and CSRBB management: Strategic approaches for CROs
    Par :Lazhare Djeffal
    Mastering interest rate risk (IRRBB) and credit spread risk (CSRBB) in the banking book: Five essential insights for Chief Risk Officers
    En savoir plus
Request More Information

  • Aucune obligation. Parlez à un expert de vos besoins spécifiques en matière d'entreprise et de mise en œuvre.

  • Vos coordonnées ne seront pas partagées. Nous ne vous contacterons qu'à propos des solutions OneSumX FRR.

  • Vous pouvez vous désinscrire à tout moment de nos communications Marketing.

Back To Top