Interest rate risk · IRRBB · EBA
Your interest rate risk, computed and explained.
HERMES ALM projects your balance sheet cash flows under the regulatory rate scenarios and produces EVE, NII, gaps and IRRBB templates, while letting you drill down to each transaction’s cash flows.
The calculation chain
Imported position
Transactions, curves, accounting balances, run-off models, through a guided import.
Constant balance sheet
Maturing positions renewed within the horizon.
8 contexts
The baseline, the 6 EBA shocks and a 1 bp sensitivity probe.
Cash flows
Principal and interest, contractual and behavioural views, per product family.
Metrics
Market value, EVE, NII, sensitivities, repricing and liquidity gaps.
EBA templates
J 01.00 to J 11.02, ready to file.
What HERMES ALM covers
Regulatory shocks
Parallel, short, steepener and flattener (BCBS SRP31.90) for 11 currencies, EBA post-shock floor.
EVE, NII and SOT
Economic value of equity, net interest income and the supervisory outlier test.
Gaps
Repricing and liquidity gaps as chart and table, filtered by currency, scenario and classification.
Products
Bullet and amortising loans, term deposits, bonds, interest rate swaps, repos, non-maturity deposits with a run-off model.
Contractual and behavioural views
Calls and modelled run-off, shown next to the contractual view.
Guided import
A per-institution configuration maps your systems to the application’s model. Anomalies are listed, not hidden.
Traceability
Per-transaction calculation log, every cash flow in detail, and notebook access for your own analyses.
Published methodology
A guide documents every formula, assumption and limit. Your model validation has nothing to guess.
Why ALM teams choose us
Written by practitioners
MLAdvisory by Primexis has advised banks on regulation and ALM since 2013. HERMES ALM carries the methods our consultants apply on assignments.
Nothing is hidden
A transaction in error (missing curve, inconsistent data) is isolated and logged with its reference; the rest of the portfolio is computed.
Published methodology
Shocks, discounting, repricing, sign conventions: your auditors and model validation read what the engine does.
Down to the cash flow
Every metric breaks down to the cash flows of the transaction behind it, in the application or in a notebook.
Who is it for?
ALM and treasury teams
ALM committees, steering of margin and economic value, rate scenarios.
Risk teams
Interest rate risk in the banking book (IRRBB), supervisory outlier test, limits.
Regulatory reporting
Production of the EBA IRRBB templates (J 01.00 to J 11.02).
Do you also check your EBA reporting? MyReg CIRCÉ, our regulatory reporting controls platform, checks your COREP, FINREP and Pillar 3 before the supervisor does. Explore MyReg CIRCÉ →
See it on your balance sheet
A 45-minute demo with an ALM expert, focused on your products, your run-off models and your IRRBB templates.