Methodology
What HERMES ALM computes, and how.
Extracts from the HERMES ALM methodology guide. The full guide, with the formulas, product sheets and assumptions, is part of the HERMES ALM documentation.
The rate shocks
The shocks are those of the EBA and Basel Committee standardised framework (BCBS SRP31.90), applied to every point of every rate curve. FX and liquidity spread curves are not shocked.
- Parallel up and down
- Short up and down
- Steepener
- Flattener
- +1 bp sensitivity probe (DV01-like)
The post-shock floor
Every shocked rate is bounded by the EBA floor: −150 bp at immediate maturities, rising 3 bp per year of maturity up to 0% at 50 years. A downward shock never lifts a rate above its market level.
| Currency | Parallel | Short | Long |
|---|---|---|---|
| EUR | 200 bp | 250 bp | 100 bp |
| USD | 200 bp | 300 bp | 150 bp |
| GBP | 250 bp | 300 bp | 150 bp |
| JPY | 100 bp | 100 bp | 100 bp |
| CHF | 100 bp | 150 bp | 100 bp |
| CAD | 200 bp | 300 bp | 150 bp |
| AUD | 300 bp | 450 bp | 200 bp |
| SEK | 200 bp | 300 bp | 150 bp |
| SGD | 150 bp | 200 bp | 100 bp |
| HKD | 200 bp | 250 bp | 100 bp |
| CNY | 250 bp | 300 bp | 150 bp |
| other currencies: EUR shock sizes | |||
The metrics
- Market value
- Economic value of equity (EVE)
- Net interest income (NII)
- Sensitivities and supervisory outlier test
- Carrying amount and average maturity
- Repricing schedules (J 05.00 to J 07.00)
- Liquidity and interest rate gaps
- Transaction-level metrics
The EBA IRRBB templates
| J 01.00 | Supervisory outlier test and key metrics |
| J 02.00 – J 04.00 | Breakdown of sensitivities |
| J 05.00 – J 07.00 | Repricing cash flows |
| J 08.00 – J 09.00 | Non-maturity deposit parameters |
| J 10.01 – J 11.02 | Qualitative information |
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.