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IRRM: Interest Rate Risk Monitor®

Better Management and Compliance are key features of IRRM

This easy-to-use software allows Asset/Liability Managers to efficiently determine the bank’s interest rate risk to net interest income and equity. IRRM reduces regulatory and accounting burdens by providing reliable SFAS 107 calculations, “what if” interest rate risk management simulations and an accurate process for projecting the bank’s future profitability.

IRRM enables you to better manage the future impact of changing interest rates to your institution’ profitability and equity position. Specific program functions include:
  • Projected profitability and volatility of equity capital under various balance sheet and interest rate scenarios
  • Measurement of price volatility for the entire balance sheet including modified duration, effective duration and convexity
  • Projected balances and yields per account for 12- and 24-month budgeting purposes
  • Comparative changes in net interest income and interest expense under nine different rate shift scenarios
  • Monitored asset mix and profitability—both ROA and ROE—over integral rate shift horizons up to 24 months
  • Incorporation of embedded options such as principal payments, decay rates, life caps, periodic collars and reset frequencies for all assets and liabilities
  • An unlimited number of simulation analyses
  • Unlimited historical data storage
  • An unlimited number of accounts
IRRM allows your bank to comply with regulatory and accounting requirements by providing critically important management information.
  • GAP analysis and Rate Sensitivity Measures
  • Net Interest Income Change analysis
  • Market Value of Equity (MVE) analysis for SFAS 107
  • Balance Sheet Effective Duration and Convexity

Plus:

  • Asset/Liability Mix
  • Average Life
  • Break-Even Yield
  • Cost of Funds
  • Dependency Ratio
  • EA/PL
  • Earning Interest Spread
  • Effective Convexity
  • Effective Duration
  • Efficiency Ratio
  • Equity/Total Assets
  • Fair Value

  • Funds Borrowed/Loans
  • Funds Borrowed/Capital
  • GAP and GAP/Equity
  • GAP/Total Assets
  • Investments/Assets
  • Investments/Deposits
  • Loans/Capital
  • Modified Duration
  • Net Interest Change
  • Net Interest Expense
  • Net Interest Income
  • Projected Returns
  • Rate on Paying Liabilities
  • Risk on Paying Liabilities
  • Risk-Based Capital
  • ROA
  • ROE
  • RS Assets/RS Liabilities
  • RS Assets/Total Assets
  • RSL/Total Assets
  • Target Yields
  • Yield on Earning Assets

MEETING PREPARATION IS EASY
WITH IRRM

IRRM provides reports and charts in unique and logical formats that may either be printed or displayed for ALCO meetings and board presentations with data including:
  • Data may be downloaded from Baker’s portfolio accounting system, APM and other data processing sources to improve your bank’s reporting efficiency
  • Monitors performance versus ALCO defined benchmarks
  • Unlimited batch report lists in any output order
  • Easy to use Windows-based application
  • Full graphic presentations using integrated reports, charts and graphs
  • Printed reports in black/white or color

IRRM operates on any PC that meets minimum hardware and software requirements. See us for current specifications.

*The Baker Group, LP is the sole authorized distributor for the products and services developed and provided by The Baker Group Software Solutions, Inc.


The Baker Group's IRRM - Interest Rate Risk Monitor®

Sample Reports


Click here to view a list of sample reports

Interest Rate Risk Monitor: Introduction and Overview


Click here to download the overview

Software Solutions

  • IPA: Investment Portfolio Accounting
  • APM: Advanced Portfolio Monitor
  • IRRM: Interest Rate Risk Monitor
  • BSM: Balance Sheet Monitor