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