Interest Rate Risk Monitor

Our well-known interest rate risk simulation model allows bank managers to efficiently determine the risk to income and capital that arises from changes in interest rates. IRRM® reduces regulatory and accounting burdens and provides “what if” simulations to provide an accurate process for projecting future profitability. It is a powerful management tool as well as a key reporting system for regulatory compliance.

Sample Reports

IRRM Screen Thumbnail

Click here to view a full list of downloadable sample reports.

IRRMs Dynamic Liquidity Monitor (DLM):
Click here to download the sample IRRMs Dynamic Liquidity Monitor tool.

Interest Rate Risk Monitor Introduction and Overview:
Click here to download the overview.

IRRM enables you to better manage the future impact of changing interest rates to your institution’s 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 ASC 825
  • Balance Sheet Effective Duration and Convexity

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