Interest Rate Risk Monitor

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
• IRRM Webinar Education/Training

Below are four webinar training videos showcasing the features of the IRRM program:

• Part 1: Interest Rate Risk Management: Using the IRRM Model
• Part 2: Interest Rate Risk Management: Using the IRRM Model
• Part 3: Interest Rate Risk Management: Data Entry & Assumptions in IRRM
• Part 4: Interest Rate Risk Management: Back Testing & Assumptions

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