The EBA's recent integration of IRRBB guidelines into the regulatory framework has transformed reporting obligations for banks. Banks must now comply with the new IRRBB guidelines and adapt their models to provide the granularity required by the DPM 3.4 reporting changes, with the first reference date for reporting being 30 September 2024.
The EBA guidelines also establish Credit Spread Risk in the Banking Book (CSRBB
) as a separate risk category.
OneSumX IRRBB is built on the new OneSumX platform, offering Regulatory Analytics content libraries tailored for the measurement of IRRBB. These libraries include a new IRRBB-SA calculator for EBA Standardized Approach (SA) calculations, such as Economic Value of Equity (EVE) and Net Interest Income (NII), as well as EBA Simplified Standardized Approach (SSA) calculations.
OneSumX IRRBB provides a comprehensive suite of functionalities, including:
- Full IRRBB Solution: Internal & Regulatory
- Full & Flexible Scenarios: Market +Credit + Behavioral + Business Factors
- Complete calculation + reporting regulatory features
- Regulatory Update Services (RUS) on calculators & reports
- IRRBB Standard shocks
- EVE and NII calculations
- EBA IRRBB Regulatory reporting
- EBA IRRBB1 Disclosure template
- EBA reporting automation from your internal model in OneSumX
- Using the same data, scenarios, and platform, extend to a full ALM solution.
Deploy OneSumX IRRBB on-premises, on the cloud, or software as a service, and empower your institution with confidence in managing interest rate risk.