CFO
Owns the report to the board and wants the modeling and the write-up handled without adding headcount.
Asset/Liability Management · Services
Quarterly interest rate risk (IRR) reports
NineFive produces your quarterly interest rate risk report: rate shocks and scenarios run against your balance sheet, with the effect on net interest income, economic value of equity, liquidity, and capital, packaged for ALCO, the board, and your examiners. Your team sets the risk limits and signs off; NineFive does the modeling and the write-up.
The engagement
Every quarter
Delivered ahead of your ALCO meeting after call report data posts
NII and EVE
Parallel shocks, non-parallel shifts, and liquidity
Examiner-ready format
Documented assumptions and assumption review
What it is
The IRR report, produced for you.
Each quarter NineFive models your balance sheet, runs the scenarios your policy calls for, and delivers a report your ALCO and board can read and your examiners recognize.
Scenarios
Parallel shocks and non-parallel shifts
Plus and minus 100 to 400 basis point parallel shocks, plus curve steepeners and flatteners, run against your assets, liabilities, and off-balance-sheet positions.
Earnings & value
NII over one and two years, and EVE
The earnings effect of each scenario over a one and two year horizon, and the effect on the economic value of equity, so the board sees both the near-term and the long-term risk.
Assumptions
Documented assumptions and review
Deposit betas, decay rates, prepayment speeds, and non-maturity deposit assumptions, set with your team, documented, and reviewed each quarter against what actually happened.
Trend
Quarter-over-quarter trend and peer context
How the risk position moved since last quarter and why, next to where peer banks sit, so a change is explained before anyone asks.
What you get
Every quarter.
- The interest rate risk report, in a format your examiners expect.
- Assumptions documentation and a quarterly assumption review.
- An ALCO presentation of the results, with NineFive on the call.
- Quarter-over-quarter trend and peer comparison.
- Support during your safety-and-soundness exam on the IRR section.
Who it is for
The people who present the risk position.
Treasurer / ALM officer
Sets the assumptions with NineFive and keeps ownership of the risk position and the limits.
ALCO committee
Reviews a clear report every quarter instead of a spreadsheet only one person understands.
Board of directors
Reads the near-term and long-term risk with peer context, in plain terms.
How it works
Data in once a quarter, report out before ALCO.
Modeled in BankCore, reviewed with your team
After each quarter's call report data posts, NineFive updates the model in BankCore, runs the scenarios your policy requires, and reviews assumptions against what happened. You get a draft to review, then the final report and an ALCO presentation.
- You send the call report and a few schedules; NineFive handles peer data
- Assumptions set with your team and documented
- Draft, review, final, ALCO presentation, each quarter
Why NineFive
Reports written by people who have presented them.
- The NineFive team has presented IRR results to community bank boards and examiners.
- Assumptions are anchored to peer behavior from call report data, not a single guess.
- The same modeling is available to run yourself in BankCore if you bring it in-house.
- One relationship covers IRR, liquidity, ALCO, strategy, and peer reports.
IRR reporting FAQ
Frequently asked questions
Contents
What is an interest rate risk report and what is in it?
An interest rate risk report shows how a bank's earnings and value would change if rates moved. NineFive's quarterly report covers parallel rate shocks of plus or minus 100 to 400 basis points and non-parallel curve shifts, with the effect on net interest income over one and two years, economic value of equity, liquidity, and capital, plus documented assumptions and a quarter-over-quarter trend.
EVE vs NII
What is the difference between EVE and NII?
Net interest income, or NII, measures the earnings effect of a rate move over a one to two year horizon. Economic value of equity, or EVE, measures the effect on the present value of the balance sheet, a longer-term view. Examiners expect a community bank to look at both, and the report includes both.
Examiners
Does a NineFive IRR report satisfy examiner expectations?
NineFive prepares the report in the format examiners expect, with documented assumptions and assumption review, and supports the bank through the exam. The bank still owns its risk management, sets its own risk limits, and is responsible for its risk position; the report is one input to that.
Deposit beta
What is deposit beta and how does NineFive set it?
Deposit beta is the share of a rate move a bank passes through to deposit rates, and it is one of the largest drivers of the results. NineFive sets deposit beta and decay assumptions with your team and anchors the ranges to how peer banks have actually repriced deposits, drawn from call report data in BankCore.
Validation
Do you also do model validation?
Independent model validation is a separate function that should stay independent of whoever produces the report. It is not bundled with the quarterly IRR report.
See a sample
We will run your last quarter's numbers.
Send a recent call report and we will show you what the report looks like on your balance sheet.