Interest rate risk in the banking book (IRRBB) is part of the Basel capital framework which refers to the current or prospective risk to the bank’s capital and earnings arising from adverse movements in interest rates that affect the bank’s banking book positions.
Surya’s IRRBB can be used both as a separate module or an add-on feature in the existing Surya BALM application. This model has its own set of tools, parameters, etc. but these can be easily reconciled with the BALM application.


  • Ready reconciliation with the Balance sheet is available as a feature of this product.
  • Apart from the regulatory reports, other reports are also provided which can be used for validation purposes. These reports include EVE by Buckets, EVE by LLG, etc.
  • For smaller size banks, further drill down reports at account level may also be available.
  • The IRRBB module is flexible with the parameter setting. Here, the user is able to input the rate shocks suitable to them and it is not confined to the six regulatory rate shock scenarios given.


  • Summary Reports
    1. Delta EVE and Delta NII
    2. NMD – Repricing Maturity
    3. EVE – By rate shock scenario
    4. NII – By rate shock scenario
  • Classification of incidents as per institution’s policy (usually
    driven by COSO or BASEL guidelines)
  • Granular Reports like EVE at product level, EVE by Bucket
  • Account level summary reports for smaller banks.
  • CPR/TDR balances by Bucket