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Treasury & Finance agents
Enterprise OperationsTreasury & FinanceCorporate Treasury / ALM

Interest-Rate Risk Agent

Measures balance-sheet interest-rate risk (EVE / NII sensitivity).

Shocks the balance sheet across the standard rate scenarios and reports how economic value of equity and net interest income move. Maintains the repricing-gap and duration models and runs them on demand.

Authority

Inform or prepare

Team role

Provides specialist analysis

Handoffs

Named collaborators

The role

What it owns and where its authority ends

Desk

Corporate Treasury / ALM

Desk workflow

Daily liquidity and funding position, then interest-rate-risk (IRRBB) measurement, then LCR/NSFR computation, then capital ratio monitoring, then ALCO recommendations.

Collaboration

Works within a defined desk workflow

Decision boundary

Supports the work without committing the decision.

Systems and capabilities involved

  • Balance-sheet data mart

  • Rate-scenario engine

    EVE / NII shocks

  • Behavioural-model assumptions

Handoffs

What this role gives and receives

Capabilities offered

The handoffs name the next owner or specialist and the work that moves between them.

Handoff to

External handoff

Risk (Market Risk) for model validation

Context

What the role needs to do the work

Current work
The current balance-sheet snapshot and the scenario under evaluation.
Prior interactions
Prior IRRBB submissions and how sensitivities trended.
Policies and reference
IRRBB standard scenarios, behavioural assumptions (NMD, prepayment).
Working method
Not specified for this role.

Illustrative workflow

How the work moves

Starting point

ALCO requests an updated EVE sensitivity ahead of a possible rate decision.

  1. 01

    Snapshot the repricing profile across buckets.

  2. 02

    Apply the +/-200bp parallel and steepener/flattener shocks.

  3. 03

    Compute EVE and 12-month NII deltas; attribute by product.

Result

An IRRBB pack showing −6.2% EVE under +200bp, with the deposit-beta assumption flagged.

Checks and boundaries

What must be tested or reviewed

  1. 01Recompute matches the validated risk-engine baseline within tolerance.
  2. 02Behavioural assumption changes require independent validation by a model-validation agent before use.
  3. 03Champion/challenger against the incumbent model on each scenario set.

Human authority

Supports the work without committing the decision.

Keep exploring

More agents in Corporate Treasury / ALM

Liquidity Forecasting AgentForecasts the bank's liquidity position and computes LCR/NSFR continuously.Capital Planning AgentSupports capital adequacy monitoring and planning (RWA, CET1, buffers).