NII sensitivity · Concepts · European Finance Observatory

Roles that need it

EVE (economic value of equity)Economic value of equity is the present value of banking book assets minus liabilities. EVE sensitivity measures how this value changes under interest rate shocks. The EU supervisory outlier test flags a bank when the decline under six standard scenarios exceeds 15 percent of Tier 1 capital.
IRRBB (Interest rate risk in the banking book)IRRBB is the risk to a bank's earnings and economic value from changes in interest rates on positions such as loans, deposits and hedges. Banks measure it with the economic value of equity and net interest income, and the supervisory outlier test flags outliers.
Asset and liability management (ALM)Asset and liability management is the management of a balance sheet's interest rate, liquidity and funding risks so that assets and liabilities fit together in maturity, currency and rate. ALM teams run the ALCO (asset and liability committee), hedging and funds transfer pricing.
FTP (funds transfer pricing)Funds transfer pricing is the internal system that charges business units for the funding they use and credits them for the funding they raise, including interest rate and liquidity costs. It isolates rate risk in treasury and makes product margins comparable.

Updated 31 Oct 2026.