OpenChainGraph Suite · ART-185 · Prudential & Basel Risk
IRRBB SOT NII Evaluator
Evaluate the Net Interest Income leg of the EBA Supervisory Outlier Test: worst-case 1-year Delta NII under parallel up/down shocks versus a caller-supplied threshold. Unlike the EVE leg, EBA leaves NII SOT calibration to competent-authority / institution discretion (EBA/GL/2022/14) — there is no single EU-wide bright-line percentage. Terminal node of the irrbb-supervisory-outlier-test chain. Zero network.
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Scope
Terminal node of irrbb-supervisory-outlier-test chain (art-183→184→185). Enter 1-year Delta NII under parallel-up and parallel-down shocks, projected NII, and the institution's own SOT/NII threshold (as a % of projected NII) — set by the competent authority or the institution's own Pillar 2 policy, since EBA does not prescribe a single EU-wide number for the NII leg (unlike the EVE leg's hard 15% of Tier 1).
Presets
NII Shock & Threshold (€M / %)
Institution/supervisor-set SOT threshold, % of projected NII. 0 = not set.