Comptroller's Handbook IRR basis-risk convention: sweeps one reference-rate shock across multiple priced indices (Prime, SOFR, Fed Funds, CD portfolio, etc.), each with a caller-declared historical beta vs the reference rate, and isolates the incremental delta-NII attributable to those indices not moving in lockstep. Distinct from ART-369's Rate Shock Ladder Replay, whose parallel-curve convention assumes one shock moves the entire gap schedule uniformly and cannot see basis risk.
Per-Index Beta vs Reference ShockIsolates Basis-Risk Delta-NIIMateriality Threshold
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Reference Shock
Reference-rate shock (bps)
Horizon (months)
Materiality threshold (% of parallel delta-NII)
Index Exposures
Index nameAsset balance $Liability balance $Beta vs ref