Key Rate Sensitivity (KRS) gives risk teams a clear, automated view of where value and margin are most exposed along the yield curve. Instead of a single DV01, Mirai decomposes the impact into tenor‑level contributions, returning incremental sPVE and sNIM for each node on a user‑defined structure. The result is faster decisions, cleaner hedging conversations, and an auditable, repeatable workflow, without manual spreadsheets or one‑off shock builds.
KRS standardizes the scenario curves to your chosen tenor structure, runs a base case, and then applies the configured interest rate shock node by node. It computes incremental sensitivities per tenor by differencing adjacent cumulative shocks, so the series reconciles back to the overall DV01 style move while telling you precisely where the exposure sits. PVE (economic value) and NIM (margin), both covered.
KRS is delivered as a first class scenario type in Mirai with dedicated screens to manage tenor structures and KRS scenarios. Curves are normalized to the selected grid using their own accrual, day count, and interpolation settings; missing points are interpolated, extras are ignored. You choose the shock and metrics to calculate, and Mirai handles the rest, consistently and at scale
The same governance you rely on for management/regulatory runs now powers tenor level sensitivity analysis. Same data, same controls, uniform execution. If you want, you can even store base-case management metrics alongside KRS for traceability.
Normalize all curves used by the scenario (repricing, discount, new business) to your tenor grid.
Run base, then re-run cumulatively per tenor, applying the shock.
Compute per tenor sPVE / sNIM as the difference between “shock up to tenor N” and “shock up to tenor N−1”.
Store the results with the scenario context for audit and comparison across runs.
A treasury manager needs to refine hedges ahead of ALCO. With KRS, they run the portfolio on the standard grid (e.g., 1M, 3M, 6M, 12M, 24M, 5Y, 7Y, 10Y) and instantly see which tenors dominate PVE and NIM in the next months. If 12M shows a large positive sPVE while 5Y is negative in 2026, the team knows exactly where to focus on hedging and pricing actions, grounded in scenario-consistent analytics rather than ad hoc approximations.
Key Rate Sensitivity turns a single DV01 into an actionable tenor map for PVE and NIM, fully integrated with Mirai’s scenario governance and data model. Define the structure, select the shock, and let the platform deliver normalized, incremental sensitivities straight into the analytical layer, accurately, transparently, and at scale. With KRS, you localize risk, sharpen hedges, and align stakeholders around a single source of truth.