---
title: "IRRBB Basis-Risk NII Shock Calculator"
method: POST
path: "/v1/tools/calculate_basis_risk_nii_shock"
tags: ["TODO_TAGS_REVIEW", "TODO_AP2_EXPORT_REVIEW"]
---

# IRRBB Basis-Risk NII Shock Calculator

`POST /v1/tools/calculate_basis_risk_nii_shock`

## Request

- Base URL: `https://ainumbers.co`
- URL: `https://ainumbers.co/v1/tools/calculate_basis_risk_nii_shock`
- Auth: none declared

Comptroller's Handbook IRR basis-risk delta-NII calculator: sweeps a single 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 from indices not moving in lockstep. Distinct from art-369 (Rate Shock Ladder Replay), whose parallel-curve convention assumes one shock moves the entire gap schedule uniformly and cannot see basis risk. Complements art-369 and art-442 as the third leg of a full NII/EVE-shock toolkit. NaN-safe. Zero network, zero PII.

**Tool URL:** https://ainumbers.co/chaingraph/art-443-irrbb-basis-risk-nii-shock-calculator.html

## Request body

- object
  - `horizon_months` unknown, required
  - `index_exposures` unknown[], required
    - unknown
  - `material_threshold_pct` unknown, required
  - `reference_shock_bps` unknown, required

## Response `200`

Successful tool execution result

- object
  - `basis_risk_delta_nii` integer
  - `basis_risk_pct_of_parallel` number
  - `convention` string
  - `horizon_months` integer
  - `index_results` object[]
    - `asset_balance` integer
    - `beta_vs_reference` integer
    - `index_name` string
    - `index_shock_bps` integer
    - `liability_balance` integer
    - `net_exposure` integer
    - `nii_contribution` integer
  - `is_material` boolean
  - `material_threshold_pct` number
  - `parallel_delta_nii` integer
  - `reference_shock_bps` integer
  - `total_net_exposure` integer
  - `total_nii_contribution` integer

---

[API](https://skmtc.dev/ainumbers/apis/ainumbers-co-fintech-intelligence-suite.md) · [All operations](https://skmtc.dev/ainumbers/apis/ainumbers-co-fintech-intelligence-suite/llms.txt) · [OpenAPI document](https://skmtc.dev/ainumbers/apis/ainumbers-co-fintech-intelligence-suite/revisions/b462e4f5bb28?raw)