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Treasury Management in Banks – Presented by Namrata Padhye, Ritu Madan & Anand Iyer

TREASURY MANAGEMENT IN BANKS

MET’s Institute of Management

December 2006

2


?Treasury Management

Bank’s Balance SheetBank’s Balance Sheet

NDTLNDTL

What is Treasury What is Treasury Management?Management?

Treasury ProductsTreasury Products

Forex Market,Forex Market,Money Market Money Market

Securities marketSecurities marketElements of TreasuryElements of Treasury

ManagementManagementVaR, Price Gap &VaR, Price Gap &

Time GapTime Gap

Risk Exposure in MoneyRisk Exposure in MoneyMarket InstrumentsMarket Instruments

Dynamics of AssetDynamics of AssetLiability ManagementLiability Management

RBI Guidelines onRBI Guidelines onALMALM

Liquidity RiskLiquidity RiskManagementManagement

Interest Rate RiskInterest Rate RiskManagementManagement

Basel AccordBasel Accord

BANK ??BANK ??

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What is a Bank???“A financial Institution that is

owned by stockholders, operates

for a profit, and engages in

lending activities”

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Bank Goals and Constraints

5


A Bank’s Balance Sheet

LIABILITIESLIABILITIES ASSETSASSETS

Capital Cash in hand

Reserves & Surplus Balances with RBI

Deposits Balances with other banks, money at call and notice

Borrowings Investments

Other liabilities & provisions Advances

Contingent Liabilities Fixed Assets

Others

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Net Demand Time Liabilities???Banks have to maintain statutory reserves on their NDTL. For calculating its

NDTL, a bank has to first sum• up its total gross liabilities, which include all demand and term deposits.

Once the gross demand and time• liabilities (DTL) is determined, the bank can deduct its Interbank assets (IBA)

from this DTL only to the extent• of its Interbank liabilities (IBL). Usually NDTL is calculated with reference to

alternate Fridays called• "Reporting Fridays". The banks are required to maintain their CRR and SLR

with reference to the NDTL as of the• reporting Friday.

• Liabilities of a bank may be in the form of demand or time deposits or borrowings or other miscellaneous items of liabilities.

• Liabilities of the banks may be towards the banking system (as defined under Section 42 of RBI Act, 1934) or towards others

• in the form of Demand and Time deposits or borrowings or other miscellaneous items of liabilities. Reserve Bank of India has

• been authorized in terms of Section 42 (1C) of the RBI Act, 1934 to classify any particular liability and hence for any doubt

• regarding classification of a particular liability, the banks are advised to approach RBI for necessary clarification.

7


Demand LiabilitiesDemand Liabilities

They include current deposits, demand liabilities portion of savings

bank deposits, margins held against letters of credit/guarantees,

balances in overdue fixed deposits, cash certificates and

cumulative/recurring deposits, outstanding Telegraphic Transfers

(TTs), Mail Transfer (MTs), Demand Drafts (DDs), unclaimed

deposits, credit balances in the Cash Credit account and deposits

held as security for advances which are payable on demand. Money

at Call and Short Notice from outside the Banking System should be

shown against liability to others.

8


Time Liabilities

They include fixed deposits, cash certificates, cumulative

and recurring deposits, time liabilities portion of savings

bank deposits, staff security deposits, margin held against

letters of credit if not payable on demand, deposits held as

securities for advances which are not payable on demand,

India Millennium Deposits and Gold Deposits.

Time Liabilities

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Net Demand and Time Liabilities

Formula:

NDTL = liabilities to others + liabilities to

banking system – assets with

banking system

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• Liabilities to others = Deposits (total) –

deposits of banks

• Liabilities to banking system =

borrowings from other banks (do not

include borrowings from RBI)

• Assets with banking system = balances

with other banks, money at call/notice

11



Statutory Requirements:

• Fortnightly Reporting

• Form – A

• Section 42(2) of the RBI Act

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Fortnightly return in Form ‘A’

• Under Section 42 (2) of RBI Act, 1934 submit

a provisional return in Form 'A' within 7 days

• Final Form 'A' is required to be sent to RBI

within 20 days

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Form A

• Memorandum to form 'A'- paid-up capital,

reserves, time deposits i.e. of short term and

Long term, CoD, NDTL, total CRR requirement etc.

– Annexure A- foreign currency liabilities and assets – Annexure B- investment in approved securities,

investment in non-approved securities, memo items such as subscription to shares /debentures / bonds in primary market and subscriptions through private placement.

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Computation of DTL in Form AConverting all the foreign current assets and bank credit of

the following 4 major currencies viz. US dollar, GBP, Japanese Yen and Euro into Rupees

Format of fortnightly returns in Form ‘A’ and the method of computing DTL in Form ‘A’ i.e. if (I-III) is positive, then [(I-III) plus II], otherwise only II.

The explanations to item No's. I, II and III of the return in form 'A' are given below

• Item I - Liabilities to the Banking System in India .• Item II - Liabilities to Others in India.• Item III - Assets with the Banking System in India.

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RBI act Section 42(2) SCB’s Banks Two responsible officers Return

(a) the amount of its demand and time liabilities and the amount of its borrowings from banks in India, classifying them into demand and time liabilities,

(b) the total amount of legal tender notes and coins held by it in India,

(c) the balance held by it at the Bank in India,(d) the balances held by it at other banks in current account

and the money at call and short notice in India,(e) the investments (at book value) in Central and State

Government securities including treasury bills and treasury deposit receipts,

(f) the amount of advances in India,(g) the inland bills purchased and discounted in India and

foreign bills purchased and discounted,

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What is Treasury Management?

“Treasury management is the management of an organization’s liquidity to ensure that the right amount of cash resources are available in the right place in the right currency and at the right time in such a way as to maximize the return on surplus funds, minimize the financing costs of the business, and control interest rate risk and currency exposure to an acceptable level.”

17


Objectives of Treasury• Funding of investment

• Working Capital Management

• Short-term Investments

• Risk (hedging) and Forex Management

• Responsibility for the judicious use of bank’s

name

• Asset & liability management

• Maintenance of statutory reserve requirements

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Integrated Treasury- A Typical set up

Top Management

Treasurer

Balance sheetmanagement

Money Market activities

Forex activities

DerivativesTreasury marketing

Equities &

Commodities

ALMManagement of:ReservesGaps,liquidity

Swap TradingBond Trading (gilts & corporate paper

Spot trading,merchant cover operations

Interest rate derivatives &Forexderivatives

Marketing all the interest rate ,Foreign exchange & derivatives products

Trading in equities & commodities like gold, oil etc.

Middle officeBack-office

Financial control


TREASURY PRODUCTS

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FOREIGN EXCHANGE MARKET

• Most liquid market. Free currencies can be readily bought and sold.

• Not fully convertible currencies which have limited demand also have sufficient liquidity.

• Virtual market. Information dissemination through electronic media like Reuters, Bloomberg.

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PRODUCTS OF FOREX MARKET

SPOT TRADES• Mostly bought and sold in spot trades• Settlement happens on a T+2 basis• Settlement can happen on the same day or the next day.• Exchange rates displayed are for spot trades unless

specified other wise.• Same day or next day trading rates are at a discount to

the SPOT rates.

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FORWARDS• Refers to purchase or sale of currency on a future

date.• Treasury gets into forward contracts with customers

(importers,exporters who do not want the currency risk) and simultaneously gets into reverse positions in the inter-bank market.

• Treasury may get into forward market to make speculative gains.

• Forward rates are arrived by adding the interest rate differential to the spot rate of low interest yielding and deducted from the spot rate of high interest yielding .

• However this is applicable in perfect markets where the currency is fully convertible. In India the demand for the currency influences the rate more than the interest differentials.

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SWAPS

• Combination of spot and forward transaction.• Generally used for funding requirements, but also

arbitrage opportunity.

INVESTMENT OF FOREX SURPLUSES

• Surpluses arise due to variety of reasons• Can invest in

Inter-bank loans

Short term investments

Nostro accounts

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REDISCOUNTING OF FOREIGN BILLS

• Inter bank advance where treasury refinances bills purchased by another bank.

• Though it is an inter bank deal, RBI has asked the banks to include it in their credit portfolio.

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MONEY MARKET

• Refers to raising and deployment of short term resources with maturity not exceeding 1 year

• It is sub-divided into CALL (over night placements), NOTICE ( < 14 days), TERM ( < 1 year typically 1 –6 months)

• RBI has imposed restrictions on non- banks with a view to phase out their participation and make money market as a pure inter-bank market.

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Money Market Players & their Role

PlayerPlayerCentral BankCentral BankGovernmentGovernment

BanksBanksDiscount HousesDiscount Houses

Acceptance HousesAcceptance HousesFIsFIs

MFsMFsFIIsFIIs

DealersDealersCorporatesCorporates

RoleRoleIntermediaryIntermediaryBorrower / IssuerBorrower / IssuerBorrowers / IssuersBorrowers / IssuersMarket MakersMarket MakersMarket MakersMarket MakersBorrowers / IssuersBorrowers / IssuersLenders / InvestorsLenders / InvestorsInvestorsInvestorsIntermediariesIntermediariesIssuersIssuers

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Money Market Instruments

• Call Money

• Treasury Bills

• Commercial

Paper (CP)

• Certificate of

Deposits (CDs)

• Bill Financing

• Repurchase

Agreements (REPOs)

• Interest Rate Swaps

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Call Money

• Participants

• Purpose

• Call Rates

• Operation Mechanism

• Location

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Instr

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Treasury Bills

• Issuer

• Investor

• Purpose

• Form and Size

• Types

• Yields

Mon

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Instr

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Commercial Papers

• Definition

• Issuers

• Investors

• Features

• Maturity

• Denomination and size

Mon

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Instr

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Certificate of Deposits

• Definition

• Issuers

• Subscribers

• Features

• Purpose

• Min size and denomination

• Term/maturity

Mon

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Instr

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Repurchase Agreements (REPOs)

• Purpose

• Participants

• Liquidity

• Term / Maturity

Mon

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Instr

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Interest Rate Swaps

Basic Interest Rate Swap

The difference in rates –

Fixed Market 12.00% - 10.00% = 2.00%

Floating Market MIBOR+0.50% - (MIBOR + 0.25%) = 0.25%Mon

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Instr

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FirmFirm ObjectiveObjective Fixed InterestFixed Interest Floating InterestFloating Interest

X Fixed Rate 12% MIBOR + 0.50%

Y Floating Rate 10.00% MIBOR + 0.25 %

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SECURITIES MARKET

• Investment business is an important aspect of treasury.

• Involves buying and selling in securities market.

GOVERNMENT SECURITIES• Treasury invests primarily in Gsecs to comply

with the SLR (25%).• SLR gradually reduced over the years.• Gsecs issued by public debt office of RBI on

behalf of government.• Interest is fixed known as coupon rate but price

keeps on changing hence yield keeps on changing.

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• Government uses securities to fund its deficit.• RBI uses Gsecs to control liquidity through open

market operations.• As the interest rates were falling, Gsecs were very

attractive and banks invested to the tune of 41% as against the requirement of 25%.

• However now with increasing interest rates, apprehension is the norm.

• Gsec yields are used as benchmark for other bonds.

CORPORATE DEBT PAPER• Medium and long term bonds issued by corporate

and financial inst.• Yields higher than Gsec and they differ based on

credit rating• Fairly active secondary market, hence liquid.

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DEBENTURES AND BONDS• Debt instruments secured or unsecured.• Conventionally in India debentures issued by private

sectors and bonds by public sector.• Debentures are transferable only by registration

whereas bonds are negotiable.• Debentures governed by company law, bonds by

contract act.• Internationally no difference between the two.• Debenture and bond holders have the prior legal

claim ahead of preference share holders and equity shareholders.

EQUITY• Banks are allowed to invest in equities subject to a

ceiling.(currently at 5 % of total assets)

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TreasuryTreasuryManagementManagement

TreasuryTreasuryManagementManagement

MoneyMoneyMarketsMarketsMoneyMoney

MarketsMarketsForeignForeign

ExchangeExchangeForeignForeign

ExchangeExchange

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Money Markets

Measures affecting Money Markets:

• Changes in CRR

• Changes in SLR

• Open Market Operations

• Bank Rate

• ReposTre

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Foreign Exchange

Funding avenues in Forex Market:

• Bonds

• Syndicate Credits

• Medium Term Loans

• Committed underwritten facilities

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Value at Risk (VaR)

• VaR summarizes the worst loss over a target horizon with a given level of confidence.

• Risk measured in currency unit.

• It is an estimate

• Three factors– Time horizon– Probability– Actual rupee amount itself

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Computation of VaR…Illustration

Change in ValueChange in Value ProbabilityProbability<=Rs 10,00,000 0.01

- Rs 5,00,000 to – Rs 9,99,999

0.04

- Rs 2,50,000 to – Rs 4,99,999

0.15

Rs 0 to – Rs 2,49,999 0.30

Rs 1 to Rs 2,49,999 0.3

Rs 2,50,000 to Rs 4,99,999

0.15

Rs 5,00,000 to Rs 9,99,999

0.4

>= Rs 10,00,000 0.1

Expected change E(∆ V)

Standard deviation (∆ V)

VaR (1%) = E(∆ V) –

2.33 (∆ V)

VaR (5%) = E(∆ V) –

1.65 (∆ V)

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Computation of VaR…Illustration

E(∆ V) - Rs 10,00,000

(∆ V) - Rs 15,00,000

Thus ,

VaR (1%) = 10,00,000 – 2.33 (15,00,000)

= - Rs 24,95,000

VaR (5%) = 10,00,000 – 1.64 (15,00,000)

= - Rs 14,60,000

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Methods used to calculate VaR

Inputs to VaR computation are obtained

through

•Historical Simulation Method

– Value at mark to market

– Requires at least 250 weeks of data.

•Monte Carlo Simulation

– Requires at least 1000 simulations

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Price Gap

• Price Gap can be defined as the difference in the value (Price) of the assets and liabilities, which occurs due to changes in Interest rates.

Let us consider an example:– XYZ bank issues a 5 year, 6% coupon rate bond at

face value of Rs 1000 and invests in 5 year, 6% coupon rate bond at face value of Rs 500.

– Interest rate drops to 5%– Market Price of Bond issued = 60/0.05 = Rs 1200.– Market Price of the Bond Invested = 30/0.05 = Rs 600

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Time Gap

• Time gap can be defined as the Gap occurring due to the difference in the maturity periods of assets and liabilities.

Let us consider an example:– Mr. X deposits Rs. 1000 with a Bank at 6% rate of

interest for a period of 1 year. – Let us consider that the bank lends this money to Mr.

Y at 11% rate of interest for 3 years. – Thus at the time of payment to Mr. X after 1 year the

bank has no money left with it since it has provided this to Mr. Y.

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Risk Exposure in Money Market Instruments

RisksRisksRisksRisks

CreditCreditRiskRisk


MarketMarketRiskRisk


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Market Risks…

RisksRisksRisksRisks





Exchange RisksExchange RisksExchange RisksExchange Risks

Interest Rate RisksInterest Rate RisksInterest Rate RisksInterest Rate Risks

Liquidity RisksLiquidity RisksLiquidity RisksLiquidity Risks

Equity Price RiskEquity Price RiskEquity Price RiskEquity Price Risk

Commodity RiskCommodity RiskCommodity RiskCommodity Risk

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Credit Risk

• Counterparties may be unwilling or

unable to fulfill obligations

• Losses due to credit risk can occur

before actual default

• Credit risk is controlled by imposing

credit limits

Market RiskMarket RiskCredit RiskCredit Risk

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Market Risk

Definition:

Market Risk is the risk to the Bank’s earnings and capital due to changes in the market level of interest rates or prices of securities, foreign exchange and equities as well as the volatilities of those changes.

Market RiskMarket RiskCredit RiskCredit Risk

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Asset Liability Management in Banks

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Components of a Bank Balance sheet

Liabilities Assets1. Capital

2. Reserve & Surplus

3. Deposits

4. Borrowings

5. Other Liabilities

1. Cash & Balances with RBI

2. Bal. With Banks & Money at Call and Short Notices

3. Investments

4. Advances

5. Fixed Assets

6. Other AssetsContingent Liabilities

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Banks Profit & Loss Account

A bank’s profit & Loss Account has the following components:

I. Income: This includes Interest Income and Other Income.

II. Expenses: This includes Interest Expended, Operating Expenses and Provisions & contingencies.

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Assets Liability Management

• It is a dynamic process of Planning, Organizing & Controlling of Assets & Liabilities- their volumes, mixes, maturities, yields and costs in order to maintain liquidity and NII.

• ALM is a system of matching cash inflows and outflows, and thus of liquidity management

• ALM is the act of Planning, Acquiring and Directing the ALM is the act of Planning, Acquiring and Directing the flow of funds through the bankflow of funds through the bank

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Evolution of the concept of ALM

• Managing liquidity on the bank's asset side • Later shift to the liability side, termed liability management • Using both the assets as well as liabilities sides of the balance sheet to

achieve optimum resources management • In the 1980s, volatility of interest rates in USA and Europe caused the

focus to broaden to include the issue of interest rate risk • Prior to the 1990s, there was no interest rate risk as the interest rates

were regulated and prescribed by the RBI . Now the banks have been given a large amount of freedom to manage their balance sheets

• Reserve Bank of India to announce in its monetary and credit policy of October 1997 that it would issue ALM guidelines to banks

• Current decade focuses on earning a proper return of bank equity and hence maximization of its market value has meant that ALM covers the management of the entire balance sheet of a bank

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RBI DIRECTIVES

• Issued draft guidelines on 10th Sept’98.• Final guidelines issued on 10th Feb’99 for implementation

of ALM w.e.f. 01.04.99.• To begin with 60% of asset &liabilities will be covered;

100% from 01.04.2000.• Initially Gap Analysis to be applied in the first stage of

implementation.• Disclosure to Balance Sheet on maturity pattern on

Deposits, Borrowings, Investment & Advances w.e.f. 31.03.01

• RBI has propose to switch over to Risk Based Supervision

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Objectives of ALM

• Aimed at identification, measurement, monitoring and control of the market risk segment…

• Its key objectives are:

1)stabilization of net interest income, 2)maximization of shareholders wealth, 3)managing liquidity

• The primary objective of an Asset Liability management system is liquidity risk management and interest rate risk management.

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Objectives of ALM in Banks

Banks Banks response to response to

Interest Rate Interest Rate ChangesChanges

Banks Banks response to response to

Interest Rate Interest Rate ChangesChanges

Interest Interest IncomeIncome

Interest Interest ExpenseExpense

Market Value of Market Value of Banks AssetsBanks Assets

Market Value of Market Value of Banks LiabilitiesBanks Liabilities

Banks NIMBanks NIM

Banks Net Banks Net WorthWorth

Invest. Value,

Profit & Risk

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Prerequisites of ALM

• Developing a better understanding of ALM concepts,

• Introducing an ALM information system, • Setting up ALM decision-making processes (ALM

Committee/ALCO). • Awareness for ALM in the Bank staff at all levels–

supportive Management & dedicated Teams.• Insight into the banking operations, economic

forecasting, computerization, investment, credit.• Linking up ALM to future Risk Management

Strategies.

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ALCO

• Administers on a daily basis the componenets tht affect financial performance

• Develops, implements and manages banks’s annual budget or profit plan and its risk management programme

• Its compositions depends on: - size of the organisation - magnitude of operations - business mix - need for response to market dynamics

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Composition of ALCO

Head of Committee Head of Committee CEO/CMD/EDCEO/CMD/ED

Head of Committee Head of Committee CEO/CMD/EDCEO/CMD/ED

Chief of Chief of InvestmentsInvestments

Chief of Chief of InvestmentsInvestments

Chief of Chief of CreditCredit

Chief of Chief of CreditCredit

Chief of Chief of PlanningPlanning

Chief of Chief of PlanningPlanning

Chief of Chief of Treasury Treasury

Chief of Chief of Treasury Treasury

ChiefChiefInt. BankingInt. Banking

ChiefChiefInt. BankingInt. Banking

Economic Economic ResearchResearch

Economic Economic ResearchResearch

Head of Technical Head of Technical DivisionDivision

Head of Technical Head of Technical DivisionDivisionInvitee

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Responsibilities of ALCO Committee

• Balance sheet planning from risk-return perspective

- pricing bank’s liabilities (deposits) in accordance with its various assets

- to arrrive at the appropriate maturity profile for the assets and lab and to have a proper product mix

• Articulate the current interest rate view and make future strategies

• Determine source and mix of assets and liabilities

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Responsibilities of ALCO Committee

• Review of decisions and progress made

• Frequency of holding meetings

• Strategic management of Structural

liquidity and interest rate risk.

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ALM Process

• Efficiency of ALM process depends on ALM MIS and ALM structure

• Its primary goal is to identify risk parameters• It takes care of foll. Risks

Liquidity

Interest risk

Currency

Equity

Commodity

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ALM Process

• Risk Identification

• Risk Measurement

• Risk Management

• Risk Tolerance And Limit Levels

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Significance of ALM

• Volatility

Deregulation of financial system changed the dynamics of financial markets. Such free economic environment are reflected in Interest Rate Structure, Money Supply, Exchange Rate and Price Level

• Product Innovations & Complexities

Rapid innovation take place in financial products of the bank. They have an impact on the risk profile of the bank

• Regulatory Environment• Management Recognition

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Purpose & Aims of ALM

An effective Asset Liability Management

Technique aims to manage the volume, mix,

maturity, rate sensitivity, quality and liquidity of

assets and liabilities as a whole so as to attain a

predetermined acceptable risk/reward ration.

It is aimed to stabilize short-term profits, long-term

earnings and long-term substance of the bank.

The parameters for stabilizing ALM system are:

• Net Interest Income (NII)

• Net Interest Margin (NIM)

• Economic Equity Ratio

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Scope of ALMScope of ALMScope of ALMScope of ALM

LiquidityLiquidityRiskRisk

ManagementManagement

LiquidityLiquidityRiskRisk


InterestInterestRate RiskRate Risk


InterestInterestRate RiskRate Risk


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Liquidity risk

• Liquidity risk is often related to bank’s inability to pay to its depositors

• It leads to distress pricing of assets and liabilities• A bank with high degree of liquidity risk has 2

options

- to borrow funds from money market at high rates

- to increase its deposit rates• Liquidity risk has strong co-relation to interest risk

and credit risk.

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Adequacy of liquidity position for a bank

Analysis of following factors throw light on a bank’s adequacy of liquidity position:a. Historical Funding requirementb. Current liquidity positionc. Anticipated future funding needsd. Sources of fundse. Options for reducing funding needsf. Present and anticipated asset qualityg. Present and future earning capacity andh. Present and planned capital position

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Funding Avenues

To satisfy funding needs, a bank must perform one or a combination of the following:

a. Dispose off liquid assetsb. Increase short term borrowingsc. Decrease holding of less liquid assetsd. Increase liability of a term naturee. Increase Capital funds

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Types of Liquidity Risk

• Liquidity Exposure can stem from both internally and externally.

• External liquidity risks can be geographic, systemic or instrument specific.

• Internal liquidity risk relates largely to perceptions of an institution in its various markets: local, regional, national or international

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Other categories of liquidity risk

• Funding Risk

- arises due to maturing of liabilities

• Time Risk

- arises if funds lent lent with structured repayment schedule do not come back as planned

• Call Risk

- arises on crystallization of contingent liabilities

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Liquidity Risk Management

• Initially there was surplus liquidity but after 2004-05 the scenario changed so the need for LRM was felt evn more

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Liquidity Risk Management

• Liquidity management is viewed from 2 angles

- Short term Implications

- Long term Implications• Short term Implications may be viewed as per

convenience. The 2 set of tools for this purpose are: Working Funds approach and Cash flow Approach.

• Long term Implications takes into account 2 crucial aspects: Asset management and Liquidity management

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Dynamic v/s Static Liquidity management

• Static Liquidity Management:

- based on Balance sheet items

- behavioral pattern of deposits and liabilities

- sensitivity in response to pricing• Dynamic Liquidity Management

- analysis of cash flows

- meeting fresh investments (regulatory priorities)

- monitoring

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Structural liquidity statement

• It is a framework for measuring liquidity risk

• RBI’s prescription to have a fortnightly statement

• It is prepared on the basis of assets and liabilities

• It is to be reported every Friday

• Time Bucketing has to be made on residual maturity of each item

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Structural liquidity statement TIME BUCKETS

All Assets & Liabilities to be reported as per their maturity profile into 8 maturity Buckets:

i. 1 to 14 days

ii. 15 to 28 days

iii. 29 days and up to 3 months

iv. Over 3 months and up to 6 months

v. Over 6 months and up to 1 year

vi. Over 1 year and up to 3 years

vii. Over 3 years and up to 5 years

viii. Over 5 years

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Structural liquidity statement

• Places all cash inflows and outflows in the maturity ladder as per residual maturity

• Maturing Liability: cash outflow• Maturing Assets : Cash Inflow• Classified in to 8 time buckets• Mismatches in the first two buckets not to

exceed 20% of outflows (RBI limits)• Shows the structure as of a particular date• Banks can fix higher tolerance level for other

maturity buckets.

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For Outflows of Bucketing

1. Capital & R/S

2. Current deposits

- volatile portion(15%)

- core portion (85%)

3. Time deposits, CD’s, Repos, bills discounted, interest payable

4. Bills payable

- non core portion

- core portion

5. All overdue liabilities

1.Over 5 yrs bucket

2.

- 1 to 14 days

- 1 to 3 yrs

3. Placed in respective time buckets depending on residual maturity

4.

- 1 to 14 days

- 1 to 3 yrs

5. 1 to 14 days

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For Inflows of Bucketing

1.Cash, balances with RBI

2. Investments

3. Term loans , Leased Assets

4. NPA

- Substandard

- Doubtful

5. Fixed Assets

6. Reverse Repos, swaps, bills rediscntd, Int Rec

1. 1 to 14 days

2. Depends

3. Interim Cash flows under respectve maturity buckts

4.

- 3 to 5 yrs

- over 5 yrs

5. Over 5 yrs

6. Respective maturity Buckets

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An Example of Structural Liquidity

Statement 1-14Days

15-28 Days

30 Days-3 Month

3 Mths - 6 Mths

6 Mths - 1Year

1Year - 3 Years

3 Years - 5 Years

Over 5 Years Total

Capital 200 200Liab-fixed Int 300 200 200 600 600 300 200 200 2600Liab-floating Int 350 400 350 450 500 450 450 450 3400Others 50 50 0 200 300Total outflow 700 650 550 1050 1100 750 650 1050 6500Investments 200 150 250 250 300 100 350 900 2500Loans-fixed Int 50 50 0 100 150 50 100 100 600Loans - floating 200 150 200 150 150 150 50 50 1100Loans BPLR Linked 100 150 200 500 350 500 100 100 2000Others 50 50 0 0 0 0 0 200 300Total Inflow 600 550 650 1000 950 800 600 1350 6500Gap -100 -100 100 -50 -150 50 -50 300 0Cumulative Gap -100 -200 -100 -150 -300 -250 -300 0 0Gap % to Total Outflow-14.29 -15.38 18.18 -4.76 -13.64 6.67 -7.69 28.57

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Its Utility and Drawbacks

Utilities

• Mismatch control

• Dominance or weakness of a bucket

• Initiate policies

• Compute interest rate sensitivity

Drawbacks

• Static and not dynamic

• Depends on residual maturity without considering the duration

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Dynamic Liquidity Statement

• It shows inflows and outflows limited to a period of 90 days

• To capture negative mismatch in a short term period

• Total of 3 buckets in this statement :

- 1 to 14 days

- 15 to 28 days

- 29 to 90 days

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Short term liquidity statement format

Particulars 1 to 14 days 15 to 28 days

29 to 30 days

Outflows

Inflows

Mismatch

Cumulative mismatch

Mismatch as a % to outflow

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Strategies to Address the Mismatches

• Mismatches can be positive or negative

• Positive Mismatch: M.A.>M.L. and Negative Mismatch M.L.>M.A.

• In case of +ve mismatch, excess liquidity can be deployed in money market instruments, creating new assets & investment swaps etc.

• For –ve mismatch,it can be financed from market borrowings (Call/Term), Bills rediscounting, Repos & deployment of foreign currency converted into rupee.

87


STRATEGIES…contd

• To meet the mismatch in any maturity bucket, the bank has to look into taking deposit and invest it suitably so as to mature in time bucket with negative mismatch.

• The bank can raise fresh deposits of Rs 300 crore over 5 years maturities and invest it in securities of 1-29 days of Rs 200 crores and rest matching with other out flows.

88


Maturity Pattern of Select Assets & Liabilities of A Bank

Liability/Assets Rupees(In Cr)

In Percentage

I. Depositsa. Up to 1 yearb. Over 1 yr to 3 yrsc. Over 3 yrs to 5 yrsd. Over 5 years

1520080006700230270

10052.6344.08 1.51 1.78

II. Borrowingsa. Up to 1 yearb. Over 1 yr to 3 yrsc. Over 3 yrs to 5 yrsd. Over 5 years

450180 00150120

10040.00 0.0033.3326.67

III. Loans & Advancesa. Up to 1 yearb. Over 1 yr to 3 yrsc. Over 3 yrs to 5 yrsd. Over 5 years

880034003000 4002000

10038.6434.09 4.5522.72

Iv. Investmenta. Up to 1 yearb. Over 1 yr to 3 yrsc. Over 3 yrs to 5 yrsd. Over 5 years

58001300 300 9003300

10022.41 5.1715.5256.90

89


Accounting Ratios in Liquidity Risk Management

• LRM is management of Balance sheet and ratios provide a direction to this.

• Some of the ratios are and what is desirable from liquidity point of view:

- Loans and advances to Total Assets(60% to 65%)

- Loans and advances to Core deposits(70% to 75%)

- Large liabilities to Earning assets(50%)

- Purchased funds to Total Assets(10% to 15%)

- Cash Ratio(30%)

- Loan losses to Net loans(1%)

90


Interest Rate Risk

Interest rate risk maybe defined as the probability of loss on account of movement in interest rates, having an effect on the value of assets, liabilities, Net Interest Income (NII) and Net Interest Margin (NIM) over a period of time.

91


Interest Rate Risk

Net Interest Income

- Difference between the interest income and interest expenses

Net Interest Margin

- Net Interest Income as a percentage of average assets.

92


Impact of Interest rate fluctuations

Change in interest rate causes

• Change in the value of Assets & Liabilities.

• Change in the Net Interest Income (NII)

93


Earnings at Risk

Outcome of application of a notional interest rate shock in the interest segment of a bank or a financial institution to give a stress tested earning position.

Basel Norms suggest:- Standardized interest rate shock of 2%- Danger incase of economic value below

20% of tier I and tier 2 capital.

94


Earnings at Risk

Calculations

- Classification

- Multiply by the remaining months of maturity

- Sum up the totals

- Find the net product

- Compute the risk or fall based on 1% shock.

95


Components

• Price Risk

• Basis Risk

• Embedded Option Risk

• Mismatch Risk

• Reinvestment Risk

Mark

et

Ris

ks

Interest Rate RiskInterest Rate RiskExchange RiskExchange Risk Liquidity RiskLiquidity Risk

96


Maturity or Static Gap Analysis

• Measures how much Interest Rate Risk a Bank evidences at a fixed point time.

• Interest Rate risk is measured by calculating GAPs over different time periods on aggregate Balance sheet data at a Fixed point in time – hence termed as Static GAP.

Inte

rest

Rate

Ris

k M

an

ag

em

en

t

Duration Gap AnalysisDuration Gap AnalysisStatic Gap AnalysisStatic Gap Analysis

97


GAP STATEMENT

1. Gap for 1-14 & 15-28 Days is within limits. It does not exceed 20% of Outflows.

2. Not liquid up to 3 years horizon. Severe liquidity problems 3 months on Wards.

3. Short term deposits are funding investments 1-3 yrs and 3-5 yrs. This is Creating liquidity crunch.

98


Interest Rate Risk Management

There are 2 Methods for managing Interest

Rate Risk.

• GAP Analysis

• Duration Analysis

99


Rate Sensitivity

An Asset / Liability is classified as rate sensitive if

• Within the Time Interval in consideration there is a cash flow

• The interest rate resets / re-prices during the interval

• RBI changes the interest rate

• It is prepayable or withdrawable before the stated maturity


Classification of Liabilities as Risk Sensitive

Liabilities Rate Sensitivity

1 Capital, Reserves & Surplus Non-Sensitive

2 Current Deposits Non-Sensitive

3 Saving Bank Deposits Sensitive - To the Extent of Interest paying (Core) portion.

4 Term Deposits and Certificate of Deposit

Sensitive

5 Borrowings - Fixed Sensitive

6 Borrowings - Floating Sensitive

7 Borrowings - Zero Coupon Sensitive

8 Other Liabilities and Provisions

i) Bills Payable Non-Sensitive

ii) Inter-Office Adjustment Non-Sensitive

iii) Provisions Non-Sensitive


Classification of Assets as Risk Sensitive

Assets Rate Sensitivity

1 Cash Non-Sensitive

2 Balances with RBI Sensitive - (only the Interest earning portion)

3 Balances with other Banks

i) Current Account Non-Sensitive

ii) Money at call and Short Notice, Term Deposits and other placements

Sensitive

4 Investments

I) Fixed Rate / Zero Coupon Sensitive

ii) Floating Sensitive

5 Shares / Units of Mutual Funds Non-Sensitive

6 Advances & Investments

I) Bills Purchased and Discounted Sensitive

ii) Fixed Assets Non-Sensitive

iii) Leased Assets Sensitive

102


Income GAP - Net Interest Income (NII)

GAP = RSA – RSL

NII = RSA*I –RSL*I

NII = GAP I

103


Example – GAP Statement of Bank A

RSA = Rs. 100 Cr (Within 1 yr Maturity and earning 15% p.a.)RSL = Rs. 60 Cr. (Within 1 yr Maturity and raised at 9% p.a.)

Current Level Amount Rate of Interest Interest earnings / Cost

RSA Rs. 100 Cr 15% Rs. 15 Cr

RSL Rs. 60 Cr. 9% Rs. 5.4 Cr

RSA > RSL – GAP is +veCumulative GAP = RSA – RSL = Rs. 40 CrNII = 15 Cr – 5.4 Cr = 9.6 Cr

RSL maturing during 1 yr bucket RSA maturing during 1 yr bucket

Call Money 5 Investment in G-Secs 30

Borrowings from LAF 20 Loans and Advances 55

Fixed Deposit 35 Commercial papers 15

104


Example contd.

If interest rate increase by 1%

Position at Repricing

Amount Rate of Interest

Interest earnings / Cost

RSA Rs. 100 Cr

16% Rs. 16 Cr

RSL Rs. 60 Cr.

10% Rs. 6 Cr

NII = 16 Cr – 6 Cr = Rs. 10 CrNII increased by 0.4 Cr with 1% rise in Interest rateIncome = GAP I = Rs. 40 Cr * 0.01 = Rs. 0.4 Cr

105


Example contd.

If interest rate decrease by 1%

Position at Repricing

Amount Rate of Interest

Interest earnings / Cost

RSA Rs. 100 Cr

14% Rs. 14 Cr

RSL Rs. 60 Cr.

8% Rs. 4.8 Cr

NII = 14 Cr – 4.8 Cr = Rs. 9.2 CrNII decreased by 0.4 Cr with 1% rise in Interest rateIncome = GAP I = Rs. 40 Cr * 0.01 = Rs. 0.4 Cr

106


Summary of Impact of interest rate movement

GAP Position

in Interest rate

in Interest income

in Interest expense

in Net Interest Income(NII)

+VE Increases

Increases

> Increases Increases

+VE Decreases

Decreases

> Decreases Decreases

-VE Increases

Increases

< Increases Decreases

-VE Decreases

Decreases

< Decreases Increases

Zero Increases

Increases

= Increases Neutral

Zero Decreases

Decreases

= Decreases Neutral

107


GAP Analysis - Pitfalls

• Equal Size gaps in different buckets are treated equally.

• Equity classified as Non-sensitive.

• Fixed assets as Non-sensitive.

• Effective maturity of Demand & Savings Deposit is Uncertain.

• Difficult to assess Overall Risk on the basis of gaps in various time buckets.

108


Duration Analysis

• It is used to measure Interest Rate Sensitivity of an Asset / Liability

• It is the Weighted Avg. Maturity of all the cash flows.

• Formula:

109


ExampleFive Year Bond

Par Value = Rs. 10,000 , Coupon rate = 8%, YTM = 10%, Maturity = 5 Years

Time Cash Flow PV Multiplier PV Weighted PV

1 800 0.909091 727.27 727.27

2 800 0.826446 661.16 1,322.31

3 800 0.751315 601.05 1,803.16

4 800 0.683013 546.41 2,185.64

5 10800 0.620921 6,705.95 33,529.75

9,241.84 39,568.14

Duration = 39,568.14 / 9,241.84 = 4.2814 Yrs

110


Duration GAP SummaryDGA

PInterest Rates

Change in

Assets

Market

ValueLiabiliti

esNII

+ve Increase

Decrease

> Decrease

Decrease

+ve Decrease

Increase > Increase

Increase

-ve Increase

Decrease

< Decrease

Increase

-ve Decrease

Increase < Increase

Decrease

Zero Increase

Decrease

= Decrease

None

Zero Decrease

Increase = Increase

NoneInte

rest

Rate

Ris

k M

an

ag

em

en

t

Duration Gap AnalysisDuration Gap AnalysisStatic Gap AnalysisStatic Gap Analysis

111


Limits and Triggers

• Cap on inter-bank borrowings

• Purchased funds vis-à-vis liquid

assets

• Core deposits vis-à-vis Core Assets

• Duration of liabilities and investment

portfolio

Mark

et

Ris

ks

112


“All of life is the management of Risk, not its

elimination.”- Walter Wriston

Former Chairman of Citicorp

113


Assets Liabilities

100 Crores, 5 years, Fixed rate loan@10%

90 Crores, 30 days deposit @6%

Equity 10 Crores

Total 100 Crores Total 100 Crores

Consider an Example…

NII = 10 Crores – 5.4 Crores = 4.6 CroresNIM = (10 crores-5.4 crores)/100 Crores = 4.6%

114


Assets Liabilities

100 Crores, 5 years, Fixed rate loans@10%

90 Crores, 30 days deposits @8%

Equity 10 Crores

Total 100 Crores Total 100 Crores

Interest Rates Increase by 2%

NII = 10 Cr – 7.2 Cr = 2.8 CrNIM = (10 Cr-7.2 Cr)/100 Cr = 2.8%Change In NII &NIM = 1.6Cr, -1.6%

115


Some

Sample

Strategies

by Banks

116


Money Market Instrument

Exporter expecting a payment of $1000 (in 30 days) Current rate Rs. 44/ $1 Payment after conversion is Rs. 44000

Borrow $1000 from US Market – Interest rate 3%(30 days)Convert into Rupees i.e. Rs. 44000

Invest the Rs. 44000 in Indian Money market instrument – interest rate 2% (30 days)

117


Example contd…

After 30 days Receive the payment of $1000, and use it to pay off the Principal.

Interest to be paid - $1000 * 0.03 = $30 = Rs 30 *42 = Rs 1260 Interest earned – Rs 44000 * 0.02 = Rs. 880

After 30 days Exchange rate – Rs 42/$1

Cost of the Hedge = 1260 – 880 = Rs 380

Loss if not hedged = (44-42) * 1000 = Rs. 2000

118


Interest Rate Swaps (IRS)

Bank A has Investment of Rs 1000 in a Bond with a coupon rate of 10% and maturity 5 years.

It wants to hedge the entire Rs.1000 against Interest Rate Risk.

It gets into an IRS with Bank B.

119


IRS Example Contd.

Bank A Bank B

Fixed Rate 10%

Floating Rate

120


IRS Example Contd.Notional amount = 1000 Duration 5 Yrs

Years A Pay-in

(Fixed 10%)

B Pay-in

(Floating)

Current Interest

rate

Difference

A Pay-Out

B Pay-Out

1 10 10 10 0 0 0

2 10 11 11 1 10 -10

3 10 10.5 10.5 0.5 5 -5

4 10 10 10 0 0 0

5 10 9.5 9.5 0.5 -5 5

Pay-out from Bond

Total pay-out

Rate of return

100 100 10

100 110 11

100 105 10.5

100 0 0

100 95 9.5

121


Without Hedging

With Hedging

Risk management through derivatives

122


Main types of strategy

Buying an option Defensive strategy

Selling an option Offensive strategy

Dealing a firm product Neutral strategy

123


Hedging techniques for an Fx.risk

View of Currency View of Risk ActionVery Bullish Risk Averse Buy Currency ForwardVery Bullish Risk Tolerant Buy Currency ForwardBullish Risk Averse Buy Currency ForwardBullish Risk Tolerant Buy ATM call

Flat Market Risk AverseDo Nothing or Buy OTM Call

Flat Market Risk Tolerant Do nothiingNo View Risk Averse Buy ATM call

No View Risk TolerantDo nothing or Buy ATM call

Bearish Risk Averse Buy OTM CallBearish Risk Tolerant Do Nothing

Very Bearish Risk AverseDo nothing or Buy FAR OTM Call

Very Bearish Risk Tolerant Do Nothing

124


Can you beat that !!In India,

• we have 88 commercial banks,

• which account for about 82%

(total assets of the financial sector)

• over 2000 cooperative banks, which account for about 5%;

• and 133 Regional Rural Banks, which account for about 3%.

125


Taking into account the ---• size, • complexity of operations,• relevance to the financial sector,• need to ensure less risk • and the need for having an efficient delivery

mechanism

We need constant changes to make it more competitive !!


APPROACH OF RBI

With the commencement of the banking sector reforms in the early 1990s,

RBI has been consistently upgrading the Indian banking sector by adopting international best practices.

The approach to reforms is by having clarity about the destination, deciding on the sequence and modulating the pace of reforms to suit Indian conditions

127


BASEL I

The current risk-based capital adequacy rules, adopted in 1989, are based on the International Basel Capital Accord of 1988 (Basel I).

• Basel I requires all banks to maintain a minimum total risk-based capital ratio of 8 percent.

• India implemented the Basel I framework with effect from 1992-93 which was, however, spread over 3 years

128


Limitations of Basel I

• Insufficiently sensitive to risk (broad categories)

• Very limited account of risk mitigation

• To lend to poorer quality credits

• No incentive structure to improve risk measurement and risk management practice

129


WHY TO SHIFT TO BASEL II ?

• it is more risk sensitive;

• it recognizes developments in risk measurement and risk management techniques

• Basel II takes the regulatory framework closer to the business models employed in banks

• Further, the Basel I framework can be seen as a “one size fits all” model

130


PILLAR 1 PILLAR 3PILLAR 2

IncreasedSupervisory

Power

IncreasedDisclosure

Requirements

Minimum Capital

Requirement

MarketDiscipline

Requirements

SupervisoryReviewProcess

RulesTo Calculate

Required Capital

Capital Adequacy

Basel II – the Three Pillars

Keeping in mind following risk -- Credit risk , Market risk & Operational risk

implementing Basel II with effect from March 31, 2007

131


The Risk Categories in Basel II

• Credit risk – the risk that a borrower or counterparty might not honour its contractual obligations

• Market risk – the risk of adverse price movements such as exchange rates, the value of securities, and interest rates

• Operational risk – the risk of loss resulting from inadequate or failed internal processes, people, and systems, or from external events

132


Credit Risk

• Basel II places emphasis on improving the management and measurement of credit risk

• The measurement of credit risk implies assessing the borrower’s creditworthiness.

• A loan should, therefore, be priced to reflect how much risk it involves.

133


1.What is the probability of a counterparty going into

default?

1.What is the probability of a counterparty going into

default?

2. How much will customerowe the bank in the case ofdefault? (Expected Exposure)

2. How much will customerowe the bank in the case ofdefault? (Expected Exposure)

3.How much of that exposure is the bank going to lose?3.How much of that exposure is the bank going to lose?

“Probability of Default”“Probability of Default”

“Loan Equivalency”(Exposure at Default)“Loan Equivalency”(Exposure at Default)

“Severity”(Loss Given Default)

“Severity”(Loss Given Default)

PDPD

LGDLGD

EaDEaD

=

=

=

X

X

Size of Expected Loss Size of Expected Loss “Expected Loss““Expected Loss“ ELEL=

=

Components of Credit Risk

134


Credit Risk Approaches

For each portfolio, the banks must choose One approach from a set of Three:

– Standardised Approach – Ratings Based Approach

135


Standardised Approach

• New risk weights (0%; 20%; 50%; 100%, 150%) used for assessing capital required.

• Uses External Ratings (where available)

• Unrated weighted at 100%

• 35% weight for claims secured by Residential Mortgage

• 100% weight for claims secured by Commercial Mortgage

136


Internal Rating (IR) Approach

This method has been further classified to• Foundation IR approach• Advanced IR approach

In both methods, capital is allocated based on the following 3 factors:

• Exposure at default (EAD) –amount that is likely to be drawn in default.

• Loss given at default (LGD) – Measures the proportion of lost exposure in default

• Probability of default (PD) - chances of default in terms of percentage (Default – fails to repay borrowings)

137


Advanced Internal Ratings Based Approach

- Same principles as for Foundation Approach, but all items are provided by the bank, based on internally developed models

- Capital charge - subject to a floor at 90 % in 2008 and 80 % in 2009

138


Expected Loss(EL) =

Probability of Default

(PD)

Severity of Loss(LGD)

Exposure atDefaultxx

Standardised = External x Regulatory x Regulatory Rating Imposed Imposed

IRB = Proprietary x Regulatory x Regulatory

Foundation Rating Imposed Imposed

IRB = Proprietary x Proprietary x Proprietary

Advanced Rating Severity Exposure

Credit Risk Approaches

139


Some simple Calculations … Some simple Calculations …

140


The 3 Approaches

Standardised

Approach

AdvancedIRB

Approach

- One size fits all- No capital incentives

for better Credit Risk

- Risk based- Incentive to

manage risks

Simple

Low level of detail

Sophisticated

High level of detail

High sensitivity to risk Little sensitivity to risk

FoundationIRB

Approach

Management

(Internal RatingsBased)

(Internal RatingsBased)

141


Operational Risk

It is defined as the risk of losses resulting from inadequate -

• or failed internal processes, • people, and systems, or• external events• and Banks use their own methodology for

assessing exposure to operational risks.

142


• Operational Risk (OR) will add to banks’ regulatory capital requirements

• Operational risk is not restricted to banks, it’s present in all organisations including yours

Operational Risk

143


PILLAR 1 – Minimum Capital Requirement

• A banks own assessment of key risk factors for a particular exposure serve as the primary inputs in the calculation of the banks risk-based capital requirements.

• These risk factors are then inserted into formulas specified by the Agencies to derive a specific rupee amount capital requirement for each exposure or group of exposures.

144


PILLAR 2 Supervisory Review Process

• It focuses on the regulatory review that would be necessary to ensure that a bank holds sufficient capital given its overall risk profile.

• Since banks are already required to hold capital sufficient to meet their risk profiles under Basel I, the new accord does not propose anything new under the second pillar.

• Existing rules such as the prompt corrective action rules would continue to be enforced and supplemented as necessary to ensure that an institution holds sufficient capital given its overall risk profile.

145


PILLAR 3 Market Discipline Requirements

• Specific disclosure requirements would be applicable to all banks

• Banks would have to disclose in their public financial

reports or in regulatory reports on a quarterly basis, their risk management policies for each separate risk area and their exposures to credit and other types of risks.

• This would allow shareholders and debt holders to assess a banks capital structure, risk exposures, risk assessment processes, and capital adequacy.

146


Comparison of Basel Accords

Greater Risk Sensitivity

Broad Brush

Menu of ApproachesOne Size Fits All

Three Pillars Focus on Single Measure (Capital)

2004: Basel II1988: Basel I

147


Minimum RegulatoryCapital

Capital=

Minimum RegulatoryCapital

Capital

Creditrisk

Operationalrisk

Marketrisk

= + +

Basel II

Basel I

(Credit & Market) Risk adjusted assets

Comparison ..

148


Consolidations in the Indian Banking Industry

• Lower capital levels that large banks obtain under Basel II will likely result in more acquisitions by the larger banks.

• Since most community banks will remain under Basel I, they will have difficulty competing against bigger Basel II banks that benefit from reduced capital requirements and higher ROEs. Basel I banks will become likely takeover targets for Basel II banks that believe they can deploy Basel I bank capital more efficiently.

• Even without the compulsions of Basel, Indian banking industry is on a look out for expanding their operations to the overseas countries. The domestic markets are saturated and some of the banks have already tested the foreign waters for profitable markets.Hence there is a need for consolidation in the banking industry today in order to compete for a piece of the pie in the international markets.

149


CONCLUSION• Future presents both challenges and opportunities

• Enhance the financial performance and raise the visibility of treasury

• Increased use of automation and outsourcing and relying on a more versatile staff

• As all policies with respect to Basel need to be considered within the broader context of the banks own business strategy.

• Banks need risk management packages not only to adhere Basel II ,also for effective risk management and mitigation, gain competitive advantage, develop the robust system, transparency, and cost reduction through detailed data analysis

150


?Treasury Management

Bank’s Balance SheetBank’s Balance Sheet

NDTLNDTL

What is Treasury What is Treasury Management?Management?

Treasury ProductsTreasury Products

Forex Market,Forex Market,Money Market Money Market

Securities marketSecurities marketElements of TreasuryElements of Treasury

ManagementManagementVaR, Price Gap &VaR, Price Gap &

Time GapTime Gap

Risk Exposure in MoneyRisk Exposure in MoneyMarket InstrumentsMarket Instruments

Dynamics of AssetDynamics of AssetLiability ManagementLiability Management

RBI Guidelines onRBI Guidelines onALMALM

Liquidity RiskLiquidity RiskManagementManagement

Interest Rate RiskInterest Rate RiskManagementManagement

Basel AccordBasel Accord

BANK ??BANK ??

151


THANK YOU

474

Documents

time liabilities liabilities

time deposits

namrata padhye

term deposits

form of demand

cumulativerecurring

unclaimed deposits

current deposits