Capital Markets Examiner School, Providence, RI

Interest Rate Risk

SMR: The S-end of the camel.

IRR – Process Overview

Policy

Inputs (GL, Loans,  Investments,  Deposits)

Model Outputs  (Net Interest Income  and Economic Value  of Equity)

Scenarios (Shocks, Ramps,  Non‐Parallel)

Interest Rate Risk  Measurement  Model/System

Board Reporting

Assumptions (Prepayments, Betas,  Average Life)

Independent Review