Capital Markets School - October 2023

Internal Use Only

Interest Rate Risk Management Board should establish an appropriate framework to identify, measure, monitor, and control interest rate risk

• Board Oversight • Senior Management Oversight • Policies and Procedures • Strategies • Risk Limits • Risk Monitoring and Reporting

5

Internal Use Only

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

6