Guideline on Interest Rate Risk in the Banking Book (No. 4230/2023)

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BNR RESTRICTED Page 2 of 23 TABLE OF CONTENTS CONTENTS ......................................................................................3 ...................................................................................................................3 ......................................................................................................5 ............................................................................................5 ...................................................................................................................5 ........................................................7 .............................................................................................7 ...........................................................................................8 ..................................9 .....................................................................................................9 .............................................................................................................9 ..............................................................................................10 ...........................................19 ...................................................................................................................................21

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BNR RESTRICTED Page 5 of 23 (b) historical and hypothetical interest rate stress scenarios, which tend to be more severe than shock scenarios; and (i) (ii) (iii) (iv) (v) (vi)

BNR RESTRICTED Page 6 of 23 (i) (ii) (iii) (iv) (v) (iii)A regular formal process for the assessment of model risk;

BNR RESTRICTED Page 7 of 23 (i) (ii) (iii) (iv) (v) (vi) Bank with IRRBB exposure equivalents to less than 20% drop in the MVE holds additional capital if the level of interest rate risk is considered, by the Supervisor, to be high in relation to its capital level or the quality of interest rate risk management framework obtaining in the bank. While, bank on its own decides to hold additional capital towards IRRBB keeping in view the potential drop in

BNR RESTRICTED Page 8 of 23 (a) (b) (c) Δ Δ

BNR RESTRICTED Page 9 of 23 (a) (b) (c) (d) (e) (f)

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BNR RESTRICTED Page 11 of 23 (a) (b) (c) 𝑘 𝒕𝑪𝑭 𝑂 𝑁 𝑡𝐶𝐹≤ 𝑀 𝑀 𝑡𝐶𝐹≤ 𝑀 𝑀 𝑡𝐶𝐹≤ 𝑀 𝑀 𝑡𝐶𝐹≤ 𝑀 𝑀 𝑡𝐶𝐹≤ 𝑌 𝑌 𝑡𝐶𝐹≤ 𝑌 𝑌 𝑡𝐶𝐹≤ 𝑌 𝑌 𝑡𝐶𝐹≤ 𝑌 𝑌 𝑡𝐶𝐹≤ 𝑌 𝑌 𝑡𝐶𝐹≤ 𝑌 𝑌 𝑡𝐶𝐹≤ 𝑌 𝑌 𝑡𝐶𝐹≤ 𝑌 𝑌 𝑡𝐶𝐹≤ 𝑌 𝑌 𝑡𝐶𝐹≤ 𝑌 𝑌 𝑡𝐶𝐹≤ 𝑌 𝑡𝐶𝐹≤ 𝑌 𝑌 𝑡𝐶𝐹≤ 𝑌 𝑡𝐶𝐹 𝑌 (a) (b)

BNR RESTRICTED Page 12 of 23 (c) 𝐶𝐹𝑖 𝑐 𝐶𝐹𝑖 𝑐 𝑡𝑘 𝑖 𝑐 (1) (2)

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BNR RESTRICTED Page 14 of 23 (c) 𝑝 𝑝 𝑖

BNR RESTRICTED Page 15 of 23 𝑝 𝜸𝒊 𝑖 𝜸𝒊 𝜸𝒊 𝑪𝑷𝑹𝒊 𝒄𝒔 𝒌 (a)

BNR RESTRICTED Page 16 of 23 (b) 𝑝 𝑡 𝑡𝑘 𝑝 𝑢 𝑖 𝑢𝑢𝑖𝑖 𝑖 𝒖𝟏

BNR RESTRICTED Page 17 of 23 (a)  𝑖  (b) (c) 𝒏𝒄 𝒎𝒄 𝑐 𝑲𝑨𝑶𝒊 𝒄 Δ𝑬𝑽𝑬𝒊 𝒄

BNR RESTRICTED Page 18 of 23 𝑖 𝜿 𝝐 𝟏 𝑲 𝐾 𝑘 𝐶𝐹𝑖 𝑐 𝜅 𝜅 𝜖 𝐾 𝜿 𝒕𝒌 𝑖 Δ𝑬𝑽𝑬𝒊 𝒄 𝑖

BNR RESTRICTED Page 19 of 23 (a) (b) (c) (d) (e) (f) Δ𝑟𝑖 𝑐 𝑘 𝑖 𝑐 𝑘

BNR RESTRICTED Page 20 of 23 𝑆𝑠ℎ𝑜𝑟𝑡 𝑡𝑘 𝑒 𝑡𝑘 𝑥

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BNR RESTRICTED RWF 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 Ref Art. Of the Guideline Carrying amount Cashflows ON ON<T≤1M 1M<T≤3M 3M<T≤ 6M 6M<T≤9M 9M<T≤1Y 1Y<T≤1.5Y 1.5Y<T≤2Y 2Y<T≤3Y 3Y<T≤4Y 4Y<T≤5Y 5Y<T≤6Y 6Y<T≤7Y 7Y<T≤8Y 8Y<T≤9Y 9Y<T≤10Y 10Y<T≤15Y 15Y<T≤20Y 20Y<T APPENDIX ONE A) Assets and long positions 0 Due from National Bank of Rwanda 0 Due from banks 0 Investment securities 0 Loans 0 Mortgages - fixed rate 0 Mortgages - floating rate 0 Retail -fixed rate 0 Retail -floating rate 0 Corporate -fixed rate 0 Corporate -floating rate 0 Other loans - fixed rate 0 Other loans - floating rate 0 NPL 0 Other rate sensitive assets 0 APPENDIX ONE B) Liabilities 0 Due to National Bank of Rwanda 0 Due to banks 0 Term deposits nonredeemable 0 Term deposits with redemption risk 0 NMD Core 0 NMD Non-core 0 Retail deposits 0 Retail term deposits nonredeemable 0 Retail term deposits with redemption risk 0 Transactional deposits core 0 Transactional deposits non-core 0 Non-transactional deposits core 0 Not-transactional deposits non-core 0 Corporate 0 Term deposits nonredeemable 0 Term deposits with redemption risk 0 NMD Core 0 NMD Non-core 0 Borrowings -fixed rate 0 Borrowings -floating rate 0 Other labilities 0 APPENDIX ONE C) Off-balance 0 FRA/futures 0 Short 0 Long 0 Interest rate swap liabilities 0 Short 0 Long 0 Other 0 Short 0 Long 0 Net Position 0 Memo Items Explicit interest rate options - notional value Short Long Conditional prepayment rates - baseline Mortgages Other Retail Corporate Term deposit redemption ratio - baseline Due to banks Retail deposits Corporate Repricing schedule for all notional repricing cash flows Currency: