Current deliverables with MR:

I. Monthly submission of Regulatory ALM of all four entities (TCFSL, TCHFL, TCCL, TCL) covering liquidity and Interest rate risk: Currently we prepare the Sungard ALM report with all manual adjustments and handover to Treasury for final submission to RBI based on monthly B/s provided by controllership team. We also independently report the analysis to ALCO.

II. Monthly monitoring of ALCO limits of Market risk limits, market rate scan and trend analysis.

III. Scenario Analysis/ model development of Liquidity conditions, dynamic liquidity management and projections as per fund flows.

IV. Monitoring of Stress testing on monthly basis.

V. Monitoring of contingency funding plan on monthly basis.

VI. Monitoring of Treasury Investment limits on periodic basis and the portfolio.

VII. PF/GF/ SaF investment limit monitoring.

Coordination, Projects and Meeting deliverables:

i. Project management for overall ALM system upgrade covering TCFSL, TCCL,TCHFL TCL.

ii. Management of ALCO support group meeting as secretory on monthly basis and ALCO/RMC on quarterly basis.

iii. RMCs and ALCO of TCFSL, TCHFL, TCCL and TCL.

iv. RBI, Statutory and Internal audit

v. Coordination with IT team, Controllership team and CFOs office for ALM data and system maintenance.

vi. Monitoring of Key market/RBI/ economic parameters covering liquidity, FX, and Interest rate risk applicable to banks and NBFCs.

Policy and Market risk methodologies:

I. Analysis and development of Models covering Market risk, Liquidity risk and Treasury related policies :

a. ALM policy;

b. Treasury Investment policies;

c. Liquidity coverage ratio investment policy;

d. FX policies;

e. Fund Transfer Pricing policy;

f. liquidity and interest rate stress testing;

g. contingency funding plan;

h. behavioural prepayment models;

i. PF/SaF/GF policies etc;

II. Back testing of the market risk models on yearly basis and presentation of results to ALCO covering TCFSL, TCHFL and TCCL.

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