IRRBB stress capsule — EVE, NII & reverse stress

The structure of a stress-testing capsule: pick a stress set, see EVE and NII (gap method) move together, and read the reverse-stress headroom. Illustrative data.

1Choose a stress set

Each set carries its own parallel shock and its own behavioural severity (how much of the term-deposit and NMD book runs off under stress).

2EVE — present value of the balance sheet

Discounting is continuous: DF = exp(−rate × t). Every bucket is revalued at the shocked curve, assets minus liabilities.

3NII — gap method, one-year horizon

Bucket (≤ 1yr)	Gap (₹ Cr)	ΔNII (₹ Cr)

NIIₖ = Gapₖ × (1 − tₖ) × shock. Only the within-one-year buckets contribute to the one-year earnings view.

4Reverse stress — where is the limit?

Illustrative figures on a synthetic balance sheet. Shows the capsule's logic and structure — EVE, gap-method NII, and reverse-stress headroom — not any client's data, parameters or code.