IRRBB · reverse stress · interactive

How far can rates move before the limit breaks?

Real balance-sheet structure from the IRRBB capsule run (31-Dec-2024). Drag Tier 1 to explore what-if; all other values recompute from the actual bucketed cashflows.

Ordinary stress asks "what if rates move 400bp?" The board asks "how far before we breach?"

Breakeven shock — rates UP

— bp

Breakeven shock — rates DOWN

— bp

Tier 1 capital: ₹ 90,000 Cr (real run = 90,000 Cr) TDRR base rate: 0.48% (real = 0.48%)

EVE scenario reconciliation (RBI stress set)

Scenario	Shock (bp)	EVE (₹ Cr)	ΔEVE (₹ Cr)	ΔEVE / Tier 1	Capsule ΔEVE/T1	Match

Method: binary search (same as cs_reverse.sas) for the smallest parallel shock S where |ΔEVE(S)| ÷ Tier 1 > 15%. PV = CF × exp(-rate × tk). 19 buckets, NORM + NMD + TDRR. RBI reference shock = 400bp. Headroom status: SAFE ≥200bp, WATCH ≥100bp, NEAR BREACH ≥50bp, VULNERABLE <50bp.

Anindya Kundu · Banking Risk & ALM · anindyakundu.in