Sunday, June 7, 2015

CAIIB - BFM INPORTANT FORMULAS FOR EXAMS


TTSR
DD issue/outward remittances/cancellation of FE purchase, x bill returned unpaid , Cr in Vostro A/c
BSR
Payment against import bills
TTBR
Cr in Nostro account ,inward remittances, FE bills collected, cancellation of FE sold
BBR
foreign bill purchase
B  RM
 
Risks
C(cc) O(tc) I(bngrey) L(ftc) M(fm)-    BASEL II- 3 PILLARS-MMS
SD
SQR RT OF VARIANCE                                                                   RISK %age: SD/Mean CASH FLOW           
Daily %Loss
(Daily Loss/Total position)X100;                              DEFEASANCE FACTOR=daily %loss X std deviation
VaR of portfolio
Total position X Defeasance factor                            MKT FACTOR SENSITIVITY OF PORTFOLIO IS 1%    
BPV
100 BPV=1% , 1 BPV=100 Book Value,                                       Mod Duration= (Mac D)/1+(y/n)           PRICE VALUE OF A BASIS POINT= INITIAL PRICE-PRICE WHEN YIELD IS CHANGED BY X BASIS POINTS                                  BPV=(CHANGE IN PRICE/CHANGE IN MARKET YIELD) X100
%CHANGE IN PRICE=MOD/YIELD CHANGE          OR       MOD X YIELD
Gap ratio
(RSA-RSL)/Avg Earning Assets                                           Exp incremental NPA= (EAD X PD X Exposure)
MKT PRICE=
(COUPON INT x FACE VALUE)/Current yield;            CURRENT YIELD=COUPON INT/MKT VALUE
YIELD= (RATE OF BOND/MARKET VALUE) X 100
ESTD LEVEL OF OPERATIONAL RISK
UNDER ROOT OF (PROB. OF OCCURRENCE x POTENTIAL FINANCIAL IMPACT x  IMPACT OF INT. CONTROL)
PRICE VOLATILITY
(YIELD VOLATILITY X BPV X YIELD)/PRICE                                   LEVERAGE RATIO=RSA/(TIER 1+TIER 2)
DURATION GAP
=(DA)-(W X DL) where W(WEIGHT)=RSA/RSL,  DA= Weighted average Modified Duration of Assets
DL= Weighted average Modified Duration of liabilities;        MD OF EQTY= D GAP X LEVERAGE RATIO
CAR & CRAR
CAR=CAPITAL FUND/TRWA       CRAR=(TIER 1+TIER 2)/TRWA      Capital funds = Tier I + Tier II
Tier I CRAR
Eligible Tier I capital/ ( RWAs for credit Risk + RWAs for market risk + RWAs for Operational Risk)
B/E OF A STOCK PRICE
CALL OPTION STRIKE PRICE+PREMIUM PAID
Interest Rate Sensitive Gap
Interest Rate Sensitive Asset- Interest rate sensitive liabilities
 
Un-availed portion of sanctioned fund based facilities =
20% of undrawn portion( i.e. limits sanctioned-balance outstanding ) under all fund based facilities with maturity up to and inclusive of 1 year + 20% of Un-drawn portion of term loan , which is to be drawn with in 1 year + 50% of Un-drawn portion of the term loan , which is to be drawn after 1 year
 
Capital Charge for General Market Risk of a society
Modified duration of security × Market value of Security × Assumed change in yield
 
BUSINESS LINES BETA FACTORS
RETAIL BANKING, RETAIL BROKERAGE, ASSET MANAGEMENT=12%
COMMERCIAL BANKING, AGENCY SERVICES=15%
CORPORATE FINANCE, TRADING, PAYMENT & SETTLEMENT ACTIVITIES=18%
SENSITIVITY=
PORTFOLIO CHANGE/RATE OF INTEREST
OPERATION RISK
SQR ROOT OF PROB. OF OCCURRENCE X IMPACT OF IC X POTENTIAL FOR IMPACT