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<strong>Technical</strong> <strong>Guide</strong> on Internal Audit of Treasury Function in Banks DISCLAIMER: The views expressed in the <strong>Technical</strong> <strong>Guide</strong> are those of author(s). The Institute of Chartered Accountants of India may not necessary subscribe to the views of the author(s). The Institute of Chartered Accountants of India (Set up by an Act of Parliament) New Delhi
© The Institute of Chartered Accountants of India All rights reserved. No part of this publication may be reproduced, stored in a retrieval system or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior permission, in writing, from the publisher. Edition : January, 2010 Committee / : Internal Audit Standards Board Department Email : cia@icai.org Website : www.icai.org Price : Rs. 150/- (Including CD) ISBN No. : 978-81-8441-296-3 Published by : The Publication Department on behalf of The Institute of Chartered Accountants of India, ICAI Bhawan, Post Box No. 7100, Indraprastha Marg, New Delhi-110 002. Printed by : Sahitya Bhawan Publications, Hospital Road, Agra-3. May/2010/1,000 Copies (Reprint) ii
Page 1: Technical
Page 6 and 7: PREFACE In this financially globali
Page 8 and 9: CONTENTS Foreword..................
Page 10 and 11: GLOSSARY Arbitrage The purchase or
Page 12 and 13: Glossary Currency Position Currency
Page 14 and 15: Glossary Inflation Initial Margin I
Page 16 and 17: Glossary Position Premium Primary D
Page 18 and 19: INTRODUCTION 1. Preface to the Stan
Page 20 and 21: CHAPTER 1 TREASURY- AN INTRODUCTION
Page 22 and 23: Treasury- An Introduction categorie
Page 24 and 25: CHAPTER 2 TREASURY PRODUCTS AND SER
Page 26 and 27: (vi) Treasury Products and Services
Page 28 and 29: Range of Products Treasury Products
Page 30: Treasury Products and Services deri
Page 33 and 34: Technical
Page 36 and 37: CHAPTER 4 ORGANISATIONAL STRUCTURE
Page 38 and 39: (b) (c) Back-Office Liquidity risk
Page 40 and 41: Organisational Structure of a Bank
Page 42 and 43: CHAPTER 5 INVESTMENT PORTFOLIO 5.1
Page 44 and 45: Investment Portfolio (iv) All the t
Page 46 and 47: Investment Portfolio (f) The Accoun
Page 48 and 49: Investment Portfolio b) Investment
Page 50 and 51: (c) Investment Portfolio Account. I
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Investment Portfolio investment por
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(c) (d) (e) (f) Investment Portfoli
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Technical
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Technical
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Technical
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Technical
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Technical
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Technical
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CHAPTER 8 TREASURY UNIT - FUNDAMENT
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Treasury Unit - Fundamental Control
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(e) (f) Treasury Unit - Fundamental
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Document Security Treasury Unit - F
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CHAPTER 9 INTERNAL AUDIT OF TREASUR
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Internal Audit of Treasury Operatio
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(i) • Risk tolerance • Back-up
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(n) (o) (p) (q) Internal Audit of T
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Risk Perspectives Internal Audit of
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Internal Audit of Treasury Operatio
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(i) (ii) (iii) (h) (i) (j) (k) (l)
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ANNEXURE - A SPECIMEN CHECKLIST FOR
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Annexure - A d VI. a b Check sector
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Annexure - A X a XI a b Documentati
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ANNEXURE - B SPECIMEN CHECKLIST FOR
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Annexure - B u Whether any unusual
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Annexure - B same are brought to th
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Annexure - B VI a b c d Nostro Reco
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Annexure - B mirror accounts or whe
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Annexure - B b c d e f g h Whether
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Annexure - C c d e f g h Whether th
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Annexure - C e f g h i j k m n o p
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Annexure - C e Whether any forward
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Annexure - C X d e f g h i j k l A
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Annexure - C i j k l m n o p q r Wh
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Annexure - C b c d e f g h i D a b
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Annexure - C a F Certificate of Dep
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Annexure - C a b c d a b c XII iii.
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ANNEXURE - D GUIDANCE NOTE ON MARKE
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Annexure - D Sensitivity and Value
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Annexure - D 1.2.5 Risk Reporting:
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Annexure - D iii) management and re
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Annexure - D TYPICAL ORGANISATIONAL
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activity. Annexure - D • Dealing
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Annexure - D usage of risk against
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Annexure - D inflows of funds, i.e.
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Annexure - D environment are duly a
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Annexure - D separate analysis of i
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Annexure - D 4.4 Generally, the app
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Annexure - D • There is still som
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Annexure - D Chapter 5- Foreign Exc
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135 Annexure - D convertible, this
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Annexure - D another, where the hol
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Annexure - D Chapter 6- Treatment o
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Annexure - D to some extent on the
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Annexure - D Managing Market Access
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Annexure - D Principle 5: It is imp
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Annexure - D Sources, effects and m
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149 Annexure - D Earnings perspecti
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151 Annexure - D Gap analysis: Simp
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Annexure - D absolute value). Highe
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Annexure - D Value at Risk (VaR) An
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Annexure - D as to be close to real
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Annexure - D Stress Testing Techniq
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Annexure - D A well-understood limi
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Annexure - E more sophisticated sys
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Annexure - E Asset - Liability Mana
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Annexure - E for all banks feasible
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Annexure - E meetings. 5.3 Composit
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Annexure - E relationship with cust
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Annexure - E loans and advances and
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Annexure - E receive it within the
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Annexure - E Maturity Profile Liqui
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Annexure - E 3. Balances with other
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Annexure - E (ii) Unavailed portion
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4. Term Deposits and Certificates o
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Annexure - E 7. NPAs (Advances and
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Annexure - E (iv) Others 6.Lines of
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Annexure - E 14. Export Refinance f
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Annexure - E Adjustment (iii) Provi
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Annexure - E ANNEXURE - III Name of
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Annexure - E % of the cumulative ca
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Annexure - E (ii) Provisions (iii)
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Annexure - E and Investments) * 7.
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Annexure - E Heads of Accounts Clas
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Annexure - E Heads of Accounts (i)
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Annexure - E D. Financing of Gap: I
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ANNEXURE - F RBI MC GUIDE PRIMARY D
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Annexure - F Table of Contents Sect
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Annexure - F Section I: Regulations
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Annexure - F Note: The decision to
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iii. iv. Annexure - F In respect of
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Annexure - F bids in the auction ag
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Annexure - F 03.64.00 / 2000-01 dat
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Annexure - F 3.7.1 PDs may avail of
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commodities, gold and foreign excha
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the approval of their Board of Dire
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ii. iii. iv. 227 Annexure - F All s
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ii. iii. iv. should be put in place
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vi. Annexure - F Indirect access to
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8. Business through brokers Annexur
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Annexure - F as proposed by FIMMDA
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237 Annexure - F case of any qualif
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PDs. Annexure - F 3.5 It is clarifi
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Annexure - F To By UNDERTAKING The
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Annexure - F /99-2000 dated Decembe
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Annexure - F Annex II A. Statements
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Annexure - F Annex II A Statements
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Annexure - F Bids submitted under A
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Annexure - F PD Wise eligible commi
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Annexure - F Annex IV Illustrations
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Annexure - F c) Call Money Borrowin
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Annexure - F PDR - II Format Annex
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Annexure - F REPURCHASE AGREEMENTS
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Annexure - F Name of the Primary De
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Annexure - F Interest Expenses 1. C
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Annexure - F Average duration of th
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Annexure - F Expenses Interest Admi
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Annexure - F List of circulars cons
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Annexure - F No Circular no Date Su
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ANNEXURE - G RBI MC CAPADEQRM 2009
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Annexure - G (ii) (iii) (iv) (v) pe
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vi. vii. viii. ix. Annexure - G 30/
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Annexure - G 6 Risk reporting of de
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(iv) (v) (vi) Primary Dealers inclu
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(c) Interest Rate Contracts Annexur
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A1. For fixed income instruments An
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Annexure - G Horizontal disallowanc
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289 Annexure - G with a short posit
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• equity swaps are to be treated
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Annexure - G SUMMATION OF CAPITAL A
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Annexure - G (h) less : Capital fun
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Annexure - G outside the market bor
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Annexure - G FUNDED RISK ASSET •
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Appendix II PDR-III Statement 3 Qua
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Details of the VaR calculation - fo
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Appendix V Details of stress testin
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Annexure - G Capital funds of the f
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309 Annexure - G actual daily chang
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Annexure - G B.2 Specification of m
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Annexure - G This assessment is int
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Annexure - G 315 Annex F “BACK TE
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Annexure - G In case large number o
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Annexure - G Annex H List of circul
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Annexure - H Master Circular Call/N
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Annexure - H 3. Primary Dealers (PD
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To Annex - II Annexure - H Daily Re
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Annexure - H Annex III Definitions
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Annexure - H Sr. No. Circular Numbe
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ANNEXURE - I RBI MC CD 2009 RBI/200
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Annexure - I Introduction Certifica
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Security Aspect Annexure - I 14. Si
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Annexure - I Name of the Bank / Ins
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Annexure - I II CDs issued on Float
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Annexure - I 14. DBOD.No.BP.BC.43/2
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Annexure - J consolidates and updat
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Annexure - J Introduction Commercia
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Annexure - J (FIIs). However, inves
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(c) (iii) (iv) (v) (vi) Annexure -
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Annexure - J Schedule I (NAME OF TH
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Annexure - J Schedule II Proforma o
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Annexure - J Schedule III CERTIFICA
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Annexure - J Definitions Annex II I
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Annexure - J Appendix List of Circu
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ANNEXURE - K RBI MC PRUNORMSINVESTT
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Annexure - K 3.1 Held to Maturity 3
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Annexure - K (b) (c) (d) (e) (f) a
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iii) 367 Annexure - K (f) Dealings
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(f) (g) (h) (i) (j) (k) 369 Annexur
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Annexure - K applicable penal rate
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Annexure - K accordance with the pr
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Annexure - K (h) (i) (j) (k) (l) (m
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ii) (g) Exceptions: Annexure - K to
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Annexure - K recognised and banks s
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(d) (e) (f) Equity/debt instruments
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383 Annexure - K 1.2.14 With effect
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Annexure - K shares, convertible bo
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Annexure - K 1.3.4 Investment Portf
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(b) (c) other banks acquired for in
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Annexure - K However, it will be pe
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(iv) Annexure - K (items as indicat
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3.6 Unquoted SLR securities 3.6.1 C
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loan of equivalent maturity. Annexu
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399 Annexure - K by SC / RC is limi
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(ii) (iii) (iv) (v) (vi) 401 Annexu
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4.5.2 Repo Interest Income / Expend
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Annexure - K d) In a repo transacti
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Annexure - K r) Similarly, at the e
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Annexure - K Short sale in Governme
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Annexure - K noted that the permiss
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Annexure - K Category Reissued secu
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Annexure - K (vii) Director or the
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Annexure - K Sr. No. Issue Raised R
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Annexure - K Annexure III Para 1.2(
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421 Annexure - K the execution of T
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Annexure - K Annexure - IV Para 1.2
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(b) (c) (d) Debentures & Bonds Subs
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General instructions for compiling
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Annexure - K Disclosures Annexure -
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Annexure - K First leg Accounting D
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Annexure - K Second Leg Accounting
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Annexure - K b) Entries in Seller's
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Annexure - K Second Leg Accounting
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Annexure - K (b) Entries in Seller'
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Annexure - K No. Circular No. Date
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Page 464:
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