Technical Guide on Internal Audit of Treasury ... - CAalley.com

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CONTENTS Foreword................................................................................................... iii Preface.......................................................................................................v Glossary.................................................................................................... ix Introduction ............................................................................................ xvii CHAPTER : 1. Treasury- An Introduction .............................................................. 1 - 4 2. Treasury Products and Services............................................. 1 - 7 3. The Treasury Dealing Room................................................... 1 - 3 4. Organisational Structure of A Bank’s Treasury........................ 1 - 6 5. Investment Portfolio..................................................................... 1 - 13 6. Asset Liability Management...........................................................1 – 6 7. Treasury Risks....................................................................... 1 - 6 8. Treasury Unit – Fundamental Controls........................................ 1 - 13 9. Internal Audit of Treasury Operations............................................ 1 - 6 ANNEXURES : Annexure A- Specimen Checklist for Internal Audit of Treasury Operations...... Annexure B - Specimen Checklist for Internal Audit of Foreign Exchange Operations of Treasury......................................... Annexure C- Specimen Checklist for Internal Audit of Domestic Operations of Treasury........................................................ Annexure D- Guidance Note on Market Risk Management ................... Annexure E - Assets Liability Management (ALM) System.................... Annexure F- RBI Mc <strong>Guide</strong> primary dealers 2009................................. Annexure G RBI Mc Capadeqrm 2009 ................................................. vii
Annexure H- RBI Mc Callmoney 2009.................................................. Annexure I - RBI Mc Cd 2009.............................................................. Annexure J - RBI Mc Comlpaper 2009................................................. Annexure K- RBI Mc Prunormsinvestt 2009 ........................................ viii
Page 1 and 2: Technical
Page 3 and 4: © The Institute of Chartered Accou
Page 6 and 7: PREFACE In this financially globali
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 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
Page 52 and 53: Investment Portfolio investment por
Page 54: (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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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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