{{organization_name}}
Organization Name
Example: Example: Horizon Finance Company
Enter the institution or treasury portfolio being reviewed.
Ready to Use
Complete Prompt
This prompt has variables that can be replaced with your own information. Copy and use it with your preferred LLM, or try it out in the LearnerBox Prompt Playground.
Act as a senior asset-liability management and treasury risk professional.
Conduct an interest-rate risk and duration-gap exposure review using the information provided below.
Organization:
{{organization_name}}
Measurement date and horizon:
{{measurement_horizon}}
Interest-sensitive assets:
{{rate_sensitive_assets}}
Interest-sensitive liabilities:
{{rate_sensitive_liabilities}}
Derivatives and hedges:
{{hedges}}
Yield-curve and scenario assumptions:
{{rate_scenarios}}
Policies, limits, and accounting basis:
{{policies_limits}}
Analysis requirements:
1. Confirm the valuation date, currencies, accounting basis, and treatment of optionality.
2. Classify assets and liabilities by:
- fixed or floating rate;
- reference index;
- repricing date;
- contractual maturity;
- effective duration;
- behavioral duration;
- embedded options;
- prepayment;
- early withdrawal; and
- currency.
3. Build repricing-gap tables by time bucket.
4. Calculate or specify:
- cumulative repricing gap;
- duration of assets;
- duration of liabilities;
- duration gap;
- PV01 or DV01;
- net interest income sensitivity;
- economic value sensitivity; and
- basis-risk exposure.
5. Evaluate parallel and non-parallel yield-curve shocks, including:
- upward shift;
- downward shift;
- steepening;
- flattening;
- short-rate shock;
- long-rate shock; and
- basis widening.
6. Assess embedded optionality and behavioral assumptions.
7. Review derivative hedges for:
- hedge objective;
- notional;
- duration;
- maturity;
- index basis;
- effectiveness;
- collateral;
- counterparty risk; and
- accounting treatment.
8. Identify concentration by tenor, currency, index, or counterparty.
9. Compare exposures with approved limits.
10. Flag model assumptions requiring validation.
11. Do not invent behavioral durations, prepayment rates, yield curves, hedge terms, or accounting conclusions.
12. Do not present the review as a statutory audit or assurance opinion.
Present the result as:
{{output_format}}
Include:
- executive interest-rate-risk assessment;
- data and methodology note;
- repricing-gap table;
- duration-gap analysis;
- NII sensitivity;
- economic-value sensitivity;
- curve and basis scenarios;
- optionality review;
- hedge-effectiveness review;
- limit breaches or near breaches;
- model-risk observations;
- management actions; and
- validation requirements.Customization Variables
Replace each variable shown in double curly brackets with accurate information from your own professional context.
{{measurement_horizon}}
Measurement Date and Horizon
Example: Example: As at 30 June 2026, with 12-month NII horizon
Specify the valuation date and the earnings and economic-value horizons.
{{rate_sensitive_assets}}
Interest-Sensitive Assets
Example: List balances, rates, indices, repricing dates, maturities, durations, currencies, and optionality.
Provide instrument-level or sufficiently granular bucketed data.
{{rate_sensitive_liabilities}}
Interest-Sensitive Liabilities
Example: List deposits, debt, funding, rates, indices, repricing dates, maturities, and behavioral assumptions.
Include non-maturity deposits and other behaviorally modeled balances.
{{hedges}}
Derivatives and Hedges
Example: List swaps, caps, floors, futures, options, notionals, maturities, indices, and hedge designations.
Include both economic hedges and accounting-designated hedges.
{{rate_scenarios}}
Yield-Curve and Scenario Assumptions
Example: Provide current curves and approved parallel, steepening, flattening, basis, and volatility shocks.
Use approved scenarios and label all curve sources and dates.
{{policies_limits}}
Policies, Limits, and Accounting Basis
Example: Provide risk limits, measurement policies, optionality assumptions, and accounting treatment.
Policies establish the applicable control and reporting framework.
{{output_format}}
Output Format
Choose the format needed for risk management, governance, or model implementation.
Expected Output
A structured interest-rate-risk review containing repricing gaps, duration metrics, NII and economic-value sensitivities, curve scenarios, optionality, hedges, limits, model risks, and management actions.
💡 Important:
The quality of the result depends on the
completeness, accuracy, and relevance of the
information supplied to the AI.
Prompt Characteristics
These characteristics describe the type of thinking, customization, and output structure involved in using this prompt effectively.
Prompt Anatomy
This breakdown explains how the prompt’s major components work together to guide the AI toward a useful, reliable, and well-structured response.
Role
Positions the AI as an ALM and treasury-risk specialist.
Context
Combines assets, liabilities, hedges, curves, policies, limits, and behavioral assumptions.
Task
Requires repricing-gap, duration, earnings, economic-value, and hedge analysis.
Constraints
Prevents invented curves, behavioral assumptions, hedge terms, and audit conclusions.
Output Structure
Requires gap tables, sensitivities, scenarios, optionality, hedges, limits, and actions.
Input Variables
Organization, horizon, assets, liabilities, hedges, scenarios, policies, and output format.
Customization Tips
- Provide instrument-level repricing and maturity data where possible.
- Separate contractual maturity from behavioral duration.
- Include non-parallel curve and basis shocks, not only parallel shifts.
- Document prepayment, withdrawal, and optionality assumptions explicitly.
- Compare both earnings sensitivity and economic-value sensitivity.
Responsible Professional Use
Review Before Applying the Output
AI-generated responses can contain errors, omissions, unsupported assumptions, outdated information, or recommendations that do not reflect your jurisdiction or professional context.
Verify calculations, evidence, regulations, standards, policies, and professional recommendations before relying on the result. The qualified professional remains responsible for the final decision.