Circular – 10-2-1999
In order to capture the maturity structure of the cash inflows and outflows, the Statement of Structural Liquidity (Annexure-I) should be prepared, to start with, as on the last reporting Friday of March/June/ September/December.
Statement of Interest Rate Sensitivity (Annexure – II) only rupee assets, liabilities and off-balance sheet positions should be reported. The statement should be prepared as on the last reporting Friday of March/June/September/December.
The statement of Short-term Dynamic Liquidity should be prepared as on each reporting Friday – to enable the banks to monitor their liquidity on a dynamic basis over a time horizon spanning from 1-90 days, Annexure III.
All made Monthly subsequently.
Amended on 24-10-2007
Banks
- Banks may adopt a more granular approach to measurement of liquidity risk by splitting the first time bucket (1-14 days at present) in the Statement of Structural Liquidity into three time buckets viz. Next day , 2-7 days and 8-14 days, 14 to 28 days.
- Net cumulative negative mismatches during the Next day, 2-7 days, 8-14 days and 15-28 days buckets should not exceed 5 % ,10%, 15 % and 20 % of the cumulative cash outflows.
- Frequency of supervisory reporting of the Structural Liquidity position shall be fortnightly, with effect from the fortnight beginning April 1, 2008.
- Other Time Buckets – 28 days to 3 mths, 3 to 6 mths, 6 to 12 mths.
Amended on November 7, 2012
Tolerance levels/prudential limits for various maturities may be fixed by the bank’s Top Management depending on the bank’s asset – liability profile, extent of stable deposit base, the nature of cash flows, regulatory prescriptions, etc. In respect of mismatches in cash flows in the near term buckets, say up to 28 days, it should be the endeavour of the bank’s management to keep the cash flow mismatches at the minimum levels.
NBFCs
Guidelines for Asset Liability Management (ALM) system in NBFCs – all returns are only Quarterly.
NBFCs holding public deposits are required to invest up to a prescribed percentage (15% as on date) of their public deposits in approved securities in terms of liquid asset requirement.
Liquidity Risk Management
ALM Returns – Statement of Structural Liquidity
The time buckets, may be distributed as under:
- 1 day to 30/31 days (One month)
- Over one month and upto 2 months
- Over two months and upto 3 months
- Over 3 months and upto 6 months
- Over 6 months and upto 1 year
- Over 1 year and upto 3 years
- Over 3 years and upto 5 years
- Over 5 Years
The mismatches (negative gap) during 1-30/31 days in normal course shall not exceed 15% of the cash outflows in this time bucket.
NBFCs, however, are expected to monitor their cumulative mismatches (running total) across all time buckets by establishing internal prudential limits with the approval of the Board / Management Committee.
A Statement of Structural Liquidity may be prepared by placing all cash inflows and outflows in the maturity ladder according to the expected timing of cash flows. A maturing liability shall be a cash outflow while a maturing asset shall be a cash inflow.
Note – RBI has been collecting ALM Data from Top 50 NBFCs on a monthy basis since 2019.
National Housing Bank Guidelines for Housing Finance Companies
NHB/ND/DRS/Pol-No. 35/2010-11
October 11, 2010
Statement of short term dynamic liquidity shall be quarterly and that of Statement of structural liquidity and Interest rate sensitivity, half-yearly.
The mismatches (negative gap) during “1 day to 14 days” and “Over 14 days to one month”, in normal course, should not exceed 15 per cent of the cash outflows in each time bucket.
The time buckets may be distributed as under:
- 1 day to 14 days
- Over 14 days to one month
- Over one month and upto 2 months
- Over 2 months and upto 3 months
- Over 3 months and upto 6 months
- Over 6 months and upto 1 year
- Over 1 year and upto 3 years
- Over 3 years and upto 5 years
- Over 5 years and upto 7 years
- Over 7 years and upto 10 years
- Over 10 years