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Session 27 - ALM - Liquidity Risk PDF
Session 27 - ALM - Liquidity Risk PDF
Pradeepta Sethi
TAPMI
In the base case scenario – calculate duration for individual assets/liabilities
item
Next calculate DA & DL - weights = divide individual assets/liabilities market value with
the total market value of assets and liabilities, multiply with the duration of individual
items and take the sum
• Cash
• Balance with RBI
• Balance with other banks
• Investments
• Advances
In order to capture the maturity structure of the cash inflows and
outflows, the Statement of Structural Liquidity is prepared and
reported fortnightly.
Maturity profile used for measuring the future cash flows of banks
in different time buckets.
1 to 14 Over 3 Over 6 Over 3
29 days & Over 1
days 15 to 28 months & months & years & Over 5
up to 3 year & up
(Next, 2- days up to 6 up to 12 up to 5 years
months to 3 years
7d, 8.14d) months months years