Heads of Account

Time-bucket category

1. Capital funds

a) Equity capital, Reserves, Funds and }
Surplus }

The ' Over 10 years’ time-bucket.

b) Preference capital - redeemable/non-perpetual

As per the residual maturity of the shares.

2. Gifts, grants, donations and benefactions

The 'Over 10 years’ time-bucket. However, if such gifts, grants, etc., are tied to specific end-use, then these may be slotted in the time- bucket as per purpose/end-use specified.

3. Notes, Bonds and debentures ( including
subordinated bonds, rupee as well as foreign
currency bonds)

a) Plain vanilla bonds/debentures (rupee as well
as foreign currency)

As per the residual maturity of the instruments, in the rupee or the respective foreign currency liquidity report.

The amount of foreign currency bonds/ borrowings which has been deployed in foreign currency assets on a back-to-back basis, should be reported in the currency-wise liquidity statement for the relative currency.

b) Bonds/debentures with embedded call / put options

As per the residual period for the earliest exercise date for the embedded option.

However, the FIs which have sufficient historical data base evidencing the pattern of exercise of such embedded options in the past, could undertake a time-series analysis of such data to behaviouralise the cash outflows and slot the cash flows according to behavioural maturity. In the absence of adequate historical database, the entire amount payable under the embedded options should be slotted as per the residual period to the earliest exercise date.

c) Zero-coupon / deep discount bonds

Such bonds, if issued without any embedded options, should be shown in the time bucket corresponding to their residual maturity for the full amount of maturity / face value. In case of such bonds with embedded options, the guidelines at item 3(b) above would apply.

d) Fixed rate notes

As per the residual maturity

4. Deposits

a) Term deposits from public

As per the residual maturity. Alternatively, the FIs which are better equipped, could analyse the behaviour of their deposits in terms of exercise of embedded options subject to lock-in period, roll-in and roll-out and outflows of deposits, etc., and slot them as per their behavioural maturity rather than the residual maturity.

b) Inter Corporate Deposits

These being institutional/ wholesale deposits, should be slotted as per their residual maturity.

c) Certificates of Deposit

As per the residual maturity.

5. Borrowings

a) Term money borrowings

As per the residual maturity

b) From RBI, Govt. & others

-do-

6) Current liabilities and provisions

a) Sundry creditors

As per the due date or likely timing of cash outflows. A behavioral analysis could also be made to assess the trend of outflows and the amounts slotted accordingly.

b) Expenses payable (other than interest)

As per the likely timing of the cash outflow.

c) Advance income received, receipts from
borrowers pending adjustment

In the '10 year and above' time-bucket as these do not involve any cash outflow.

d) Interest payable on bonds / deposits / Borrowings

The cash outflows during the entire life of the bond/deposit are to be captured and not only the amount of interest accrued till the reporting date. The cash outflows should be slotted in respective time buckets as per the residual period to the due date of payment.

The amount of interest overdue (including the amount pre-funded in the account with RBI for servicing of outstanding SLR bonds pending claims from investors) should be shown in 1 - 14 days time-bucket.

In case of floating rate bonds/deposits, the amount of interest outflow may be calculated at the floating rate applicable on the reporting date. However, the FIs which are better equipped, will have the choice of calculating the interest outflows at forward-to-forward interest rate derived from the benchmark underlying the floating rate liability.

e) Provisions for NPAs and the Standard assets

The amount of provision may be netted out from the gross amount of the loan portfolio and the net amount of loan assets be shown as an item under inflows in stipulated time-buckets.

f) Provision for Investments portfolio

The amount may be netted from the gross value of investments portfolio and the net investments be shown as inflow in the prescribed time-slots. In case provisions are not held security-wise, the provision may be shown in "over 10 years" bucket.

g) Other provisions

To be bucketed as per the purpose/nature of the underlying transaction.

Heads of Account

Time-bucket category

1. Cash

In 1 to 14 day time-bucket.

2. Remittance in transit

--------------do----------

3. Balances with RBI

--------------do----------

4. Balances with banks (in India only)

a) Current account

The stipulated minimum balance be shown in 1 to 3 years bucket. The balance in excess of the minimum balance be shown in 1 to 14 day time bucket.

b) Money at call and short notice

In 1 to 14 day time bucket.

c) Deposit accounts/short term deposits

As per residual maturity.

5. Investments (net of provisions – if the provisions are held scrip-wise)

a) Securities held in ‘Trading Book’

The FIs which maintain separate ‘Trading Book’ consisting of securities that comply with the stipulations of para 6.3 of the Guidelines and duly approved as such by the Board / ALCO, should be slotted in the first three time-slots as per their respective defeasance periods.

b) Securities outside the ‘Trading book’

i) Govt. securities

As per residual maturity of the securities.

ii) Corporate bonds and debentures

As per residual maturity of the instruments.

However, the bonds/debentures valued by applying NPA norms due to non-servicing of interest, should be shown in time buckets as prescribed below at items 7(a) and 7(b) respectively.

iii) Non-convertible, redeemable preference shares and units of closed-ended mutual funds.

As per residual maturity of the instruments.

iv) Equity shares; convertible preference shares; non-redeemable perpetual preference shares; shares of subsidiaries/joint ventures and units in open ended mutual funds.

In "Over 10 year" time-bucket. However, the equity holdings in the assisted companies, acquired as part of the overall financing package, should be slotted as per the specific disinvestment plan formulated for such holdings. In case, a specific disinvestment plan has not been evolved, the equity holdings should be shown as an inflow in the ‘Over 10 year’ bucket.

v) Venture capital units

In the ' Over 10 year' time bucket.

a) Bill of Exchange and promissory notes discounted and rediscounted

As per the residual usance of the underlying bills.

b) Term loans (rupee loans including the export
Loans funded out of rupee resources but
denominated in foreign currencies)

The cash inflows on account of the interest and principal of the loan may be slotted in respective time buckets as per the timing of the cash flows as stipulated in the original/revised repayment schedule.

The FIs which finance their exporter-clients out of rupee resources but denominate such loans in their books in foreign currency to be extinguished out of the export proceeds, should report such assets in the rupee liquidity statement since such loans are funded out of rupee resources.

c) Corporate loans/short term loans

As per the residual maturity.

However, the FIs which have the adequate database on the past pre-payment behaviour of such loans, may undertake time-series analysis and slot such loans as per behavioural maturity.

(May be shown net of the provisions, interest suspense held and the amount of claims received from ECGC.)

In the 3 to 5 year time-bucket.

In the time-bucket arrived at after adding 3 years to the respective due dates of various instalments of principal.

2. Doubtful and loss

In the 5 to 7 year bucket.

In the time-bucket arrived at after adding five years to the respective due dates of various instalments of principal.

8. Assets on lease

Entire cash flows from the lease transaction, representing principal as well as interest element, may be slotted in respective time buckets as per the timing of the cash flow.

9. Fixed assets (excluding leased assets)

In the ' Over 10 year' time-bucket.

10. Other assets

(a ) Intangible assets and items not representing
cash inflows.

In the ' Over 10 year' time-bucket.

(b) Other items (such as other receivables, staff
loans, etc.)

In respective maturity buckets as per the residual period to the timing of the cashflows. As regards the future income from assets, the cash inflow over the entire life of the asset should be captured and not only till the reporting date. However, for loan assets, the future income should be reckoned only in respect of standard assets at the level existing on the reporting date and for debt securities, the interest income should be reckoned as inflow only if the interest is serviced regularly.

a) Letters of credit/guarantees (outflow through
Devolvement)

Based on the past trend analysis of the devolvements vis-à-vis the outstanding amount of LCs/guarantees (net of margins held), the likely devolvements should be estimated and this amount could be distributed in various time buckets on judgmental basis. The assets created out of devolvements may be shown under respective maturity buckets on the basis of probable recovery dates.

The LCs established against sanctioned assistance would be in the nature of undisbursed commitments and should be slotted as an outflow in the time-buckets arrived at keeping in view the validity period of LC / shipment schedule under LC / due date of bills stipulated under the LC

b) Loan commitments pending disbursal /
undisbursed commitments (outflow)

Only that amount of undisbursed commitments should be captured in the liquidity report in respect of which the notice for draw-down has been received from the borrower. In case, however, the terms of sanction do not stipulate any notice to be given by the borrower, the entire amount of undisbursed commitment should be slotted in the respective time buckets as per the sanctioned disbursement schedule.

c) Repayments against the undisbursed
commitments

Such future inflows should be slotted in the relative time buckets as per the stipulated repayment schedule under the terms of sanction, only in respect of the amount reckoned at item (b) above.

d ) Lines of credit committed to/by other
Institutions (outflow / inflow)

In the 1 to 14 day time-bucket. However, if the draw-down under the line of credit is subject to a specified notice period of more than 14 days, then such notice period should also be reckoned in deciding the appropriate time bucket.

e) Underwriting commitments (outflow)

Based on the analysis of the past trend of devolvement of underwriting commitments, the amount of such commitments may be slotted in the relative time bucket as per the time schedule of IPO/finalisation of allotment.

f) Forward exchange contracts / rupee-foreign
currency swaps, bills rediscounted, repos,
FRAs, Interest Rate Swaps (inflow / outflow)

In the respective time buckets as per the residual maturity of the underlying bills/transactions.

(i) Interest overdue for less than one month.

In the 3 to 6 month bucket.

(ii) Interest overdue for more than one month but less than seven months (i.e. before the relative amount becomes past due for six months)

In the 6 to 12 month bucket without reckoning the grace period of one month.

(iii) Principal instalments overdue for less than one year

In 1 to 3 year bucket

Heads of accounts

1. Capital, Reserves & Surplus

Non-sensitive

2. Gifts, grants & benefactions

-do-

3. Notes, bonds & debentures :

a) Floating rate

Sensitive; reprice on the roll- over/repricing date should be slotted in respective time buckets as per the repricing dates.

b) Fixed rate (plain vanilla)
including zero coupons

Sensitive; reprice on maturity. To be placed in respective time buckets as per the residual maturity of such instruments.

c) Instruments with embedded
options

Sensitive; could reprice on the exercise date of the option, particularly in rising interest rate scenario. To be placed in respective time buckets as per the residual period till the immediately ensuing exercise date.

However, the FIs which have sufficient historical data base evidencing the pattern of exercise of such embedded options in the past, could undertake a time-series analysis of such data to behaviouralise the cash outflows and slot the cash flows accordingly in the relative time-buckets. In the absence of adequate historical database, the entire amount payable under the embedded options should be slotted as per the residual period to the earliest exercise date.

4. Deposits

a) Term deposits from public
I) Fixed rate

Sensitive; could reprice on maturity or in case of premature withdrawal being permitted, after the lock-in period, if any, stipulated for such withdrawal. To be slotted in respective time buckets as per residual maturity or as per residual lock-in period, as the case may be. The prematurely withdrawable deposits wilh no lock-in period or past such lock-in period, should be slotted in the earliest /shortest time bucket.

ii) Floating rate

Sensitive; reprice on the contractual roll-over date. To be slotted in the respective time-buckets as per the residual period till the earliest ensuing re-pricing date.

b) Certificates of deposits and
ICDs

Sensitive; reprice on maturity. To be slotted as per the residual maturity in the respective time buckets.

5. Borrowings:

a) Term-money borrowing

Sensitive; reprices on maturity. To be placed as per residual maturity in the relative time bucket.

b) Borrowings from RBI,
Government. & others
i) Fixed rate

ii) Floating rate

Sensitive; reprice on maturity. To be placed as per residual maturity in the relative time bucket.

Sensitive; reprice on the roll-over/ repricing date. To be placed as per residual period to the repricing date in the relative time bucket.

In case of borrowings from RBI linked to Bank Rate, the entire amount of borrowing should be slotted in the 1 to 28 days time-bucket.

a) Sundry creditors

b) Expenses payable

c) Swap adjustment a/c.

d) Advance income received/

receipts from borrowers pending

adjustment

e) Provisions

f) Interest payable on bonds/

deposits/borrowings

) Sensitive on payment. To be slotted

) as per the residual period to the likely

) date of payment.

)

) Non-sensitive.

)

)

)

Sensitive on payment. The cash outflows during the entire life of the bond/deposit are to be captured and not only the amount of interest accrued till the reporting date. The cash outflows should be slotted in respective time buckets as per the residual period to the due date of payment.

The amount of interest overdue (including the amount pre-funded in the account with RBI for servicing of outstanding old SLR bonds pending claims from investors) should be shown in 1 - 28 days time-bucket.

In case of floating rate bonds/deposits, the amount of interest outflow may be calculated at the floating rate applicable as on the reporting date. However, the FIs which are better equipped, will have the choice of calculating the interest amount at forward-to-forward interest rate derived from the benchmark underlying the floating rate liability.

7. Repos/ bills rediscounted /
forex-rupee swaps (sell/buy) /
interest rate swaps / FRAs

Sensitive; re-price on maturity. To be placed as per the residual maturity of the underlying transaction, in the respective buckets.

B. ASSETS:

1. Cash

Non-sensitive.

2. Balance with RBI

Non-sensitive (since only current account is maintained with RBI).

a) In current account

b) In deposit accounts, Money
at call and short notice and
other placements.

Non-sensitive.

Sensitive; reprices on maturity. To be placed as per residual maturity in respective time-buckets.

4. Investments (net of provisions if the provisions are held scrip-wise)

a) Securities in the Trading
Book

Sensitive on sale. The FIs which maintain separate 'Trading Book' consisting of securities that comply with the stipulations of para 6.3 of the Guidelines and duly approved as such by the Board / ALCO, should slot such securities in the first two time-buckets (1-28 days & 29 days –3 months) as per their respective defeasance periods.

b) Securities outside the trading book

a) Fixed income securities

(e.g. govt. securities; zero

coupon bonds; bonds;

debentures; cumulative /

non-cumulative redeemable

preference shares, etc.)

Sensitive on maturity. In addition, the interest/ dividend cash flows during the life of the security would also be sensitive on receipt.

The principal amount of securities/ face value of ZCBs to be slotted as per residual maturity. The cash flows on account of interest to be slotted in the buckets as per the timing of the cash flow. As regards the dividends on preference shares, particularly on cummulative ones, the bucket may be decided on judgemental basis.

However, the bonds/debentures valued by applying NPA norms due to non-servicing of interest, should be shown, net of provisions made, in the time buckets prescribed at items B.7(a) and B.7(b) in Appendix I.

b) Floating rate securities

Sensitive at the next re-pricing date. To be slotted as per residual time to the re-pricing date in the respective buckets.

c) Equity shares, convertible
preference shares, shares of
subsidiaries/joint ventures,
venture capital units.

Non-sensitive.

However, the equity holdings in the assisted companies, acquired as part of the overall financing package, should be slotted as per the specific disinvestment plan formulated for such holdings. In case, a specific disinvestment plan has not been evolved, the equity holdings should be shown as an inflow in the 'Non-sensitive' bucket.

5. Advances (performing)

a) Bills of exchange, promissory
notes discounted &
rediscounted

Sensitive on maturity. To be slotted as per the residual usance of the underlying bills.

b) Term loans/corporate loans /

Short Term Loans

Sensitive on maturity. The interest cash flows on the loans will be sensitive on receipt and should be slotted as per the timing of the cash flow.

Sensitive only on the reset date when the risk premium is changed by the FIs. The amount of term loans should be slotted in time buckets which correspond to the reset date when the rate might be changed in response to the changes in their PLR or market interest rates. The interest amount would be sensitive on receipt and should be slotted as per the timing of the interest payment. The amount of interest should be calculated at the rate applicable on the reporting date.

6. Non-performing loans:

(net of provisions, interest suspense and claims received from ECGC)

1. Sub-standard
2. Doubtful and loss

)To be slotted as indicated at items

) B.7 (a) & B.7(b) of Appendix I.

7. Assets on lease

The cash flows on lease assets are sensitive on receipt. The entire cash flows on leased assets, representing principal as well as interest element, be slotted in respective time-buckets as per the timing of the cash flows.

Non-sensitive

1. Intangible assets and items not representing cash flows.
2. Other items (e.g. receivables)

Non-sensitive.

Sensitive on receipt. To be slotted in respective maturity buckets as per the residual period to the timing of the cashflows. As regards the future income from assets (such as deposits, loans & investments), the cash inflow over the entire life of the asset should be captured and not only till the reporting date. However, for loan assets, the future income should be reckoned only in respect of standard assets and for debt securities, the interest income should be reckoned as inflow only if the interest is serviced regularly.

10. Reverse Repos/ Forex-rupee
swaps (buy/sell)/ Bills
rediscounted (Derivative
Usance Promissory Notes)

Sensitive on maturity. To be slotted as per residual maturity of the underlying transaction.

11. Repayments against the
undisbursed commitments

Sensitive on receipt of payment. Such future inflows should be slotted in the relative time buckets as per the stipulated repayment schedule under the terms of sanction, only in respect of the amount reckoned at item A.8 of Appendix II above.

a) Interest rate swaps / FRAs

b) Other derivatives

Sensitive; to be slotted as per residual maturity in respective time buckets.

To be classified suitably as and when introduced.