| Heads of Accounts |
Rate sensitivity and time bucket |
| 1. Capital, Reserves and Surplus |
Non-sensitive. |
| 2. Current Deposits |
Non-sensitive. |
| 3. Savings Bank Deposits |
Sensitive to the extent of interest paying (core) portion. This may be included in over 3-6 months bucket. The non-interest paying portion may be shown in non-sensitive bucket.
Where banks can estimate the future behaviour/sensitivity of current/savings bank deposits to changes in market variables, the sensitivity so estimated could be shown under appropriate time buckets.
|
| 4. Term Deposits and Certificates of Deposit |
Sensitive and reprices on maturity. The amounts should be distributed to different buckets on the basis of remaining term to maturity. However, in case of floating rate term deposits, the amounts may be shown under the time bucket when deposits contractually become due for repricing. |
| 5. Borrowings - Fixed |
Sensitive and reprices on maturity. The amounts should be distributed to different buckets on the basis of remaining maturity. |
| 6. Borrowings - Floating |
Sensitive and reprices when interest rate is reset. The amounts should be distributed to the appropriate bucket which refers to the repricing date. |
| 7. Borrowings - Zero Coupon |
Sensitive and reprices on maturity. The amounts should be distributed to the respective maturity buckets. |
| 8. Borrowings from RBI |
Upto 1 month bucket. |
| 9. Refinances from other agencies. |
(a) Fixed rate : As per respective maturity.
(b) Floating rate : Reprices when interest rate is reset. |
| 10. Other Liabilities and Provisions |
|
| Bills Payable |
Non-sensitive. |
| Inter-office Adjustment |
Non-sensitive. |
| Provisions |
Non-sensitive. |
| Others |
Non-sensitive. |
| 11.Repos / Bills Re-discounted (DUPN), Swaps (Buy / Sell) etc. |
Reprices only on maturity and should be distributed to the respective maturity buckets. |
| Heads of Accounts |
Rate sensitivity and time bucket |
| 1. Cash |
Non - sensitive. |
| 2. Balances with RBI |
Interest earning portion may be shown in over 3 - 6 months bucket. The balance amount is non-sensitive.. |
| 3. Balances with other Banks |
|
| i) Current Account |
i) Non-sensitive |
| ii) Money at Call and Short Notice, Term Deposits and other placements |
ii) Sensitive on maturity. The amounts should be distributed to the respective maturity buckets. |
| 4. Investments (Performing). |
|
| i) Fixed Rate / Zero Coupon |
i) Sensitive on maturity. |
| ii) Floating Rate |
ii) Sensitive at the next repricing date |
| 5. Shares/Units of Mutual Funds |
Non-sensitive |
| 6. Advances (Performing) |
|
| (i) Bills Purchased and Discounted (including bills under DUPN) |
(i) Sensitive on maturity. |
| (ii) Cash Credits / Overdrafts (including TODs) / Loans repayable on demand and Term Loans |
(ii) Sensitive only when PLR/risk premium is changed. Of late, frequent changes in PLR have been noticed. Thus, each bank should foresee the direction of interest rate movements of funding options and capture the amounts in the respective maturity buckets which coincides with the time taken by banks to effect changes in PLR in response to changes in market interest rates. |
| 7. NPAs (Advances and Investments) * |
|
| (i) Sub-Standard |
(i) Over 3-5 years bucket. |
| (ii) Doubtful and Loss |
(ii) Over 5 years bucket. |
| 8. Fixed Assets |
Non-sensitive. |
| 9. Other Assets |
|
| (i) Inter-office Adjustment |
(i)Non-sensitive. |
| (ii) Leased Assets |
(ii) Sensitive on cash flows. The amounts should be distributed to the respective maturity buckets corresponding to the cash flow dates. |
| (iii) Others |
(iii) Non-sensitive. |
| 10. Reverse Repos, Swaps (Sell/Buy) and Bills, Rediscounted (DUPN) |
Sensitive on maturity. |
| 11. Other products (Interest Rate) |
|
| (i) Swaps |
(i) Sensitive and should be distributed under different buckets with reference to maturity. |
| (ii) Other Derivatives |
(ii) Should be suitably classified as and when introduced. |
