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BNM/RH/GL 001-07

Prudential Financial Policy Department

Liquidity Framework

LIQUIDITY FRAMEWORK

Name of institution :

SUMMARY OF MATURITY MISMATCH REPORTING

Maturity Tenor Buckets

CORE (NON-TRADING) BANKING ACTIVITIES

1 Net Maturity Mismatch (A1.30) - Part 1-RM 2 Net Maturity Mismatch (B1.30) - Part 1-F$

-

-

-

-

up to 1 wk^

  • >

    1 wk - 1 mth*

>1 - 3 mths

- -

>3 - 6 mths

ADD TREASURY AND CAPITAL MARKET ACTIVITIES

3 Net Maturity Mismatch (A2.37) - Part 1-RM 4 Net Maturity Mismatch (B2.37) - Part 1-F$

- -

- -

- -

EQUALS 5 Total Net Maturity Mismatch Under Normal Circumstances

-

-

-

ADD

6

Discounted value of liquefiable securities & Undrawn portion of formally available credit lines (4) - Part 4

-

LESS

To eliminate double counting of liquefiable securities

"Debt Securities and Equities Held" (asset) entries as reported in Part I return belonging to assets qualifying as liquefiable assets (excl. repo- 7 ed securities)

8

"Reverse Repo" (asset) entries as reported in Part I return involving securities qualifying as liquefiable assets

LESS

To recognise repoed securities as liquefiable assets upon maturity of repo

"Securities Held" (asset) entries as reported in Part I return belonging to repoed securities that would have qualified as liquefiable assets 9A upon maturity of the repo "Repo" (liability) entries as reported in Part I return involving securities that would have qualified as liquefiable assets upon maturity of the 9B repo

EQUALS

10 Available net mismatch to accommodate liquidity shocks

-

-

-

CONVERT TO CUMULATIVE PROFILE

Available cumulative mismatch to accommodate liquidity 11 shocks

-

-

-

LESS

Note 1

Note 2

12 Compliance requirement as agreed with BNM

EQUALS

13 Net compliance surplus/(shortfall)

-

-

Note 1 : Report 3% of total outstanding deposits (current, savings and fixed deposit accounts) as at reporting date Note 2 : Report 5% of total outstanding deposits (current, savings and fixed deposit accounts) as at reporting date

Note 3 : Round all figures to the nearest RM Million Note 4 : All outflows should be reported in brackets ( )

For investment banks ^ up to 3 days

  • *

    4 days - 1 mth

Signature :…………………………..

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Page 13/28

Reporting date :

>6 mths - 1 yr

-

-

-

-

  • >

    1 year

Total

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-

-

-

-

-

-

-

-

-

-

-

-

-

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