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BNM/RH/GL 001-07

Prudential Financial Policy Department

Liquidity Framework

Page 28/28

Calculate the largest change that can occur within a 1 week period21 during the last 1 year

22

Calculate the largest change that can occur within a 1 month period during the last 1 year

Calculate the largest change that can occur within a 3 month period during the last 1 year

Calculate the largest change that can occur within a 6 month period during the last 1 year

Calculate the largest change that can occur within a 1 year period during the last 1 year

Let amount of change =A%

Let amount of change =B%

Let amount of change =C%

Let amount of change =D%

Let amount of change =E%

Benchmark process for allocating fixed/savings/current account deposits according to maturity tenor buckets under behavioural maturity process

Step 1

Step 2

Commercial banks

Up to 1 week

> 1 week to 1 month

> 1 month to 3 months

> 3 months to 6 months

> 6 months to 1 year

> 1 year

Investment banks

Up to 3 days

4 days to 1 month

Step 3: To determine percentage of total deposits to be reported in various maturity tenor buckets

Multiply total fixed/savings/current deposit account as at reporting date with A%

Multiply total fixed/savings/current deposit account as at reporting date with {B-A}%

Multiply total fixed/savings/current deposit account as at reporting date with {C-B}%

Multiply total fixed/savings/current deposit account as at reporting date with {D-C}%

Multiply total fixed/savings/current deposit account as at reporting date with {E-D}%

Balancing amount

Maturity buckets

21

22

3 day period for investment banks. Expressed as % of the opening fixed/savings/current deposit account.

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