22.3 Cash Flow Generation

Note:

Results of FX Swap in process cash flow table are written with Cash Flow Code as 3.

• Liquidity Gap

  Figure 22-3 Cash Flow Generation for the Liquidity Gap

  
  

  

  
  

  Description of Liquidity Gap Process Flow as follows:

  All Cash Flows will be tagged in FE 190 and 210 and aggregated to corresponding LR Gap FE’s (1667, 1661, 1660, 1491, etc. as per the current behavior of CFE).

• Repricing Gap

  The Cash Flows for IRR will be the same as LR. They will be aggregated in relevant buckets and repricing FE’s like 660, 661, and 662. Below is the list of FEs which are considered for Cashflow Generation: FE 190, 210, 490, 491, 492, 493, 494, 710, 715, 716, 720, 721, 725.

• Income Simulation Analysis

  There is no impact of FX Swap on NII.