High Quality Liquid Assets (HQLA):

Under the standard, banks must hold a Stock of unencumbered HQLA to cover the total net cash outflows over 30-day period under the prescribed stress scenario. In order to qualify as HQLA, assets should be liquid in markets during times of stress and, in most cases, be eligible for use in central bank operations. The HQLA of the Bank mainly comprise of SLR investments over and above mandatory requirement, liquidity available by way of borrowing under Marginal Standing Facility (2% of NDTL), Facility to Avail Liquidity for Liquidity Coverage Ratio (16% of NDTL) & other securities as may be permitted by Reserve Bank of India from time to time.

Total net cash outflows:

Total expected cash out flows are calculated by multiplying the outstanding balances of various categories or types of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down. Total expected cash inflows are calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates at which they are expected to flow.

Liquidity Management:

The Bank has well organized liquidity risk management structure as enumerated in ALM Policy which is approved by the Board. The Asset Liability Management Committee (ALCO) of the Bank monitors & manages liquidity and interest rate risk in line with the business strategy. ALM activity including liquidity analysis & management is conducted through coordination between various ALCO support groups residing in the functional areas of Asset Liability Management, Treasury Front Office, Budget and Planning etc. ALCO directives and ALM actions are implemented by the business groups and verticals.

The Bank during the quarter ended March 2025, maintained average HQLA of ' 87,363 crore (Previous Year ' 80,307 crore) after factoring eligible haircuts. HQLA is mainly driven by Level 1 Assets and comprises mainly of Government securities and T-bills which constitute more than 90% of HQLA as on 31st March 2025. The Bank has well diversified source of funds, which mainly comprise of deposits, with top 20 depositors contributing 12.06% of total deposits (Previous Year 10.06% of total deposits) as on 31st March 2025.

The average LCR for the quarter ended March 31,2025 was at 127.09% (Previous Year 119.84%), which is above the present prescribed minimum requirement of 100%.

The NSFR promotes resilience over a longer-term time horizon by requiring banks to fund their activities with more stable sources of funding on an ongoing basis. A sustainable funding structure is intended to reduce the probability of erosion of a bank's liquidity position due to disruptions in a bank's regular sources of funding that would increase the risk of its failure and potentially lead to broader systemic stress. The NSFR limits over reliance on short-term wholesale funding, encourages better assessment of funding risk across all on- and off- balance sheet items, and promotes funding stability.

Available Stable Funding (ASF)

The amount of ASF is measured, based on the broad characteristics of the relative stability of an institution's funding sources, including the contractual maturity of its liabilities and the differences in the propensity of different types of funding providers to withdraw their funding. The amount of ASF is calculated by first assigning the carrying value of an institution's capital and liabilities to one of five categories as mentioned in RBI circular. The amount assigned to each category is then multiplied by an ASF factor, and the total ASF is the sum of the weighted amounts. Carrying value represents the amount at which a liability or equity instrument is recorded before the application of any regulatory deductions, filters or other adjustments.

Required Stable Funding (RSF)

The amount of required stable funding is measured based on the broad characteristics of the liquidity risk profile of an institution's assets and OBS exposures. The amount of required stable funding is calculated by first assigning the carrying value of an institution's assets to the categories listed in RBI circular. The amount assigned to each category is then multiplied by its associated required stable funding (RSF) factor, and the total RSF is the sum of the weighted amounts added to the amount of OBS activity (or potential liquidity exposure) multiplied by its associated RSF factor.

Liquidity Management

The Bank has well organized liquidity risk management structure as enumerated in ALM Policy which is approved by the Board. The Asset Liability Management Committee (ALCO) of the Bank monitors & manages liquidity and interest rate risk in line with the business strategy. ALM activity including liquidity analysis & management is conducted through coordination between various ALCO support groups residing in the functional areas of Balance Sheet Management, Treasury Front Office, Budget and Planning etc. ALCO directives and ALM actions are implemented by the business groups and verticals.

Bank maintained Available Stable Funding (ASF) of ' 2,60,446 crore (Previous Year ' 2,37,822 crore) and Required Stable Funding (RSF) of ' 2,15,896 crore (Previous Year ' 2,00,074 crore)as on 31st March 2025. Available Stable Funding (ASF) is mainly driven by total regulatory capital and deposits with maturity over one year from retail customers, small business customers, non-financial corporate customers and PSUs. Required Stable Funding (RSF) is mainly driven by unencumbered government securities and assets with maturity over one year. HQLAs (High Quality Liquid Assets) after applying hair-cut constitute 1.97 % of weighted RSF. HQLAs can be easily sold in the market or can be used as collateral for sourcing additional funds.

T he NSFR of the Bank for Quarter ending March 31,2025 is at 120.63 % (Previous Year 118.87%) as against the regulatory limit of 100%.

Note: As per RBI vide its Master Direction dated September 12, 2023 on ‘Classification, Valuation and Operation of Investment Portfolio of Commercial Banks (Directions), 2023' advised to create Investments Fluctuation Reserve (IFR) with an amount which is not less than lower of net profit on sale of investments during the year or net profit for the year less mandatory appropriations until the amount of IFR is at least 2 percent of the AFS and FVTPL (including HFT) portfolio, on a continuing basis.

c) Sales and transfers to/from Held to Maturity (HTM) category

As per RBI Master Direction - Classification, Valuation and Operation of Investment Portfolio of Commercial Banks (Directions), 2023 dated September 12, 2023, the carrying value of investments sold out of HTM shall not exceed 5% of the opening carrying value of the HTM portfolio. Any sale beyond this threshold shall require prior approval from DoS, RBI.

During the year ended March 31,2025 the value of sales from HTM category has not exceeded 5% of the carrying value of the investments held in HTM category at the beginning of the year.

The Bank has computed the maximum and minimum of PV01 for the year based on the balances as at the end of each day while maximum and minimum of PV01 for Hedge book is computed on the balances as at the end of every month.

In respect of derivative contracts, the Bank computes the exposure under the Current Exposure Method based on the guidelines issued by RBI on “Bilateral Netting of Qualified Financial Contracts - Amendments to Prudential Guidelines” dated August 11,2022 and any related amendments thereafter. However, for the purpose of calculating product-wise derivative exposure as mentioned in point number (iii) in table above, bank has calculated exposure using Current Exposure Method (‘CEM') without the impact of Bilateral Netting.

During the current financial year 2024-25 and the previous year 2023-24, the Bank did not enter into any CDS transactions.

Bank has presented its derivative asset and liabilities as separate line items under Schedule 11: 'Other Assets' and Schedule 5: 'Other Liabilities' respectively in accordance with RBI Master Direction - (Directions), Classification, Valuation and Operation of Investment Portfolio of Commercial Banks (Directions), 2023, Previous period's figure in Other Assets, Other Liabilities and Segment Reporting have been regrouped/reclassified, to make them comparable with current period to the extent of compliance of above mentioned circular. Due to this regrouping, Other Assets, other Liabilities, Segement assets & liabilities have increased by ' 388 crores as on March 31,2024 than reported in last year.