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Live liquidity ladder, LCR, cash-flow gaps, and ALM data availability checks
| Appetite | Metric | Current | Limit | Status | Management action |
|---|
| Control | Metric | Current | Limit | Status | Management action |
|---|
| Shock | Repricing gap | NII impact | Margin impact |
|---|---|---|---|
| -100 bps | -Ksh 210,000,000 | -Ksh 2,100,000 | -18 bps |
| +100 bps | Ksh 236,000,000 | Ksh 2,360,000 | +21 bps |
The desk monitors LCR at 142% versus the 100% CBK minimum and NSFR at 118% versus the 100% minimum before approving treasury actions for the digital credit portfolio.
The ALM analytics endpoint did not return live duration buckets, so representative dark-safe duration-gap values are displayed.
The ALM analytics endpoint did not return rate-shock rows, so representative dark-safe NII-at-risk values are displayed.
The ALM analytics endpoint did not return source-of-funds rows, so representative dark-safe funding concentration rows are displayed.
| Bucket | Assets | Liabilities | Gap |
|---|---|---|---|
| 0-30d | Ksh 420,000,000 | Ksh 365,000,000 | 0.2 mo |
| 31-90d | Ksh 610,000,000 | Ksh 540,000,000 | 0.3 mo |
| 91-180d | Ksh 780,000,000 | Ksh 690,000,000 | 0.7 mo |
| 181-365d | Ksh 540,000,000 | Ksh 620,000,000 | 1.2 mo |
| >1yr | Ksh 1,120,000,000 | Ksh 840,000,000 | 6.0 mo |
| Shock | Gap | NII at risk | LCR after |
|---|---|---|---|
| -100 bps | -Ksh 210,000,000 | -Ksh 2,100,000 | 146.0% |
| +100 bps | Ksh 236,000,000 | Ksh 2,360,000 | 139.0% |
| +250 bps | Ksh 36,000,000 | Ksh 900,000 | 103.0% |
| Source | Balance | Share | Limit | Status |
|---|---|---|---|---|
| Customer deposits | Ksh 126,420,000 | 54.2% | 65.0% | ok |
| Wholesale lines | Ksh 62,000,000 | 26.6% | 30.0% | watch |
| Equity buffer | Ksh 44,800,000 | 19.2% | 25.0% | ok |
Liquidity, LCR, duration gap, NII-at-risk, funding mix, and source concentration now read from the treasury V1 contracts. Any failed contract remains fail-closed instead of rendering synthetic ALM values.
| Custody hash |
|---|
| Liquidity coverage ratio | 30-day stressed net outflow coverage | 367.4% | 100.0% | within | Retain or raise high-quality liquid assets before approving new liquidity-consuming actions. | 28b9bfd93a45...e48cf72c |
| Liquidity survival horizon | Positive cumulative liquidity under ladder stress | 90d | 30d | within | Activate contingency funding actions when the positive survival horizon approaches 30 days. | e551d6564095...6c06dd47 |
| Cumulative liquidity gap | Minimum cumulative cash-flow position | Ksh 456,065,000 | Ksh 0 | within | Prefund or slow liquidity-consuming disbursements before cumulative gaps turn negative. | 8f9d45849eb0...da0a4fca |
| Duration gap appetite | Maximum absolute asset-liability duration gap | 0.0 mo | 6.0 mo | degraded | Rebalance maturities or hedges when duration gap approaches appetite. | 3c829e0fa998...00686748 |
| NII at risk appetite | Worst absolute NII at risk as share of funding | 0.0% | 1.5% | degraded | Review repricing, margin, hedge, and product-rate actions for adverse rate shocks. | 547d58bf3df0...7b99260a |
| Funding source concentration | No funding source rows | 0.0% | 0.0% | degraded | Diversify funding, raise stable deposits, or cap drawdowns from concentrated sources. | 609d9237bbe1...f04dc04b |
| Trigger | Status | Evidence | Action | Deadline | Custody hash |
|---|---|---|---|---|---|
| No contingency funding actions are required for the current liquidity and ALM position. | |||||
| Custody hash |
|---|
| IRRBB source data completeness | Duration buckets, NII shock scenarios, and funding mix reads available | 0 | 3 | degraded | Block ALCO sign-off when duration, NII, or funding-mix reads are missing or stale. | 6cb27767c367...0edfeb5b |
| IRRBB shock scenario coverage | Parallel and severe rate-shock rows available for earnings sensitivity | 0 | 3 | degraded | Extend the feed to the complete prescribed shock set before relying on narrowed scenario packs. | 48082d851c6b...c0c4a66d |
| NII earnings-at-risk appetite | Worst absolute NII-at-risk as share of banking-book proxy exposure | 0.00% | 1.50% | degraded | Reprice products, adjust hedges, or slow rate-sensitive growth when earnings-at-risk approaches appetite. | 330492c4eb9b...62eec13f |
| Economic value of equity shock proxy | Duration-weighted EVE proxy under supervisory rate shock floor | 0.00% | 3.00% | degraded | Reduce mismatched duration, hedge repricing exposure, or seek ALCO approval for the residual EVE proxy. | 6bec5ac34805...00d4ae96 |
| Repricing gap concentration | Largest absolute repricing gap as share of banking-book proxy exposure | 0.00% | 25.00% | degraded | Rebalance fixed/floating origination, reset deposit pricing, or hedge repricing gaps before the next ALCO cycle. | ed7244f79b24...1ae247c6 |
| Duration gap limit | Maximum absolute asset-liability duration gap | 0.0 mo | 6.0 mo | degraded | Shorten assets, lengthen stable liabilities, or hedge duration before approving incremental growth. | cea1acbb1413...a9d50da3 |
| Basis risk and funding mix | KES versus non-KES funding exposure and source concentration | 0.00% | 35.00% | degraded | Diversify funding, align rate-reset bases, and document hedges for non-base-currency funding reliance. | 074206154c51...fe688789 |
| Largest source optionality proxy | No funding source rows | 0.00% | 65.00% | degraded | Refresh behavioral lives, runoff assumptions, prepayment sensitivity, and product-rate optionality evidence. | 50a250ca73e5...934afd96 |
| Shock | Repricing gap | NII at risk | Coverage after |
|---|---|---|---|
| No live IRRBB shock scenarios are available for governance evidence. | |||
| Trigger | Status | Action | Deadline | Custody hash |
|---|---|---|---|---|
| IRRBB source data completeness degraded | degraded | Block ALCO sign-off when duration, NII, or funding-mix reads are missing or stale. | same business day | 1221c03b3b75...29be5b75 |
| IRRBB shock scenario coverage degraded | degraded | Extend the feed to the complete prescribed shock set before relying on narrowed scenario packs. | same business day | adeea0b180bd...5bbacd8c |
| NII earnings-at-risk appetite degraded | degraded | Reprice products, adjust hedges, or slow rate-sensitive growth when earnings-at-risk approaches appetite. | same business day | a05eda57f466...9c375c8f |
| Economic value of equity shock proxy degraded | degraded | Reduce mismatched duration, hedge repricing exposure, or seek ALCO approval for the residual EVE proxy. | same business day | dc8adf45a2cf...13497d37 |
| Repricing gap concentration degraded | degraded | Rebalance fixed/floating origination, reset deposit pricing, or hedge repricing gaps before the next ALCO cycle. | same business day | b2bb9dc28d91...71e0da54 |
| Duration gap limit degraded | degraded | Shorten assets, lengthen stable liabilities, or hedge duration before approving incremental growth. | same business day | b642e3e606de...6bbf45fa |
| Basis risk and funding mix degraded | degraded | Diversify funding, align rate-reset bases, and document hedges for non-base-currency funding reliance. | same business day | 75ac10168e1a...544b99a9 |
| Largest source optionality proxy degraded | degraded | Refresh behavioral lives, runoff assumptions, prepayment sensitivity, and product-rate optionality evidence. | same business day | ea7c8b1f2337...06972bc5 |
LCR unavailable without live inflow and outflow bands.