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Funding sources, cash-flow horizons, ALCO/NIM evidence, and borrowing capacity.
| Source | Currency | Balance | Share | Limit | Tenor | Status |
|---|---|---|---|---|---|---|
| Customer deposits | KES | Ksh 1,264,200,000 | 54.2% | 65.0% | call to 90d | ok |
| Wholesale lines | USD | Ksh 620,000,000 | 26.6% | 30.0% | 6m to 24m | watch |
| Equity buffer | KES | Ksh 448,000,000 | 19.2% | 25.0% | permanent | ok |
| Horizon | Inflows | Outflows | Net | Cumulative cash | Coverage | Status |
|---|---|---|---|---|---|---|
| 30 days | Ksh 285,000,000 | Ksh 210,000,000 | Ksh 75,000,000 | Ksh 267,865,000 | 127.6% | covered |
| 60 days | Ksh 595,000,000 | Ksh 450,000,000 | Ksh 145,000,000 | Ksh 337,865,000 | 75.1% | action |
| 90 days | Ksh 925,000,000 | Ksh 715,000,000 | Ksh 210,000,000 | Ksh 402,865,000 | 56.3% | action |
| Control | Metric | Current | Limit | Status | ALCO action |
|---|---|---|---|---|---|
| IRRBB source data completeness | Duration buckets, NII shock scenarios, and funding mix reads available | 3 | 3 | within | Block ALCO sign-off when duration, NII, or funding-mix reads are missing or stale. |
| IRRBB shock scenario coverage |
| Parallel and severe rate-shock rows available for earnings sensitivity |
| 3 |
| 3 |
| within |
| Extend the feed to the complete prescribed shock set before relying on narrowed scenario packs. |
| NII earnings-at-risk appetite | Worst absolute NII-at-risk as share of banking-book proxy exposure | 0.10% | 1.50% | within | Reprice products, adjust hedges, or slow rate-sensitive growth when earnings-at-risk approaches appetite. |
| Economic value of equity shock proxy | Duration-weighted EVE proxy under supervisory rate shock floor | 0.15% | 3.00% | within | Reduce mismatched duration, hedge repricing exposure, or seek ALCO approval for the residual EVE proxy. |
| Repricing gap concentration | Largest absolute repricing gap as share of banking-book proxy exposure | 10.12% | 25.00% | within | Rebalance fixed/floating origination, reset deposit pricing, or hedge repricing gaps before the next ALCO cycle. |
| Duration gap limit | Maximum absolute asset-liability duration gap | 6.0 mo | 6.0 mo | watch | Shorten assets, lengthen stable liabilities, or hedge duration before approving incremental growth. |
| Basis risk and funding mix | KES versus non-KES funding exposure and source concentration | 26.58% | 35.00% | breach | Diversify funding, align rate-reset bases, and document hedges for non-base-currency funding reliance. |
| Largest source optionality proxy | Customer deposits behavioral optionality and run-off sensitivity | 54.20% | 65.00% | within | Refresh behavioral lives, runoff assumptions, prepayment sensitivity, and product-rate optionality evidence. |