Total Assets
260.0
₹ Lakh
Total Liabilities
320.0
₹ Lakh
Net Worth
-60.0
Assets − Liabilities
Net Interest Margin
0.78%
Yield 5.68% − Cost 4.90%
Asset Duration
5.06 yrs
Weighted modified duration
Duration Gap
3.58 yrs
Asset dur − Liability dur
Total Instruments
16
Valuation date: 15 March 2025
Maturity Profile — Assets vs Liabilities
Asset & Liability Mix
Key Risk Indicators — NBFC-ND-SI · FY 2026-27 (Q4)
| Category | Metric | Value | Threshold | Status |
|---|---|---|---|---|
| Liquidity | 1–7 Day Gap | Positive preferred | ||
| Liquidity | Cumulative 1-Year Gap | ≥ 0 preferred | ||
| Interest Rate | Net Interest Margin | 0.78% | ≥ 2.0% (internal) | Breach |
| Interest Rate | Duration Gap | 3.58 yrs | Monitored | Elevated |
| EVE | Largest Up Shock EVE Change % | ≥ −15% of base EVE |
Portfolio Summary
By instrument type — 15 March 2025
Total Instruments
16
All instrument types
Total Assets
260.0
₹ Lakh
Total Liabilities
320.0
₹ Lakh
Weighted Asset Yield
5.68%
Portfolio average
Instrument Summary (₹ Lakh)
| Instrument Type | Balance Sheet | Count | Principal Balance | Wtd Yield | Wtd Duration | Wtd Maturity |
|---|---|---|---|---|---|---|
| Bond | Asset | 3 | 100.0 | 5.17% | 2.68 yrs | 3.44 yrs |
| Loan | Asset | 3 | 160.0 | 6.00% | 6.55 yrs | 0.00 yrs |
| InterestRateSwap | Derivative | 2 | 150.0 | 0.00% | -2.00 yrs | 3.92 yrs |
| Debenture | Liability | 3 | -120.0 | 6.50% | 3.11 yrs | 4.88 yrs |
| Demand_Deposit | Liability | 2 | -110.0 | 2.46% | 0.00 yrs | 0.00 yrs |
| Term_Deposit | Liability | 3 | -90.0 | 5.75% | 1.12 yrs | 1.89 yrs |
| Total | 16 | 90.0 | — | 5.06 yrs | — | |
Duration
Rate sensitivity by instrument type — 15 March 2025
Asset Duration (excl. Swaps)
5.06 yrs
Weighted modified duration — assets only
Duration Gap
3.58 yrs
Asset 5.06 yrs − Liability 1.48 yrs
Modified Duration (table below) measures the analytical price sensitivity of each instrument to a 1% rate shift, weighted by absolute principal balance.
EVE-based Duration (KPIs below) is computed from actual market value changes across the ±100 bps parallel shocks detected in the current run:
D = (MV−100 − MV+100) / (2 × 1% × MVBase).
For interest rate swaps, notional is added to market value before computing the ratio.
The Duration Gap = Asset Duration − Liability Duration; a positive gap means assets reprice slower than liabilities.
Duration Gap (EVE)
3.50 yrs
Asset 5.00 yrs − Liability 1.50 yrs
Equity Duration (EVE)
-10.19 yrs
Sensitivity of net equity value
Weighted Modified Duration by Instrument Type (years)
Duration Detail by Instrument Type
| Instrument Type | Balance Sheet | Principal Balance | Wtd Modified Duration | EVE Duration | Sensitivity |
|---|---|---|---|---|---|
| Bond | Asset | 100.0 | 2.68 yrs | 2.75 yrs | Moderate |
| Loan | Asset | 160.0 | 6.55 yrs | 6.39 yrs | High |
| InterestRateSwap | Derivative | 150.0 | -2.00 yrs | -1.72 yrs | Low |
| Debenture | Liability | -120.0 | 3.11 yrs | 3.16 yrs | High |
| Demand_Deposit | Liability | -110.0 | 0.00 yrs | -0.00 yrs | Low |
| Term_Deposit | Liability | -90.0 | 1.12 yrs | 1.15 yrs | Moderate |
Total Assets
260.0
₹ Lakh
Net Worth
-60.0
Assets − Liabilities
Asset Yield
5.68%
Weighted average
Net Interest Margin
0.78%
Yield 5.68% − Cost 4.90%
Asset Composition
Funding Mix — Liabilities
Maturity Profile — Asset Inflows vs Liability Outflows (₹ Lakh)
Key Risk Indicators
RBI NBFC ALM Framework — FY 2026-27 (Q4)
| Risk Category | Metric | Current | Indicative Threshold | Status |
|---|---|---|---|---|
| Liquidity | 1–14 Day Liquidity Gap | Positive preferred | ||
| Liquidity | Cumulative 1-Year Gap | ≥ 0 preferred | ||
| Interest Rate | Net Interest Margin | 0.78% | ≥ 2.0% (internal) | Breach |
| Interest Rate | Duration Gap | 3.58 yrs | Monitored | Elevated |
| EVE / IRRBB | EVE Change — Largest Up Shock | ≥ −15% of base EVE | ||
| Portfolio | Total Instruments | 16 | — | Loaded |
Structural Liquidity
RBI Gap Bucket Framework — 15 March 2025
Basis: Contractual cash flows on all instruments, bucketed by maturity date from the valuation date.
Positive gap = asset inflows exceed liability outflows; negative gap = structural funding shortfall.
Periodic & Cumulative Liquidity Gap (₹ Lakh)
Asset Inflows by Bucket
Liability Outflows by Bucket
Liquidity Gap Detail (₹ Lakh)
| Time Bucket | Asset Inflows | Liability Outflows | Periodic Gap | Cumulative Gap | Heat |
|---|---|---|---|---|---|
| 1 - 7 days | 0.0 | 0.4 | -0.4 | -0.4 | Deficit |
| 8 - 14 days | 0.3 | 0.0 | 0.3 | -0.0 | Positive |
| 15 - 30 days | 2.0 | 0.0 | 2.0 | 2.0 | Positive |
| 31 days - 3 months | 5.3 | 2.0 | 3.4 | 5.3 | Positive |
| 3 - 6 months | 7.2 | 3.6 | 3.6 | 8.9 | Positive |
| 6 - 12 months | 15.6 | 7.3 | 8.3 | 17.2 | Positive |
| 1 - 3 years | 109.2 | 177.4 | -68.2 | -51.0 | Deficit |
| 3 - 5 years | 99.5 | 7.8 | 91.7 | 40.7 | Positive |
| 5 - 7 years | 38.7 | 6.0 | 32.7 | 73.3 | Positive |
| 7 - 10 years | 92.8 | 57.5 | 35.3 | 108.7 | Positive |
| Over 10 years | 140.4 | 0.0 | 140.4 | 249.1 | Positive |
Interest Rate Risk — IRR Gap
Rate-sensitive assets & liabilities — 15 March 2025
IRR Gap: Only floating-rate cash flows before their next reset date are rate-sensitive.
Fixed-rate instruments correctly show zero rate-sensitive interest in each bucket (RBI-compliant).
Asset Duration
5.06 yrs
Weighted modified duration
Liability Duration
1.48 yrs
Weighted modified duration
Duration Gap
3.58 yrs
Asset duration − Liability duration
Periodic & Cumulative IRR Gap (₹ Lakh)
IRR Re-pricing Gap by Bucket (₹ Lakh)
| Time Bucket | Rate-Sensitive Assets | Rate-Sensitive Liabilities | Periodic IRR Gap | Cumulative IRR Gap |
|---|---|---|---|---|
| 1 - 7 days | 0.0 | 0.0 | 0.0 | 0.0 |
| 8 - 14 days | 0.0 | 0.0 | 0.0 | 0.0 |
| 15 - 30 days | 2.0 | 0.0 | 2.0 | 2.0 |
| 31 days - 3 months | 4.0 | 0.0 | 4.0 | 6.0 |
| 3 - 6 months | 5.9 | 0.0 | 5.9 | 11.9 |
| 6 - 12 months | 11.6 | 0.0 | 11.6 | 23.5 |
| 1 - 3 years | 94.6 | 161.7 | -67.1 | -43.6 |
| 3 - 5 years | 92.5 | 0.0 | 92.5 | 48.9 |
| 5 - 7 years | 38.7 | 0.0 | 38.7 | 87.6 |
| 7 - 10 years | 92.8 | 51.5 | 41.3 | 128.9 |
| Over 10 years | 140.4 | 0.0 | 140.4 | 269.3 |
Economic Value of Equity (EVE) — Rate Shock Sensitivity
IRRBB Framework — 15 March 2025
EVE = Market Value of Assets + Market Value of Derivatives − Market Value of Liabilities.
Shocks are applied to the full yield curve. RBI guideline: EVE change ≤ −15% of base EVE.
EVE Across Rate Shock Scenarios (₹ Lakh)
EVE % Change vs Base Scenario
EVE Sensitivity Table
| Scenario | MV Assets (₹ Lakh) | MV Derivatives (₹ Lakh) | MV Liabilities (₹ Lakh) | EVE (₹ Lakh) | EVE Change | EVE Change % | RBI Status |
|---|---|---|---|---|---|---|---|
| Shock1 (Down) | 271.4 | 3.1 | 322.2 | -47.7 | +5.8 | -10.88% | Compliant |
| Base | 257.9 | 5.9 | 317.3 | -53.5 | +0.0 | +-0.00% | Base |
| Shock3 (Up) | 245.6 | 8.5 | 312.7 | -58.6 | -5.1 | +9.50% | Compliant |
Net Interest Income & Earnings at Risk
12-Month & 24-Month Horizon — 15 March 2025
NII: Interest income & expense on all instruments over the horizon under each rate scenario.
EaR: Reduction in NII vs the base (unshocked) scenario — measures sensitivity of earnings to rate moves.
EaR: Reduction in NII vs the base (unshocked) scenario — measures sensitivity of earnings to rate moves.
NII by Rate Scenario — 12-Month Horizon (₹ Lakh)
Earnings at Risk vs Base — 12-Month Horizon (₹ Lakh)
NII & EaR Summary by Scenario
| Rate Scenario | NII — 12M (₹ Lakh) | NII — 24M (₹ Lakh) | EaR — 12M (₹ Lakh) | EaR — 24M (₹ Lakh) | 12M Status |
|---|---|---|---|---|---|
| Shock1 (Down) | 2.2 | 5.8 | (0.8) | (1.4) | Favourable |
| Base | 1.4 | 4.4 | 0.0 | 0.0 | Base |
| Shock3 (Up) | 0.5 | 3.0 | 0.8 | 1.4 | Moderate |
Maturity Mismatch by Instrument Type
Contractual inflows & outflows — 15 March 2025
Purpose: Identifies which instrument types are driving the aggregate liquidity gap in each time bucket.
Positive gap = inflows exceed outflows for that instrument type in that bucket.
Net Cash Flow by Instrument Type & Bucket (₹ Lakh)
Inflows vs Outflows by Instrument Type (₹ Lakh)
| Instrument Type | Time Bucket | Inflows | Outflows | Net Gap |
|---|---|---|---|---|
| loans | 1 - 7 days | 0.0 | 0.0 | 0.0 |
| loans | 8 - 14 days | 0.0 | 0.0 | 0.0 |
| loans | 15 - 30 days | 1.2 | 0.0 | 1.2 |
| loans | 31 days - 3 months | 2.5 | 0.0 | 2.5 |
| loans | 3 - 6 months | 3.7 | 0.0 | 3.7 |
| loans | 6 - 12 months | 7.3 | 0.0 | 7.3 |
| loans | 1 - 3 years | 28.6 | 0.0 | 28.6 |
| loans | 3 - 5 years | 28.4 | 0.0 | 28.4 |
| loans | 5 - 7 years | 27.6 | 0.0 | 27.6 |
| loans | 7 - 10 years | 79.3 | 0.0 | 79.3 |
| loans | Over 10 years | 101.6 | 0.0 | 101.6 |
| bonds | 1 - 7 days | 0.0 | 0.0 | 0.0 |
| bonds | 8 - 14 days | 0.3 | 0.0 | 0.3 |
| bonds | 15 - 30 days | 0.0 | 0.0 | 0.0 |
| bonds | 31 days - 3 months | 1.4 | 0.0 | 1.4 |
| bonds | 3 - 6 months | 0.7 | 0.0 | 0.7 |
| bonds | 6 - 12 months | 2.4 | 0.0 | 2.4 |
| bonds | 1 - 3 years | 58.6 | 0.0 | 58.6 |
| bonds | 3 - 5 years | 53.0 | 0.0 | 53.0 |
| bonds | 5 - 7 years | 0.0 | 0.0 | 0.0 |
| bonds | 7 - 10 years | 0.0 | 0.0 | 0.0 |
| bonds | Over 10 years | 0.0 | 0.0 | 0.0 |
| debentures | 1 - 7 days | 0.0 | 0.2 | -0.2 |
| debentures | 8 - 14 days | 0.0 | 0.0 | 0.0 |
| debentures | 15 - 30 days | 0.0 | 0.0 | 0.0 |
| debentures | 31 days - 3 months | 0.0 | 0.5 | -0.5 |
| debentures | 3 - 6 months | 0.0 | 2.6 | -2.6 |
| debentures | 6 - 12 months | 0.0 | 3.7 | -3.7 |
| debentures | 1 - 3 years | 0.0 | 79.4 | -79.4 |
| debentures | 3 - 5 years | 0.0 | 6.0 | -6.0 |
| debentures | 5 - 7 years | 0.0 | 6.0 | -6.0 |
| debentures | 7 - 10 years | 0.0 | 57.5 | -57.5 |
| debentures | Over 10 years | 0.0 | 0.0 | 0.0 |
| term_deposits | 1 - 7 days | 0.0 | 0.2 | -0.2 |
| term_deposits | 8 - 14 days | 0.0 | 0.0 | 0.0 |
| term_deposits | 15 - 30 days | 0.0 | 0.0 | 0.0 |
| term_deposits | 31 days - 3 months | 0.0 | 0.4 | -0.4 |
| term_deposits | 3 - 6 months | 0.0 | 1.0 | -1.0 |
| term_deposits | 6 - 12 months | 0.0 | 2.5 | -2.5 |
| term_deposits | 1 - 3 years | 0.0 | 95.6 | -95.6 |
| term_deposits | 3 - 5 years | 0.0 | 0.0 | 0.0 |
| term_deposits | 5 - 7 years | 0.0 | 0.0 | 0.0 |
| term_deposits | 7 - 10 years | 0.0 | 0.0 | 0.0 |
| term_deposits | Over 10 years | 0.0 | 0.0 | 0.0 |
| swaps | 1 - 7 days | 0.0 | 0.0 | 0.0 |
| swaps | 8 - 14 days | 0.0 | 0.0 | 0.0 |
| swaps | 15 - 30 days | 0.0 | 0.0 | 0.0 |
| swaps | 31 days - 3 months | 0.0 | 1.1 | -1.1 |
| swaps | 3 - 6 months | 0.6 | 0.0 | 0.6 |
| swaps | 6 - 12 months | 1.5 | 1.1 | 0.4 |
| swaps | 1 - 3 years | 6.4 | 2.3 | 4.1 |
| swaps | 3 - 5 years | 5.0 | 1.8 | 3.2 |
| swaps | 5 - 7 years | 0.0 | 0.0 | 0.0 |
| swaps | 7 - 10 years | 0.0 | 0.0 | 0.0 |
| swaps | Over 10 years | 0.0 | 0.0 | 0.0 |
| demand_deposits | 1 - 7 days | 0.0 | 0.0 | 0.0 |
| demand_deposits | 8 - 14 days | 0.0 | 0.0 | 0.0 |
| demand_deposits | 15 - 30 days | 0.8 | 0.0 | 0.8 |
| demand_deposits | 31 days - 3 months | 1.5 | 0.0 | 1.5 |
| demand_deposits | 3 - 6 months | 2.2 | 0.0 | 2.2 |
| demand_deposits | 6 - 12 months | 4.3 | 0.0 | 4.3 |
| demand_deposits | 1 - 3 years | 15.5 | 0.0 | 15.5 |
| demand_deposits | 3 - 5 years | 13.1 | 0.0 | 13.1 |
| demand_deposits | 5 - 7 years | 11.1 | 0.0 | 11.1 |
| demand_deposits | 7 - 10 years | 13.6 | 0.0 | 13.6 |
| demand_deposits | Over 10 years | 38.8 | 0.0 | 38.8 |
NII & Earnings at Risk by Instrument Type
12-Month horizon across all shock scenarios — 15 March 2025
NII by instrument: Shows which instrument types contribute most to interest income and which are most
sensitive to rate changes. EaR = reduction in NII vs the base scenario.
NII by Instrument Type — 12M Horizon (₹ Lakh)
Earnings at Risk by Instrument Type — 12M Horizon (₹ Lakh)
NII & EaR Detail by Instrument Type (₹ Lakh)
| Instrument Type | NII Shock1 (Down) | NII Base | NII Shock3 (Up) | EaR Shock1 (Down) | EaR Base | EaR Shock3 (Up) |
|---|---|---|---|---|---|---|
| bonds | 4.6 | 4.8 | 5.0 | 0.2 | 0.0 | -0.2 |
| debentures | -6.6 | -7.0 | -7.4 | -0.4 | 0.0 | 0.4 |
| demand_deposits | -2.0 | -2.6 | -3.2 | -0.6 | 0.0 | 0.6 |
| loans | 10.3 | 10.3 | 10.3 | 0.0 | 0.0 | 0.0 |
| swaps | -0.5 | -0.2 | 0.0 | 0.2 | 0.0 | -0.2 |
| term_deposits | -3.6 | -3.9 | -4.2 | -0.3 | 0.0 | 0.3 |