LM-1.3 LM-1.3 Maturity Mismatch Ratios
LM-1.3.1
Licensees must maintain positive cumulativematurity mismatch ratios for 3-month and 6-month maturity bands. Where negative cumulativematurity mismatch ratios occur, the negative cumulativematurity mismatch ratios , as a percentage of total liabilities, must not exceed 20% for a 3-month maturity band and 25% for a 6-month maturity band. These ratios are to be calculated on a unconsolidated basis.January 2014LM-1.3.2
A mismatch occurs when differences exist between the receipts from cash inflows (assets) and cash outflows (liabilities). A positive mismatch is one where the expected cash inflow, generated by revenues and assets, exceeds the expected cash outflow, from the payment of expenses and liabilities. A negative mismatch occurs when the expected inflow of cash is less than the expected outflow of funds. The amount of the mismatch is measured in cash.
January 2014LM-1.3.3
In measuring maturity bands, cash inflows from assets and cash outflows from liabilities are slotted into time bands. The maturities used are based on a worst case scenario. Specifically, cash inflows are included based on their latest maturity and cash outflows are based on their earliest maturity.
January 2014LM-1.3.4
A net mismatch figure is obtained by subtracting cash outflows from cash inflows for each time band. Mismatches are then calculated on a net cumulative basis.
January 2014LM-1.3.5
The
maturity mismatch ratio is calculated using the net cumulative mismatch figure obtained under Paragraph LM-1.3.4 as a percentage of total liabilities.January 2014
