Quantum ALM · LCR reporting for NBFCs & HFCs

Asset-liability and LCR management for NBFCs and HFCs.

Quantum ALM consolidates data across your treasury, lending and accounting systems to deliver structural liquidity, interest rate sensitivity, behavioural ALM and RBI/NHB-compliant LCR reporting from one platform.

Data to disclosure
SOURCEData drawn from TMS, LMS, GL and other systems
BUCKETCash flows slotted into maturity time buckets
ADJUSTBehavioural and repricing adjustments applied
STRESSRBI stress factors applied for LCR and scenarios
REPORTALCO, RBI and NHB-format disclosures generated
Liquidity Reporting
Maturity Ladder
LCR Computation
Daily, RBI-Compliant
HFC Coverage
NHB Weekly LCR
Quantum ALM: asset-liability and liquidity coverage reporting for NBFCs, HFCs and other financial institutions

Data sourcing & integration

One consolidated view across the balance sheet

Quantum ALM aggregates financial data from across an NBFC or HFC's institutional systems, ensuring comprehensive coverage of every balance sheet component before a single report is computed.

Treasury Management System
Loan Management System
Accounting / General Ledger
Other Institutional Systems

Core reporting methodology

Two foundational reports, one rules-driven engine

Liquidity
Structural Liquidity Statement
Built on the maturity ladder approach: cash flows from assets and liabilities are slotted into predefined time buckets, with surplus or deficit computed at each bucket to assess funding gaps and liquidity profile.
Rate Risk
Interest Rate Sensitivity Report
Bifurcates balance sheet items by rate sensitivity, revising cash flows to the applicable repricing event — rate reset, spread reset or put/call date — rather than contractual maturity.

Behavioural ALM

Loan inflows, adjusted to real repayment behaviour

Beyond contractual cash flows, Quantum ALM applies behavioural adjustment to loan inflows to reflect real-world repayment patterns rather than strict contractual terms.

Default Behavioural Logic
A default PMT-based behavioural logic covers standard loan inflow adjustment out-of-the-box, with no additional customisation required.
Custom Behavioural Logic
For prepayment modelling, product-level segmentation or liability-side assumptions, behavioural logic can be customised following scoping and feasibility assessment.

Liquidity Coverage Ratio module

Daily RBI computation, and NHB weekly for HFCs

A dedicated LCR module covers the complete lifecycle — data sourcing and HQLA identification through stress application, net cash outflow calculation, and final disclosure reporting.

DAILY · RBI
Daily LCR Computation
Inflows and outflows tracked over a rolling 30-day horizon, with RBI-prescribed stress factors applied to compute Net Cash Outflow and the final LCR ratio.
QUARTERLY · RBI
RBI Disclosure Reporting
Generates the LCR Disclosure Report in prescribed RBI format, based on simple averages of daily LCR data over a user-selected period.
WEEKLY · NHB
NHB Weekly LCR Report
For HFCs regulated by the National Housing Bank, the same computation logic — HQLA haircuts, 30-day tracking, stress factors — is applied on a weekly cycle in NHB-prescribed format.

Reporting capabilities

A tiered framework — contractual to scenario-based

Structural Liquidity Statement
Maturity ladder approach computing individual and cumulative funding gaps across maturity buckets.
Interest Rate Sensitivity Report
Bifurcates by rate sensitivity and revises cash flows on user-configured repricing events.
Behavioural ALM Reports
Default PMT-based logic splits contractual and behavioural portions, redistributing cash flows bucket-wise; custom logic configurable on request.
ALCO Reports
Dedicated report generation to support Asset and Liability Committee reporting requirements.
Stress Testing Reports
Scenario-based stress testing using custom-defined scenarios to assess balance sheet resilience.
LCR Reports — RBI (Daily)
Daily LCR computation with RBI-format disclosure, day-wise bifurcation sheet and detailed workings for audit readiness.
LCR Reports — NHB (Weekly)
Weekly LCR report in NHB-prescribed format for HFCs, using the same computation logic and data source as the daily RBI LCR — no duplicate data entry.

Key capabilities at a glance

Built for NBFC and HFC balance sheet risk teams

✔Multi-source data integration
✔Template-based & API data ingestion
✔SFTP-based automated data retrieval
✔Structural Liquidity Statement (maturity ladder)
✔Interest rate sensitivity with configurable repricing
✔Individual & cumulative funding gap analysis
✔Daily LCR computation (RBI-compliant)
✔HQLA identification with haircut application
✔RBI-format LCR disclosure reports (quarterly)
✔NHB-format weekly LCR reports (HFCs)
✔ALCO committee reporting support
✔Custom scenario stress testing

An ALM Diagnostics File is generated alongside every report run, giving full traceability from disclosure back to source data.

Let's talk about your ALM and LCR reporting

We'd be delighted to discuss how Quantum ALM can be configured for your NBFC or HFC's balance sheet and regulatory calendar.

sales@quantumphinance.com