What changed
The first time bucket (1-14 days) in the Statement of Structural Liquidity is now split into three: Next day, 2-7 days, and 8-14 days. Cumulative negative mismatch limits are set at 5%, 10%, 15%, and 20% for Next day, 2-7 days, 8-14 days, and 15-28 days buckets respectively. Banks must prepare the statement daily and report to RBI monthly, with fortnightly reporting starting April 2008.
What it means for you
Banks need to upgrade their MIS to track liquidity more granularly, especially for very short-term buckets. The tighter mismatch caps will force better cash flow forecasting and contingency planning. Daily preparation of the statement increases operational burden but improves liquidity risk oversight. The phased reporting frequency change gives banks time to adapt.
What you must do
- Revise your Statement of Structural Liquidity format to include the three new time buckets: Next day, 2-7 days, and 8-14 days.
- Set internal prudential limits ensuring cumulative negative mismatches do not exceed 5%, 10%, 15%, and 20% for the respective buckets.
- Prepare the Statement of Structural Liquidity on a daily basis starting January 1, 2008.
- Report the statement to RBI monthly as on the third Wednesday, and shift to fortnightly reporting from April 1, 2008.
- Update your MIS and data coverage to achieve 100% timely data capture for accurate liquidity measurement.
Who it affects
All commercial banks (excluding RRBs), Treasury and ALM teams, Risk management departments, IT/MIS teams responsible for reporting systems
What are the new cumulative mismatch limits for each time bucket?
The net cumulative negative mismatch should not exceed 5% for Next day, 10% for 2-7 days, 15% for 8-14 days, and 20% for 15-28 days, calculated against cumulative cash outflows in each bucket.
When do the revised norms become effective?
The revised norms and supervisory reporting in the new format start from January 1, 2008. Reporting frequency remains monthly initially, but becomes fortnightly from the fortnight beginning April 1, 2008.
Do we need to report the structural liquidity statement daily to RBI?
No, you must prepare the statement daily for internal dynamic liquidity management, but report it to RBI only once a month (as on the third Wednesday) until March 2008, and fortnightly thereafter.