Deposits were stable, until a rumor day
Question
Our deposit base looked steady for months and our policy buffers were met. Then a rumor day hit and outflows spiked within hours. We covered the gap, but funding costs jumped and confidence felt fragile for days. On paper we were compliant the whole time. Why did it still feel so vulnerable?
Answer ✅
Compliance can say “enough in total” while how and when liquidity arrives becomes brittle. If stability erodes in depositor mix, maturity gaps, and intraday behavior, a single rumor day can force expensive funding even with buffers in place. SSM-Audit adds a stability band beside the liquidity signals you already monitor, so you can see whether posture is calm and repeatable or edge-of-seat before stress hits.
What the bands would have shown 📊
• Uninsured deposit share slipping from A+ to A0 / A- as concentration quietly rises
• Top-20 depositor concentration degrading to A- / A– (lumpy, influenceable balances)
• Rate sensitivity of deposits weakening to A- (more hot money, faster repricing)
• Intraday LCR stability sliding (A+ -> A0): same end-of-day ratio, but wider intraday swings
• Available borrowing capacity band softening as collateral encumbrance climbs
• Duration gap proxy for securities book tilting to A-, increasing mark-to-market optics
What to do now 🛠️
- Band the mix: insured vs uninsured, retail vs corporate, sticky vs rate-sensitive. Publish bands weekly.
- Smooth intraday: pre-position collateral; test lines; stagger payment windows to reduce peak drawdowns.
- De-risk concentration: diversify top depositors; add relationship depth; create incentives for steadier balances.
- Shorten the gap: modestly rebalance duration and add contingent funding that can settle same day.
- Run table-top drills: rumor-day scripts with bands on screen; measure response time, not just totals.
How SSM-Audit helps (practicalities) 🌟
- No additional infrastructure: sits beside your existing ALM, liquidity, and treasury reports.
- Numbers unchanged: reported ratios remain intact; stability is a read-only overlay.
- Easy to use: spreadsheet/BI friendly; a small weekly and intraday band view.
- Universal language: A++ / A+ / A0 / A- / A– aligns treasury, risk, and leadership in seconds.
CLI 💻 — try our mini Calculator to identify the drift
(Mini CLI Download Page)
Feed your CSV and see bands and drift at a glance (numbers unchanged).
# Depositor mix and concentration
ssm_audit_mini_calc banking.csv --kpi "Uninsured Deposit Share" \
--out bands_uninsured.csv --plot_kpi "Uninsured Deposit Share" --build_id bank
ssm_audit_mini_calc banking.csv --kpi "Top-20 Depositor Concentration" \
--out bands_concentration.csv --plot_kpi "Top-20 Depositor Concentration" --build_id bank
# Intraday liquidity posture
ssm_audit_mini_calc banking.csv --kpi "LCR Intraday Stability" \
--out bands_lcr_intraday.csv --plot_kpi "LCR Intraday Stability" --build_id bank
ssm_audit_mini_calc banking.csv --kpi "Available Borrowing Capacity" \
--out bands_abc.csv --plot_kpi "Available Borrowing Capacity" --build_id bank
# Market optics / duration tilt proxy
ssm_audit_mini_calc banking.csv --kpi "HTM Duration Mismatch Proxy" \
--out bands_duration.csv --plot_kpi "HTM Duration Mismatch Proxy" --build_id bank
Outputs you will get:
- CSVs with stability bands for each timestamp (e.g.,
bands_uninsured.csv). - Drift charts per KPI (
--plot_kpi) to visualize early misalignment. - Optional alerts if you enable thresholds in your setup.
Technical notes
Representation: x = (m, a) with a in (-1, +1)
Collapse parity: phi((m,a)) = m
Order-invariant pooling:
U = sum(w_i * atanh(a_i))
W = sum(w_i)
a_out = tanh( U / max(W, eps_w) )
Typical bands (example):
A++: a >= 0.75
A+: 0.50 - 0.75
A0: 0.25 - 0.50
A-: 0.10 - 0.25
A--: a < 0.10
Navigation
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Next: SSM-Audit Q&A Series – Markets (Question 7)
Page disclaimer
Illustrative scenario for research and education. Observation-only; do not use for critical decisions without independent validation.
SHUNYAYA 