Intraday Monitoring metrics as prescribed by The BIS and Reserve Bank of India are computed by the LRS application through a Run at the end of each day. Dashboard Reports and Regulatory Reports are displayed as a part of computations based on this Run.
Intraday monitoring metrics are calculated for each selected date based on actual data of Payments made and received as part of the Contractual Run. The application supports the following metrics as a part of Intraday Run:
1. Metrics Applicable for All Reporting banks
a. Daily Maximum Intraday Liquidity Usage
b. Available Intraday Liquidity at the Start of the Business Day
c. Total Payments
d. Time-specific Obligations
2. Metrics Applicable for Banks providing Correspondent banking Services
a. Value of Payments Made on Behalf of Correspondent Banking Customers
b. Intraday Credit Lines Extended to Customers
3. Metrics Applicable to Banks which are direct participants of a Large Value Payment System
a. Intraday Throughput
Topics:
· Intraday Metrics Calculation
This section includes the steps for Intraday Metrics calculation.
Topics:
· Consolidated Payment System Run
· Daily Maximum Intraday Liquidity Usage
· Available Intraday Liquidity at the Start of the Business Day
· Value of Payments Made on Behalf of Correspondent Banking Customers
· Intraday Credit Lines Extended to Customers
If multiple payment systems are interconnected by liquidity bridges or if there is any provision to move intraday liquidity freely between payments systems, then transactions of such payment systems can be combined and reported against a single system. The application provides an option to the user to report intraday metrics in either standalone form (each payment system separately) or consolidated form (consolidate all systems wherein intraday liquidity moves freely).
Payment system consolidation is independent of legal entity consolidation which is already a feature in the application. For the Run purpose ‘Intraday metrics calculation’, ‘Consolidation type’ and ‘consolidation level’ labels are renamed as ‘Legal entity consolidation type’ and ‘legal entity consolidation level’ For payment system consolidation, there is an additional option in the Run Management window, ‘Payment system consolidation type’ to select either standalone Payment system or Consolidated Payment System. Consolidation of payment systems is explained through the example as follows.
For example, A legal entity has 4 payment systems (1 to 4) out of which system 2 is linked to system 1, system 1 is designated as the primary payment system, and system 3 and 4 are not linked to any system.
If a user chooses standalone, all 4 payment systems will be reported separately under their own names and own time zones.
If a user chooses consolidated, then reporting would be done for system 1, 3, and 4 in their respective time zones, wherein system 2’s transactions are subsumed under system 1.
While providing mapping, user is required to designate a primary payment system to which other payment systems may be linked. For consolidated payment system reporting, reporting would be done only for primary payment systems- in the time zone of the primary system.
For each payment system, the time stamp taken is with respect to that particular payment system. While doing the mapping between the payment systems, the time standard of that particular payment system is considered.
This metric computes the maximum liquidity that a bank needs at any point during the day. This is calculated by cumulating the actual liquidity gaps in each time instance and identifying the largest positive and negative cumulative values during the day. The largest positive value represents the maximum inflow and the largest negative value represents the maximum outflow.
This metric uses the time buckets feature and is always computed at a level zero bucket level.
The following steps are involved in calculating this metric:
1. The application obtains the actual time-stamped intraday payments data and arranges in chronological order.
2. The inflows and outflows at each time bucket are aggregated separately.
3. The net cash flow at each instant as the difference between the payments received and payments sent are calculated.
4. The cumulative net usage at each time instant is calculated.
5. The largest positive net cumulative position is identified as the daily maximum cumulative positive net position and the largest negative net cumulative position as the daily maximum cumulative negative net position.
The following is an example for this metric:
For instance, if a bank has to settle the following 8 payments Intraday.
Sl. No. |
Payments |
Details |
|---|---|---|
1 |
19 |
|
2 |
223 |
Paid on behalf of a customer bank to which it has extended a secured line of credit of $500 |
3 |
99 |
To be settled by 11:00 |
4 |
108 |
To settle obligations in an auxiliary net retail payment system |
5 |
10 |
|
6 |
45 |
To be settled by 14:00 |
7 |
379 |
|
8 |
11 |
|
The intraday transactions that occurred in the payment and settlement system are as follows.
Cash Flow Timing |
Inflows |
Outflows |
|---|---|---|
9:00 |
223 |
|
9:30 |
|
19 |
10:00 |
95 |
|
10:15 |
|
223 |
10:45 |
|
99 |
11:00 |
|
108 |
12:00 |
400 |
|
12:35 |
22 |
|
14:00 |
|
10 |
14:05 |
5 |
|
14:20 |
|
45 |
15:00 |
|
379 |
15:30 |
102 |
|
17:00 |
|
11 |
The daily maximum Intraday liquidity usage is calculated as follows.
Time Bucket |
Inflows |
Outflows |
Net Position |
Cumulative Position |
|---|---|---|---|---|
9:00 |
223 |
0 |
223 |
223 |
9:30 |
0 |
19 |
-19 |
204 |
10:00 |
95 |
0 |
95 |
299 |
10:15 |
0 |
223 |
-223 |
76 |
10:45 |
0 |
99 |
-99 |
-23 |
11:00 |
0 |
108 |
-108 |
-131 |
12:00 |
400 |
0 |
400 |
269 |
12:35 |
22 |
0 |
22 |
291 |
14:00 |
0 |
10 |
-10 |
281 |
14:05 |
5 |
0 |
5 |
286 |
14:20 |
0 |
45 |
-45 |
241 |
15:00 |
0 |
379 |
-379 |
-138 |
15:30 |
102 |
0 |
102 |
-36 |
17:00 |
0 |
11 |
-11 |
-47 |
Here,
· Largest Positive Net Cumulative Position: $299
· Largest Negative Net Cumulative Position: $138
This metric is reported for each LVPS and for each currency.
This metric computes and reports intraday funding that is available to banks at the start of a business day to meet its intraday liquidity needs throughout the day. All the balances and market values for all products under this category are taken at the start of each day. This metric is calculated at a Legal Entity (solo/consolidated) - Currency granularity.
The following steps are involved in calculating this metric:
1. Identification of intraday eligible sources for each product; as defined by the user.
2. Addition of Intraday Eligible sources across all products to arrive at the final value.
OFS LRMM Application computes the following as a part of this metric:
1. Intraday liquidity available at the start of each business day.
2. The average value of (1) above within a Reporting period.
3. First, Second and Third minimum values of (1) above during the Reporting period.
a. Each report provides the constituent elements of the liquidity sources available to the bank. The constituent elements as a part of this metric are as follows:
b. Central Bank reserves
c. Collateral pledged at Central bank
d. Collateral pledged at Ancillary systems
e. Collateral pledged at the Correspondent bank
f. Unencumbered liquid assets on the balance sheet
g. Total credit lines from the Correspondent bank
i. Of which secured
ii. Of which committed
h. Other Total credit lines available
i. Of which secured
ii. Of which committed
i. Balance with the correspondent bank
j. Balances with other banks
k. Other
This metric calculates the total payment to be made which is the summation of intraday payments sent (outflows) and received (inflows).
The following is an example for this metric:
For instance, a bank has the following intraday transactions that occurred in the payment and settlement system.
Cash Flow Timing |
Inflows |
Outflows |
|---|---|---|
9:00 |
223 |
|
9:30 |
|
19 |
10:00 |
95 |
|
10:15 |
|
223 |
10:45 |
|
99 |
11:00 |
|
108 |
12:00 |
400 |
|
12:35 |
22 |
|
14:00 |
|
10 |
14:05 |
5 |
|
14:20 |
|
45 |
15:00 |
|
379 |
15:30 |
102 |
|
17:00 |
|
11 |
Here,
· Total Payments Sent = $894 (i.e. $19+$430+$10+$424+$11)
· Total Payments Received = $847 (i.e. $223+$95+$400+$22+$5+$102)
This metric calculates the time-specific and critical obligations like payments that result in financial penalty, reputational damage or loss of future business if not serviced in time. Time-specific obligations are payments that must be made at or by a particular time.
The following is an example for this metric:
For instance, Bank A has to settle the following 8 payments Intraday.
Sl. No. |
Payments |
Details |
Time-specific Obligation Flag |
|---|---|---|---|
1 |
19 |
|
No |
2 |
223 |
Paid on behalf of a customer bank to which it has extended a secured line of credit of $500 |
No |
3 |
99 |
To be settled by 11:00 |
Yes |
4 |
108 |
To settle obligations in an auxiliary net retail payment system |
Yes |
5 |
10 |
|
No |
6 |
45 |
To be settled by 14:00 |
Yes |
7 |
379 |
|
No |
8 |
11 |
|
No |
The intraday transactions that occurred in the payment and settlement system are as follows:
Sl. No. |
Cash Flow Timing |
Payments Sent |
Time-specific Obligation Flag |
Success Flag |
|---|---|---|---|---|
1 |
9:30 |
19 |
No |
NA |
2 |
10:15 |
223 |
No |
NA |
3 |
10:45 |
99 |
Yes |
Yes |
4 |
11:00 |
108 |
Yes |
Yes |
5 |
14:00 |
10 |
No |
NA |
6 |
14:20 |
45 |
Yes |
No |
7 |
15:00 |
379 |
No |
NA |
8 |
17:00 |
11 |
No |
NA |
The following metrics are calculated on an actual time basis.
Sl. No, |
Reporting Requirement |
Output as per Illustration |
|---|---|---|
1 |
Total Number of Time-Specific and Other Obligations |
The total number is 3 obligations (SN 3, 4 and 6) |
2 |
Total Value of Time-Specific and Other Obligations |
This value is $252 (i.e. $99 + $108 + $45) |
3 |
Total Number of Time-Specific and Other Obligations Settled |
The total number is 2 obligations (SN 3 and 4) |
4 |
Total Value of Time-Specific and Other Obligations Settled |
This value is $207 (i.e. $99 + $108) |
5 |
Total Number of Failed Time-Specific and Other Obligations |
1 obligation was not settled on time (SN 6) |
6 |
Total Value of Failed Time-Specific and Other Obligations |
The value of the obligation not settled on time is $45 (SN 6) |
7 |
15:00 |
379 |
8 |
17:00 |
11 |
NOTE:
For partial payment of time-specific obligations, the partially paid obligation is considered as a failed transaction for the purpose of reporting the metric Total Number of Failed Time-Specific and Other Obligations. The paid up portion is reported as part of the metric Total Value of Time-Specific and Other Obligations Settled. The unpaid portion is reported as part of the metric Total Value of Failed Time-Specific and Other Obligations.
This metric calculates the total value of payments made on behalf of correspondent banking customers. It applies only to those banks which provide correspondent banking services. This metric helps a bank to understand the proportion of a correspondent bank’s payment flows that arise from its provision of correspondent banking services. These flows have a significant impact on the correspondent bank’s own intraday liquidity management. Internalized payments are also a part of this calculation. Internalized payments refer to the payments made across accounts.
OFS LRMM application calculates the total value of payments made on behalf of correspondent banking customers on each day. The split up of these total payments - customer-wise is available for the Top N customers, on the basis of total payments made; where N is a user input. The Application also reports the three largest daily total values and the daily average total value of these payments within a reporting period.
This metric is calculated at a Legal Entity - Currency granularity.
This metric is applicable for those banks which provide correspondent banking services and extend intraday credit lines to its customers. Intraday credit lines are those in which drawdown and repayment occurs during the same day.
Intraday Credit Lines have two features, Secured and Committed. The secured lines are those which are extended by the correspondent bank to its customer upon placement of any collateral against the same. The committed lines are irrevocable.
OFS LRMM application enables you to monitor the scale of a correspondent bank’s provision of intraday credit to its customers. This metric is calculated at a Legal Entity- Currency granularity.
The following are reported as a part of this metric:
§ The total value of credit lines extended:
— Of which total secured
— Of which total committed
§ The total value of credit lines used:
— Of which total secured
— Of which total committed
§ Peak Usage values
§ Peak Usage is calculated by the application as follows:
— At the most granular Time bucket level (level 0), the net usage,or Total drawdown –Total Repayment is calculated. At the end of the day, the most negative value of this net usage is reported as Peak Usage.
This metric calculates the percentage of payments that are settled at each time bucket during the day. It is calculated only in the case of banks that are Direct Participants in a payment system.
The application calculates the throughput for both payments made and payments received at every 15 minutes and 30 minutes for throughput reports.
The following steps are involved in calculating this metric:
1. The application calculates the cumulative cash outflows and inflows at each one hour time band.
2. The cumulative outflows and inflows in each band are divided by the total cash outflow /inflow respectively during the day.
The following is an example for this metric:
A bank has the following intraday transactions that occurred in the payment and settlement system.
Cash Flow Timing |
Payments Received |
Payments Made |
|---|---|---|
9:00 |
223 |
|
9:30 |
|
19 |
10:00 |
95 |
|
10:15 |
|
223 |
10:45 |
|
99 |
11:00 |
|
108 |
12:00 |
400 |
|
12:35 |
22 |
|
14:00 |
|
10 |
14:05 |
5 |
|
14:20 |
|
45 |
15:00 |
|
379 |
15:30 |
102 |
|
17:00 |
|
11 |
As per the illustration, Intraday throughput is as follows: (this example features that throughput be calculated only for Payments Sent; however, the application calculates throughput for both payments sent and payments received).
Time Bucket |
Cash Outflows |
Cumulative Cash Outflows (b) |
Intraday Throughput (b / a) |
|---|---|---|---|
8-9 Hours |
0 |
0 |
0.00% |
9-10 Hours |
19 |
19 |
2.13% |
10-11 Hours |
430 |
449 |
50.22% |
11-12 Hours |
0 |
449 |
50.22% |
12-13 Hours |
0 |
449 |
50.22% |
13-14 Hours |
10 |
459 |
51.34% |
14-15 Hours |
424 |
883 |
98.77% |
15-16 Hours |
0 |
883 |
98.77% |
16-17 Hours |
11 |
894 |
100.00% |
Total (a) |
894 |
|
|
Real time monitoring of intraday positions helps a bank to track its payments by displaying reports with data fetched directly from the source systems. Intraday sources, payments, net usage at each point in time, time-specific obligations and their settlement progress; are few of the key features offered under this section. Real time reports can be refreshed at any time during the day, to view latest positions. Refresh capabilities come in two modes:
· Auto: All reports are refreshed at a pre-set configurable time interval.
· Manual: Each individual report can be refreshed by clicking Refresh.
These modes can be utilized at the same time. For example, if you have set an auto interval of 5 minutes, all reports get refreshed at a 5 minute interval. If between auto-refreshes, you wish to see the latest data on a particular report, the manual refresh button can be used.
The Real Time reports are handled through reporting. For information on Real Time reports, see OFS Liquidity Risk Measurement and Management Release V8.1.0.0.0 Analytics User Guide.