16.1.2 Daily Maximum Intraday Liquidity Usage

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 largest negative value represents the maximum outflow.

This metric uses time buckets feature and is computed at level zero bucket level always.

The following are the steps 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:

   Table 15-1 Example of Daily Maximum Intraday Liquidity Usage

   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:

   Table 15-2 Intraday Transactions

   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:

   Table 15-3 Daily Maximum Intraday Liquidity Usage

   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.