8.3.3.2 Large Unexpected Payments
This assumption allows introduction of unforeseen large payments in usual working day. The large payments can be either receipts or obligations or both. Introduction of large payments suddenly within the bank’s payment system causes a scenario of liquidity stress whereby the bank has to arrange such funds in very short notice. The assumptions allows the user to specify the payment system affected, the time bucket at which the payment(s) is introduced and the amount. The amounts introduced are included in the time buckets as specified in the assumption.
As with other intraday assumptions, all the intraday metrics are calculated post application of the assumption through a Stress Run.
The following is an example for this assumption:
This example contains actual payments made through a particular payment system and the impact of the introduction of a large payment within the other payments.
Actual payments with time stamp are as follows:
Table 7-43 Payment details
| Payments made | Payment system | Time stamp | Time bucket - 15 minutes |
|---|---|---|---|
| 568 | PS 1 | 12:08 | 12:01-12:15 |
| 876 | PS 1 | 12:09 | 12:01-12:15 |
| 654 | PS 1 | 12:12 | 12:01-12:15 |
| 655 | PS 1 | 12:30 | 12:16-12:30 |
| 673 | PS 1 | 12:31 | 12:31-12:45 |
| 890 | PS 1 | 12:32 | 12:31-12:45 |
| 123 | PS 1 | 12:44 | 12:31-12:45 |
| 876 | PS 1 | 12:45 | 12:31-12:45 |
Time bucket is defined as follows:
- Level 0: 1 minute
- Level 1: 15 minutes interval.
The bucketed payments at level 1 are as follows:
Table 7-44 Payment details - level 1
| Time bucket | Payments made |
|---|---|
| 12:01-12:15 | 2098 |
| 12:16-12:30 | 655 |
| 12:31-12:45 | 2562 |
Business assumption is defined as follows:
- Based on: Payments made
- Payment system: PS1
- Time bucket: Level 1- 12:16 to 12:30
- Amount: 6765
The new bucketed payments after the application of the assumption are as follows:
Table 7-45 Payment details
| Time bucket | Payments made |
|---|---|
| 12:01-12:15 | 2098 |
| 12:16-12:30 | 7420 |
| 12:31-12:45 | 2562 |
The new payment can be introduced at any level of time bucket. In the above example, it is introduced in Level 1 of the definition.