7.2.1.1 Time Shift in Payments
When a bank is under financial stress, customers and counter parties defer payments, leading to a reduction in Intraday liquidity. The delayed payments affect other payments in the pipeline and also affect the fulfillment of time-specific obligations.
Similarly, when certain obligations of the bank are brought forward in time during the day, this leads to a stressed situation as well. The assumption supports a time shift in payments- either a forward or backward shift.
The application supports a time shift of payments from one time bucket to another. You can apply this assumption to both payments made and payments received.
Note:
All payments within the time bucket are affected and shifted according to the assumption definition.The following is an example for Time Shift in Payment assumption category: The Time buckets are defined as follows:
Table 49: Time Bucket Definition
Table 7-36 Time Bucket Definition
| Level 2 | Level 1 | Level 0 |
|---|---|---|
| 09:00:00 to 09:24:00 | 09: 00:00 to 09:12:00 | 09:00:00 to 09:06:00 |
| 09:06:01 to 09:12:00 | ||
| 09:12:01 to 09:24:00 | 09:12:01 to 09:18:00 | |
| 09:18:01 to 09:24:00 |
When a Business Assumption is defined:
- Dimensions: Legal entity - Payment system
- Based on: Payments received
- Time buckets from : 09:00:00 to 09:12:00
- Time buckets To: 09:12:01 to 09:24:00
- Percentage of delay: 60%
The payments made and received are as follows:
Table 50: Payments Made and Received
Table 7-37 Payments Made and Received
| Time bucket (Level 0) | Payments Received (Inflows) | Payments Made (Outflows) |
| Amount | Amount | |
| 09:00:00 to 09:06:00 | 990 | 675 |
| 09:06:01 to 09:12:00 | 550 | 234 |
| 09:12:01 to 09:18:00 | 130 | 167 |
| 09:18:01 to 09:24:00 | 100 | 389 |
When the assumption is defined at level 1, the same is translated to level 0 buckets when the assignment method is selected.
In this example, the selected time bucket option as an assignment method is chosen. In this case, Inflows in the time period 09:00:00 to 09:12:00 moves to the time bucket 09:12:01 to 09:24:00. Since the ‘to’ bucket has two level 0 buckets, the assignment of the total amount, that is,(990 +550) must be done to both the buckets. After the assignment, the payments received and made are as follows:
Table 7-38 Payments Received After Assignment
| Time bucket | Payments Received (Inflows) | Payments Made (Outflows) |
|---|---|---|
| Amount | Amount | |
| 09:00:00 to 09:06:00 | 396 | 675 |
| 09:06:01 to 09:12:00 | 220 | 234 |
| 09:12:01 to 09:18:00 | 592 | 167 |
| 09:18:01 to 09:24:00 | 562 | 389 |
Here, 60% of (990 +550) is delayed and is allocated equally between the level 0 buckets in the to bucket.