Liquidity Coverage Ratio (LCR) Reporting (LA)

Purpose

This return provides the liquidity coverage ratio of the reporting institution, as well as details of the calculation. This return will also serve as a basis for affected deposit-taking institutions to report information related to the liquidity coverage ratio by significant currency monitoring tool.

Statutory

Section 628 and Section 950 of the Bank Act (banks and bank holding companies, respectively), Section 495 of the Trust and Loan Companies Act and Section 431 of the Cooperative Credit Associations Act.

Application

This return applies to all deposit-taking institutions except foreign bank branches.

Frequency

Monthly

Contact person

For business and/or interpretation questions, contact Louis Bélisle (Louis.Belisle@osfi-bsif.gc.ca), Capital and Liquidity Standards Division. For all technical questions, contact Returns Admin (RA-RRS.Support@osfi-bsif.gc.ca).

Reporting dates

The return must be completed on a monthly basis and filed within 14 calendar days of month end.

Where to submit

OSFI

General instructions

The LCR return is to be completed using the methodologies and calculations described in Chapter 2 of OSFI's Liquidity Adequacy Requirements (LAR) Guideline. Specific instructions for each required data item (LCR classification identifier) can be found in the 'LCR_Classification' worksheet of the LCR return. The purpose of these instructions is to ease completion of the LCR return by referencing its components to the applicable paragraph(s) of the guideline (e.g., para 43(d)).

Generally, the LCR return must be completed on a consolidated basis (reported in CAD-equivalent amounts) by all banks, bank holding companies, federally regulated trust and loan companies and cooperative credit associations. These OSFI-regulated entities are collectively referred to herein as institutions. In addition, institutions that have currencies that are "significant"^{Footnote 1} should separately file an LCR return for CAD-equivalent amounts in the relevant "significant" currency.

Technical notes

The LCR return can be submitted through the Regulatory Reporting System (RRS) by uploading a data file in XML. While it is possible to file this return by filling out and submitting the web form in RRS, it is preferable to use the XML file upload due to the significant number of data fields to be entered. An XSD file that outlines the structure of conforming XML files can be downloaded from the RRS Portal Documents section. The currency code for the consolidated basis is CA1 to be distinguished from CAD, which represents Canadian dollar as a "significant" currency.