All validation rules for the H4 regulatory return

For inquiries please contact James Younker (jyounker@bankofcanada.ca).

Key Intra-Return Rules

Rules for Encumbered and Unencumbered Assets

Encumbered Assets = Cash (encumbered)

+ Cash Margin Given
+ Collateral In (non-rehypothecateable)
+ Collateral out
+ Adjustments

• a106 = (-1)*a4 + (-1)*a15 + (-1)*(a41+a44+a52+a56+a65) + a38 + a102

Rules for Collateral Movements Section to Reconcile with Part B

Part A: OTC Derivative Collateral Out = Part B: CMB Program - Sellers Swap -> Collateral Pledged + Sum of OTC Derivative -> Collateral Pledged (includes FIs only)

• a57 + (-1)*a16 = b22+b99+b107+b115+b123+b131+b139+b147+b155

Part A: Pledged FMI/CCP = Part B: LVTS -> Collateral Pledged + Sum of FMIs -> All Transactions -> Collateral Pledged (includes FMIs only)

• a62 + (-1)*a17= b1+b64+b69+b74+b77+b82+b85+b88+b89+b92
• a125 + (-1)*a121=b158+b160+b165+b167+b172+b177+b179+b184+b186
• a126=b161+b168+b173+b180+b187
• a127+a128 + (-1)*a122 + (-1)*a123=b162+b163+b169+b170+b174+b175+b181+b182+b188+b189
• a129 + (-1)*a124= b1+b159+b164+b166+b171+b176+b178+b183+b185+b190

Part A: Collateral Swapped Out = Part B: Sum of Collateral Swaps -> Collateral Pledged (includes CBs and FIs)

• a53 = b12+b25+b33+b42+b54+b97+b105+b113+b121+b129+b137+b145+b15

Part A: Repo (Gross) Collateral = Part B: Sum of Repo -> Collateral Pledged (includes CBs and FIs) + CMHC/CHT On Balance Sheet Repos [Note repo collateral pledged to a CCP is recorded under 'Pledged FMI/CCP']

• a47 = b6+b8+b23+b29+b31+b38+b50+b93+b101+b109+b117+b125+b133+b141+b149

Part A: Security Lending (Gross) Collateral = Part B: Sum of Security Lending -> Collateral Pledged (includes CBs and FIs)

• a49 = b40+b52+b95+b103+b111+b119+b127+b135+b143+b151

Part A: Other Collateral Out = Part B: Sum of Other -> Collateral Pledged (includes CBs and FIs)

• a71+a69+a70 + (-1)*a4 + (-1)*a18 =b4+b14+b19+b20+b21+b27 +b35+b36+b44+b45+ b56+b57+b100+b108+b116+ b124+b132+b140 +b148+b156

Part A: Collateral Swapped IN = Part B: Sum of Collateral Swaps -> Collateral Received (includes CBs and FIs)

• a51+a52 = b13+b26+b34+b43+b55+b98+b106+b114+b122+b130+b138+b146+b154

Rules for Balance Sheet Section to Reconcile with Part B

Part A: Balance Sheet Repo (Gross) (Total) = Part B: Sum of Repo -> Cash Received (includes FMIs, CBs, and FIs)

• a21 = b7+b9+b24+b30+b32+b39+b51+b62+b67+b72+b75+b80+b83+b86+b90+b94+b102+b110+b118 +b126+b134+b142+b150
• a22= b62+b67+b72+b75+b80+b83+b86+b90
• a23= b7+b9+ b24+b30+b32+b39+b51+ b94+b102+b110+b118 +b126+b134+b142+b150

Part A: Balance Sheet Security Lending (Gross) (Total) = Part B: Sum of Security Lending-> Cash Received (incl. FMIs, CBs, FIs)

• a25 = b41+b53+b63+b68+b73+b76+b81+b84+b87+b91+b96+b104+b112+b120+b128+b136+ b144+b152
• a26= b63+b68+b73+b76+b81+b84+b87+b91
• a27=b41+b53+ b96+b104+b112+b120+b128+b136+ b144+b152

Key Cross Return Rules

Rules to Reconcile with M4 Balance Sheet (accurate within 2% threshold)

Part A: Securities Long (adjustments: non-reported sub and other) = M4 Securities

• Cell (a5, c52) = M4 0865 + M4 0866 + M4 0518 + M4 0520 [reporting required at month-end with values carried forward at the business day frequency]
• Cell (a5, c52) = Cell (a5, c53) [accurate within 2% threshold on last day of month]

Part A: Secured Lending (adjustments: netting, non-reported subs and other) = M4 Reverse Repos

• Cell (a6, c52) = M4 0666 [reporting required at month-end with values carried forward at the business day frequency]
• Cell (a6, c52) = Cell (a6, c53) [accurate within 2% threshold on last day of month]

Part A: Loans (adjustments: non-reported subs and other) = M4 Loans less Reverse Repos

• Cell (a10, c52) = M4 2310 + M4 2057 + M4 0524 + M4 0526 + M4 2067 + M4 0534 +M4 0572 + M4 0540 + M4 0542 + M4 0608 + M4 2117 [reporting required at month-end with values carried forward at the business day frequency]
• Cell (a10, c52) = Cell (a10, c53) [accurate within 2% threshold on last day of month]

Part A: Secured Funding (adjustments: netting, non-reported subs and other) = M4 Repos

• Cell (a20, c52) = M4 0634 [reporting required at month-end with values carried forward at the business day frequency]
• Cell (a20, c52) = Cell (a20, c53) [accurate within 2% threshold on last day of month]

Part A: Securities Short (adjustments: non-reported sub and other) = M4 Obligations related to borrowed securities

• Cell (a28, c52) = M4 0632 [reporting required at month-end with values carried forward at the business day frequency]
• Cell (a28, c52) = Cell (a28, c53) [accurate within 2% threshold on last day of month]

Rules to Reconcile with LCR (accurate within 2% threshold)

Part A: Level 1 Available Unencumbered Assets = LCR market value of Level 1 assets

• Cell (a73, c17) = LCR 11001 + LCR 11002 + LCR 11003 + LCR 11004 + LCR 11005 + LCR 11006 + LCR 11007 + LCR 11008 + LCR 11009 + LCR 11010 [reporting required at month-end with values carried forward at the business day frequency]
• Cell (a73, c17) = Cell (a72, c17) [accurate within 2% threshold on last day of month]

Part A: Level 2A Available Unencumbered Assets = LCR market value of Level 2A assets

• Cell (a73, c25) = LCR 99004 [reporting required at month-end with values carried forward at the business day frequency]
• Cell (a73, c25) = Cell (a72, c25) [accurate within 2% threshold on last day of month]

Part A: Level 2B Available Unencumbered Assets = LCR market value of Level 2B assets

• Cell (a73, c30) = LCR 99009 + LCR 99012 [reporting required at month-end with values carried forward at the business day frequency]
• Cell (a73, c30) = Cell (a72, c30) [accurate within 2% threshold on last day of month]

Other Rules

a2=a3+a4
a6=a7+a8
a10=a11+a12+a13+a14
a15=a16+a17+a18
a16=a119+a120
a17=a121+a122+a123+a124
a20=a21+a25
a21=a22+a23
a25=a26+a27
a29=a30+a31+a32
a33=a34+a35+a36
a37=a39+a51+a52+a55+a56+a61+a63
a38=a46+a53+a57+a62+a66
a39=a40+a41+a42+a44
a46=a47+a49
a50=a51+a52+a53
a54=a55+a56+a57
a57=a58+a59
a60=a61+a62
a62=a125+a126+a127+a128+a129
a63=a64+a65
a66=a67+a68+a69+a70+a71
a72=a74+a93
a74=a75+a76+a77+a78+a79+a80+a81+a82+a83+a84+a85+a86+a87+a88+a89+a90+a91+a92 [exception: do not apply to cells (a74, c17), (a74, c31)]
a75=a3
a76=a5
a77=a10
a78=a40+a42
a79=a46
a80=(-1)*a28
a81=a51
a82=a53
a83=a55
a84=a57
a85=a61
a86=a62 [exception: do not apply to cell (a86, c46)]
a87=a64 [exception: do not apply to cell (a87, c46)]
a88=a67 [exception: do not apply to cell (a88, c46)]
a89=a68
a90=a70
a91=a71 [exception: do not apply to cell (a91, c46)]
a92=a102 [exception: do not apply to cell (a92, c46)]
a93=a94+a95+a96+a97+a98+a99+a100+a101
a94=a10
a95=a67 [exception: do not apply to cell (a95, c46)]
a96=a68
a97=a69
a98=a62 [exception: do not apply to cell (a98, c46)]
a99=a64 [exception: do not apply to cell (a99, c46)]
a100=a71 [exception: do not apply to cell (a100, c46)]
a101=a102 [exception: do not apply to cell (a101, c46)]
a102=a103+a104+a105

b16=b1+b4+b6+b8+b10+b12+b14
b28=+b20+b21+b22+b23+b25+b27
b47=b36+b38+b40+b42+b44+b45
b59=b50+b52+b54+b56+b57
b64=b158+b159
b69=b160+b161+b162+b163+b164
b74=b165+b166
b77=b167+b168+b169+b170+b171
b82=b172+b173+b174+b175+b176
b85=b177+b178
b88=b179+b180+b181+b182+b183
b89=b184+b185
b92=b186+b187+b188+b189+b190
b157=b16+b19+b28+b29+b31+b33+b35+b47+b59+b64+b69+b74+b77+b82+b85+b88+b89+b92+b93+b95+ b97+b99+b100+b101+b103+b105+b107+b108+b109+b111+b113+b115+b116+b117+b119+b121+b123+b124 +b125+b127+b129+b131+b132+b133+b135+b137+b139+b140+b141+b143+b145+b147+b148+b149+b151+ b153+b155+b156

c5=c6+c9+c11
c17=c2+c3+c4+c5+c16
c18=c19+c20
c25=c18+c22+c23+c24
c30=c26+c27+c28+c29
c31=c17+c25+c30
c32=c33+c34+c35+c36+c39+c40
c46=c32+c41+c42+c43+c44+c45
c47=c1+c31+c46 [Exception: this rule is to be replaced with c47=c1+c2+c3+c4 for (a75, c47), (b5, c47), (b7, c47), (b9, c47), (b15, c47), (b24, c47), (b30, c47), (b32, c47), (b37, c47), (b39, c47), (b41, c47), (b44, c47), (b46, c47), (b51, c47), (b53, c47), (b56, c47), (b58, c47), (b62, c47), (b63, c47), (b67, c47), (b68, c47), (b72, c47), (b73, c47), (b75, c47), (b76, c47), (b80, c47), (b81, c47), (b83, c47), (b84, c47), (b86, c47), (b87, c47), (b90, c47), (b91, c47), (b94, c47), (b96, c47), (b102, c47), (b104, c47), (b110, c47), (b112, c47), (b118, c47), (b120, c47), (b126, c47), (b128, c47), (b134, c47), (b136, c47), (b142, c47), (b144, c47), (b150, c47), (b152, c47)]
c53=c47+c48+c49+c50+c51

a1 >=0
a2 >=0
a3 >=0
a4 >=0
a5 >=0
a6 >=0
a7 >=0
a8 >=0
a9 >=0
a10 >=0
a11 >=0
a12 >=0
a13 >=0
a14 >=0
a15 >=0
a16 >=0
a119 >=0
a120 >=0
a17 >=0
a121 >=0
a122 >=0
a123 >=0
a124 >=0
a18 >=0
a19 >=0
a20 >=0
a21 >=0
a22 >=0
a23 >=0
a24 >=0
a25 >=0
a26 >=0
a27 >=0
a28 >=0
a29 >=0
a30 >=0
a31 >=0
a32 >=0
a33 >=0
a34 >=0
a35 >=0
a36 >=0
a37 >=0
a39 >=0
a40 >=0
a41 >=0
a42 >=0
a43 >=0
a44 >=0
a45 >=0
a51 >=0
a52 >=0
a55 >=0
a56 >=0
a61 >=0
a63 >=0
a64 >=0
a65 >=0

a38 <=0
a46 <=0
a47 <=0
a48 <=0
a49 <=0
a53 <=0
a57 <=0
a58 <=0
a59 <=0
a62 <=0
a125 <=0
a126 <=0
a127 <=0
a128 <=0
a129 <=0
a66 <=0
a67 <=0
a68 <=0
a69 <=0
a70 <=0
a71 <=0

Cell (b20, c10) = Cell (b20, c54)
Cell (a10, c10) = Cell (a10, c54)
Cell (a11, c10) = Cell (a11, c54)
Cell (a12, c10) = Cell (a12, c54)
Cell (a13, c10) = Cell (a13, c54)
Cell (a14, c10) = Cell (a14, c54)
Cell (b20, c9) = Cell (b20, c10)
Cell (b49, c47) = (Cell (b48, c47) / Cell (b47, c47))*100
Cell (b61, c47) = (Cell (b60, c47) / Cell (b59, c47))*100
Cell (b66, c47) = (Cell (b65, c47) / Cell (b64, c47))*100
Cell (b71, c47) = (Cell (b70, c47) / Cell (b69, c47))*100
Cell (b79, c47) = (Cell (b78, c47) / Cell (b77, c47))*100