Monthly intraday liquidity monitoring return instructions
Information
Table of contents
Purpose
This return provides daily intraday liquidity information for reporting institutions.
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, that are direct participants in the Lynx large value payment system.
Frequency
Monthly
Contact person
For business and/or interpretation questions, contact Neil Colligan (neil.colligan@osfi-bsif.gc.ca) or Adam Dolson (adam.dolson@osfi-bsif.gc.ca), Banking 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 for all business days in the previous month and filed within 14 calendar days of month end.
Where to submit
Submit the completed return to OSFI via the Regulatory Reporting System Secure Site.
Data input format
Only shaded cells with (*) should be completed. Leave cells blank where data is unavailable and/or missing (e.g., for weekends and other non-business days).
General instructions
Institutions should complete the monthly intraday liquidity monitoring return using the methodologies and calculations detailed in Chapter 7 of OSFI's Liquidity Adequacy Requirements (LAR) Guideline.
The Monthly Intraday Liquidity Mapping File (XLSX, 92.2 KB) maps each of the cells to be completed in the flat return file to easier-to-read tables for each section. This file is for reference only and is not to be submitted by institutions.
Specific instructions for each section, as well as references to the relevant parts of LAR Chapter 7, are in the table below:
Section 1 - Direct Participants
Data should be reported in CAD thousands for Lynx and USD thousands for Fedwire.
Unless otherwise instructed by OSFI, institutions should only report the Fedwire fields for the consolidated parent entity (i.e., including branch(es) operating in the US on a consolidated basis) and do not have to include, or report separately for, US subsidiaries with Fedwire accounts (see LAR Chapter 7, Scope of Application 7.4(iv)).
| Daily maximum intraday liquidity usage |
Institutions should monitor the net balance of all payments made and received during the day over their settlement account with the central bank and report the maximum and minimum net cumulative positions. Both the maximum and the minimum net cumulative position should exclude any transactions with the central bank (such as the central bank opening balance payment). The minimum net cumulative position should be reported as a negative number. If the cumulative net position never goes below zero for the day the minimum net cumulative position should be reported as zero. |
LAR Chapter 7, 7.2.A(i). Monitoring tools applicable to all reporting institutions & BCBS 248 |
|---|---|---|
| Available intraday liquidity at the start of the business day |
Institutions should report the value of intraday liquidity available at the start of each business day in the reporting period. The report should be broken down by liquidity sources available to the institution. The value of loans or securities should be post any applicable haircut. For Lynx, institutions should report both the total unencumbered liquid assets available on the bank's balance sheet (line 4) and the subset of those that the bank can access and liquidate early in the day (line 4a). For Fedwire, institutions should only report unencumbered liquid assets the institution can access and liquidate in early hours of the day (line 4). For Lynx: Unencumbered liquid assets available on the bank's balance sheet (line 4) is subject to the Bank of Canada's 20% cap on non-mortgage loans. Other (line 7) may include the value of the non-mortgage loan portfolio in excess of the 20% cap. |
LAR Chapter 7, 7.2.A(ii). Monitoring tools applicable to all reporting institutions LAR Chapter 7, 7.1.B provides more detail on which sources of available liquidity to include BCBS 248 |
| Total payments |
Institutions should report the total of their gross payments sent and received each business day in the large value payment system. Payments should not include any payments to/from the institution's account with the central bank. Payments sent should be reported as a negative number and payments received should be reported as a positive number. |
LAR Chapter 7, 7.2.A(iii). Monitoring tools applicable to all reporting institutions & BCBS 248 |
| Time-specific obligations |
Institutions should report the total value of time-specific obligations that they settle each business day as an indication of the scale of these obligations. Time-specific obligations should be reported as a negative number. |
LAR Chapter 7, 7.2.A(iv). Monitoring tools applicable to all reporting institutions & BCBS 248 |
| Intraday Throughput (Lynx only) |
Institutions should report the following in line with the methodology from Payments Canada:
at 10am, 1pm and 4:30pm Eastern Time each business day. |
LAR Chapter 7, 7.2.C. Monitoring tool applicable to institutions which are direct participants & BCBS 248 |
Section 2 - Correspondent Bank Use (USD, EUR, GBP, Others if applicable)
Data should be reported in thousands of the relevant currency for each correspondent bank.
Institutions should report data separately for each correspondent bank. If the institution uses a correspondent bank that is not included in the return file, please inform OSFI and add more lines in the flat data return file following the mapping convention in the tab 2.1.1 of the Monthly Intraday Liquidity Mapping File linked above.
Unless otherwise instructed by OSFI, institutions should only report the correspondent bank fields for the consolidated parent entity (i.e., including foreign branch(es) on a consolidated basis) and do not have to include, or report separately for, correspondent bank use of foreign subsidiaries (see LAR Chapter 7, Scope of Application 7.4(iv)).
| Daily maximum intraday liquidity usage |
Institutions should monitor the net balance of all payments made and received during the day over their account held with a correspondent bank and report the maximum and minimum net cumulative positions. Both the maximum and the minimum net cumulative position should exclude any transactions with the central bank. The minimum net cumulative position should be reported as a negative number. If the net cumulative position never goes below zero for the day the minimum net cumulative position should be reported as zero. |
LAR Chapter 7, 7.2. A(i). Monitoring tools applicable to all reporting institutions & BCBS 248 |
|---|---|---|
| Available intraday liquidity at the start of the business day |
Institutions should report the value of intraday liquidity available at the start of each business day in the reporting period. The report should be broken down by liquidity sources available to the institution. The value of loans or securities should be post any applicable haircut. Unencumbered liquid assets available on the bank's balance sheet (line 5) should only include any assets the institution can access and liquidate in early hours of the day. |
LAR Chapter 7, 7.2. A(ii). Monitoring tools applicable to all reporting institutions LAR Chapter 7, 7.1.B provides more detail on sources of available liquidity to include BCBS 248 |
| Total payments |
Institutions should calculate the total of their gross payments sent and received across the correspondent bank account(s). Payments should not include any payments to/from the institution's account with the central bank. Payments sent should be reported as a negative number and payments received should be reported as a positive number. |
LAR Chapter 7, 7.2. A(iii). Monitoring tools applicable to all reporting institutions & BCBS 248 |
| Time-specific obligations | Institutions should report the total value of time-specific obligations that they settle each business day as an indication of the scale of these obligations. Time-specific obligations should be reported as a negative number. | LAR Chapter 7, 7.2. A(iv). Monitoring tools applicable to all reporting institutions & BCBS 248 |
Section 3 - Banks that provide correspondent banking services
Data should be reported in CAD thousands.
| Value of payments made on behalf of correspondent banking customers |
Correspondent banks should report the total value of payments they make on behalf of all customers of their correspondent banking services each business day. Payments made should be reported as a negative number. |
LAR Chapter 7, 7.2.B(i). Monitoring tools applicable to reporting banks that provide correspondent banking services & BCBS 248 |
|---|---|---|
| Intraday credit lines extended to customers |
Correspondent banks should report the total value of intraday credit lines extended to their customers each day in the reporting period, including whether these lines are secured or committed and the use of those lines at peak usage. The value of credit lines extended should be reported as a negative number. |
LAR Chapter 7, 7.2.B(ii). Monitoring tools applicable to reporting banks that provide correspondent banking services & BCBS 248 |