Report on Intraday Liquidity of Universal and Commercial Banks (UBs/KBs) and Their Subsidiary Banks/Quasi-Banks (QBs)

December 3, 2019 BSP CIRCULAR NO. 1064-19 SUBJECT : Report on Intraday Liquidity of Universal and Commercial Banks (UBs/KBs) and Their Subsidiary Banks/Quasi-Banks (QBs) The Monetary Board, in its Resolution No. 1818 dated 21 November 2019, approved the amendments to the Manual of Regulations for Banks (MORB) and the Manual of Regulations for Non-Bank Financial Institutions (MORNBFI) to implement and adopt the report on intraday liquidity for UBs/KBs and their subsidiary thrift banks/QBs. The report is aimed at appropriately monitoring the intraday liquidity position of Bangko Sentral-supervised financial institutions (BSFIs), their sources of intraday liquidity, and their ability to meet payment and settlement obligations on a timely basis under both normal and stressed conditions. The reporting requirements are also intended to facilitate the sound management of intraday liquidity risk as well as provide sufficient understanding and allocation of resources to effectively manage the same. SECTION 1. The following provisions on the Report on Intraday Liquidity shall be added under Section 145/4176Q of the MORB/MORNBFI and shall precede the provisions on Supervisory Enforcement Actions. Report on Intraday Liquidity. In accordance with Section V of the Guidelines on Intraday Liquidity Risk Management in Appendix 71/Q-44a which expects banks/QBs with large volume of daily payments and settlements to effectively manage their intraday liquidity positions and risks, all universal and commercial banks (UBs/KBs) and their subsidiary thrift banks (TBs)/quasi-banks (QBs) shall submit the Report on Intraday Liquidity on solo basis. The report is designed to measure and monitor the different aspects of a bank's/QB's intraday liquidity position. SECTION 2. The following provisions of Appendix 71 of the MORB and Appendix Q-44a of the MORNBFI shall be amended as indicated below. "V. INTRADAY LIQUIDITY RISK MANAGEMENT xxx xxx xxx Banks/QBs should have policies, procedures and systems to support operational objectives in all of the financial markets and currencies in which they have significant payment and settlement activities. These should enable them to: 1. Measure expected daily gross liquidity inflows and outflows, x x x 2. Identify, measure, and monitor payments in large value payment systems (LVPS) that are time-specific in nature. For this purpose, a bank/QB should be able to define the types of transactions that are time-specific relative to its liquidity requirements and participation in an LVPS. Time-specific obligations refer to payments, such as but not limited to: a) with a time-specific intraday deadline; b) required to settle positions in other payment and settlement systems, as well as ancillary systems such as check clearing, PESONet, InstaPay, ATM network; c) related to market activities such as delivery or return of money market transactions or margin payments; and d) critical to the bank's/QB's business, reputation, or continued compliance with agreements or regulations, failure of which may lead to penalties or other sanctions. These obligations include amounts drawn from overnight lending facilities or intraday liquidity facilities that must be settled at the end of the day. 3. Identify and properly document accounts that are opened and maintained with correspondent banks to facilitate payment services pertaining to fund transfer, check clearing, cash management services, trade finance, foreign exchange trades, security trades, security custody services, and other short-term payment transactions. 4. Monitor and keep track payments made on behalf of correspondent banking customers as well as manage risks related to the provision of intraday credit line facilities. A bank should maintain appropriate documentation on these intraday credit facilities as well as monitor the extent of drawdown and peak usage 1 of the intraday credit lines so as to ensure adherence to established credit limits and to facilitate liquidity risk management. As intraday credit lines are normally drawn down and repaid within the same day, banks should keep track of their customers' drawings and repayments on such credit lines on an intraday basis to ensure compliance with approved credit limits and funds flow management. A bank should form its own view, from a risk management perspective, of the extent or frequency of monitoring consistent with its business model and the scale and usage pattern of its customers. 5. Monitor intraday liquidity positions in large value payment systems and correspondent banks against expected activities and available resources. x x x 6. Secure sufficient funding and manage the timing of liquidity outflows x x x 7. Manage and mobilize collaterals as necessary to obtain intraday funds. x x x 8. Attribute intraday liquidity costs to the bank's/QB's income generating units, as warranted. 9. Set intraday liquidity risk limits that take into account possible obstacles to intraday cash flow movement x x x 10. Deal with unexpected disruptions to intraday liquidity flows, x x x The tools and resources applied by a bank/QB in managing its intraday liquidity risks should be tailored to its business model, x x x Stand-alone thrift banks (TBs)/quasi-banks (QBs) and all rural banks (RBs)/cooperative (Coop) banks shall be expected to maintain an adequate and reliable management information system (MIS) that is able to monitor and report (a) gross payments sent and received in the Large Value Payment System (LVPS) and/or, where appropriate, across all accounts held with correspondent banks on a daily basis and (b) available intraday liquidity at the start of the banking/business day. For this purpose, available intraday liquidity at the start of the business day shall be defined as follows: (a) For rural banks that are subject to the Basel III Liquidity Coverage Ratio (LCR) requirement, it shall include the High Quality Liquid Assets (HQLA) under Section 145 of the MORB, total credit lines available from the central bank, total credit lines available from correspondent banks, balances maintained in correspondent banking accounts, and balances maintained in accounts other than correspondent banking accounts. (b) For banks/QBs that are subject to the Minimum Liquidity Ratio (MLR), it shall include the eligible liquid assets under Section 145/4176Q of the MORB/MORNBFI, total credit lines available from the central bank, and total credit lines available from correspondent banks. Stand-alone TBs/QBs and all RBs/Coop Banks shall make the abovementioned information available any time upon request of the Bangko Sentral. 2 Banks/QBs should ensure that there is a clear assignment of tasks and responsibilities x x x" SECTION 3. Appendix 7 "Reports Required of Banks" of the MORB and Appendix Q-3 "List of Reports Required from Quasi-Banks" of the MORNBFI are hereby amended as shown in Annex A and Annex B , respectively. The line item instructions and relevant reportorial templates of the Report on Intraday Liquidity are shown under Annex C and Annex D , respectively. Specific guidelines on the mode and manner of the electronic submission of the reportorial template of the Report on Intraday Liquidity shall be covered by a separate issuance. SECTION 4. Amendments to the Financial Reporting Package . The Manual of Accounts and Report Format as prescribed under Section 172 of the MORB shall be amended as indicated below. "BALANCE SHEET ACCOUNTS Asset Accounts xxx xxx xxx 4. Due from Other Banks xxx xxx xxx (c) Resident Banks Clearing and Settlement Account This refers to debit balances of accounts maintained with other resident banks exclusively for the settlement of payment transactions pertaining to fund transfer services, check clearing, cash management services, trade finance, foreign exchange trades, security trades, security custody services, and other short-term payment transactions. (1) Local currency x x x (2) Foreign currency x x x (d) Non-Resident Banks Clearing and Settlement Account This refers to debit balances of clearing and settlement accounts maintained with non-resident banks exclusively for the settlement of payment transactions pertaining to fund transfer services, check clearing, cash management services, trade finance, foreign exchange trades, security trades, security custody services, and other short-term payment transactions. xxx xxx xxx Liability Accounts xxx xxx xxx 4. Due to Other Banks xxx xxx xxx (a) Due to Resident Banks Clearing and Settlement Accounts This refers to credit balances of accounts maintained by other resident banks exclusively for the settlement of payment transactions pertaining to fund transfer services, check clearing, cash management services, trade finance, foreign exchange trades, security trades, security custody services, and other short-term payment transactions. xxx xxx xxx (b) Due to Non-Resident Banks Clearing and Settlement Accounts This refers to credit balances of clearing and settlement accounts maintained by other non-resident banks exclusively for the settlement of payment transactions pertaining to fund transfer services, check clearing, cash management services, trade finance, foreign exchange trades, security trades, security custody services, and other short-term payment transactions. (c) Due to Non-Resident Banks Working Capital This refers to credit x x x xxx xxx xxx" SECTION 5. The following transitory provision shall be incorporated as a footnote to Section 145/4176Q on Report on Intraday Liquidity. Submission of reports shall commence one (1) year and six (6) months from the date of effectivity of this Circular. SECTION 6. Effectivity . This Circular shall take effect fifteen (15) calendar days following its publication either in the Official Gazette or in a newspaper of general circulation. FOR THE MONETARY BOARD: (SGD.) BENJAMIN E. DIOKNO Governor ANNEX A Appendix 7 of the MORB Reports Required of Banks A. UBs/KBs Category Form No. MOR Ref. Report Title Frequency Submission Deadline Submission Procedure A-1 Form 2B/2B.1 (BSP-7-16-03) Section 175 x x x Published Balance Sheet/Consolidated Balance Sheet (Before Publication) x x x Quarterly 12th banking day from date of Call Letter x x x sdckb-pbs @bsp.gov.ph x x x x x x x x x x x x x x x x x x x x x x x x A-1 Unnumbered Section 145-A x x x Basel III Liquidity Coverage Ratio Report (LCR) Solo Monthly 15 banking days from measurement date [emailprotected] Consolidated Quarterly 30 banking days from measurement date -do- A-1 Section 145 Report on Intraday Liquidity (on a per currency basis) Monthly 15 banking days from the end of the reference month 1 e-mail to DSA x x x x x x x x x x x x x x x x x x x x x For other DES/IOD Reports: Please refer to Chapter I, Part V, Manual of Regulations on Foreign Exchange Transactions using this link: http://www.bsp.gov.ph/downloads/Regulations/MORFX/MORFXT.pdf Domestic Operation Sector Report Report on Negotiation of Accounts Rediscounted with Bangko Sentral Monthly 15th banking day after end of reference month Original DLC DOS Form I (DLC Form G) (M-029 dated 08.14.09) Quarterly monthly report for medium and long-term loans Quarterly 30th day of the month following the end of the quarter -do- B. TBs Category Form No. MOR Ref. Report Title Frequency Submission Deadline Submission Procedure Unnumbered Section 172 x x x Financial Reporting Package (FRP) x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x x A-1 Section 127 x x x Basel III Leverage Ratio (BLR) Report x x x Semi-annually x x x sdctb-leverage @bsp.gov.ph A-1 Section 145 Report on Intraday Liquidity (on a per currency basis) Monthly 15 banking days from the end of the reference month 2 e-mail to DSA x x x x x x x x x x x x x x x x x x x x x For other DES/IOD Reports: Please refer to Chapter I, Part V, Manual of Regulations on Foreign Exchange Transactions using this link: http://www.bsp.gov.ph/downloads/Regulations/MORFX/MORFXT.pdf ANNEX B Appendix Q-3 of the MORNBFI List of Reports Required from Quasi-Banks Category Form No. MOR Ref. Report Title Frequency Submission Deadline Submission Procedure A-1 Unnumbered 4115Q x x x Basel III Capital Adequacy Ratio (CAR) Report Quarterly x x x x x x x x x x x x x x x x x x x x x x x x x x x A-1 4176Q.12 Report on Intraday Liquidity (on a per currency basis) Monthly 15 banking days from the end of the reference month 1 e-mail to DSA x x x x x x x x x x x x x x x x x x x x x B Unnumbered 4190Q.6 x x x Annual Report Assessment Checklist (ARAC) x x x x x x x x x ANNEX C Guidelines on the Accomplishment of the Report on Intraday Liquidity I. Introduction The Report on Intraday Liquidity monitors the level and trend of intraday liquidity risk exposures of a bank/quasi-bank (QB) and its ability to meet payment and settlement obligations on a timely basis under both normal and stressed conditions. II. Coverage of the Report All universal and commercial banks (UBs/KBs) and their subsidiary thrift banks/quasi-banks (QBs) are required to submit the Report on Intraday Liquidity for transactions that are denominated in pesos and other significant currencies to the Department of Supervisory Analytics (DSA) of the BSP within the prescribed reporting period. III. Structure of the Report on Intraday Liquidity The Report on Intraday Liquidity is composed of the following schedules, which shall be accomplished independently of each other by covered banks: a. Schedule 1 For Covered Banks that are Direct Participants in a Large Value Payment Systems (LVPS) b. Schedule 2 For Covered Banks/QBs that are Using Correspondent Banks c. Schedule 3 For Covered Banks Providing Correspondent Banking Services d. Schedule 4 For All Covered Banks/QBs The succeeding sections provide the guidelines and the line item instructions in the accomplishment of the schedules of the Report on Intraday Liquidity. IV. Definition of Terms Ancillary system refers to a payment and settlement system that is not an LVPS. This includes other payment systems such as retail payment systems, Continuous Linked Settlement (CLS), 1 securities settlement systems, and central counterparties. Ancillary systems in the Philippines include, but are not limited to, the check clearing system, PESONet, InstaPay, and the ATM network. Banking/Business day refers to the opening hours of the LVPS or of correspondent banking services during which a bank/quasi-bank can receive and make payments in a local jurisdiction. Direct participant shall refer to a participant in an LVPS that can settle its own payments without using an intermediary. Correspondent banking is an arrangement under which one bank (correspondent) holds deposits owned by other banks (respondents) and provides payment services pertaining to fund transfer, check clearing, cash management services, trade finance, foreign exchange trades, security trades, security custody services, and other short-term payment transactions to those respondent banks. High quality liquid assets (HQLA) refers to an asset that can be converted easily and immediately into cash at little or no loss of value in private markets to meet the bank's/QB's liquidity needs during times of stress. The computation of HQLA is provided under Section 145-A of the New Manual of Regulations for Banks (MORB). Intraday liquidity refers to funds which can be accessed during the banking/business day, usually to enable banks/QBs to make payments in real time. Intraday liquidity risk is the risk that a bank/QB fails to manage its intraday liquidity effectively, which could render it unable to meet a payment obligation at the time expected, thereby affecting its own liquidity position and that of other parties. Large value payment system (LVPS) is a funds transfer system that typically handles large-value and high priority payments. It is usually operated by central banks using a real time gross settlement system (RTGS) or equivalent mechanism. For the purpose of the Report on Intraday Liquidity, LVPS operating in the Philippines refers to the Philippine Payment and Settlement System (PhilPaSS) , Philippine Domestic Dollar Transfer System (PDDTS), and Philippine Dealing System Transfer-Renminbi Transfer System (RTS). 2 Time-specific obligations refer to payment or settlement obligations as defined under Appendix 71/Q-44a of the New MORB/MORNBFI, respectively. V. Guidelines on the Preparation of the Report on Intraday Liquidity 1. Reporting Format A Report on Intraday Liquidity shall be prepared for peso-denominated transactions and for transactions that are of significant currency. Covered banks/QBs shall prepare the Report on Intraday Liquidity on a solo basis 3 for each currency using the attached reporting template. 2. Amounts Reported The amounts reported shall be in absolute amount and in the original currency used in the transaction. If there are transactions involving more than one currency, a Report on Intraday Liquidity shall be accomplished separately for transactions denominated in a significant currency. 4 As an indicative threshold, a currency is considered "significant" if the aggregate liabilities denominated in that currency amount to 5 percent or more of the bank's/QB's total liabilities. 3. Reporting Period Covered banks/QBs shall submit the Report on Intraday Liquidity within 15 banking days after the end of each reference month upon effectivity date. 4. Report Structure Each Report on Intraday Liquidity shall consist of the following schedules: Schedule 1 shall be accomplished by covered banks/QBs directly participating in LVPS. If there are transactions involving more than one LVPS in a particular currency, the schedule shall be accomplished separately for each large value payment system in that currency. Schedule 2 shall be accomplished by covered banks/QBs that use correspondent banks. The schedule shall be accomplished based on data aggregated from all correspondent banks in a particular currency, excluding amounts held with correspondent banks that are designated as settlement bank of LVPS. Schedule 3 shall be accomplished by covered banks that provide correspondent banking services in a particular currency. Schedule 4 shall be accomplished by all covered banks/QBs for each currency. Each schedule has 31 columns (marked Day 1, Day 2, etc.) which correspond to the calendar days of the reference month. The calendar days falling on a banking/business day should be filled out with the relevant amount required to be reported while the amounts for calendar days falling on a non-banking/business day shall be set to zero (0). VI. Line Item Instructions Schedule 1 For Direct Participant in a Large Value Payment Systems This schedule shall be prepared for each LVPS where the bank/QB is a direct participant and present data on a daily basis. The currency used in the LVPS shall be indicated in the schedule. The amounts reported should pertain to transactions coursed through the settlement account in the relevant LVPS such as the primary DDA for PhilPaSS and the designated settlement account for other LVPS. Ref Heading/Line Item Instruction A Daily maximum intraday liquidity usage This metric enables banks/QBs to monitor the net balance of all payments made and received during the day based on time of settlement at the LVPS. 5 The net cumulative positions may be calculated after the close of the banking/business day and does not necessarily require real time monitoring throughout the day. All payments received and sent using the settlement account ( e.g. , primary DDA for the PhilPaSS ) should be considered in the calculation of this metric. This shall include payment flows that are coursed through the LVPS associated with availment of intraday liquidity facilities and subsequent repayment of the same. 1. Largest positive net cumulative position Positive net cumulative position refers to the net cumulative positive balance between payments made and received during the day. Report the largest positive net cumulative position on the payment and settlement account for each banking/business day in the reporting period. 2. Largest negative net cumulative position Negative net cumulative position refers to the net cumulative negative balance between payments made and received during the day. Report the largest negative net cumulative position on the payment and settlement account for each banking/business day in the reporting period. B Total payments Total payments refer to the total of gross payments sent and received in the LVPS. 1. Gross payments sent Report the gross payments sent using the payment and settlement account for each banking/business day in the reporting period. 2. Gross payments received Report the gross payments received using the payment and settlement account for each banking/business day in the reporting period. C Total value of time-specific obligations Time-specific obligations refer to payments for which there is a time-specific intraday deadline. These shall include, but need not be limited to, transactions identified by a bank/QB in accordance with the provisions of Appendix 71 of the New MORB/Q-44a of the MORNBFI. Report the total amount of time-specific obligations of the bank/QB, consistent with its policies and procedures on intraday liquidity, for each banking/business day in the reporting period. D Intraday throughput Intraday throughput refers to the percentage of outgoing payments (relative to total payments) that settle by specific times during the day, by value within each hour of the banking/business day that fall within the operating hours of the LVPS. Report the intraday throughput for each hour from 9:00 AM to 6:00 PM for each banking/business day in the reporting period as follows: 1. 9:00 AM 2. 10:00 AM 3. 11:00 AM 4. 12:00 PM 5. 1:00 PM 6. 2:00 PM 7. 3:00 PM 8. 4:00 PM 9. 5:00 PM 10. 6:00 PM 6 Reporting of the periods should be based on the local time of the location of the payment system being reported. Schedule 2 Bank/QB Using Correspondent Banks Other Than Settlement Banks for LVPS Table Heading/Line Item Instruction A Total payments Total payments refer to the total amount of gross payments sent and received through correspondent banks, 7 excluding amounts held with correspondent banks that are designated as settlement bank of LVPS. These shall generally pertain to payments sent and received through the "Due from Other Banks Resident Banks Clearing and Settlement Account" and "Due from Other Banks Non Resident Banks Clearing and Settlement Account" of the Financial Reporting Package (FRP) except for payments sent and received through accounts maintained with correspondent banks that are designated as settlement bank of LVPS. Amounts reported shall be aggregated for all correspondent banks on a per currency basis. 1. Gross payments sent Report the gross payments sent using correspondent banks for each banking/business day in the reporting period. 2. Gross payments received Report the gross payments received using correspondent banks for each banking/business day in the reporting period. Schedule 3 Banks Providing Correspondent Banking Services Ref Heading/Line Item Instruction A Value of payments made on behalf of correspondent banking customers Total gross value of payments made on behalf of correspondent banking customers Total gross value of payments made on behalf of correspondent banking customers refers to total payments made on behalf of customers that avail of the bank's correspondent banking services. Report the total value of payments made on behalf of all customers of correspondent banking services for each banking/business day. B Intraday credit lines extended to customers Intraday credit lines extended to customers refers to the total amount of intraday credit lines granted, whether drawn or undrawn, secured or unsecured, committed or uncommitted, to customers at the start of each banking/business day. Report the total amount of intraday credit lines extended to the bank's customers at the start of each banking/business day in the reporting period, including whether these lines are secured or committed and the use of those lines at peak usage ( i.e. , highest level of usage of the credit line extended to all the bank's customers). Separate reporting of intraday credit lines granted shall be required for banks acting as settlement banks of LVPS. Schedule 4 All Covered Banks/QBs Ref Heading/Line Item Instruction A Available intraday liquidity at the start of the banking/business day Available intraday liquidity at the start of the business day refers to the various sources of intraday liquidity of the bank/QB in line with its Liquidity Risk Management policy in the currency denomination of the report. The amounts to be reported should correspond to the amounts reported in the prudential reports of the bank/QB as of the start of the banking/business day. 1. Central bank reserves (DDA balance with the BSP) Central bank reserves refer to amounts maintained in the bank's/QB's demand deposit accounts (DDA) with the BSP. 8 Report the amount of central bank reserves available at the start of each banking/business day in the reporting period. 2. Total credit lines available from the central bank Total credit lines available from the central bank refer to the value of total credit lines available intraday from the central bank. For the purpose of preparing this Schedule, only amounts available from the BSP's Overdraft Credit Line (OCL) and Intraday Liquidity Facility (ILF) shall be considered. Credit lines from the BSP's Rediscounting Facility shall be excluded. 9 Report the total credit lines available from the central bank at the start of each banking/business day in the reporting period. 10 The amounts to be considered are the undrawn and unencumbered portions of the credit lines that are freely available for intraday liquidity purposes at the start of the business day. 3. Total credit lines available from correspondent banks Total credit lines available from correspondent banks refer to the value of credit lines available intraday from correspondent banks, broken down according to those that are secured and those that are committed. Report the total credit lines available from all correspondent banks at the start of each banking/business day in the reporting period. 11 This amount shall include any intraday credit line granted by settlement banks of LVPS (other than PhilPaSS ) reported in Schedule 1. The amounts to be considered are the undrawn and unencumbered portions of the credit lines that are freely available for intraday liquidity purposes at the start of the business day. 12 Credit lines from correspondent banks that are freely available for intraday liquidity purposes should be allocated to each significant currency, as applicable, based on the denomination of the credit line. 4. Balances maintained in correspondent banking accounts Balances with correspondent banks refer to balances maintained in accounts with correspondent banks that are used to facilitate payment and settlement transactions. In general, this should coincide with the balance of the settlement accounts that are reported in the FRP under "Due from Other Banks Resident Banks Clearing and Settlement Account" and "Due from Other Banks Non-Resident Banks Clearing and Settlement Account" at the start of each banking/business day. Report the balances maintained in correspondent banking accounts at the start of each banking/business day in the reporting period. 5. Balances maintained in accounts other than correspondent banking accounts Balances with other banks refer to the balances maintained in accounts with banks, other than those maintained in correspondent banking accounts, that can be used for intraday settlement consistent with the bank's/QB's policy on intraday liquidity. These balances are not primarily intended to facilitate payments but may be transferred intraday to the bank's/QB's account with the central bank or correspondent banks to support intraday settlement. In general, these are the start-of-day balances of bank accounts reported in the FRP under "Due from Other Banks Resident Banks" and "Due from Other Banks Non-Resident Banks" that are not "clearing and settlement" accounts and are available for intraday liquidity purposes. Report the balances maintained in accounts other than correspondent banking accounts at the start of each banking/business day in the reporting period. 6. Unencumbered liquid assets on a bank's/QB's balance sheet Unencumbered liquid assets on a bank's/QB's balance sheet refer to the amount of Level 1 and Level 2 (with corresponding haircuts) HQLA under Section 145-A/4176Q.1 of the New MORB/MORNBFI, excluding balances with the central bank (central bank reserves). Report the available unencumbered liquid assets on a bank's/QB's balance sheet at the start of each banking/business day in the reporting period. VII. Practical Example of the Monitoring Tools 13 Illustrative examples are provided below on how the monitoring tools shall be calculated for intraday reporting purposes. 1. Direct participant Assume that on the given day, the bank's payment profile and liquidity usage is as follows: Time Sent (in Php) Received (in Php) Net (in Php) 07:00 Payment A: 450 -450 07:58 200 -250 08:55 Payment B: 100 -350 10:00 Payment C: 200 -550 10:45 400 -150 11:59 300 +150 13:00 Payment D: 300 -150 13:45 350 +200 15:00 Payment E: 250 -50 15:32 Payment F: 100 -150 17:00 150 0 Details of the bank's payment profile: Payment A: Php450 Payment B: Php100 to settle obligations in an ancillary system Payment C: Php200 which has to be settled by 10 am Payment D: Php300 on behalf of a counterparty using a portion of a Php500 unsecured credit line that the bank extended to the counterparty at the start of the business day Payment E: Php250 Payment F: Php100 The bank has Php300 of central bank reserves and Php500 of other types of HQLA. Daily maximum liquidity usage: largest negative net cumulative positions: Php550 largest positive net cumulative positions: Php200 Available intraday liquidity at the start of the business day: Php300 of central bank reserves + Php500 of other types of HQLA = Php800 Total payments: Gross payments sent: 450+100+200+300+250+100 = Php1,400 Gross payments received: 200+400+300+350+150 = Php1,400 Time-specific obligations: 200 + value of ancillary payment (100) = Php300 Value of payments made on behalf of correspondent banking customers: Php300 Intraday credit line extended to customers: Value of intraday credit lines extended: Php500 Value of credit line used: Php300 Intraday throughput Time Cumulative sent (in Php) sent 08:00 450 32.14 09:00 550 39.29 10:00 750 53.57 11:00 750 53.57 12:00 750 53.57 13:00 1050 75.00 14:00 1050 75.00 15:00 1300 92.86 16:00 1400 100.00 17:00 1400 100.00 18:00 1400 100.00 2. Bank that only uses a correspondent bank Assume that on the given day, the bank's payment profile and liquidity usage is as follows: Time Sent (in Php) Received (in Php) Net (in Php) 07:00 Payment A: 450 -450 07:58 200 -250 08:55 Payment B: 100 -350 10:00 Payment C: 200 -550 10:45 400 -150 11:59 300 +150 13:00 Payment D: 300 -150 13:45 350 +200 15:00 Payment E: 250 -50 15:32 Payment F: 100 -150 17:00 150 0 Details of the bank's payment profile under the correspondent bank account: Payment A: Php450 Payment B: Php100 Payment C: Php200 which has to be settled by 10am Payment D: Php300 Payment E: Php250 Payment F: Php100 which has to be settled by 4pm The bank has Php300 of account balance at the correspondent bank and Php500 of credit lines of which Php300 is unsecured and also uncommitted. Available intraday liquidity at the start of the business day: Php300 of account balance at the correspondent bank + Php500 of credit lines (of which Php300 unsecured and uncommitted) = Php800 Total payments: Gross payments sent: 450+100+200+300+250+100 = Php1,400 Gross payments received: 200+400+300+350+150 = Php1,400 ANNEX D Electronic Submission to the Department of Supervisory Analytics Report on Intraday Liquidity of Philippine Banks (Solo Basis) Schedule 1. Direct Participant in a Large Value Payment Systems Report on Intraday Liquidity of Philippine Banks (Solo Basis) Schedule 2. Bank/QBs Using Correspondent Banks Other Than Settlement Banks for LVPS Report on Intraday Liquidity of Philippine Banks (Solo Basis) Schedule 3. Banks Providing Correspondent Banking Services Report on Intraday Liquidity of Philippine Banks (Solo Basis) Schedule 4. All Covered Banks/QBs Footnotes 1. Peak usage refers to the maximum aggregate amount of concurrently outstanding intraday credit drawn against intraday credit lines granted. 2. Stand-alone TBs/QBs and all RBs/Coop Banks shall be given one (1) year and six (6) months from the date of effectivity of this Circular to achieve full compliance with the provisions of this section. ANNEX A 1. Regular submission of reports shall commence one (1) year and six (6) months from the date of effectivity of this Circular. 2. Regular submission of reports shall commence one (1) year and six (6) months from the date of effectivity of this Circular. ANNEX B 1. Regular submission of reports shall commence one (1) year and six (6) months from the date of effectivity of this Circular. ANNEX C 1. CLS is a global clearing and settlement system for cross-border foreign exchange transactions. 2. Other LVPS may be designated in the future depending on the developments in the domestic payment system environment. 3. Solo basis includes head office plus branches/other offices. Banks with overseas branches/offices that directly participate in an LVPS in a foreign jurisdiction shall submit a separate Schedule 1 for each LVPS. In addition, the transactions of overseas branches/offices that use correspondent banks shall be included in the amounts reported under Schedule 2 submitted by a covered bank/QB. 4. Banks/QBs that have transactions in non-significant currencies are still expected to manage intraday liquidity risk in accordance with Section V of Appendix 71/Q-44a of the New Manual of Regulations for Banks (New MORB)/Manual of Regulations for Non-Bank Financial Institutions (MORNBFI). 5. The net cumulative position shall not include payments already submitted/entered in the LVPS but not yet settled due to an unfunded account. The net position should be based on settlement timestamps or its equivalent using transaction-by-transaction data of the account. In cases where an LVPS has a queuing mechanism, the time to be used should be the time when the payment is effected from one participant account to another and not the time when the payment is queued or entered in the system. 6. In case of LVPS with cut-off times beyond 6:00PM, the related transactions shall be reported as of 6:00PM. In the case of the PhilPaSS , transactions after 5:00PM until 5:45PM (cut-off) including any subsequent manual settlement thereafter should be included in computing the throughput at 6:00PM. 7. It shall include the cash leg of securities settlement transactions effected through correspondent banks. 8. This amount shall include any balance of the Secured Settlement Account (SSA) for InstaPay at the start of the business day. 9. Applications on the rediscounting facility may be subject to prior pre-qualification and verification and thus cannot serve as a regular source of intraday liquidity. However, upon approval of a rediscounting application, the proceeds which are credited to the DDA of the banks shall form part of its "Central bank reserves." 10. The amount to be reported should be based on information available to the bank. A credit line with the central bank/correspondent bank is something that a bank/QB applies for and the total amount available intraday in these lines should be known to the bank/QB. The relevant amount should be included in the schedule if the bank/QB is certain that it complies with the requirements and that it can tap the lending facility of the central bank/correspondent bank. 11. Only credit lines extended by a correspondent bank to support correspondent banking services should be reported and should be based on the best available information. Banks/QBs shall exclude "unadvised" intraday credit lines granted by other entities in their report. The amount of credit line disclosed to the bank should be reported as long as it is normally available as a source of intraday liquidity. If a bank can only draw on a credit facility so long as it can provide the required amount of collateral, then the available amount that should be reported is the lower of the undrawn and unencumbered portion of the credit facility or the amount of collateral pledged by the institution. Moreover, the bank/QB may report a lower amount if, based on its assessment or historical experience, the entire amount will not be available as a source of intraday liquidity in normal times. 12. To illustrate, consider a bank that is granted a credit facility of P100 for intraday liquidity and P20 has been earmarked by the correspondent bank for a specific purpose at the start of the business day. In this case, the undrawn and unencumbered portion of the credit line is P80. 13. Adapted from Annex 1 of the Basel Committee on Banking Supervision (BCBS) document entitled "Monitoring tools for intraday liquidity management."