Liquidity usage and payment delay estimates of the new Canadian high value payments system

Arbeitspapier

This paper presents simulation results for Canada's new large-value payments system: Lynx. We simulate the settlement process of Lynx using a large sample of payments observed in the current system (LVTS), taking the initial level of liquidity as given. We calculate the resulting liquidity usage, the payment delay and the shares of payments settled on a gross or net basis. The behaviour of participants (timing of payment submission) is assumed to remain the same as in LVTS. With an initial liquidity comparable to the collateral amount currently pledged in LVTS ($14.6 billion), Lynx FIFO Bypass would result in 28 minutes of average weighted delay and $17.3 billion of liquidity usage (the sum of intraday maximum net debit positions). Given this configuration, on average, $1.9 billion would be needed to clear nonurgent payments delayed until the end of the day, equivalent to 4.1 percent of payment value and 0.06 percent of volume. Doubling the amount of initial liquidity (to $29.3 billion) would result in 12 minutes of weighted delay. This basic configuration of Lynx requires a higher level of liquidity than LVTS and a plain-vanilla RTGS with pooled liquidity.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bank of Canada Staff Discussion Paper ; No. 2020-9

Classification and Topics

• Classification: Wirtschaft ; Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems ; Central Banks and Their Policies
• Subject: Payment clearing and settlement systems ; Financial system regulation and policies ; Financial services

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Rivadeneyra, Francisco ; Zhang, Nellie
• Event: Veröffentlichung
• (who): Bank of Canada
• (where): Ottawa
• (when): 2020

Further information

• DOI: doi:10.34989/sdp-2020-9
• Handle: http://hdl.handle.net/10419/241085
• Last update: 10.03.2025, 11:42 AM CET