Leverage Ratio Disclosure Requirements - osfi-bsif.gc.ca

The BCBS LR Framework introduces a simple, transparent, non-risk based leverage ratio to act as a credible supplementary measure to the risk-based capital ... Skiptomaincontent Skiptosecondarymenu LeverageRatioDisclosureRequirements PageContent AlternativeFormats PDF,374KB AccompanyingDocuments Letter DocumentProperties TypeofPublication:Guideline Category:AccountingandDisclosures No:D-12 Date:September2014 Revised:November2018 EffectiveDate:November2018/January2019Footnote1 OnJanuary12,2014,theBaselCommitteeonBankingSupervision(BCBS)issuedthefulltextoftheBaselIIIleverageratioframeworkanddisclosurerequirementsFootnote2(theBCBSLRFramework). TheBCBSLRFrameworkintroducesasimple,transparent,non-riskbasedleverageratiotoactasacrediblesupplementarymeasuretotherisk-basedcapitalrequirementsandincludespublicdisclosurerequirementsstartingJanuary1,2015. ThisguidelineFootnote3providesclarificationontheimplementationoftheBCBSLRFrameworkdisclosurerequirementsforallinstitutionsFootnote4(LRdisclosures)andbuildsonOSFI'sApril2017Pillar3DisclosureRequirementsguideline. 1.ScopeofApplication AllinstitutionsshouldapplyPart2andPart3ofthisguideline.DomesticSystemicallyImportantBanks(D-SIBs)arerequiredtomakedisclosuresasdescribedinPart4ofthisguideline.Allotherinstitutions("non-D-SIBs")arerequiredtomakedisclosuresasdescribedinPart5ofthisguideline. ExemptionfromdisclosuresappliestoinstitutionsthatcontinuetomeettheexemptioncriteriaoutlinedinOSFI'sPillar3DisclosureRequirementsguideline. 2.Implementationdateandfrequencyofreporting OSFIrequiresinstitutionstofullyimplementthereviseddisclosuresasdescribedinthisguidelineinthefirstquarterof2019.Institutionscandiscloseadditionalinformationattheirdiscretion. Disclosuresaretobemadeatthesamefrequencyas,andconcurrentlywith,thepublicationofthefinancialstatements. Forthoseinstitutionsthatdonotpublishfinancialstatements,theLRdisclosuresshouldbeprovidedatthesamefrequencyasthepublicationoftheirPillar3disclosures. 3.Availabilityofdisclosures InstitutionsmusteitherdiscloserequiredinformationasdescribedinPart4orPart5ofthisguidelinewithintheirpublishedfinancialstatementsor,ataminimum,provideadirectlinktothecompleteddisclosuresontheirwebsite. InstitutionsthatdonotpublishfinancialstatementsmustdiscloserequiredinformationwiththeirotherPillar3disclosuresasdescribedinOSFI's Pillar3DisclosureRequirementsguideline. Institutionsmustmakeavailableontheirwebsiteanongoingarchiveofallreconciliationtemplates,disclosuretemplatesandexplanatorytablesrelatingtopriorreportingperiods. InstitutionsarerequiredtoensurepublicaccesstopreviouslyissuedPillar3disclosuresforaminimumof12months;whereinstitutionsmakeinvestorinformationavailableforlongerperiods,thesamearchiveperiodshouldalsobeusedforPillar3disclosures. 4.DisclosurerequirementsforD-SIBs D-SIBsarerequiredtopubliclydisclose: Summarycomparisontable–D-SIBsarerequiredtoreportthereconciliationoftheirbalancesheetassetsfromtheirfinancialstatementswiththeleverageratioexposuremeasure,usingtheattachedReportingTable1inAnnexI. Commondisclosuretemplate–D-SIBsarerequiredtoprovideabreakdownofthemainleverageratioregulatoryelements,usingtheattachedReportingTable2inAnnexI.  Reconciliationwithpublicfinancialstatements–D-SIBsarerequiredtodisclosethesourceofmaterialdifferencesbetweentheirtotalbalancesheetassets(netofon-balancesheetderivativeandsecuritiesfinancingtransaction(SFT)assets)asreportedintheirfinancialstatementsandtheiron-balancesheetexposuresinline1ofthecommondisclosuretemplate. Other–D-SIBsarerequiredtoexplainthekeydriversofmaterialchangesintheirBaselIIIleverageratioobservedfromtheendofthepreviousreportingperiodtotheendofthecurrentreportingperiod(whetherthechangesstemfromchangesinthenumeratorand/orfromchangesinthedenominator). 5.Disclosurerequirementsfornon-D-SIBs Non-D-SIBsarerequiredtoprovideabreakdownofthemainleverageratioregulatoryelementsusingtheattachedReportingTable2inAnnexI. ANNEXI–ReportingTables AlltablesshownbelowhavebeenextractedfromandshouldbereadinconjunctionwiththeBCBSLRFrameworkandOSFI'sLeverageRequirements(LR)guideline.Footnote5 Table1Footnote6:LR1-Summarycomparisonofaccountingassetsvs.leverageratioexposuremeasureforD-SIBs   Item InCanadiandollars 1 Totalconsolidatedassetsasperpublishedfinancialstatements 2 Adjustmentforinvestmentsinbanking,financial,insuranceorcommercialentitiesthatareconsolidatedforaccountingpurposesbutoutsidethescopeofregulatoryconsolidation 3 Adjustmentforsecuritizedexposuresthatmeettheoperationalrequirementsfortherecognitionofrisktransference 4 Adjustmentforfiduciaryassetsrecognisedonthebalancesheetpursuanttotheoperativeaccountingframeworkbutexcludedfromtheleverageratioexposuremeasure 5 Adjustmentsforderivativefinancialinstruments 6 Adjustmentforsecuritiesfinancingtransactions(i.e.repoassetsandsimilarsecuredlending) 7 Adjustmentforoffbalance-sheetitems(i.e.,creditequivalentamountsofoff-balancesheetexposures) 8 Otheradjustments 9 LeverageRatioExposureMeasure ThefollowingprovidestheBaselLRFrameworkdescription(withreferencestoOSFI'sLRguideline)foreachlineiteminTable1: line1shouldshowtheD-SIB'stotalconsolidatedassetsaspertheirfinancialstatements; line2shouldshowadjustmentsrelatedtoinvestmentsinbanking,financial,insuranceorcommercialentitiesthatareconsolidatedforaccountingpurposes,butoutsidethescopeofregulatoryconsolidationassetoutinparagraphs4and15oftheLRguideline; line3shouldshowthereductionoftheleverageratioexposuremeasureduetotheexclusionofsecuritizedexposuresthatmeettheoperationalrequirementfortherecognitionofrisktransferenceaccordingtoparagraph17ofOSFI'sLRguideline. Astheseadjustmentsreducethetotalleverageratioexposuremeasure,theyshouldbereportedasanegativeamount.   line4shouldshowadjustmentsrelatedtoanyfiduciaryassetsrecognisedonthebalancesheetpursuanttotheinstitution'soperativeaccountingframeworkbutexcludedfromtheleverageratioexposuremeasure,asdescribedinfootnote4oftheBCBSLRFramework.ThereisnoadjustmentforinstitutionsastheyaresubjecttoIFRS; lines5and6shouldshowadjustmentsrelatedtoderivativefinancialinstrumentsandsecuritiesfinancingtransactions(i.e.repoassetsandothersimilarsecuredlending),respectively; line7shouldshowthecreditequivalentamountofoffbalancesheetitems,asdeterminedunderparagraphs39to47oftheLRguideline; line8shouldshowanyotheradjustments;and line9shouldshowtheleverageratioexposuremeasure,whichshouldbethesumofthepreviousitems.Thisshouldalsobeconsistentwithline21ofTable2below. D-SIBsshoulddisclosetherownumbersasindicatedbelowtoensurethatmarketparticipantscaneasilycompareD-SIBsbothnationallyandinternationally.Wherethereisnovalueinabox,therowcanbereportedasN/AorNilbuttherownumbermustnotchange. Table2:LR2-LeverageratiocommondisclosuretemplateforD-SIBsandnon-D-SIBsFootnote7 (Explanationsofeachrowareprovidedonthefollowingpage)   Item LeverageRatioFramework On-balancesheetexposures 1 On-balancesheetitems(excludingderivatives,SFTsandgrandfatheredsecuritizationexposuresbutincludingcollateral) 2 Gross-upforderivativescollateralprovidedwheredeductedfrombalancesheetassetspursuanttotheoperativeaccountingframework(IFRS) 3 (Deductionsofreceivableassetsforcashvariationmarginprovidedinderivativestransactions) 4 (AssetamountsdeductedindeterminingTier1capital) 5 Totalon-balancesheetexposures(excludingderivativesandSFTs)(sumoflines1to4) Derivativeexposures 6 Replacementcostassociatedwithallderivativetransactions 7 Add-onamountsforpotentialfutureexposureassociatedwithallderivativetransactions 8 (Exemptedcentralcounterparty-legofclientclearedtradeexposures) 9 Adjustedeffectivenotionalamountofwrittencreditderivatives 10 (Adjustedeffectivenotionaloffsetsandadd-ondeductionsforwrittencreditderivatives) 11 Totalderivativeexposures(sumoflines6to10) Securitiesfinancingtransactionexposures 12 GrossSFTassetsrecognisedforaccountingpurposes(withnorecognitionofnetting),afteradjustingforsaleaccountingtransactions 13 (NettedamountsofcashpayablesandcashreceivablesofgrossSFTassets)   14 Counterpartycreditrisk(CCR)exposureforSFTs   15 Agenttransactionexposures 16 Totalsecuritiesfinancingtransactionexposures(sumoflines12to15) Otheroff-balancesheetexposures 17 Off-balancesheetexposureatgrossnotionalamount 18 (Adjustmentsforconversiontocreditequivalentamounts) 19 Off-balancesheetitems(sumoflines17and18) CapitalandTotalExposures  20 Tier1capital 21 TotalExposures(sumoflines5,11,16and19) LeverageRatio 22 BaselIIIleverageratio ThefollowingprovidestheBaselLRFrameworkdescription(withreferencestoOSFI'sLeverageRequirementsGuideline)foreachlineiteminTable2. Institutionsshoulddisclosetherownumbersasindicatedbelowtoensurethatmarketparticipantscaneasilycompareinstitutions.Wherethereisnovalueinabox,therowcanbeN/AorNilbuttherownumbermustnotchange. Rownumber Explanation 1 On-balancesheetassets(excludingderivatives,SFTsandgrandfatheredsecuritizationexposuresbutincludingcollateral)accordingtoparagraphs14and17to20oftheLRguideline. 2 Grossed-upamountforcollateralprovidedwheredeductedfrombalancesheetassetspursuanttotheoperativeaccountingframework(IFRS). 3 Deductionsofreceivablesassetsfromcashvariationmarginprovidedinderivativetransactionsaccordingtoparagraph22oftheLRguideline,reportedasnegativeamounts. 4 DeductionsfromBaselIIITier1capitaldeterminedbyparagraphs4,15and16oftheLRguidelineandexcludedfromtheleverageratioexposuremeasure,reportedasnegativeamounts. 5 Sumoflines1to4. 6 Replacementcost(RC)associatedwithallderivativetransactions,(includingexposureresultingfromtransactionsdescribedinparagraph24oftheLRguideline),accordingtoparagraph21oftheLRguideline. 7 Add-onamountforallderivativesexposureaccordingtoparagraphs21to30oftheLRguideline. 8 Exemptedtradeexposuresassociatedwiththecentralcounterparty-legofderivativetransactionsresultingfromclientclearedtransactionsaccordingtoparagraph23oftheLRguideline,reportedasnegativeamounts. 9 Adjustedeffectivenotionalamount(i.e.theeffectivenotionalamountreducedbyanynegativechangeinfairvalue)forwrittencreditderivativesaccordingtoparagraphs27to29oftheLRguideline. 10 Adjustedeffectivenotionaloffsetsofwrittencreditderivativesaccordingtoparagraphs27to29oftheLRguidelineanddeductedadd-onamountsrelatingtowrittencreditderivativesaccordingtoparagraph30oftheLRguideline,reportedasnegativeamounts. 11 Sumoflines6to10. 12 GrossSFTassetsrecognisedforaccountingpurposeswithnorecognitionofanynettingotherthannovationwithqualiftyingcentralcounterparties(QCCPs)assetoutinfootnote19oftheLRguideline,removingcertainsecuritiesreceivedasdeterminedbyparagraph32(i)oftheLRguidelineandadjustingforanysalesaccountingtransactionsasdeterminedbyparagraph35oftheLRguideline. 13 CashpayablesandcashreceivablesofGrossSFTassetsnettedaccordingtoparagraph32(i)oftheLRguideline,reportedasnegativeamounts. 14 MeasureofcounterpartycreditriskforSFTsasdeterminedbyparagraph32(ii)oftheLRguideline. 15 Agenttransactionexposureamountdeterminedaccordingtoparagraphs36to38oftheLRguideline. 16 Sumoflines12to15. 17 Totaloff-balancesheetexposureamountsonagrossnotionalbasis,beforeanyadjustmentforcreditconversionfactorsaccordingtoparagraphs39to47oftheLRguideline. 18 Reductioningrossamountofoff-balancesheetexposuresduetotheapplicationofcreditconversionfactorsinparagraphs39to47oftheLRguideline. 19 Sumoflines17and18. 20 Tier1capitalasdeterminedbyparagraph10oftheLRguideline. 21 Sumoflines5,11,16and19. 22 BaselIIIleverageratioaccordingtoparagraph5oftheLRguideline.(Line20/21) Footnotes Footnote1 ForinstitutionswithayearendOctober31storDecember31st,respectively. Returntofootnote1referrer Footnote2 BCBSJanuary12,2014:BaselIIIleverageratioframeworkanddisclosurerequirements http://www.bis.org/publ/bcbs270.pdf Returntofootnote2referrer Footnote3 FormerlytheguidelineentitledPublicCapitalDisclosureRequirementsrelatedtoBaselIIILeverageRatio,lastrevisedinDecember2017. Returntofootnote3referrer Footnote4 Banksandbankholdingcompanies,towhichtheBankActapplies;federallyregulatedtrustorloancompanies,towhichtheTrustandLoanCompaniesActapplies;andcooperativeretailassociations,towhichtheCooperativeCreditAssociationsActapplies;arecollectivelyreferredtoas"institutions". Returntofootnote4referrer Footnote5 OSFI'sLeverageRequirementsguideline:http://www.osfi-bsif.gc.ca/Eng/fi-if/rg-ro/gdn-ort/gl-ld/Pages/LR19.aspx Returntofootnote5referrer Footnote6 Paragraph52,BCBSJanuary12,2014:BaselIIIleverageratioframeworkanddisclosurerequirements http://www.bis.org/publ/bcbs270.pdf Returntofootnote6referrer Footnote7 Page12,Lines1to22:BCBSJanuary12,2014:BaselIIIleverageratioframeworkanddisclosurerequirements: http://www.bis.org/publ/bcbs270.pdf. 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