Document Properties
- Type of Publication: Letter
- Date: July 13, 2011
To:
- Banks,
- Bank Holding Companies,
- Federally Regulated Trust and Loan Companies
The Basel Committee on Banking Supervision (BCBS) published the Enhancements
to the Basel II Framework in July 2009 and Revisions to the Basel II Market Risk
Framework in
February 2011. Pillar 3 of the enhanced frameworks describes the
disclosure requirements for institutions.
Enhancements to the Basel II Framework strengthen disclosure requirements
under Pillar 3 in several key areas, including: securitisation exposures
in the trading book; sponsorship of off-balance sheet vehicles;
resecuritisation exposures; and, pipeline and warehousing risks with
regard to securitisation exposures. Revisions to the Basel II Market Risk
Framework incorporate additional disclosure requirements under Pillar 3
including disclosures on the incremental risk capital charge, the
comprehensive risk capital charge and the stressed value-at-risk (VaR)
requirement.
This letter provides additional clarification on the implementation of the
Pillar 3 enhanced disclosure requirements for federally regulated
deposit-taking institutions and builds on OSFI’s November 2007 Advisory on Pillar 3 Disclosure Requirements.
Consistent with OSFI’s June 18, 2010 letter
on the implementation of the Basel II capital enhancements, OSFI expects
that disclosures for Pillar 3 enhancements and revisions will be
implemented in the first quarter of fiscal 2012.
Further, while the Basel II text
indicates that qualitative disclosures that provide a general summary of a
bank’s risk management objectives and policies, reporting systems and
definitions may be published on an annual basis, it is OSFI’s view that
the qualitative disclosures enable investors and other users of financial
statements to have a better understanding of the quantitative disclosures
that are required in quarterly reports. As such, OSFI expects that the
first quarter of fiscal 2012 disclosures should include full
qualitative disclosures in Pillar 3 enhancements and revisions to
complement the required quantitative disclosures.
OSFI expects institutions to continue to comply with the original Pillar 3
requirements and now to comply with the enhanced Pillar 3 requirements.
Issues of non-compliance will continue to be addressed on a case-by-case
basis through bilateral discussions with institutions.
Questions concerning this letter should be addressed to Laural Ross,
Director, Accounting Policy Division by email at laural.ross@osfi-bsif.gc.ca or by telephone at (613) 990-6972.
- Julie Dickson
- Superintendent