Public Capital Disclosure Requirements related to Basel III Pillar 3

Document Properties

Type of Publication: Advisory
Category: Accounting
Effective Date: July 2013
Revised Date: April 2014
Audiences: Banks / BHC / T&L / Retail Associations

On June 26, 2012, the Basel Committee on Banking Supervision (BCBS) issued its final rules on the information banks must publicly disclose when detailing the composition of their capital. Entitled, Composition of capital disclosure requirements – Rules text^{Footnote 1} (the BCBS Disclosure Rules), the publication sets out a framework to ensure that the components of banks’ capital bases are publicly disclosed in standardised formats across and within jurisdictions for banks subject to Basel III. In Canada, this includes all banks, bank holding companies, federally regulated trust and loan companies, and cooperative retail associations (collectively institutions^{Footnote 2}) regardless of size or public listings.

This advisory provides clarification on the implementation of the BCBS Disclosure Rules for all institutions and builds on OSFI’s November 2007 Advisory^{Footnote 3} on Pillar 3 Disclosure Requirements.

This advisory has been revised to provide guidance on the disclosure modifications required as a result of OSFI’s guidance on Credit Valuation Adjustment (CVA) grandfathering^{Footnote 4} and to provide minor clarification edits to address queries received since the initial issuance of this Advisory.

1. Scope of Application

Given that all institutions are required to implement the Basel III framework, the new composition of capital disclosure requirements also apply to all institutions. Consistent with OSFI’s expectation that Domestic Systemically Important Banks (DSIBs) should have public information disclosure practices that are among the best of their international peers and to ensure comparability across jurisdictions, DSIBs are required to make disclosures as described in Part 4 of this Advisory. As per Chapter 1 of the Capital Adequacy Requirements (CAR) Guideline, DSIBs are Bank of Montreal, Bank of Nova Scotia, Canadian Imperial Bank of Commerce, National Bank of Canada, Royal Bank of Canada, and Toronto-Dominion Bank. All other institutions are required to make disclosures as described in Part 5 of this Advisory. Exemption from disclosures applies to institutions that continue to meet the exemption criteria outlined in Part 1 of OSFI’s November 2007 Advisory^{Footnote 3} on Pillar 3 Disclosure Requirements.

2. Implementation date

OSFI requires all institutions to fully implement the disclosures as described in the BCBS Disclosure Rules along with modifications described below starting in Q3 2013 (i.e., July 31, 2013 for institutions with October 31st year-ends and September 30, 2013 for institutions with December 31st year-ends). Institutions can disclose additional information at their discretion.

For additional clarity, where an institution provides Pillar 3 disclosures only on an annual basis (as provided in Part 2 of OSFI’s November 2007 Advisory), quarterly reporting will be required for 2013 reporting periods because no prior year Basel III annual information is available. After fiscal 2013, the frequency of disclosures can revert to an annual basis.

3. Availability of disclosures

OSFI continues to strongly encourage institutions to make all Pillar 3 disclosures available on their websites (or their parent’s) to facilitate public access. As required in paragraph 7 of the BCBS Disclosure Rules, institutions’ disclosures must either be included in their published financial statements or, at a minimum, these statements must provide a direct link to the completed disclosures on their website. To address concerns that the benefit of Pillar 3 disclosures is severely diminished by the challenge of finding the disclosures, the BCBS Disclosure Rules additionally require that all institutions maintain a “Regulatory Disclosures” section of their public websites, where all of the information relating to disclosure of regulatory capital is made available to market participants^{Footnote 5}.

Apart from the Main Features Template (described below), institutions are required to ensure public access to previously issued Pillar 3 disclosures for a minimum of 12 months; where institutions make investor information available for longer periods, the same archive period should also be used for Pillar 3 disclosures. There is no requirement to include details of redeemed securities on the Main Features Template.

To ensure relevancy and usefulness, public Pillar 3 disclosures should be made available as soon as practicable but no later than OSFI reporting requirements.^{Footnote 6} However, where institutions make disclosures to meet securities laws, Pillar 3 disclosures should be made at the same time.

4. Disclosure requirements for DSIBs

The BCBS Disclosure Rules consist of five main components summarized below and illustrated in the BCBS Disclosure Rules in annexes 1 to 4^{Footnote 7}:

Section 1: All-in Capital Disclosure Template. This template reports the breakdown of an institution’s regulatory capital when the phasing-in of deductions ends on January 1, 2018 with the aim of disclosing all regulatory adjustments or deductions to enhance transparency and ensure comparability. Rows 26, 41 and 56 of this template provide for “National specific regulatory adjustments” in the calculations of “Total regulatory adjustments to CET1” (i.e., row 28), “Total regulatory adjustments to Additional Tier 1” (i.e., row 43), and “Total regulatory adjustments to Tier 2 capital” (i.e., row 57). OSFI has modified rows 26, 41 and 56 of this template to reflect Canadian specific adjustments in the attached Annex 1 labelled “All-in Capital Disclosure Template”:
1. Row 26: Other deductions and regulatory adjustments to CET1 as specified by OSFI. This is currently an empty set but is included as a placeholder for future use.
2. Row 41: Other deductions from Tier 1 capital as specified by OSFI. This includes deductions related to reverse mortgages (Row 41a) as specified in the CAR Guideline.
3. Row 56: Other deductions from Tier 2 capital as specified by OSFI. This is currently an empty set but is included as a placeholder for future use.
The All-in Capital Disclosure Template is to be completed and disclosed by all institutions beginning in the Q3 2013 reporting period. Institutions should clearly disclose that they are using this template because they are fully applying the Basel III deductions to calculate the all-in target ratios as per Chapter 1 of OSFI’s CAR Guideline. Institutions can also disclose, at their discretion, additional information to explain the differences in the all-in and transitional capital ratios (e.g. the institution has a large deduction from CET1 for goodwill; this deduction is phased-in during the transition period).
Section 2: Balance Sheet^{Footnote 8} Reconciliation Requirements. This section sets out a 3-step approach to achieve a full reconciliation of all regulatory elements back to the institution’s audited balance sheet^{Footnote 9}. This requirement aims to address a disconnect that exists between the numbers used for the calculation of regulatory capital and the numbers used in the published financial statements. As the BCBS disclosure rules do not prescribe a set template for this requirement, institutions are to complete the 3-step process using their own balance sheet. As each institution discloses different items on its balance sheet, OSFI has not developed a template. However, for illustrative purposes, an example of the reconciliation has been included in Annex 2. This reconciliation is to be completed and disclosed by all institutions in reporting periods starting in Q3 2013 and should be based on the quarter-end balance sheet. Note that for quarterly reporting purposes, institutions are required to reconcile their published financial statements for which an audit is not necessary.

In addition to completing the reconciliation, as per paragraph 16 of the BCBS Disclosure Rules, institutions are required to disclose a list of legal entities that are included within the accounting scope of consolidation but excluded from the regulatory scope of consolidation. Similarly, institutions are required to list the legal entities included in the regulatory consolidation that are not included in the accounting scope of consolidation. Further, if some entities are included in both the regulatory scope of consolidation and accounting scope of consolidation, but the method of consolidation differs between these two scopes, institutions are required to list these legal entities separately and explain the differences in the consolidation methods. Also, regarding each legal entity that is required to be disclosed in this paragraph, an institution must also disclose its total balance sheet assets and total balance sheet equity and a description of the principle activities of the entity. This information is to be disclosed by all institutions in reporting periods starting in Q3 2013.
Section 3: Main Features Template. Basel III requires that institutions provide qualitative disclosure that sets out “Summary information on the terms and conditions of the main features of all capital instruments, especially in the case of innovative, complex or hybrid capital instruments.” To address the lack of consistency in both the level of detail provided and the format of the disclosure which makes the analysis and monitoring of information difficult, Basel III requires the completion of a “Main Features Template” that provides a description of the main features of outstanding regulatory capital instruments. The Main Features Template, described in Section 3 and illustrated in Annex 3 of the BCBS Disclosure Rules (and replicated in Annex 3 of this Advisory), provides a description of the main features of outstanding regulatory capital instruments and should be disclosed by institutions for each outstanding instrument.

As noted in paragraph 30 of the BCBS Disclosure Rules, some key points to note about the template are:
- It has been designed to be completed from when the Basel III framework comes into effect on January 1, 2013. It therefore also includes disclosure relating to instruments that are subject to the transitional arrangements.
- Institutions are required to report each regulatory capital instrument, including common shares, in a separate column of the template, such that the completed template would provide a ‘main features report’ that summarises all of the regulatory capital instruments of the group.
This template is to be completed and disclosed by all institutions in reporting periods starting in Q3 2013 and provides additional clarity on the summary information in the Basel II Table 2(a)^{Footnote 10}. Also, as indicated in the BCBS Disclosure Requirements, institutions are required to keep this template up-to-date, such that the report should be updated and made publicly available whenever an institution issues or repays a capital instrument and whenever there is a redemption, conversion/write-down or other material change in the nature of an existing capital instrument.
Section 4: Other Disclosure Requirements. This section requires institutions to make the full terms and conditions of all capital instruments available on their websites and also requires institutions that disclose ratios involving components of regulatory capital (i.e., ratios that are not defined in BCBS documents such as: “Equity Tier 1” or “Tangible Common Equity” ratios) to provide a comprehensive explanation of how these ratios are calculated.
Section 5: Transitional Capital Template. The Transitional Template, described in Section 5 and illustrated in Annex 4 of the BCBS Disclosure Rules, is a modified version of the All-in Template (i.e., above described Section 1) that discloses the components of capital that are benefiting from transitioning. This section aims to ensure that disclosure during the transitional period is consistent and comparable across institutions in different jurisdictions.^{Footnote 11} However, as institutions are required to disclose the All-in Template beginning in Q3 2013, it is not necessary for institutions to disclose the full Transitional Template. Instead OSFI has modified the Transitional Template to include only the CET1, Tier 1 and Total capital ratios, and their components. This abbreviated version of the Transitional Template (included in Annex 4 of this Advisory) is to be completed and disclosed by all institutions beginning in the Q3 2013 reporting period until the end of Q4 2017 reporting period.

To ensure comparability of the implementation of Basel III across jurisdictions, in addition to the above disclosure requirements, DSIBs are required to clearly describe in their shareholders’ reporting (e.g., Management Discussion and Analysis section of the annual report) OSFI’s “all-in” Common Equity Tier 1 capital target of 7% compared to the BCBS Basel III transitional requirements^{Footnote 12}. Starting on January 1, 2016, DSIBs are also required to describe OSFI’s additional 1% common equity surcharge.

5. Disclosure requirements for non-DSIBs

Non-DSIBs are required to disclose a modified version of the Capital Disclosure Template as described in Annex 5 of this Advisory.

Annex 1 – All-in^{Footnote 13} Capital Disclosure Template

Key points to note about the template set out in this Annex are^{Footnote 14}:

The template is designed to capture the capital positions of institutions after the transition period for the phasing-in of deductions ends on January 1, 2018.
Certain rows are in italics. These rows will be deleted after all the ineligible capital instruments have been fully phased out (i.e., from 1 January 2022 onwards).
The balance sheet reconciliation requirements included in Section 2 of the BCBS Disclosure document result in the decomposition of certain regulatory adjustments. For example, the disclosure template below includes the adjustment ‘Goodwill net of related tax liability’. The requirements in Section 2 will lead to the disclosure of both the goodwill component and the related tax liability component of this regulatory adjustment.
Provided below is a table that sets out an explanation of each row of the template, with references to the appropriate paragraphs of OSFI’s CAR Guideline. Institutions should disclose the row numbers as indicated below to ensure that market participants can easily compare banks both nationally and internationally. Where there is no value in a box, the row can be omitted but the row number must not change.

**All-in Capital Disclosure Template**
Common Equity Tier 1 capital: instruments and reserves
1	Directly issued qualifying common share capital (and equivalent for non-joint stock companies) plus related stock surplus
2	Retained earnings
3	Accumulated other comprehensive income (and other reserves)
4	Directly issued capital subject to phase out from CET1 (only applicable to non-joint stock companies)
5	Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1)
6	Highlighted cell Common Equity Tier 1 capital before regulatory adjustments
Common Equity Tier 1 capital: regulatory adjustments
7	Prudential valuation adjustments
8	Goodwill (net of related tax liability)
9	Other intangibles other than mortgage-servicing rights (net of related tax liability)
10	Deferred tax assets excluding those arising from temporary differences (net of related tax liability)
11	Cash flow hedge reserve
12	Shortfall of provisions to expected losses
13	Securitisation gain on sale
14	Gains and losses due to changes in own credit risk on fair valued liabilities
15	Defined benefit pension fund net assets (net of related tax liability)
16	Investments in own shares (if not already netted off paid-in capital on reported balance sheet)
17	Reciprocal cross holdings in common equity
18	Non-significant investments in the capital of banking, financial and insurance entities, net of eligible short positions (amount above 10% threshold)
19	Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold)
20	Mortgage servicing rights (amount above 10% threshold)
21	Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability)
22	Amount exceeding the 15% threshold
23	of which: significant investments in the common stock of financials
24	of which: mortgage servicing rights
25	of which: deferred tax assets arising from temporary differences
26	Other deductions or regulatory adjustments to CET1 as determined by OSFI
27	Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions
28	Highlighted cell Total regulatory adjustments to Common Equity Tier 1
29	Highlighted cell Common Equity Tier 1 capital (CET1)
Additional Tier 1 capital: instruments
30	Directly issued qualifying Additional Tier 1 instruments plus related stock surplus
31	of which: classified as equity under applicable accounting standards
32	of which: classified as liabilities under applicable accounting standards
33	Directly issued capital instruments subject to phase out from Additional Tier 1
34	Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1)
35	of which: instruments issued by subsidiaries subject to phase out
36	Highlighted cell Additional Tier 1 capital before regulatory adjustments
Additional Tier 1 capital: regulatory adjustments
37	Investments in own Additional Tier 1 instruments
38	Reciprocal cross holdings in Additional Tier 1 instruments
39	Non-significant investments in the capital of banking, financial and insurance entities, net of eligible short positions (amount above 10% threshold)
40	Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions
41	Other deductions from Tier 1 capital as determined by OSFI
41a	of which: Reverse mortgages
42	Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 to cover deductions
43	Highlighted cell Total regulatory adjustments to Additional Tier 1 capital
44	Highlighted cell Additional Tier 1 capital (AT1)
45	Highlighted cell Tier 1 capital (T1 = CET1 + AT1)
Tier 2 capital: instruments and provisions
46	Directly issued qualifying Tier 2 instruments plus related stock surplus
47	Directly issued capital instruments subject to phase out from Tier 2
48	Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in group Tier 2)
49	of which: instruments issued by subsidiaries subject to phase out
50	Collective allowances
51	Tier 2 capital before regulatory adjustments
Tier 2 capital: regulatory adjustments
52	Investments in own Tier 2 instruments
53	Reciprocal cross holdings in Tier 2 instruments
54	Non-significant investments in the capital of banking, financial and insurance entities, net of eligible short positions (amount above 10% threshold)
55	Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions
56	Other deductions from Tier 2 capital
57	Highlighted cellTotal regulatory adjustments to Tier 2 capital
58	Highlighted cell Tier 2 capital (T2)
59	Highlighted cell Total capital (TC = T1 + T2)
60	Highlighted cell Total risk-weighted assets
60a	Highlighted cellCommon Equity Tier 1 (CET1) Capital RWA
60b	Highlighted cellTier 1 Capital RWA
60c	Highlighted cellTotal Capital RWA
Capital ratios
61	Highlighted cell Common Equity Tier 1 (as percentage of risk-weighted assets)
62	Highlighted cell Tier 1 (as percentage of risk-weighted assets)
63	Highlighted cell Total capital (as percentage of risk-weighted assets)
64	Buffer requirement (minimum CET1 requirement plus capital conservation buffer plus G-SIB buffer requirement plus DSIB buffer requirement expressed as a percentage of risk-weighted assets)
65	of which: capital conservation buffer requirement
66	Not applicable.
67	of which: G-SIB buffer requirement
67a	of which: DSIB buffer requirement
68	Highlighted cell Common Equity Tier 1 available to meet buffers (as percentage of risk-weighted assets)
OSFI all-in target (minimum + capital conservation buffer +DSIB surcharge (if applicable))
69	Common Equity Tier 1 all-in target ratio
70	Tier 1 capital all-in target ratio
71	Total capital all-in target ratio
Amounts below the thresholds for deduction (before risk weighting)
72	Non-significant investments in the capital of other financials
73	Significant investments in the common stock of financials
74	Mortgage servicing rights (net of related tax liability)
75	Deferred tax assets arising from temporary differences (net of related tax liability)
Applicable caps on the inclusion of allowances in Tier 2
76	Allowances eligible for inclusion in Tier 2 in respect of exposures subject to standardised approach (prior to application of cap)
77	Cap on inclusion of allowances in Tier 2 under standardised approach
78	Allowances eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings- based approach (prior to application of cap)
79	Cap on inclusion of allowances in Tier 2 under internal ratings-based approach
Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022)
80	Current cap on CET1 instruments subject to phase out arrangements
81	Amounts excluded from CET1 due to cap (excess over cap after redemptions and maturities)
82	Current cap on AT1 instruments subject to phase out arrangements
83	Amounts excluded from AT1 due to cap (excess over cap after redemptions and maturities)
84	Current cap on T2 instruments subject to phase out arrangements
85	Amounts excluded from T2 due to cap (excess over cap after redemptions and maturities)

Note: Institutions are not required to disclose rows 70 and 71 in Q3 2013 and Q4 2013 as OSFI`s all-in target Tier 1 and Total capital ratios do not become effective until Q1 2014 as per Chapter 1 of OSFI`s CAR Guideline. From Q3 2014 to Q4 2018, institutions phasing in the CVA capital charge using Option 1 as per OSFI’s Capital Adequacy Requirements Guideline will be required to disclose rows 60a, 60b, and 60c, instead of row 60.

The following table sets out an explanation of each row of the All-in and Transitional disclosure templates with relevant references to OSFI’s CAR Guideline. Institutions are required to report deductions from capital as positive numbers and additions to capital as negative numbers. For example, goodwill (row 8) should be reported as a positive number, as should gains due to the change in own credit risk of the institution (row 14). However, losses due to the change in own credit risk of the institution should be reported as a negative numbers as these are added back in the calculation of Common Equity Tier 1.

**Explanation of each row of the common disclosure template**
Row number	Explanation
1	Common shares issued directly by the institution that meet the criteria for classification as common shares for regulatory purposes and share premium resulting from the issuance of instruments included in Common Equity Tier 1, as per paragraph 3 of Chapter 2 of OSFI’s CAR Guideline. All instruments issued by subsidiaries of the consolidated group should be excluded from this row.
2	Retained earnings, prior to all regulatory adjustments, as per paragraph 3 of Chapter 2 of OSFI’s CAR Guideline.
3	Accumulated other comprehensive income and other disclosed reserves, prior to all regulatory adjustments, as per paragraph 3 of Chapter 2 of OSFI’s CAR Guideline.
4	Directly issued capital instruments subject to phase-out from CET1 in accordance with the requirements of paragraph 109 of Chapter 2 of OSFI’s CAR Guideline.
5	Common share capital issued by subsidiaries and held by third parties that meet the criteria for inclusion in CET1 as per sections 2.1.1.2 and 2.1.1.3 of OSFI’s CAR Guideline.
6	Sum of rows 1 to 5.
7	Prudential valuation adjustments as per paragraph 50 of Chapter 2 of OSFI’s CAR Guideline.
8	Goodwill net of related tax liability, as set out in paragraph 51 of Chapter 2 of OSFI’s CAR Guideline.
9	Intangibles other than mortgage-servicing rights (net of related tax liability), as set out in paragraph 52 of Chapter 2 of OSFI’s CAR Guideline.
10	Deferred tax assets excluding those arising from temporary differences (net of related tax liability), as set out in paragraph 53 of Chapter 2 of OSFI’s CAR Guideline.
11	The element of the cash-flow hedge reserve described in paragraph 56 of Chapter 2 of OSFI’s CAR Guideline.
12	Shortfall of allowances to expected losses as described in paragraph 57 of Chapter 2 of OSFI’s CAR Guideline.
13	Securitisation gain on sale described in paragraph 58 of Chapter 2 of OSFI’s CAR Guideline.
14	Gains and losses due to changes in own credit risk on fair valued liabilities, as described in paragraph 59 of Chapter 2 of OSFI’s CAR Guideline.
15	Defined-benefit pension fund net assets (net of related tax liability), the amount to be deducted as set out in paragraphs 60 and 61 of Chapter 2 of OSFI’s CAR Guideline.
16	Investments in own shares (unless already derecognized under IFRS), as set out in paragraph 62 of Chapter 2 of OSFI’s CAR Guideline.
17	Reciprocal cross-holdings in common equity, as set out in paragraph 63 of Chapter 2 of OSFI’s CAR Guideline.
18	Non-significant investments in the capital of banking, financial and insurance entities (amount above 10% threshold), amount to be deducted from CET1 in accordance with paragraphs 64 to 69 of Chapter 2 of OSFI’s CAR Guideline.
19	Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation (amount above 10% threshold), amount to be deducted from CET1 in accordance with paragraphs 71 to 79 of Chapter 2 of OSFI’s CAR Guideline.
20	Mortgage servicing rights (amount above 10% threshold) , amount to be deducted from CET1 in accordance with paragraphs 78 to 79 of Chapter 2 of OSFI’s CAR Guideline.
21	Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability), amount to be deducted from CET1 in accordance with paragraphs 78 to 79 of Chapter 2 of OSFI’s CAR Guideline.
22	Total amount by which the 3 threshold items exceed the 15% threshold, excluding amounts reported in rows 19 to 21, calculated in accordance with paragraphs 78 to 79 of Chapter 2 of OSFI’s CAR Guideline.
23	The amount reported in row 22 that relates to significant investments in the common stock of financials
24	The amount reported in row 22 that relates to mortgage servicing rights
25	The amount reported in row 22 that relates to deferred tax assets arising from temporary differences
26	Other deductions and regulatory adjustments to CET1 as determined by OSFI.
27	Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 to cover deductions as per paragraph 70 of Chapter 2 of OSFI’s CAR Guideline. If the amount reported in row 43 exceeds the amount reported in row 36 the excess is to be reported here.
28	Total regulatory adjustments to Common Equity Tier 1, to be calculated as the sum of rows 7 to 22 plus rows 26 and 27.
29	Common Equity Tier 1 capital (CET1), to be calculated as row 6 minus row 28.
30	Additional Tier 1 capital instruments issued by the institution directly that meet the criteria in section 2.1.2.1 of OSFI’s CAR Guideline and any related stock surplus as set out in paragraph 10 of Chapter 2 of OSFI’s CAR Guideline. All instruments issued by subsidiaries of the consolidated group should be excluded from this row. This row may include Additional Tier 1 capital issued by an SPV of the parent company only if it meets the requirements set out in section 2.1.2.3 of OSFI’s CAR Guideline.
31	The amount in row 30 classified as equity under applicable accounting standards.
32	The amount in row 30 classified as liabilities under applicable accounting standards.
33	Directly issued capital instruments subject to phase out from Additional Tier 1 in accordance with the requirements of section 2.4.2 of OSFI’s CAR Guideline. The amount reported here should be the amount included in regulatory capital.
34	Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties, the amount allowed in consolidated AT1 in accordance with section 2.1.2.2 of OSFI’s CAR Guideline. The amount of non-qualifying Additional Tier 1 instruments issued by subsidiaries to third parties included in regulatory capital should also be reported here.
35	The amount reported in row 34 that relates to instruments subject to phase out from AT1 in accordance with the requirements of section 2.4.2 of OSFI’s CAR Guideline.
36	The sum of rows 30, 33 and 34.
37	Investments in own Additional Tier 1 instruments, amount to be deducted from AT1 in accordance with paragraph 81 of Chapter 2 of OSFI’s CAR Guideline.
38	Reciprocal cross-holdings in Additional Tier 1 instruments, amount to be deducted from AT1 in accordance with paragraph 82 of Chapter 2 of OSFI’s CAR Guideline.
39	Non-significant investments in the capital of banking, financial and insurance entities (net of eligible short positions), amount to be deducted from AT1 in accordance with paragraph 83 of Chapter 2 of OSFI’s CAR Guideline.
40	Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions), amount to be deducted from AT1 in accordance with paragraph 84 of Chapter 2 of OSFI’s CAR Guideline.
41	Other deductions from Tier 1 capital including: (a) Reverse mortgages: where a reverse mortgage has a current loan-to-value greater than 85%, the exposure amount that exceeds 85% LTV in accordance with paragraph 85 of Chapter 2 of OSFI’s CAR Guideline.
42	Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 to cover deductions as per paragraph 86 of Chapter 2 of OSFI’s CAR Guideline. If the amount reported in row 57 exceeds the amount reported in row 51 the excess is to be reported here.
43	The sum of rows 37 to 42.
44	Additional Tier 1 capital, to be calculated as row 36 minus row 43.
45	Tier 1 capital, to be calculated as row 29 plus row 44.
46	Tier 2 instruments issued by the institution directly that meet all of the criteria set out in section 2.1.3.1 of OSFI’s CAR Guideline and any related stock surplus as set out in paragraph 24 of Chapter 2 of OSFI’s CAR Guideline. All instruments issued of subsidiaries of the consolidated group should be excluded from this row. This row may include Tier 2 capital issued by an SPV of the parent company only if it meets the requirements set out in section 2.1.3.3 of OSFI’s CAR Guideline.
47	Directly issued capital instruments subject to phase out from Tier 2 in accordance with the requirements of section 2.4.2 of OSFI’s CAR Guideline. The amount reported here should be the amount included in regulatory capital.
48	Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 32) issued by subsidiaries and held by third parties (amount allowed in group Tier 2), in accordance with section 2.1.3.2 of OSFI’s CAR Guideline. The amount of non-qualifying Tier 2 instruments issued by subsidiaries to third parties included in regulatory capital should also be reported here.
49	The amount reported in row 48 that relates to instruments subject to phase out from Tier 2 in accordance with the requirements of section 2.4.2 of OSFI’s CAR Guideline.
50	Collective allowances included in Tier 2, calculated in accordance with section 2.1.3.7 of OSFI’s CAR Guideline.
51	The sum of rows 46 to 48 and row 50.
52	Investments in own Tier 2 instruments, amount to be deducted from Tier 2 in accordance with paragraph 87 of Chapter 2 of OSFI’s CAR Guideline.
53	Reciprocal cross-holdings in Tier 2 instruments, amount to be deducted from Tier 2 in accordance with paragraph 88 of Chapter 2 of OSFI’s CAR Guideline.
54	Non-significant investments in the capital of banking, financial and insurance entities (net of eligible short positions), amount to be deducted from Tier 2 in accordance with paragraph 89 of Chapter 2 of OSFI’s CAR Guideline.
55	Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions), amount to be deducted from Tier 2 in accordance with paragraph 90 of Chapter 2 of OSFI’s CAR Guideline.
56	Other deductions from Tier 2 capital as determined by OSFI.
57	The sum of rows 52 to 56.
58	Tier 2 capital, to be calculated as row 51 minus row 57.
59	Total capital, to be calculated as row 45 plus row 58.
60	Total risk weighted assets (after capital floor) of the institution. . For institutions phasing in the CVA capital charge using Option #2, refer to section 1.10 of the CAR Guideline for details on the CVA capital charge transitioning.
60a	Common Equity Tier 1 (CET1) risk-weighted assets (after capital floor) of the institution, if applicable. Refer to section 1.10 of the CAR Guideline for details on the CVA capital charge transitioning.
60b	Tier 1 risk-weighted assets (after capital floor) of the institution, if applicable. Refer to section 1.10 of the CAR Guideline for details on the CVA capital charge transitioning.
60c	Total capital risk-weighted assets (after capital floor) of the institution, if applicable. Refer to section 1.10 of the CAR Guideline for details on the CVA capital charge transitioning.
61	Common Equity Tier 1 (as a percentage of risk weighted assets), to be calculated as row 29 divided by row 60 (expressed as a percentage). For institutions phasing in the CVA capital charge using Option #1, this row is calculated as row 29 divided by row 60a, from Q1 2014 to Q4 2018.
62	Tier 1 ratio (as a percentage of risk weighted assets), to be calculated as row 45 divided by row 60 (expressed as a percentage). For institutions phasing in the CVA capital charge using Option #1, this row is calculated as row 29 divided by row 60b, from Q1 2014 to Q4 2018.
63	Total capital ratio (as a percentage of risk weighted assets), to be calculated as row 59 divided by row 60 (expressed as a percentage). For institutions phasing in the CVA capital charge using Option #1, this row is calculated as row 29 divided by row 60c, from Q1 2014 to Q4 2018.
64	Minimum CET1 requirement plus capital conservation buffer, expressed as a percentage of risk weighted assets). To be calculated as 4.5% plus 2.5% in accordance with section 1.6 of OSFI`s CAR Guideline plus the institution`s G-SIB requirement and DSIB requirement as per section 1.8 OSFI`s CAR Guideline, if applicable.
65	The amount in row 64 (expressed as a percentage of risk weighted assets) that relates to the capital conservation buffer), i.e. institutions will report 2.5%.
66	The amount in row 64 (expressed as a percentage of risk weighted assets) that relates to the institution specific countercyclical buffer requirement).
67	The amount in row 64 (expressed as a percentage of risk weighed assets) that relates to the institution's G-SIB requirement.
67a	The amount in row 64 (expressed as a percentage of risk-weighted assets) that relates to the institution’s DSIB requirement.
68	Common Equity Tier 1 available to meet buffers (as a percentage of risk weighted assets). To be calculated as the CET1 ratio of the institution, less any common equity used to meet the institution's Tier 1 and Total capital minimum requirements.
69	On the All-in template, OSFI's 7% CET1 all-in target ratio. (Minimum CET1 requirement plus capital conservation buffer) plus DSIB requirement, if applicable.
70	On the All-in template, OSFI's 8.5% Tier 1 capital all-in target ratio. (Minimum Tier 1 capital requirement plus capital conservation buffer) plus DSIB requirement, if applicable.
71	On the All-in template, OSFI's 10.5% Total capital all-in target ratio. (Minimum Total capital requirement plus capital conservation buffer) plus DSIB requirement, if applicable.
72	Non-significant investments in the capital of other financials, the total amount of net holdings that are not reported in row 18, row 39 and row 54.
73	Significant investments in the common stock of financials, the total amount of net holdings that are not reported in row 19 and row 23.
74	Mortgage servicing rights (net of related tax liability), the total amount of such holdings that are not reported in row 20 and row 24.
75	Deferred tax assets arising from temporary differences (net of related tax liability), the total amount of such holdings that are not reported in row 21 and row 25.
76	Allowances eligible for inclusion in Tier 2 in respect of exposures subject to standardised approach, calculated in accordance with section 2.1.3.7 of OSFI’s CAR Guideline, prior to the application of the cap.
77	Cap on inclusion of allowances in Tier 2 under standardised approach, calculated in accordance with section 2.1.3.7 of OSFI’s CAR Guideline.
78	Allowances eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach, calculated in accordance with section 2.1.3.7 of OSFI’s CAR Guideline, prior to the application of the cap.
79	Cap for inclusion of allowances in Tier 2 under internal ratings-based approach, calculated in accordance with section 2.1.3.7 of OSFI`s CAR Guideline.
80	Current cap on CET1 instruments subject to phase out arrangements, see paragraph 109 of OSFI’s CAR Guideline.
81	Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities), see paragraph 109 of OSFI’s CAR Guideline.
82	Current cap on AT1 instruments subject to phase out arrangements, see section 2.4.2 of OSFI’s CAR Guideline.
83	Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities), see section 2.4.2 of OSFI’s CAR Guideline.
84	Current cap on T2 instruments subject to phase out arrangements, see section 2.4.2 of OSFI’s CAR Guideline.
85	Amount excluded from T2 due to cap (excess over cap after redemptions and maturities), see section 2.4.2 of OSFI’s CAR Guideline.

Annex 2 – Illustration of 3-step approach to reconciliation

Step 1

Under Step 1 institutions are required to take their balance sheet in their published financial statements (numbers reported the middle column below, in a balance sheet that is provided for illustrative purposes) and report the numbers when the regulatory scope of consolidation is applied (numbers reported in the right hand column below of the illustrative balance sheet). If there are rows in the balance sheet under the regulatory scope of consolidation that are not present in the published financial statements, institutions are required to add these and give a value of zero in the middle column.

Condensed balance sheet (page 23 RSH)	Balance sheet as in Report to Shareholders page 23	Under regulatory scope of consolidation
(Millions of Canadian dollars)	July 31, 2013	July 31, 2013
Assets
Cash and due from banks	$ 12,000	$ 11,000
Interest-bearing deposits with banks	15,000	13,000
Securities	50,000	45,000
Assets purchased under reverse repurchase agreements and securities borrowed	1,000	1,000
Loans
Retail	255,000	251,000
Wholesale	250,000	249,000
Allowance for loan losses	(5,000)	(5,000)
Investments for account of segregated fund holders	357
Other
Derivatives	20,000	20,000
Assets of discontinued operations	-
Other assets	81,180	81,180
Total assets	$ 679,537	$ 666,180
Liabilities
Deposits	448,180	435,180
Insurance and investment contracts for account of segregated fund holders	357
Other
Derivatives	55,000	55,000
Liabilities of discontinued operations	-	-
Other liabilities	114,000	114,000
Subordinated debentures	10,000	10,000
Trust capital securities	5,000	5,000
Total liabilities	$ 632,537	$ 619,180
Equity attributable to shareholders	46,100	46,100
Non-controlling interests	900	900
Total equity	47,000	47,000
Total liabilities and equity	$ 679,537	$ 666,180

Step 2

Under Step 2 institutions are required to expand the balance sheet under the regulatory scope of consolidation (revealed in Step 1) to identify all the elements that are used in the definition of capital disclosure template set out in Annex 1. The more complex the balance sheet of the institution, the more items will need to be disclosed. Each element must be given a reference number/letter that can be used in Step 3.

Condensed balance sheet (page 23 RSH)	Balance sheet as in Report to Shareholders page 23	Under regulatory scope of consolidation	Cross-Reference to Definition of Capital Components
(Millions of Canadian dollars)	July 31, 2013	July 31, 2013
Assets
Cash and due from banks	12,000	11,000
Interest-bearing deposits with banks	15,000	13,000
Securities	50,000	45,000
Non-significant investments in capital of other financial institutions reflected in regulatory capital		1,000	l
Other securities		44,000
Assets purchased under reverse repurchase agreements and securities borrowed	1,000	1,000
Loans
Retail	255,000	251,000
Wholesale	250,000	249,000
Allowance for loan losses	(5,000)	(5,000)
General allowance reflected in Tier 2 regulatory capital		500	t
Shortfall of allowances to expected loss		(250)	i
Allowances not reflected in regulatory capital		4,750
Investments for account of segregated fund holders	357
Other
Derivatives	20,000	20,000
Assets of discontinued operations	-	-
Other assets	81,180	81,180
Goodwill		5,000	e
Other Intangibles		5,000	f
Deferred tax assets		2,000
Deferred tax assets excluding those arising from temporary differences		1,000	g
Deferred tax assets arising from temporary differences exceeding regulatory thresholds		200	o
Deferred tax assets - other temporary differences		800
Defined-benefit pension fund net assets		1,200	k
Significant investments in other financial institutions		4,980
Significant investments exceeding regulatory thresholds		2,500	m+n
Significant investments not exceeding regulatory thresholds		2,480
Other assets		63,000
Total assets	679,537	666,180
Liabilities
Deposits	448,180	435,180
Insurance and investment contracts for account of segregated fund holders	357	-
Other
Derivatives	55,000	55,000
Liabilities of discontinued operations	-	-
Other liabilities	114,000	114,000
Gains and losses due to changes in own credit risk on fair value liabilities		200	j
Deferred tax liabilities		1,500
related to goodwill		-	w
related to intangibles		1,000	x
related to pensions		200	y
Other deferred tax liabilities		300
Other liabilities		112,300
Subordinated debentures	10,000	10,000
Regulatory capital amortization of maturing debentures		200
Subordinated debentures not allowed for regulatory capital		-	s
Subordinated debentures used for regulatory capital		9,800
of which: are qualifying		9,000	r
of which: are subject to phase out		800	r'
Trust capital securities	5,000	5,000
of which: are qualifying		4,800	p
of which: are subject to phase out		200	p'
Total liabilities	632,537	619,180
Equity attributable to shareholders	46,100	46,100
Common Equity
Common Shares		15,000	a
Retained Earnings		26,000	b
Accumulated Other Comprehensive Income (loss)		(500)	c
Cash flow hedges		(150)	h
Forex unrealized gain/loss		(350)
Other reserves		100	a'
Total Common Equity		40,600
Preferred Shares		4,500
of which: are qualifying		4,000	v
of which: are subject to phase out		500	v'
Other capital Instruments		1,000
of which: are qualifying		900	z
of which: are subject to phase out		100	z'
Non-controlling interests	900	900
portion allowed for inclusion into CET1		500	d
portion allowed for inclusion into Tier 1 capital		50	q
portion allowed for inclusion into Tier 2 capital		50	s
portion not allowed for regulatory capital		300
Total equity	47,000	47,000
Total liabilities and equity	679,537	666,180

Step 3

Under Step 3 institutions are required to complete a column added to All-in Capital Disclosure Template to show the source of every input.

Regulatory Capital Components: Excerpt of OSFI All-in Capital Disclosure Template

Common Equity Tier 1 Capital: Instruments and Reserves			Cross-Reference^{Footnote *}
1	Directly issued qualifying common share capital (and equivalent for non-joint stock companies) plus related stock surplus	15,100	a+a'
2	Retained earnings	26,000	b
3	Accumulated other comprehensive income (and other reserves)	-500	c
4	Directly issued capital subject to phase out from CET1 (only applicable to non-joint stock companies)
5	Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1)	500	d
6	Highlighted cell Common Equity Tier 1 capital before regulatory adjustments	41,100
Common Equity Tier 1 Capital: Regulatory Adjustments
7	Prudential valuation adjustments
8	Goodwill (net of related tax liability)	5,000	e−w
9	Other intangibles other than mortgage-servicing rights (net of related tax liability)	4,000	f−x
10	Deferred tax assets excluding those arising from temporary differences (net of related tax liability)	1,000	g
11	Cash flow hedge reserve	-150	h
12	Shortfall of allowances to expected losses	250	- i
13	Securitisation gain on sale
14	Gains and losses due to changes in own credit risk on fair valued liabilities	200	j
15	Defined benefit pension fund net assets	1,000	k−y
16	Investments in own shares (if not already netted off paid-in capital on reported balance sheet)	0
17	Reciprocal cross holdings in common equity	0
18	Non-significant investments in the capital of banking, financial and insurance entities, net of eligible short positions (amount above 10% threshold)	1,000	l
19	Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions (amount above 10% threshold)	2,000	m
20	Mortgage servicing rights (amount above 10% threshold)	0
21	Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability)	0
22	Amount exceeding the 15% threshold
23	of which: significant investments in the common stock of financials	500	n
24	of which: mortgage servicing rights
25	of which: deferred tax assets arising from temporary differences	200	o
26	Other deductions or regulatory adjustments to CET1 as determined by OSFI
27	Regulatory adjustments applied to Common Equity Tier 1 due to insufficient Additional Tier 1 and Tier 2 to cover deductions
28	Highlighted cell Total regulatory adjustments to Common Equity Tier 1	15,000
29	Highlighted cell Common Equity Tier 1 capital (CET1)	26,100
Additional Tier 1 Capital: Instruments
30	Directly issued qualifying Additional Tier 1 instruments plus related stock surplus
31	of which: classified as equity under applicable accounting standards	4,900	v+z
32	of which: classified as liabilities under applicable accounting standards	4,800	p
33	Directly issued capital instruments subject to phase out from Additional Tier 1	800	y'+z'+p'
34	Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1)	50	q
35	of which: instruments issued by subsidiaries subject to phase out
36	Highlighted cell Additional Tier 1 capital before regulatory adjustments	10,550
Additional Tier 1 Capital: Regulatory Adjustments
37	Investments in own Additional Tier 1 instruments	0
38	Reciprocal cross holdings in Additional Tier 1 instruments	0
39	Non-significant investments in the capital of banking, financial and insurance entities, net of eligible short positions (amount above 10% threshold)	0
40	Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions	0
41	Other deductions from Tier 1 capital as determined by OSFI	0
41a	of which: Reverse mortgages	0
42	Regulatory adjustments applied to Additional Tier 1 due to insufficient Tier 2 to cover deductions	0
43	Highlighted cell Total regulatory adjustments to Additional Tier 1 capital	-
44	Highlighted cell Additional Tier 1 Capital (AT1)	10,550
45	Highlighted cell Tier 1 Capital (T1=CET1 + AT1)	36,650
Tier 2 Capital: Instruments and Provisions
46	Directly issued qualifying Tier 2 instruments plus related stock surplus	9,000	r
47	Directly issued capital instruments subject to phase out from Tier 2	800	r'
48	Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in group Tier 2)	50	s
49	of which: instruments issued by subsidiaries subject to phase out
50	Collective allowances	500	t
51	Highlighted cell Tier 2 capital before regulatory adjustments	10,350
Tier 2 Capital: Regulatory Adjustments
52	Investments in own Tier 2 instruments	0
53	Reciprocal cross holdings in Tier 2 instruments	0
54	Non-significant investments in the capital of banking, financial and insurance entities, net of eligible short positions (amount above 10% threshold)	0
55	Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, net of eligible short positions	0
56	Other deductions from Tier 2 capital	0
57	Highlighted cell Total regulatory adjustments to Tier 2 capital	0
58	Highlighted cell Tier 2 Capital (T2)	10,350
59	Highlighted cell Total Capital (TC = T1 + T2)	47,000

Annex 3 – Main features template

Set out below is the template that institutions must use to ensure that the key features of all regulatory capital instruments are disclosed. Institutions should disclose the row numbers as indicated below to ensure market participants can easily compare banks both domestically and internationally. Where the cell is not applicable, institutions can either insert “NA” or not show the line item but maintain the row numbering of this template to ensure comparability across entities and jurisdictions. Additional information for completing this template is available in paragraph 47 of the BCBS Disclosure Rules. To facilitate completion, an Excel spreadsheet of this template is available on OSFI’s website.

Disclosure template for main features of regulatory capital instruments

1	Issuer	Highlighted cell
2	Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement)	Highlighted cell
3	Governing law(s) of the instrument
	Regulatory treatment
4	Transitional Basel III rules	Highlighted cell
5	Post-transitional Basel III rules	Highlighted cell
6	Eligible at solo/group/group&solo	Highlighted cell
7	Instrument type (types to be specified by each jurisdiction)	Highlighted cell
8	Amount recognised in regulatory capital (Currency in mil, as of most recent reporting date)	Highlighted cell
9	Par value of instrument	Highlighted cell
10	Accounting classification	Highlighted cell
11	Original date of issuance	Highlighted cell
12	Perpetual or dated	Highlighted cell
13	Original maturity date	Highlighted cell
14	Issuer call subject to prior supervisory approval	Highlighted cell
15	Optional call date, contingent call dates and redemption amount	Highlighted cell
16	Subsequent call dates, if applicable	Highlighted cell
	Coupons / dividends
17	Fixed or floating dividend/coupon	Highlighted cell
18	Coupon rate and any related index	Highlighted cell
19	Existence of a dividend stopper	Highlighted cell
20	Fully discretionary, partially discretionary or mandatory	Highlighted cell
21	Existence of step up or other incentive to redeem	Highlighted cell
22	Noncumulative or cumulative	Highlighted cell
23	Convertible or non-convertible	Highlighted cell
24	If convertible, conversion trigger (s)	Highlighted cell
25	If convertible, fully or partially	Highlighted cell
26	If convertible, conversion rate	Highlighted cell
27	If convertible, mandatory or optional conversion	Highlighted cell
28	If convertible, specify instrument type convertible into	Highlighted cell
29	If convertible, specify issuer of instrument it converts into	Highlighted cell
30	Write-down feature	Highlighted cell
31	If write-down, write-down trigger(s)	Highlighted cell
32	If write-down, full or partial	Highlighted cell
33	If write-down, permanent or temporary	Highlighted cell
34	If temporary write-down, description of write-up mechanism	Highlighted cell
35	Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument)	Highlighted cell
36	Non-compliant transitioned features	Highlighted cell
37	If yes, specify non-compliant features	Highlighted cell

Using the reference numbers in the left column of the table above, the following table provides a more detailed explanation of what institutions are required to report in each of the grey cells, including, where relevant, the list of options contained in the spreadsheet's drop down menu.

Further explanation of items in main features disclosure template

1	Identifies issuer legal entity. Free text
2	Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement) Free text
3	Specifies the governing law(s) of the instrument Free text
4	Specifies the regulatory capital treatment during the Basel III transitional Basel III phase (i.e. the component of capital that the instrument is being phased-out from). Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2]
5	Specifies regulatory capital treatment under Basel III rules not taking into account transitional treatment. Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] [Ineligible]
6	Specifies the level(s) within the group at which the instrument is included in capital. Select from menu: [Solo] [Group] [Solo and Group]
7	Specifies instrument type, varying by jurisdiction. Helps provide more granular understanding of features, particularly during transition. Select from menu: [Common shares] [Preferred shares] [Innovative Tier 1] [Other Additional Tier 1] [Tier 2 subordinated debt] [Tier 2B Trust Subordinated Note] [Other Tier 2]
8	Specifies amount recognised in regulatory capital. Free text
9	Par value of instrument Free text
10	Specifies accounting classification. Helps to assess loss absorbency. Select from menu: [Shareholders’ equity] [Liability – amortised cost] [Liability – fair value option] [Non-controlling interest in consolidated subsidiary]
11	Specifies date of issuance. Free text
12	Specifies whether dated or perpetual. Select from menu: [Perpetual] [Dated]
13	For dated instrument, specifies original maturity date (day, month and year). For perpetual instrument put “no maturity”. Free text
14	Specifies whether there is an issuer call option. Helps to assess permanence. Select from menu: [Yes] [No]
15	For instrument with issuer call option, specifies first date of call if the instrument has a call option on a specific date (day, month and year) and, in addition, specifies if the instrument has a tax and/or regulatory event call. Also specifies the redemption price. Helps to assess permanence. Free text
16	Specifies the existence and frequency of subsequent call dates, if applicable. Helps to assess permanence. Free text
17	Specifies whether the coupon/dividend is fixed over the life of the instrument, floating over the life of the instrument, currently fixed but will move to a floating rate in the future, currently floating but will move to a fixed rate in the future. Select from menu: [Fixed] [Floating] [Fixed to floating] [Floating to fixed]
18	Specifies the coupon rate of the instrument and any related index that the coupon/dividend rate references. Free text
19	Specifies whether the non payment of a coupon or dividend on the instrument prohibits the payment of dividends on common shares (i.e. whether there is a dividend stopper). Select from menu: [yes] [no]
20	Specifies whether the issuer has full discretion, partial discretion or no discretion over whether a coupon/dividend is paid. If the institution has full discretion to cancel coupon/dividend payments under all circumstances it must select “fully discretionary” (including when there is a dividend stopper that does not have the effect of preventing the institution from cancelling payments on the instrument). If there are conditions that must be met before payment can be cancelled (e.g. capital below a certain threshold), the institution must select “partially discretionary”. If the institution is unable to cancel the payment outside of insolvency the institution must select “mandatory”. Select from menu: [Fully discretionary] [Partially discretionary] [Mandatory]
21	Specifies whether there is a step-up or other incentive to redeem. Select from menu: [Yes] [No]
22	Specifies whether dividends / coupons are cumulative or noncumulative. Select from menu: [Noncumulative] [Cumulative]
23	Specifies whether instrument is convertible or not. Helps to assess loss absorbency. Select from menu: [Convertible] [Nonconvertible]
24	Specifies the conditions under which the instrument will convert, including point of non-viability. Where one or more authorities have the ability to trigger conversion, the authorities should be listed. For each of the authorities it should be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger conversion (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach). Free text
25	For conversion trigger separately, specifies whether the instrument will: (i) always convert fully; (ii) may convert fully or partially; or (iii) will always convert partially Free text referencing one of the options above
26	Specifies rate of conversion into the more loss absorbent instrument. Helps to assess the degree of loss absorbency. Free text
27	For convertible instruments, specifies whether conversion is mandatory or optional. Helps to assess loss absorbency. Select from menu: [Mandatory] [Optional] [NA]
28	For convertible instruments, specifies instrument type convertible into. Helps to assess loss absorbency. Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] [Other]
29	If convertible, specify issuer of instrument into which it converts. Free text
30	Specifies whether there is a write down feature. Helps to assess loss absorbency. Select from menu: [Yes] [No]
31	Specifies the trigger at which write-down occurs, including point of non-viability. Where one or more authorities have the ability to trigger write-down, the authorities should be listed. For each of the authorities it should be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger write-down (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach). Free text
32	For each write-down trigger separately, specifies whether the instrument will: (i) always be written down fully: (ii) may be written down partially; or (iii) will always be written down partially. Helps assess the level of loss absorbency at write-down. Free text referencing one of the options above
33	For write down instrument, specifies whether write down is permanent or temporary. Helps to assess loss absorbency. Select from menu: [Permanent] [Temporary] [NA]
34	For instrument that has a temporary write-down, description of write-up mechanism. Free text
35	Specifies instrument to which it is most immediately subordinate. Helps to assess loss absorbency on gone-concern basis. Where applicable, institutions should specify the column numbers of the instruments in the completed main features template to which the instrument is most immediately subordinate. Free text
36	Specifies whether there are non-compliant features. Select from menu: [Yes] [No]
37	If there are non-compliant features, asks institution to specify which ones. Helps to assess instrument loss absorbency. Free text

Annex 4 – Abbreviated Transitional Capital Disclosure Template

The abbreviated version of the Transitional Template includes the components of the Common Equity Tier 1 (CET1), Tier 1 and Total capital ratios. These amounts should be calculated as per the transitional methodology specified in OSFI`s CAR Guideline. The explanatory table in Annex 1 includes descriptions of the individual line items.

Transitional Capital Disclosure Template

29	Highlighted cell Common Equity Tier 1 capital (CET1)
45	Highlighted cell Tier 1 capital (T1 = CET1 + AT1)
59	Highlighted cell Total capital (TC = T1 + T2)
60	Highlighted cell Total risk-weighted assets
61	Highlighted cell Common Equity Tier 1 (as percentage of risk-weighted assets)
62	Highlighted cell Tier 1 (as percentage of risk-weighted assets)
63	Highlighted cell Total capital (as percentage of risk-weighted assets)

* Note that the RWA amounts associated with the CVA capital charge are to be calculated as described in section 4.1.7 of Chapter 4 of the CAR Guideline, without the application of the scalars referenced in section 1.10 of Chapter 1 of the CAR Guideline.

Annex 5 – Disclosure requirements for non-DSIBs

Institutions should disclose the row numbers as indicated below to ensure that market participants can easily compare institutions. Where the cell is not applicable, institutions can either insert “NA” or not show the line item but maintain the row numbering of this template. Cells that are blacked out under the Transitional column are not required to be disclosed. The explanatory table in Annex 1 provides a description of each line item.

Modified Capital Disclosure Template		All-in	Transitional
Common Equity Tier 1 capital: instruments and reserves
1	Directly issued qualifying common share capital (and equivalent for non-joint stock companies) plus related stock surplus
2	Retained earnings
3	Accumulated other comprehensive income (and other reserves)
4	Directly issued capital subject to phase out from CET1 (only applicable to non-joint stock companies)
5	Common share capital issued by subsidiaries and held by third parties (amount allowed in group CET1)
6	Common Equity Tier 1 capital before regulatory adjustments
Common Equity Tier 1 capital: regulatory adjustments
28	Total regulatory adjustments to Common Equity Tier 1
29	Common Equity Tier 1 capital (CET1)
Additional Tier 1 capital: instruments
30	Directly issued qualifying Additional Tier 1 instruments plus related stock surplus
31	of which: classified as equity under applicable accounting standards
32	of which: classified as liabilities under applicable accounting standards
33	Directly issued capital instruments subject to phase out from Additional Tier 1
34	Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1)
35	of which: instruments issued by subsidiaries subject to phase out
36	Additional Tier 1 capital before regulatory adjustments
Additional Tier 1 capital: regulatory adjustments
43	Total regulatory adjustments to Additional Tier 1 capital
44	Additional Tier 1 capital (AT1)
45	Tier 1 capital (T1 = CET1 + AT1)
Tier 2 capital: instruments and allowances
46	Directly issued qualifying Tier 2 instruments plus related stock surplus
47	Directly issued capital instruments subject to phase out from Tier 2
48	Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in group Tier 2)
49	of which: instruments issued by subsidiaries subject to phase out
50	Collective allowances
51	Tier 2 capital before regulatory adjustments
Tier 2 capital: regulatory adjustments
57	Total regulatory adjustments to Tier 2 capital
58	Tier 2 capital (T2)
59	Total capital (TC = T1 + T2)
60	Total risk-weighted assets
60a	Common Equity Tier 1 (CET1) Capital RWA
60b	Tier 1 Capital RWA
60c	Total Capital RWA
Capital ratios
61	Common Equity Tier 1 (as percentage of risk-weighted assets)
62	Tier 1 (as percentage of risk-weighted assets)
63	Total capital (as percentage of risk-weighted assets)
OSFI all-in target
69	Common Equity Tier 1 capital all-in target ratio
70	Tier 1 capital all-in target ratio
71	Total capital all-in target ratio
Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022)
80	Current cap on CET1 instruments subject to phase out arrangements
81	Amounts excluded from CET1 due to cap (excess over cap after redemptions and maturities)
82	Current cap on AT1 instruments subject to phase out arrangements
83	Amounts excluded from AT1 due to cap (excess over cap after redemptions and maturities)
84	Current cap on T2 instruments subject to phase out arrangements
85	Amounts excluded from T2 due to cap (excess over cap after redemptions and maturities)

Note: From Q3 2014 to Q4 2018, institutions phasing in the CVA capital charge using Option #1 as per OSFI’s CAR Guideline^{Footnote 15} will be required to disclose rows 60a, 60b, and 60c, instead of row 60.

Footnotes

Footnote 1

BCBS June 26, 2012: Composition of capital disclosure requirements – Rules text http://www.bis.org/publ/bcbs221.pdf

Return to footnote 1 referrer

Footnote 2

Banks and bank holding companies, to which the Bank Act applies; federally regulated trust or loan companies, to which the Trust and Loan Companies Act applies; and cooperative retail associations, to which the Cooperative Credit Associations Act applies; are collectively referred to as “institutions”.

Return to footnote 2 referrer

Footnote 3

OSFI Advisory November 2007: http://www.osfi-bsif.gc.ca/eng/docs/pillar_adv.pdf

Return to footnote 3 referrer

Footnote 4

Capital Adequacy Requirements guideline, chapter 1, section 1.10 - http://www.osfi-bsif.gc.ca/Eng/fi-if/rg-ro/gdn-ort/gl-ld/Pages/CAR_chpt1.aspx

Return to footnote 4 referrer

Footnote 5

BCBS June 26, 2012: Composition of capital disclosure requirements – Rules text http://www.bis.org/publ/bcbs221.pdf, paragraph 32. Also, as per paragraph 33, “Ideally much of the information that would be reported in the Regulatory Disclosures section of the website would also be included in the published financial reports of the institution. The Basel Committee has agreed that, at a minimum, the published financial reports must direct users to the relevant section of their websites where the full set of required regulatory disclosures is provided.”

Return to footnote 5 referrer

Footnote 6

OSFI reporting requirements for deposit taking institutions : http://www.osfi-bsif.gc.ca/Eng/fi-if/rtn-rlv/fr-rf/Pages/dti_req.aspx

Return to footnote 6 referrer

Footnote 7

The BCBS June 26, 2012: Composition of capital disclosure requirements – Rules text http://www.bis.org/publ/bcbs221.pdf, provides extensive discussion regarding these disclosures and should be read in conjunction with this Advisory

Return to footnote 7 referrer

Footnote 8

Also referred to as “statement of financial position.”

Return to footnote 8 referrer

Footnote 9

Paragraph 91 of the Basel III Rules Text states that banks should disclose “a full reconciliation of all regulatory capital elements back to the balance sheet in the audited financial statements”

Return to footnote 9 referrer

Footnote 10

Included in OSFI’s November 2007 Pillar 3 Roadmap: http://www.osfi-bsif.gc.ca/eng/docs/pillar_adv.pdf

Return to footnote 10 referrer

Footnote 11

BCBS June 26, 2012: Composition of capital disclosure requirements – Rules text http://www.bis.org/publ/bcbs221.pdf, paragraph 37

Return to footnote 11 referrer

Footnote 12

OSFI December 10, 2012, Chapter 1, Capital Adequacy Requirements (CAR) guideline http://www.osfi-bsif.gc.ca/Eng/Docs/CAR_chpt1.pdf

Return to footnote 12 referrer

Footnote 13

“All-in” basis is defined as capital calculated to include all of the regulatory adjustments that will be required by 2019 but retaining the phase-out rules for non-qualifying capital instruments.

Return to footnote 13 referrer

Footnote 14

BCBS June 26, 2012: Composition of capital disclosure requirements – Rules text http://www.bis.org/publ/bcbs221.pdf, paragraph 39.

Return to footnote 14 referrer

Footnote 15