Office of the Superintendent of Financial Institutions
On August 21, 2013, OSFI issued a letter advising banks, bank holding companies and federally regulated trust and loan companies that it will begin phasing in the Credit Valuation Adjustment (CVA) capital charge effective January 1, 2014 and ending on December 31, 2018.Footnote 1
As a result, OSFI has revised its July 2013 Public Capital Disclosure Requirements related to Basel III Advisory for disclosures beginning in Q3 2014 to provide guidance on the disclosure modification required as a result of the CVA phase in and to provide minor clarification edits to address queries received since the initial issuance of the Advisory. The changes related to the CVA phase in will only impact institutions which have selected Option 1 as specified in OSFI’s August 2013 letter on the CVA phase in treatment. Institutions using Option 2 and those not subject to a CVA capital charge will not be impacted by the disclosure changes related to the CVA phase in.
Questions regarding this Revised Advisory should be addressed to Catherine Girouard, Capital Division by email at email@example.com or by telephone at (613) 991-0604 or to Laural Ross, Accounting Policy Division by email at firstname.lastname@example.org or by telephone at (613) 990-6972.
The material from the August 2013 letter was subsequently incorporated in section 1.10 of Chapter 1 of the Capital Adequacy Requirements Guideline.
Return to footnote 1 referrer