Capital Disclosure Requirements

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  • Type of Publication: Guideline
  • Category: Accounting
  • Effective Date: July 2013
  • Revised Date: May 2018
  • Effective Date : November 2018 / January 2019Footnote 1

This guidelineFootnote 2 sets out the capital disclosure requirements for Canadian banks, bank holding companies, federally regulated trust and loan companies, and cooperative retail associations Footnote 3 (collectively institutions). It implements the Composition of Capital (CC1), Reconciliation of Regulatory Capital to Balance Sheet template (CC2) and Main Features (CCA) templates that were:

  • Published in the Basel Committee on Banking Supervision (BCBS) Composition of capital disclosure requirements – Rules text Footnote 4 June 2012, and
  • Subsequently revised in the Pillar 3 Disclosure Requirements – consolidated and enhanced framework standardsFootnote 5 March 2017 (referred to as Phase II of Pillar 3) to align format with the BCBS Pillar 3 framework and to incorporate the regulatory adjustments for Total Loss Absorbing Capacity (TLAC) holdings Footnote 6.

The consequential amendments to this guideline reflect the disclosure of TLAC holdings and the removal of previous transitional guidance that is no longer applicable as of January 1, 2018.

1. Scope of Application

The capital disclosure requirements outlined in this guideline apply to all institutions that implement the Basel III framework. 

Part 4 of this guideline sets out disclosure requirements for Canadian Domestic Systemically Important BanksFootnote 7 (D-SIBs).

Part 5 of this guideline sets out disclosure requirements for non-D-SIBs.

The limited exemption from disclosures applies to institutions that meet the exemption criteria outlined in OSFI's April 2017 Pillar 3 Disclosure RequirementsFootnote 8 guideline.

2. Implementation date and frequency of reporting

OSFI requires all institutions to implement the revised disclosures commencing with the quarterly reporting period ending January 31, 2019.

The Composition of Capital templates should be disclosed on a quarterly basis. The Main Features Template should be disclosed, at a minimum, on a quarterly basis to reflect issuances or repayments of capital instruments or other TLAC-eligible instruments, redemptions, conversions/write downs or other material changes in the nature of existing instruments.

Where an institution provides Pillar 3 disclosures only on an annual basis, the frequency of disclosures within this guideline can be made on an annual basis.

3. Availability of disclosures

Disclosures should be easily located by users. Institutions should make all Pillar 3 disclosures available on their websites to facilitate public access. D-SIBs may choose where to provide the disclosures in their financial reports (e.g. management discussion and analysis, financial statement notes, supplemental information or standalone Pillar 3 report).

Institutions are required to maintain a "Regulatory Disclosures" section of their public websites, where all of the information relating to disclosure of regulatory capital and TLAC (if applicable) is made available.

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.

4. Disclosure requirements for D-SIBs

The disclosure requirements for D-SIBs are summarized belowFootnote 9:

  • Composition of Capital Template (CC1).  This template reports the breakdown of an institution's regulatory capital 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 to reflect Canadian specific adjustments and to include TLAC holdings in Annex 1 Composition of Capital Template:    

    • 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.

    • 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.

    • 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.

    • Rows 53, 54, 54a and 55: Deductions from Tier 2 capital for TLAC holdings.

  • Balance SheetFootnote 10 Reconciliation Requirements (CC2).  This template sets out a 3-step approach to achieve a full reconciliation of all regulatory elements back to the institution's audited balance sheet.  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 requirements permit a flexible template, institutions are to complete the 3-step process using their own balance sheet which may have different items. For illustrative purposes, an example of the reconciliation has been included in Annex 2.

    List of legal entities: 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.  For each legal entity that is required to be disclosed, an institution must also disclose its total balance sheet assets and total balance sheet equity and a description of the entity's principle activities. 

  • Main Features Template (CCA).  Institutions are required to disclose the Main Features Template in Annex 3, which requires disclosure of the main features of outstanding regulatory capital and, if applicable, other TLAC-eligible instruments. 

    Institutions are required to report each regulatory capital instrument, including common shares and other TLAC-eligible instruments, 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 and TLAC-eligible instruments of the group. D-SIBs disclosing these instruments should group them under three sections (horizontally along the table) to indicate whether they are for meeting (i) only capital (but not TLAC) requirements; (ii) both capital and TLAC requirements; or (iii) only TLAC (but not capital) requirements.

  • Other Disclosure Requirements.  Institutions should make the full terms and conditions of all capital instruments and TLAC-eligible instruments available on their websites.  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) should provide a comprehensive explanation of how these ratios are calculated.

    D-SIBs are also required to describe OSFI's additional 1% D-SIB common equity buffer.

5. Disclosure requirements for non-D-SIBs

Non-D-SIBs are required to disclose a modified version of the Composition of Capital Template in Annex 4.

Annex 1 – Composition of Capital Template ( CC1)

Key points to note about the template set out in this Annex areFootnote 11:

  • The template is designed to capture the capital positions of institutions
  • Certain rows are in italics. These rows will be deleted after all the ineligible capital instruments have been fully phased out (i.e., from January 1 2022 onwards).
  • The balance sheet reconciliation requires 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 row, institutions should report N/A or Nil and the row number must not change.
Composition of Capital Template (CC1)
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 and Other TLAC-eligible instruments
54 Non-significant investments in the capital of banking, financial and insurance entities and Other TLAC-eligible instruments issued by G-SIBs and Canadian D-SIBsof that are outside the scope of regulatory consolidation where the institution does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold)
54a  [Reporting row for G-SIBs and D-SIBs only] Non-significant investments in the other TLAC- eligible instruments issued by G-SIBs and Canadian D-SIBs, where the institution does not own more than 10% of the issued common share capital of the entity: amount previously designated for the 5% threshold but that no longer meets the conditions.  
55 Significant investments in the capital of banking, financial and insurance entities and Other TLAC-eligible instruments issued by G-SIBs and Canadian D-SIBs that are outside the scope of regulatory consolidation.,
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 (minimum CET1 requirement plus capital conservation buffer plus G-SIB buffer plus DSIB buffer expressed as a percentage of risk-weighted assets)
65

of which: capital conservation buffer

66 of which: bank-specific countercyclical buffer
67

of which: G-SIB buffer

67a

of which: DSIB buffer

68 Highlighted cell Common Equity Tier 1 available to meet buffers (as percentage of risk-weighted assets)
OSFI target (minimum + capital conservation buffer + D-SIB buffer (if applicable))
69 Common Equity Tier 1 target ratio
70 Tier 1 capital target ratio
71 Total capital target ratio
Amounts below the thresholds for deduction (before risk weighting)
72 Non-significant investments in the capital and Other TLAC-eligible instruments of other financial entities
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: 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 template with relevant references to OSFI's CAR Guideline. Institutions are required to report deductions from capital as negative numbers and additions to capital as positive numbers. For example, goodwill (row 8) should be reported as a negative 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 positive numbers as these are added back in the calculation of Common Equity Tier 1.

Explanation of each row of the Composition of Capital 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 55 of Chapter 2 of OSFI's CAR Guideline.
8 Goodwill net of related tax liability, as set out in paragraph 56 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 57 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 58 and 59 of Chapter 2 of OSFI's CAR Guideline.
11 The element of the cash-flow hedge reserve described in paragraph 61 of Chapter 2 of OSFI's CAR Guideline.
12 Shortfall of allowances to expected losses as described in paragraph 62 of Chapter 2 of OSFI's CAR Guideline.
13 Securitisation gain on sale described in paragraph 63 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 64 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 65 and 66 of Chapter 2 of OSFI's CAR Guideline.
16 Investments in own shares (unless already derecognized under IFRS), as set out in paragraph 67 of Chapter 2 of OSFI's CAR Guideline.
17 Reciprocal cross-holdings in common equity, as set out in paragraph 68 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 70 to 76 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 77 to 86 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 84 to 85 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 84 to 85 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 84 to 85 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 76 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. Reported as a negative amount.
29 Common Equity Tier 1 capital (CET1), to be calculated as row 6 plus 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 87 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 88 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 89 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 90 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 91 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 92 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. Reported as a negative amount.
44 Additional Tier 1 capital, to be calculated as row 36 plus 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 25 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 and Other TLAC-eligible instruments, amount to be deducted from Tier 2 in accordance with paragraph 94 of Chapter 2 of OSFI's CAR Guideline.
54 Non-significant investments in the capital of banking, financial and insurance entities and other TLAC-eligible instruments issued by G-SIBs and Canadian D-SIBs , where the institution does not own more than 10% of the issued common share capital of the entity: amount in excess of the 10% threshold that is to be deducted from Tier 2 in accordance with paragraph 95-98 of Chapter 2 of OSFI's CAR Guideline. For institutions that are not G-SIBs or Canadian D-SIBs, any amount reported in this row will reflect Other TLAC-eligible instruments not covered by the 5% threshold and that cannot be absorbed by the 10% threshold. For G-SIBs and Canadian D-SIBs, the 5% threshold is subject to additional conditions and deductions in excess of the 5% threshold are reported instead on row 54a.
54a [Row for G-SIBs and Canadian D-SIBs only] Non-significant investments in Other TLAC-eligible instruments issued by G-SIBs and Canadian D-SIBs that are outside the scope of regulatory consolidation, where the institution does not own more than 10% of the issued common share capital of the entity, previously designated for the 5% threshold but no longer meeting the conditions under paragraph 97 of Chapter 2 of OSFI's CAR Guideline, measured on a gross long basis. The deduction will be the amount of Other TLAC-eligible instruments designated to the 5% threshold but not sold within 30 business days, no longer held in the trading book or now exceeding the 5% threshold (eg in the instance of decreasing CET1 capital), in accordance with paragraph 97 and 98 of Chapter 2 of OSFI's CAR Guideline. Note, that amounts designated to this threshold may not subsequently be moved to the 10% threshold. 
55 Significant investments in the capital and other TLAC-eligible instruments 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 100 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. Reported as a negative amount.
58 Tier 2 capital, to be calculated as row 51 plus 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 buffer and DSIB buffer 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 ).
67 The amount in row 64 (expressed as a percentage of risk weighed assets) that relates to the institution's G-SIB buffer.
67a The amount in row 64 (expressed as a percentage of risk-weighted assets) that relates to the institution's DSIB buffer.
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 template, OSFI's 7% CET1 target ratio. (Minimum CET1 requirement plus capital conservation buffer) plus DSIB buffer, if applicable.
70 On the template, OSFI's 8.5% Tier 1 capital target ratio. (Minimum Tier 1 capital requirement plus capital conservation buffer) plus DSIB buffer, if applicable.
71 On the template, OSFI's 10.5% Total capital target ratio. (Minimum Total capital requirement plus capital conservation buffer) plus DSIB buffer, if applicable.
72 Non-significant investments in the capital and Other TLAC-eligible instruments 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.

Reconciliation of Regulatory Capital to Balance Sheet Template (CC2)

Condensed balance sheet 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 Composition of Capital Template (CC1) to show the source of every input.

Regulatory Capital Components: Excerpt of OSFI Capital Disclosure Template

Common Equity Tier 1 Capital: Instruments and Reserves Cross-ReferenceFootnote *
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 and Other TLAC-eligible instruments 0
54 Non-significant investments in the capital of banking, financial and insurance entities and other TLAC-eligible instruments issued by G-SIBs and Canadian D-SIBs that are outside of scope of regulatory consolidation , where the institution does not own more than 10% of the issued common share capital of the entity (amount above 10% threshold) 0
54a [Reporting row for G-SIBs and Canadian D-SIBs only] Non-significant investments in the other TLAC- eligible Instruments issued by G-SIBs and Canadian D-SIBs that are outside the scope of regulatory consolidation, where the institution does not own more than 10% of the issued common share capital of the entity: amount previously designated for the 5% threshold but that no longer meets the conditions. 0
55 Significant investments in the capital of banking, financial and insurance entities and other TLAC-eligible instruments issued by G-SIBs and Canadian D-SIBs that are outside the scope of regulatory consolidation. 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 (CCA)

Set out below is the template that institutions must use to ensure that the key features of all regulatory capital and other TLAC-eligible 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 should report "NA" and maintain the row numbering of this template to ensure comparability.

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
3a Means by which enforceability requirement of Section 13 of the TLAC Term Sheet is achieved (for other TLAC-eligible instruments governed by foreign law)
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
34a Type of subordination  
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
3a

Other TLAC-eligible instruments governed by foreign law (i.e. a law other than that of the home jurisdiction of a resolution entity) include a clause in the contractual provisions whereby investors expressly submit to, and provide consent to the application of, the use of resolution tools in relation to the instrument by the home authority notwithstanding any provision of foreign law to the contrary, unless there is equivalent binding statutory provision for cross-border recognition of resolution actions. Select "NA" where the governing law of the instrument is the same as that of the country of incorporation of the resolution entity.

Select from menu: [Contractual]
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
34a

Type of subordination.

Select from menu: [Exemption]
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 – 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. The explanatory table in Annex 1 provides a description of each line item.

Modified Capital Disclosure Template Amount
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 target
69 Common Equity Tier 1 capital target ratio
70 Tier 1 capital target ratio
71 Total capital 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 GuidelineFootnote 12 will be required to disclose rows 60a, 60b, and 60c, instead of row 60.

Footnotes

Footnote 1

For institutions with a fiscal year ending October 31 or December 31, respectively.

Return to footnote 1 referrer

Footnote 2

Formerly the advisory entitled Public Capital Disclosure Requirements related to Basel III Pillar 3, last revised in April 2014.

Return to footnote 2 referrer

Footnote 3

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.

Return to footnote 3 referrer

Footnote 4

BCBS June 2012: Composition of capital disclosure requirements – Rules text
http://www.bis.org/publ/bcbs221.htm.  The publication sets out a framework to ensure that the components of a bank's capital base is publicly disclosed in standardised formats across and within jurisdictions for banks.

Return to footnote 4 referrer

Footnote 5

BCBS March 2017: https://www.bis.org/bcbs/publ/d400.htm

Return to footnote 5 referrer

Footnote 6

As set out in Chapter 2 of OSFI's Capital Adequacy Requirements guideline, TLAC holdings refers to holdings of instruments, other than regulatory capital instruments, issued by G-SIBs and Canadian D-SIBs.

Return to footnote 6 referrer

Footnote 7

Chapter 1 of the Capital Adequacy Requirements (CAR) Guideline identifies D-SIBs. http://www.osfi-bsif.gc.ca/Eng/fi-if/rg-ro/gdn-ort/gl-ld/Pages/CAR18_chpt1.aspx#1.11. Non-D-SIBs consist of all other federally regulated deposit-taking institutions that are not D-SIBs.

Return to footnote 7 referrer

Footnote 8

Pillar 3 Disclosure Requirements, April 2017: http://www.osfi-bsif.gc.ca/Eng/fi-if/rg-ro/gdn-ort/gl-ld/Pages/plr3.aspx

Return to footnote 8 referrer

Footnote 9

BCBS March 2017: https://www.bis.org/bcbs/publ/d400.htm, Section 1.1 and Section 3.1 provides extensive discussion regarding these disclosures and should be read in conjunction with this Guideline.

Return to footnote 9 referrer

Footnote 10

Also referred to as "statement of financial position."

Return to footnote 10 referrer

 

Footnote 11

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

Return to footnote 11 referrer

Footnote 12

CAR 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 12 referrer