Retail IRB Credit Parameter Data Call (DT4)

Purpose

This return supports the monitoring of IRB parameter performance by providing the following:

1. Segment-level backtesting information
2. Portfolio view of IRB parameters by pre-defined exposure class

Statutory

Section 628 of the Bank Act.

Application

This return applies to all Banks accredited to apply the Internal Ratings Based Approach for regulatory capital purposes.

Frequency

Quarterly

Contact person

For all return-related questions, contact Returns Admin (RA-RRS.Support@osfi-bsif.gc.ca).

Reporting dates

The return must be completed on a quarterly basis and filed within 30 days of the fiscal quarter end.

Where to submit

OSFI

General instructions

For the description of data fields, please refer to the Business and Technical Specification documents.

Technical notes

The Retail IRB Credit Parameter Data Call return can be submitted through the Regulatory Reporting System (RRS) by uploading a data file in XML. An XSD file that outlines the structure of conforming XML files can be downloaded from the RRS Portal Documents section.