Office of the Superintendent of Financial Institutions
The Basel Committee on Banking Supervision (BCBS) published the Enhancements
to the Basel II FrameworkFootnote 1 in July 2009 and Revisions to the Basel II Market Risk
FrameworkFootnote 2 in
February 2011. Pillar 3 of the enhanced frameworks describes the
disclosure requirements for institutions.
Enhancements to the Basel II Framework strengthen disclosure requirements
under Pillar 3 in several key areas, including: securitisation exposures
in the trading book; sponsorship of off-balance sheet vehicles;
resecuritisation exposures; and, pipeline and warehousing risks with
regard to securitisation exposures. Revisions to the Basel II Market Risk
Framework incorporate additional disclosure requirements under Pillar 3
including disclosures on the incremental risk capital charge, the
comprehensive risk capital charge and the stressed value-at-risk (VaR)
This letter provides additional clarification on the implementation of the
Pillar 3 enhanced disclosure requirements for federally regulated
deposit-taking institutions and builds on OSFI’s November 2007 AdvisoryFootnote 3 on Pillar 3 Disclosure Requirements.
Consistent with OSFI’s June 18, 2010 letterFootnote 4
on the implementation of the Basel II capital enhancements, OSFI expects
that disclosures for Pillar 3 enhancements and revisions will be
implemented in the first quarter of fiscal 2012.
Further, while the Basel II textFootnote 5
indicates that qualitative disclosures that provide a general summary of a
bank’s risk management objectives and policies, reporting systems and
definitions may be published on an annual basis, it is OSFI’s view that
the qualitative disclosures enable investors and other users of financial
statements to have a better understanding of the quantitative disclosures
that are required in quarterly reports. As such, OSFI expects that the
first quarter of fiscal 2012 disclosures should include full
qualitative disclosures in Pillar 3 enhancements and revisions to
complement the required quantitative disclosures.
OSFI expects institutions to continue to comply with the original Pillar 3
requirements and now to comply with the enhanced Pillar 3 requirements.
Issues of non-compliance will continue to be addressed on a case-by-case
basis through bilateral discussions with institutions.
Questions concerning this letter should be addressed to Laural Ross,
Director, Accounting Policy Division by email at email@example.com or by telephone at (613) 990-6972.
BCBS: Enhancements to the Basel
II Framework, July 2009. http://www.bis.org/publ/bcbs157.pdf
Return to footnote 1 referrer
BCBS: Revisions to the Basel II
Market Risk Framework, February 2011. http://www.bis.org/publ/bcbs193.pdf
Return to footnote 2 referrer
OSFI Advisory: http://www.osfi-bsif.gc.ca/app/DocRepository/1/eng/guidelines/capital/advisories/pillar_adv_e.pdf
Return to footnote 3 referrer
OSFI Letter: http://www.osfi-bsif.gc.ca/app/DocRepository/1/eng/guidelines/capital/advisories/bsl_frmwk_imp_e.pdf
Return to footnote 4 referrer
BCBS: International Convergence
of Capital Measurement and Capital Standards, A Revised Framework
Comprehensive Version issued June 2006. http://www.bis.org/publ/bcbs128.htm
Return to footnote 5 referrer