2020 Summary of Proposed Changes

BCAR Effective Q1 2020

Summary of OSFI's Proposed Changes (details below)

Changes to non-dimensional schedules:

  • New - N/A
  • Modified - 12 schedules
  • Removed - N/A

Changes to non-dimensional datapoints:

  • New - 109 DPAs
  • Modified - 0 DPAs
  • Removed - 9 DPAs

Changes to dimensional schedules:

  • Modified - N/A

Changes to validation rules:

  • New - 126
  • Modified - 17
  • Removed - 17

OSFI's Proposed Changes to Return (R) / Instructions (I) / Validation Rules (V)
Nature of Change
1 R, I, V Schedule 2 - RWA Summary, Schedule 43 – Operational risk

Schedule 2: The AMA for OpRisk is not allowed: The data point for the AMA (DPA_1456) is removed.

Schedule 43: The AMA for OpRisk is not allowed: 6 DPAs in the AMA section are removed.

2 R, I, V Schedule 2A –Summary of Capital Floor Risk Weighted Assets, Schedule 1 – Ratio Calculations CVA RWA is fully phased in and the CVA scaler is 1 as of Q1, 2019.

Clarified in the instructions that credit risk exposures and RWA in schedule 2A should be reported corresponding with the asset class of the original obligor.

Added a new DPA for the adjusted capital floor RWA less before floor RWA and rearranged letter descriptors.

The "after CRM" descriptor is added to the description that both exposure amounts and RWA should reflect the after CRM values.

Added a memo item that collects credit risk exposures and RWA by the asset class of the ultimate guarantor. 16 new DPAs.

Wording change from the output floor to the capital floor.

3 I Schedule 3 Capital and TLAC Added clarifying instructions for the DPA1530 that short positions in own common shares that are recognized as common shares should be deducted along with long positions in own shares not derecognized.
4 R, I, V Schedule 4 – Allowances Addition of a memo panel for the data collection of a bank's internal allocation of Stage 1 and Stage 2 allowances on IRB porfolios: 69 new DPAs
5 R, I, V Schedule 4 – Allowances,
Schedule 45 - Reconciliation

The clarifying wording of "assets capitalized under the securitization framework" is added to labels for amounts deducted from Stage 1, 2 and 3 allowances.

A new DPA is added to the Sch 45 to allow the reconciliation to work.

6 I Schedule 40 - Derivatives The additional guidance related to Schedule 40 provides more detailed instruction on the allocation of the SA-CCR EAD across derivative types and on the calculation of the RC and PFE for trades where specific wrong-way risk has been identified.
7 R Schedule 41 – Banking Book Securitization Exposures The clarifying wording of "externally" is added to externally rated exposures.
8 R Schedule 41 – Banking Book Securitization Exposures The wording for liquidity facilities is clarified: liquidity facilities – externally rated>
9 R, I, V Schedule 44 – Gross Exposures by Original Obligor and by Ultimate Guarantor 20 DPAs added to collect RWA for exposures not guaranteed.
10 R, I, V Schedule 14 and 37 - Securitization

Removal of a one-time adjustment for the Q1-2019 BCAR Reporting.

Corrected a typo in the risk weight on Sch37: row16 (15.01%-25%)

11 R, V Schedule 3 - Capital Addition of a new DPA (1501) to identify a federal credit union (FCU). The validation rule (RS:31656001-01 (1656=20)) will be turned off for FCUs as FCUs will have different values for DPA1656.
12 R, V Schedule 38 – Other assets Addition of a new DPA (5641) for the goodwill for incomplete acquisitions and dispositions to the memo item of the Section A.
13 V Validation rule changes Cap % for non-qualifying capital instruments during transition period (DPA 1656): Change from 30 to 20