Large Exposures Return (OSFI930)
Information
PURPOSE
The purpose of this return is to provide, on a consolidated basis, information on large exposures as defined under the B-2 Guideline:
- all exposures that meet the definition of a large exposure, both before and after the application of any credit risk mitigation technique, subject to a minimum of 20 exposures;
- information on all other exposures that would have met the definition of a large exposure if the effect of credit risk mitigation techniques were not taken into account; and
- all exempted exposures that meet the definition of a large exposure.
An exposure is considered a large exposure when the sum of all exposures to a single counterparty or group of connected counterparties equals or exceeds 10% of the institution's Tier 1 capital.
STATUTORY AUTHORITY
Sections 628 of the Bank Act.
APPLICATION
This return applies to the following banks - Royal Bank of Canada (RBC), Toronto Dominion Financial Group (TD), Bank of Nova Scotia (BNS), Bank of Montreal (BMO), Canadian Imperial Bank of Commerce (CIBC) and National Bank of Canada (NBC).
PUBLICATION
Information from this return is not published.
FREQUENCY
Quarterly
CONTACT PERSON
Provide name and phone number of person to contact regarding any questions about this return.
REPORTING DATES
The return must be completed on a quarterly fiscal basis and filed within 30 days of fiscal quarter end.
CONTACT AGENCY
OSFI
GENERAL INSTRUCTIONS
The Large Exposures Return (LER) is to be completed using the methodologies and calculations described in OSFI's B-2 Guideline – Large Exposures applicable to DSIBs (the "Guideline"). The purpose of these instructions is to ease completion of the return by providing supplementary explanation for selected sections or cells in the return. Further guidance is provided through cross-referencing formulas in the return itself.
Two separate worksheets require completion: the worksheet Connected Counterparties and the worksheet Individual Counterparties. The former collects aggregate information on groups of connected counterparties, whereas the latter collects information on a select number of counterparties within groups of connected counterparties.
For the worksheet Connected Counterparties, institutions are asked to report information on the following groups of connected counterparties (on the same worksheet):
- All exposures to groups of connected counterparties meeting the definition of a large exposure subject to large exposures limits, subject to a minimum of 20 exposures (even if they do not all meet the definition of a large exposure);
- All exposures to groups of connected counterparties that are exempted from the large exposures limits if the sum of exempted and non-exempted exposures represent at least 10% of the institution's Tier 1 Capital;
- All exposures to groups of connected counterparties where the aggregate exposure before the recognition of credit risk mitigation exceeds 10% of the institution's Tier 1 Capital.
For the worksheet Individual Counterparties, institutions are asked to provide information on individual counterparties that comprise the groups of connected counterparties that are reported in the worksheet Connected Counterparties. Individual counterparties comprising each group of connected counterparties reported in the worksheet Connected Counterparties are to be reported if they individually represent at least 0.1% of the institution's Tier 1 Capital. Exposures to individual counterparties, within a group of connected counterparties, that represent less than 0.1% of the institution's Tier 1 Capital should be aggregated and reported under the counterparty name "Other". All counterparties that are reported in the worksheet Connected Counterparties, including the counterparties where the group is comprised of a single counterparty, should be reported in the worksheet Individual Counterparties.
For both worksheets, institutions are requested to report information on:
- The identity of each counterparty or group of connected counterparties;
- Exposure amounts before the application of any credit risk mitigation techniques, broken down by type of exposure;
- Exposure amounts after the application of applicable credit risk mitigation techniques, and;
- Total exposure amounts expressed as a percentage of the institution's Tier 1 Capital.
Amounts should be expressed in thousands of Canadian dollar equivalent.
If not specified, only non-exempted amounts subject to large exposures limits should be reported. Exempted exposures should only be reported in the columns labeled "Exempted Exposures".
For a given Common Risk name, the sum of a given measure across individual counterparties reported on the worksheet "Individual Counterparties" should correspond to the number reported on the worksheet "Connected Counterparties". The Common Risk name, along with the Common Risk identifier, should be identical on both worksheets for a given group of connected counterparties.
The template should not be modified prior to reporting, e.g. locking or hiding cells. However, institutions can add rows to each of the worksheets if the number of rows is not sufficient to report all the required information as specified above.
DEFINITIONS
Common risk name: Should correspond to the legal name of the entity to which the institution has the largest exposure in the group, but a construct used for Risk Management purposes will be acceptable.
Common risk Unique Identifier: The Legal Entity Identifier (i.e. 20 character identifier) of the Common Risk name reported in the previous column should be used if they are available. Otherwise, the unique identifier could be the institution's internal identifier.
Canadian DSIB / GSIB indicator: If at least one individual counterparty in the group of connected counterparties is a G-SIB, enter "2", if one individual counterparty in the group of connected counterparties is a Canadian D-SIB that is not a G-SIB, enter "1". Enter "0" otherwise.
Counterparty name: The legal name of the each counterparty reported. If the row is used to report aggregate exposures to individual counterparties representing less than 0.1% of the institution's Tier 1 Capital, enter the name "Other".
Counterparty Legal Entity Identifier: The Legal Entity Identifier (i.e. 20 character identifier) should be used if they are available. If the counterparty name is "Other", this field should be left empty.
Industry Classification System and Version: Industry Classification System name followed by its year of release or its version number.
Industry Classification Code: Valid industry code based on the Industry Classification System reported in the previous field. If the counterparty name is "Other", this field should be left empty.
Connection type: If a counterparty is part of a group of connected counterparties, reporting institutions should indicate if the connection was made based on the basis of the economic interdependence, control relationships or both.
Before CRM – Banking book – On-balance sheet exposures: For on-balance sheet, non-derivative assets, excluding securities financing transactions (SFTs) and instruments with counterparty credit risk, the accounting value that is net of specific allowances and accounting valuation adjustments (e.g. accounting credit valuation adjustments), before recognition of CRM. Reporting institutions may use exposure values gross of specific allowances and accounting valuation adjustments.
Before CRM – Banking book – Off-balance sheet exposures: Credit equivalent amounts of off-balance sheet exposures, using credit conversion factors applicable under the standardized approach to credit risk, subject to a minimum value of 10%.
Gross SFT exposures: Exposure amounts, before recognition of CRM techniques, to the common risk name / counterparty arising from SFTs. For exposures where CRM is recognized for the calculation of capital requirements, gross exposures correspond to E in the following formula:
E* = max { 0, [ E * (1 + He ) - C * (1 - Hc - Hfx )]}
Instruments with counterparty credit risk (using EAD according to SA-CCR): The exposure at default of instruments held in the banking book and in the trading book, excluding SFTs, that give rise to counterparty credit risk, measured using the standardized approach for counterparty credit risk (SA-CCR).
Trading book (after offsetting): The total value of the institution's exposures to the counterparty that are in the trading book after offsetting of long and short positions, in accordance to the offsetting rules defined in the Guideline, before application of any credit risk mitigation technique.
Securitization vehicles and other structures: Exposure amounts arising from securitizations or other structured vehicles, including exposures arising from the look-through approach as well as the common risk / counterparty constituting an additional risk factor, as defined in the Guideline.
Clearing Exposures to central counterparties: Non-exempted clearing exposures to central counterparties, as defined in paragraph 29 of the Guideline.
Total Exposure before Credit Risk Mitigation: The aggregate gross exposure to a common risk name / counterparty before recognition of credit risk mitigation techniques. This should correspond to the sum of the fields:
Before CRM – Banking book – On-balance sheet exposures
- + Before CRM – Banking book – Off-balance sheet exposures
- + Gross SFT exposures
- + Instruments with counterparty credit risk (using EAD according to SA-CCR)
- + Trading book (after offsetting)
- + Securitization vehicles and other structures
- + Clearing Exposures to central counterparties.
Exposures arising from the common risk name / counterparty acting as a Credit Risk Mitigation provider: Exposure arising from the common risk name / counterparty acting as a credit risk mitigation provider, or as issuer of collateral where this collateral has been recognized to reduce the exposure amount to another counterparty (e.g., issuer of collateral received under SFTs).
Eligible Credit Risk Mitigation – SFTs (comprehensive approach): Reduction in the exposure amount to the common risk / counterparty reported in the field "Gross SFT exposures" resulting from the application of the comprehensive approach. For exposures where CRM is recognized for the calculation of capital requirements, the amount reported in this column corresponds to the difference between E and E* as calculated using the following formula:
E* = max { 0, [ E * (1 + He ) - C * (1 - Hc - Hfx )]}
Eligible Credit Risk Mitigation – Other: Reduction in the exposure amount to the common risk / counterparty resulting from the application of any other eligible credit risk mitigation technique, not already captured in the previous fields.
Aggregate exposures subject to large exposures limits: Total aggregate exposures to the common risk name / counterparty subject to large exposures limits. For greater clarity, this number should correspond to the following:
Total Exposure before Credit Risk Mitigation
- + Exposures arising from the common risk name / counterparty acting as a Credit Risk Mitigation provider
- - Eligible Credit Risk Mitigation – SFTs (comprehensive approach)
- - Eligible Credit Risk Mitigation – Other
Aggregate exposures subject to large exposures limits as % of Tier 1 Capital: Aggregate exposure amount subject to large exposures limit as a percentage of the applicable Tier 1 Capital measure under the risk-based capital framework.
Exempted exposures – after CRM: If the institution has exposures to the common risk / counterparty that are exempted from the large exposures limits, or if the exempted exposures are subject to reporting requirements (i.e., meeting the definition of a large exposure), exposures after application of CRM techniques should be reported.
Exempted exposures – common risk / counterparty acting as a CRM provider: Exemptedexposure amounts that arise from the common risk / counterparty acting as CRM provider.
Total Exempted Exposures: Corresponds to the sum of "Exempted exposures – After CRM" and "Exempted exposures – common risk / counterparty acting as a CRM provider".
Total exempted exposures as % of Tier 1 Capital: Aggregate exposure amount subject to large exposures limit as a percentage of the applicable Tier 1 Capital measure under the risk-based capital framework.
Comments: Optional field. For each row, reporting institutions can provide additional information on the methodology used or specific details about the numbers reported. For example, if given counterparties are part of two separate groups of connected counterparties, and both groups are subject to reporting requirements, this should be indicated in the comments box.