Office of the Superintendent of Financial Institutions
This return provides the leverage ratio of the reporting institution, as well as details of the calculation.
Section 628 of the Bank Act and Section 495 of the Trust and Loan Companies Act.
This return applies to all banks, bank holding companies trust and loan companies and cooperative retail associations, collectively referred to as institutions. This includes institutions that are subsidiaries of federally regulated financial institutions (FRFIs). Foreign bank branches and Small and medium-sized deposit-taking institutions (SMSBs)Footnote 1 which fall into Category III, as defined in OSFI's SMSB Capital and Liquidity Requirements Guideline,Footnote 2 are not required to complete this return.
Certain information from this return is available on a total and institution-by-institution basis on the OSFI website at
Institutions with fiscal year-ends of October – Quarterly – January, April, July and October Institutions with fiscal year-ends of December– Quarterly – March, June, September and December
Provide name and phone number of the person to contact at your FRFI regarding any questions about this return.
The return must be completed on a quarterly fiscal basis and filed within 30 days of fiscal quarter end.
The LRR is to be completed using the methodologies and calculations described in OSFI's Leverage Requirements Guideline (the "guideline"). The purpose of these instructions is to ease completion of the return by referencing its components to the applicable paragraph(s) of the guideline. In addition to guideline references, these instructions provide supplementary explanation for selected sections or cells in the return. Further guidance is provided through cross-referencing formulas in the return itself.
Generally, the LRR must be completed by all banks, bank holding companies, cooperative retail associations and federally regulated trust and loan companies. These OSFI-regulated entities are collectively referred to herein as institutions. The LRR is not applicable to Category III SMSBs, as defined in OSFI's SMSB Capital and Liquidity Requirements Guideline.Footnote 3
The shaded cells are totals or sub-totals. Although these cells are the result of arithmetic operations they must be populated by the institution as the return does not contain any built-in formulas.
Exposures and capital measures are to be reported on a group-wide basis for all entities which are consolidated by the institution for leverage requirement purposes as described in the guideline.
The two sections in this return are designed to provide the overall calculation of the Leverage Ratio (LR) as well as certain breakdowns regarding key components. In the case of derivatives exposures reported in Section 2, institutions must prepare more detailed breakdowns and calculations in order to derive the summary data required by the return. As a result, the reported figures will not necessarily be sufficiently detailed to enable a precise replication of the calculation.
All on-balance sheet items should be reported net of individual or collective allowances. The following table provides a description of each data point address (DPA).
Subsection 1.2 includes a summary of the amounts reported on Section 2 of the LRR. The following table provides a description of each DPA.
SFT exposures are to be reported in subsection 1.3. The following table provides a description of each DPA.
Off balance sheet items should be reported in subsection 1.4. These amounts are converted into LR exposures through the use of credit conversion factors (CCFs) where CCFs are expressed as percentages. Reporting institutions should populate the
Notional Amount column and the
Exposure after CCF column. The CCF column is protected as CCFs are prescribed in the Guideline. The following table provides a description of each DPA.
The actual LR and its components are reported in Subsection 1.5. The institution's authorized LR as prescribed by OSFI should also be reported here.
Subsection 1.6 includes a reconciliation of the amounts reported on the accounting balance sheet and the amounts reported for leverage requirements purposes.
Subsection 2.1 is broken down in two panels. Panel A) covers derivatives not subject to an eligible netting contract whereas panel B) covers derivatives subject to an eligible netting contract.
Replacement cost, notional amounts and add-on amounts for credit derivatives and financial derivatives are reported in two distinct columns. Financial derivatives include Interest rate contracts, foreign exchange rate contracts, equity-linked contracts, precious metals, and other commodity contracts. Credit and financial derivative types are described in the following table:
Replacement costs, where contracts have individual positive values, are reported in DPAs 2101 and 2104. Total contracts (DPA 2107) should equal the sum of gross reported amounts in DPAs 2101 and 2104.
For all product types, notional amounts should be reported in DPAs 2102 and 2105 and should include all single derivative contracts including contracts with a negative replacement cost.
The PFE is obtained according to section 7.1.7 of Chapter 7 of the Capital Adequacy Requirements (CAR) Guideline The PFE calculation for credit derivatives is broken-down in subsection 2.2 where the total of add-ons for protection bought, DPA 2205 and sold, DPA 2210 is then carried back to DPA 2103.
Single derivative exposure (DPA 2110) equals the alpha of 1.4 multiplied by the sum of
Replacement cost – Total Contracts and
PFE – Total Contracts i.e. 1.4*(DPA 2107+2109). This amount is then carried back to subsection 1.2, DPA 1201.
Replacement cost in is calculated according to section 18.104.22.168 of chapter 7 of the CAR Guideline. Replacement cost for derivatives covered by an eligible master netting agreement should be reported in DPAs 2130 for credit derivatives and 2131 for financial derivatives.
Notional amounts of derivative exposure covered by an eligible netting contract should be reported in DPAs 2114 for credit derivatives and in DPA 2119 for financial derivatives. The notional amounts are used to calculate the AGross input of the net add-on formula.
The PFE is calculated according to section 22.214.171.124 of chapter 7 of the CAR Guideline and reported in DPAs 2115 and 2120. The PFE calculation for credit derivatives is detailed in subsection 2.2 with the resulting add-on amount reported in DPA 2115. DPA 2115 should equal the sum of DPAs 2215 and 2220.
The PFE for all contracts reported in DPA 2127 is the sum of the PFE for credit derivatives and financial derivatives found in DPAs 2115 and 2120 respectively.
Exposure for netted derivatives (DPA 2129) equals the alpha of 1.4 multiplied by the sum of the replacement costs and the PFE i.e. 1.4*(DPA 2125+2127). This amount is then carried back to subsection 1.2, DPA 1202.
Panel A breaks down the PFE calculations for single and netted credit derivatives.
Total PFE for single derivatives is the sum of the total add-on for Protection Buyer, DPAs 2205 and Protection Seller, DPA 2210. The same applies to
Derivatives eligible for netting i.e. DPAs 2215 and 2220. Total PFE for single derivatives and total PFE for derivatives eligible for netting should be carried back to DPAs 2103 & 2115 respectively.
To avoid overstating the exposure measure for credit derivatives, institutions may choose to deduct from the PFE the individual PFE amounts relating to written credit derivatives which are not already offset and whose notional amount is included in the LR exposure measure. Institutions should reflect this adjustment directly in panel A.
The effective notional amounts referenced by written credit derivatives are reported in DPA 2221.
Net Notional exposure for written credit derivative is the result of
Total written credit derivative – notional minus the eligible offsets of DPAs 2222 & 2223. Any negative change in fair value amount that has been incorporated in the calculation of Tier 1 capital with respect to written credit derivatives may be offset against the notional amount for written credit derivative. The offset should be reported in DPA 2222. The effective notional amount of a purchased credit derivative on the same reference name may further reduce the notional amount; these amounts should be reported in DPA 2223. Further guidance is provided in paragraphs 26-30 of the Guideline. DPA 2224 is carried back to subsection 1.2, DPA 1206.
SMSBs are banks (including federal credit unions), bank holding companies, federally regulated trust companies, and federally regulated loan companies that have not been designated by OSFI as domestic systemically important banks (D-SIBs). This includes subsidiaries of SMSBs or D-SIBs that are banks (including federal credit unions), federally regulated trust companies or federally regulated loan companies.
Return to footnote 1
SMSB Capital and Liquidity Guideline.
Return to footnote 2
Return to footnote 3