Balance Sheet (M4)

Summary of key updates by section

• Changes related to IFRS 17:
  • General Instructions
  • A6 (a) Insurance-Related Assets
  • L6 (b) Insurance-Related Liabilities

Return files

Change control log (M4) Sample return - M4 (XLSX, 75.27 KB) Validation rules - M4 (XLSX, 53.55 KB)

Consolidated Balance Sheet

Purpose

The purpose of this return is to provide a consolidated balance sheet of the institution as at the last day of each month. The balance sheet categories reflect the information required by the major users - the Office of the Superintendent of Financial Institutions, the Bank of Canada, Canada Deposit Insurance Corporation and Statistics Canada - for purposes of analyzing and monitoring the individual and aggregate financial condition of institutions. The return also requires the separation of assets and liabilities into total and foreign currencies.

Statutory

Sections 628 and 600 of the Bank Act and Section 495 of the Trust and Loan Companies Act.

Application

This return applies to all deposit-taking institutions.

Publication

Information from this return is available on a total and institution-by-institution basis on the OSFI website at www.osfi-bsif.gc.ca and is published in the Bank of Canada Banking and Financial Statistics on a total-for-all- institutions basis.

Frequency

Monthly.

Contact Person

Provide name and phone number of person to contact regarding any questions about this return.

Reporting Dates

The return is to be completed as of the last day of each month and submitted within 30 days of the reporting date.

Contact Agency

OSFI.

General Instructions

The form of the consolidated balance sheet is identical for all institutions regardless of size and type. Consequently, certain balance sheet categories may not be applicable to some institutions because of the nature of their operations.

Where these instructions indicate that a certain category includes particular items, the particular items listed do not limit the generality of the heading but indicate the kind of items that are to be reported there.

Assets under administration are not to be included in the balances reported on the balance sheet.

Assets are to be reported net of the allowance for expected credit losses (ECL), if any.

All allowances are to be netted from the appropriate assets in the same currency in which the relevant assets are denominated, regardless of whether the allowances are booked in Canadian or foreign currency. Where allowances for expected credit losses against groups of loans have been established against assets denominated in both Canadian dollars and foreign currency, the allowances should be allocated proportionately according to the gross amounts of the assets outstanding in the various currencies.

Interest should be accrued on loans; the accrual is to be included in Asset 6. Debts purchased at a premium or discount are to be reported net of the premium or discount. The net reported amount of such loans will be increased or decreased as the discounts or premiums are taken into income over the term of the loan. Fixed-term loans on which the interest for the term is pre-computed and added to the principal are to be reported net of the pre-computed interest.

Deposits with regulated financial institutions include all non-interest-bearing balances and interest-bearing balances, including correspondent relationships in Canada and elsewhere placed in the normal course of market trading where the only documentation exchanged is a confirmation of contract and the rates applied are the bid and offer of the market.

Insurance-related Assets comprise of asset categories from Insurance Subsidiaries that do not readily fall into the asset categories used in a deposit-taking institution’s financial statements. 

Assets of Insurance Subsidiaries such as securities and mortgages that readily fall into the asset categories used by deposit-taking institutions should be reported in their respective categories.

All amounts are to be expressed in thousands of Canadian dollar equivalents.

Section I - Assets

A 1 Cash and Cash Equivalents

1. Gold, bank notes, deposits with Bank of Canada, cheques and other items in transit

   Include:

   • gold coin;
   • gold and silver bullion held in Canada and elsewhere;
   • gold and silver certificates held as investments;
   • precious metals.
   • Bank of Canada notes on hand;
   • foreign currency notes;
   • Canadian coin on hand;
   • foreign coin held in Canada and elsewhere (foreign coin is to be reported as foreign currency, but U.S. coin in circulation in Canada need not be segregated unless amounts are material).
   • all completed deposit transactions with Bank of Canada, including Large-Value Transfer System (LVTS), Special Deposit Account (SDA) and Automated Clearing and Settlement System (ACSS) component balances.

   Exclude:

   • loans repayable in gold and silver bullion.

   Other Instructions:

   Notes on hand and coin include those in transit between any units of the institution. Units of the institution include any branches or offices of the institution's subsidiaries.

   Gold should be valued by translating to a Canadian dollar equivalent (using the month-end rate published by the Bank of Canada) the U.S. dollar value set at the second London gold "fixing".

   Component deposit balances used to produce total deposits at the Bank of Canada must agree with the balance reports provided by the Bank of Canada at reporting date.

   For items that meet the criteria for offsetting in accordance with IFRS, report the net balance (when that balance is a debit) of all accounts representing outstanding inter-institution and inter-branch entries, settlements and other items in transit.

   If the foreign currency items in transit are a credit, although the total transit figure is a debit, report the foreign currency credit amount with a minus sign.

2. Deposits With Regulated Financial Institutions, Less Allowance for Expected Credit Losses

   Include:

   • non-interest-bearing demand deposit balances;
   • interest-bearing deposit balances;
   • interest-bearing accounts that are correspondent relationships in Canada and elsewhere;
   • deposits with foreign central banks or foreign official monetary institutions;
   • term deposits for investment purposes;
   • certificates of deposit purchased;
   • acceptances purchased.

   Exclude:

   • deposits with Bank of Canada.

   Other Instructions:

   Overdrafts in deposit accounts with regulated financial institutions, which are deposit-taking, are to be included in Liability 1(c) - Demand Deposits of Deposit-taking Institutions.

   Overdrafts in deposit accounts of and loans to regulated financial institutions, including loans to foreign central banks or foreign official monetary institutions are to be included in Asset 11(b) - Non-Mortgage Loans to Regulated Financial Institutions.

A 2 Securities

General Instructions

Securities issued or guaranteed by Canada are to be reported on the basis of remaining term-to-maturity.

Securities Held at Amortized Cost

Securities held at amortized cost.

Securities Held at Fair Value

Securities accounted for as Fair Value Through Profit or Loss, Fair Value Through Other Comprehensive Income, Fair Value Hedge, and securities designated as "Fair Value Option" should be fair valued in accordance with IFRS.

Amortization - see Glossary

Where these Instructions provide optional methods of computing amortization, the practices followed by the institution should be consistent.

1. Securities Issued or Guaranteed by Canada/Canadian Province/Canadian Municipal or School Coporation, less allowance for expected credit losses where applicable

   1. Treasury Bills and other short term paper

      Include:

      • securities issued or guaranteed by Canada maturing within 3 years;
      • securities issued or guaranteed by a Canadian province or a Canadian municipal or school corporation with an original term to maturity of one year or less

   2. Other securities

      Include:

      • securities issued by a territory;
      • municipal and school securities or any other securities guaranteed by a province or territory.
      • securities of school commissions, boards and districts;
      • securities of municipal public utilities;

2. Other Securities, less allowance for expected credit losses where applicable

   1. Debt

      Include:

      • corporate promissory notes and other bills of exchange or instruments commonly referred to as commercial paper for investment purposes other than institution acceptances drawn by others;
      • income debentures;
      • small business development bonds;
      • small business bonds;
      • securities not reported elsewhere;
      • retained interests

      Other instructions:

      Retained interests are assets that arise on the date related assets (receivables) are sold to a special purpose entity and securitized. These assets are retained by the selling institution and they are related to the assets sold to the SPE. Retained interests also include any purchased beneficial interests from third parties. They include interest-only strips, subordinated notes, residual interests, cash collateral, loans and other receivables. They are to be accounted for, under IFRS.

   2. Shares

      Include:

      • common, preferred and term-preferred shares and rights in respect of such shares and units of mutual or investment funds.

      Other Instructions:

      Debt and equity securities of clubs and like local not for profit organizations purchased for other than investment purposes, are to be included under Asset 6.

      Debt and equity securities that normally would be included in Other Securities but have been guaranteed by Canada, provinces, or municipal or school corporations should be reported as Asset 2(a).

      Fixed-term equity securities held at amortized cost are to be adjusted for the amortization of related premium or discount.

      The cost at which holdings of individual securities are carried is to be adjusted to reflect anticipated permanent losses in the underlying values.

      Issues of securities where there is a put option or an offer to purchase present, at a price higher than the carrying value of the security, should be recorded at cost. Increases in the carrying value and the accrual of the gain into income are to be permitted only in those circumstances where there is virtual certainty that the gain arising from the put option or the offer to purchase will be realized. Virtual certainty must be demonstrated to the satisfaction of the Office of the Superintendent of Financial Institutions. Normally the prospective purchaser of the securities would be either the Government of Canada or an organization controlled by the Government of Canada.

A 3 Loans

1. Non-Mortgage Loans, less allowance for expected credit losses

   1. Call and Other Short Loans to Investment Dealers and Brokers, Secured

      Include:

      • loans against securities to recognized investment dealers, stockbrokers and underwriting syndicates (whether or not the institution is a member) that, when made, were payable on call or within 90 days;
      • sight drafts with securities attached;
      • daylight overdrafts outstanding.

      Other Instructions:

      If a loan of this type becomes under-secured, transfer the items to Asset 3(a)(ii).

   2. To Regulated Financial Institutions

      Include:

      • Commercial loans to regulated financial institutions in Canada and elsewhere, and include loans to foreign central banks or foreign official monetary institutions and overdrafts in deposit accounts of other regulated financial institutions.

   3. To Canadian Federal Government, Provinces, Municipal or School Corporations

      Include:

      • loans to, and temporary overdrafts of Canadian Federal, Provincial, Territorial and Municipal governments, boards and commissions that carry on projects other than business enterprises;
      • loans to school boards, commissions and districts.

      Exclude:

      • provincial and municipal Treasury Bills and like evidence of indebtedness and include with securities (see Asset 2(a)(i) & (ii).

      Other Instructions:

      Loans to separately constituted boards or commissions that have borrowing authority and that carry on business enterprises are to be included under Asset 3(a)(vii).

   4. To Foreign Governments

      Include:

      • loans to, and temporary overdrafts of foreign central, provincial, state, municipal governments, boards and commissions that carry on projects other than business enterprises;
      • loans to school boards, commissions and districts.

      Exclude:

      • loans to foreign central banks or foreign official monetary authorities. These are to be included in Asset 3(a)(ii), above.

      Other Instructions:

      Loans to separately constituted boards or commissions that have borrowing authority and that carry on business enterprises are to be included under Asset 3(a)(viii).

   5. Lease Receivables

      Exclude:

      • conditional sales contracts (See Assets 3(a)(vi) and 3(a)(viii).

   6. To Individuals for Non-Business Purposes

      Include:

      • outstanding balance under a credit card plan;
      • loans granted under an institution's personal loan plan;
      • conditional sales contracts to finance the acquisition of personal goods and services;
      • overdrafts in individuals' deposit accounts under Liability 1(d), 2(d) and overdrafts in tax accounts related to residential mortgages;
      • bridge financing loans associated with residential properties;
      • government-guaranteed loan plans for individuals;
      • loans to individuals secured by stocks and bonds;
      • other loans to individuals for non-business purposes not included above.

      1. Of which: secured by residential property

         Include:

         • Secured by residential real property

           Loans secured by residential real property include loans secured wholly or partially by collateral mortgages on residential real property, as well as any rights or interests in these. Examples of loans secured by residential real property include home equity lines of credit (HELOCs).

           Real property (or immovable property, in Quebec) means land, including mines and minerals, and buildings, structures, improvements and other fixtures on, above or below the surface of the land, and includes an interest therein.

           Secured by residential real property should be consistent with Section I- Memo Items 20 (a)(i).

      2. Of which: secured by other than residential property

         Include:

         • Secured by non-residential real property

           Loans secured by non-residential real property include loans secured wholly or partially by collateral mortgages or charges on land and/or buildings and other structures, as well as any rights or interests in these. Examples of loans secured by non-residential real property include loans secured by corporate real estate.

           Real property (or immovable property, in Quebec) means land, including mines and minerals, and buildings, structures, improvements and other fixtures on, above or below the surface of the land, and includes an interest therein.

           Secured by non-residential real property should be consistent with Section I- Memo Items 20 (a)(ii).

         • Secured by other than real property

           Secured loans that are not secured by residential real property or non-residential real property as specified above.

           Secured by other than real property should be consistent with Section I- Memo Items 20 (a)(iii).

   7. Reverse Repurchase Agreements

      Include:

      • reverse repurchase agreements

   8. To Individuals and Others for Business Purposes

      Include:

      • loans to government and municipal boards and commissions that are separately constituted and carry on business enterprises;
      • loans to religious, charitable and welfare organizations, hospitals and private schools;
      • loans, excluding loans to individuals for non-business purposes, guaranteed in whole or in part by Canada, a province or a municipality;
      • securities acquired in the liquidation of a loan and held pending disposal or transfer to the Investment Account of the institution;
      • except where offset is provided for in these instructions, other overdrafts in deposit accounts under Liability 1 and not reported elsewhere;
      • acceptances of the institution purchased and held as loans that are those of corporate customers and those that were originally drawn by provinces or by municipal or school corporations;
      • amount of partial participation in a loan made by another institution where recourse for reimbursement is against the lending institution only and limited to a share of the proceeds from the realization of the loan in proportion to the participation;
      • accounts receivable factored;
      • business loans secured by residential or non-residential property;
      • conditional sales contracts for business purposes;
      • bridge financing associated with non-residential properties;
      • other loans not classified elsewhere.

      Other Instructions:

      Exclude corporate promissory notes and other bills of exchange or instruments, commonly referred to as commercial paper, purchased for investment, and report these items under Asset 2(b)(i).

      Where, on a reporting date, the balances of an operating or demand loan account (including an overdraft) and a deposit account of the same individual, partnership or corporate entity may be partially or wholly offset by legal set-off and by a written customer agreement and the off-setting balances are in the same currency and bear the same or no rate of interest, the account balances may be reported net. However, term loans and fixed-term deposits may not be offset for regulatory reporting purposes.

      Loan and deposit accounts that may be combined for such purposes as computing customer interest, service charges, etc. may not be reported net.

      Net unamortized amounts of fees and costs associated with lending activities are to be included in the balances of the respective loan categories. When net unamortized fees and costs are immaterial, these amounts may be included in Liability 6 - Other Liabilities.

      1. Of which: secured by residential property

         Include:

         • Secured by residential real property

           Loans secured by residential real property include loans secured wholly or partially by collateral mortgages on residential real property, as well as any rights or interests in these. Examples of loans secured by residential real property include home equity lines of credit (HELOCs).

           Real property (or immovable property, in Quebec) means land, including mines and minerals, and buildings, structures, improvements and other fixtures on, above or below the surface of the land, and includes an interest therein.

           Secured by residential real property should be consistent with Section I- Memo Items 20 (b)(i).

      2. Of which: secured by other than residential property

         Include:

         • Secured by non-residential real property

           Loans secured by non-residential real property include loans secured wholly or partially by collateral mortgages or charges on land and/or buildings and other structures, as well as any rights or interests in these. Examples of loans secured by non-residential real property include loans secured by corporate real estate.

           Real property (or immovable property, in Quebec) means land, including mines and minerals, and buildings, structures, improvements and other fixtures on, above or below the surface of the land, and includes an interest therein.

           Secured by non-residential real property should be consistent with Section I- Memo Items 20 (b)(ii).

         • Secured by other than real property

           Secured loans that are not secured by residential real property or non-residential real property as specified above.

           Secured by other than real property should be consistent with Section I- Memo Items 20 (b)(iii).

2. Mortgages, Less Allowance for Expected Credit Losses

   General Instructions:

   Advances made to finance development and construction that are not secured by a mortgage (i.e., bridge financing) are to be included in Asset 3(a)(vi) or 3(a)(viii).

   Mortgages acquired at a premium or discount are to be reported net of the premium or discount. The net reported amount of such mortgages will be increased or decreased as the premiums or discounts are taken into income over the term of the mortgages.

   A mortgage secured by buildings defined as residential in appendix 2 is to be included under Asset 3(b)(i).

   Consumer or business loans secured by residential or non-residential property are to be included in Asset 3(a)(vi) or 3(a)(viii) respectively.

   Reverse mortgages are to be reported in Asset 3 (b) (i) (D).

   Tax prepayments are to be included under either Liability 1(d) or 1(e). Cheques issued for mortgages advances are to be included under Asset 1(a) until charged to the mortgage account.

   These instructions apply to all mortgage loans, not only to first mortgages.

   Other Instructions:

   Net unamortized amounts of fees and costs associated with lending activities are to be included in the balances of the respective loan categories. When net unamortized fees and costs are immaterial, these amounts may be included in Liability 9 - Other Liabilities.

   1. Residential

      1. Insured

         Include:

         • advances as well as completed loans insured under NHA or other insurance companies/agencies.

         Exclude:

         • mortgages that cease to be insured.

      2. Of which: NHA MBS Pooled and Unsold

         Include:

         • the outstanding balance of National Housing Act Mortgage Backed Securities (NHA MBS), pooled and unsold (bank originated or purchased).

      3. Uninsured

         Include:

         • advances as well as completed loans;
         • real estate acquired in the liquidation of a loan previously reported in this category and held pending completion of arrangements for disposal or transfer to Asset 5 or 6.

      4. Reverse mortgages

         Include:

         • reverse mortgages

   2. Non-residential

      Include:

      • advances as well as completed loans for commercial, farm and industrial mortgages.

A 4 Customers' Liability Under Acceptances, Less Allowance for Expected Credit Losses

Include:

• Acceptances of the institution.

Other Instructions:

• Acceptances of the institution when purchased and held are to be reported under Asset 3(a)(viii) with a corresponding reduction in Asset 4 and Liability 5, if previously reported in these categories.
• Refer to Liability 5.

A 5 Land, Buildings and Equipment, Less Accumulated Depreciation

Include:

• land, buildings, furniture and equipment;
• leasehold improvements that are to be written off during the term of a lease;
• right-of-use assets;
• interest capitalized during the period of construction of major projects;
• former institution premises no longer used as such;
• in "accumulated depreciation",
  1. estimated depreciation for the fiscal year to date,
  2. actual write-offs, and
  3. reserves for depreciation.

A 6 Other Assets, less allowance for expected credit losses, where applicable

1. Insurance-Related Assets

   Include:

   • insurance contract assets;
   • reinsurance contract held assets.

2. Accrued Interest

   Include:

   • accrued interest and dividends on Assets 1(b), 2, 3 and 6(a).

   Other Instructions:

   Dividends on term-preferred shares should be accounted for on the accrual basis, unless there are questions of collectability involved. Where collection is not in doubt, dividend income related to this type of preferred share should be accrued prior to the declaration of the dividends by the issuer.

   Dividends on common shares and on preferred shares (other than term-preferred shares) should not be accrued until they are clearly payable by the issuer.

   Interest on income debentures should be accounted for on the accrual basis, unless there are questions of collectability involved.

3. Prepaid and Deferred Charges

   Include:

   • stationery inventory if any;
   • prepaid insurance, taxes and other prepaid expenses;
   • all postage and other stamp inventories, if any, held in Canada and elsewhere.

4. Goodwill

   Other Instructions:

   Goodwill is carried at the amount initially recognized less any write-down for impairment.

5. Intangibles

   1. with definite lives

      Include:

      • core deposit intangibles;
      • customer lists and relationships;
      • mortgage servicing rights;
      • other intangibles

      Other Instructions:

      Less deductions for amortization charges.

   2. with indefinite lives

      Other Instructions:

      Carried at amount initially recognized less any write-down for impairment.

6. Deferred Tax Assets

   Include:

   • future taxes if balance is a debit.

7. Derivative Related Amounts

   Include:

   • amounts relating to derivative instruments, including unrealized gains (losses are to be offset against gains), margin requirements and premiums paid. Offsetting is only permissible in accordance with IFRS.

   Exclude:

   • for Foreign Bank Branches only, derivative related amounts with head office, or other branches of the same bank (see Asset 6(g)).

8. Due from Head Office and related Canadian regulated Financial Institutions (to be completed by Foreign Bank Branches only)

   General Instructions:

   Report on a gross basis:

   • Netting of assets and liabilities is only permissible in accordance with IFRS;
   • Amounts "due to/from" one branch cannot be used to offset amounts "due to/from" either head office or another branch of the same bank;
   • Unless there is a netting arrangement in place, it is possible to have both an asset and a liability with another branch.

   Include:

   • amounts due from head office, other branches of the same bank and related Canadian regulated financial institutions.

   Other Instructions:

   Amounts due from foreign affiliates of the bank should be treated as third party assets and reported separately in the appropriate balance sheet line items.

   The sum of the amounts reported on asset memo item lines 3(a)(i), (ii) and (iii) must equal the total amount reported in asset 6(g).

   Please refer to the glossary section in this manual for the definition of "Regulated Financial Institution".

9. Interests in associates and joint ventures

   Include investments carried using the equity method.

10. Other

    Include:

    • sundry accounts receivable;
    • recoverable tellers' shortages;
    • recoverable losses arising from defalcations, hold-ups, robberies, etc.;
    • foreclosed real estate and other long-lived assets acquired in the liquidation of a loan;
    • shareholdings that are of a temporary nature because of a formal agreement for disposal of the institution's interest;
    • securities of clubs and like local not for profit organizations purchased for other than investment purposes;
    • unamortized discount, if any, on subordinated debt issued and outstanding;
    • fair value of defined benefit plan assets;
    • special pension fund payments that have not yet been charged to operating expenses;
    • other payments, etc. that have not been charged to operating expenses;
    • other expenditures that are to be charged to operating expenses at a later date;
    • any interest in a partnership that is not in the form of a loan or marketable security;
    • assets sold with recourse.

Memo Items

(1) Securitized Assets

1. Unrecognized

   General Instructions:

   Unrecognized securitizations should be interpreted as securitized assets that are not reported on the balance sheet.

   1. Institution's own assets (bank originated or purchased)

      1. Traditional securitizations

         General Instructions:

         Report the outstanding balances of SPE assets.

         1. Credit card loans

            Include:

            • credit card loans that otherwise would be reported in Asset 3(a).

         2. Automobile loans

            Include:

            • automobile loans that otherwise would be reported in Asset 3(a).

         3. Personal loans

            Include:

            • personal loans that otherwise would be reported in Asset 3(a).

         4. Commercial loans

            Include:

            • commercial loans that otherwise would be reported in Asset 3(a).

         5. Lease receivables

            Include:

            • lease receivables that otherwise would be reported in Asset 3(a).

         6. Residential mortgages, insured

            Include:

            • residential mortgages, insured that otherwise would be reported in Asset 3(b)(i)(A).

         7. Of which: NHA MBS pooled and sold

            Include:

            • the amount of National Housing Act Mortgage Backed Securities included in residential mortgages, insured (bank originated or purchased) in Asset 3(b)(i)(A) pooled and sold.

            Exclude:

            • the amount of National Housing Act Mortgage Backed Securities included in residential mortgages, insured , of which NHA MBS pooled and unsold (bank originated or purchased) and reported in Asset 3(b)(i)(B).

         8. Residential mortgages, uninsured

            Include:

            • residential mortgages, uninsured that otherwise would be reported in Asset 3(b)(i)(B).

         9. Non-residential mortgages

            Include:

            • non-residential mortgages that otherwise would be reported in Asset 3(b)(ii).

         10. Other assets

             Include:

             • other assets not listed in the above categories.

      2. Synthetic securitizations

         General instructions:

         Report the nominal/notional balances for all securitization vehicles sponsored/administered by the institution.

         1. Banking book vehicles
         2. Trading book vehicles

   2. Third Party Assets - Institution sponsored/administered

      1. Traditional securitizations

         General Instructions:

         Report the outstanding balances of debt issued for all securitization vehicles sponsored/administered by the institution. The line references are the same as in section (i).

         1. Credit card loans
         2. Automobile loans
         3. Personal loans
         4. Commercial loans (including traditional CDOs, CLOs)
         5. Lease receivables
         6. Residential mortgages, insured (including traditional CMOs)
         7. Of which: NHA MBS pooled and sold (see above)
         8. Residential mortgages, uninsured (including traditional CMOs)
         9. Non-residential mortgages (including traditional CMOs)
         10. Other assets (including traditional CDOs, CLOs not reported above)

      2. Synthetic securitizations

         General instructions:

         Report the nominal/notional balances for all securitization vehicles sponsored/administered by the institution.

         1. Banking book vehicles
         2. Trading book vehicles

2. Recognized

   General Instructions:

   Recognized securitizations should be interpreted as securitized assets that are reported on the balance sheet and included in their underlying asset categories.

   1. Institution's own assets (bank originated or purchased)

      1. Traditional securitizations

         General Instructions:

         Report the outstanding balances of SPE assets that are reported on the balance sheet under IFRS. The line references are the same as in section 1(a)(i).

         1. Credit card loans
         2. Automobile loans
         3. Personal loans
         4. Commercial loans
         5. Lease receivables
         6. Residential mortgages, insured
         7. Of which: NHA MBS pooled and sold (see above)
         8. Residential mortgages, uninsured
         9. Non-residential mortgages
         10. Other assets

      2. Synthetic securitizations

         General instructions:

         Report the nominal/notional balances for all securitization vehicles sponsored/administered by the institution.

         1. Banking book vehicles
         2. Trading book vehicles

   2. Third Party Assets - Institution sponsored/administered

      1. Traditional securitizations

         General Instructions:

         Report the outstanding balances of debt issued for all securitization vehicles sponsored/administered by the institution. The line references are the same as in section 1(a)(i).

         1. Credit card loans
         2. Automobile loans
         3. Personal loans
         4. Commercial loans (including traditional CDOs, CLOs)
         5. Lease receivables
         6. Residential mortgages, insured (including traditional CMOs)
         7. Of which: NHA MBS pooled and sold (see above)
         8. Residential mortgages, uninsured (including traditional CMOs)
         9. Non-residential mortgages (including traditional CMOs)
         10. Other assets (including traditional CDOs, CLOs not reported above)

      2. Synthetic securitizations

         General instructions:

         Report the nominal/notional balances for all securitization vehicles sponsored/administered by the institution.

         1. Banking book vehicles
         2. Trading book vehicles

3. Retained Interests

   1. Cash and cash equivalents

      Include:

      • retained interests included in asset 1.
   2. Securities

      Include:

      • retained interests included in asset 2(b).

   3. Mortgages

      Include:

      • retained interests included in asset 3(b)

   4. Other Assets

      Include:

      • retained interests included in asset 3.

4. Securitized residential mortgages included in securities

   Include:

   • securitized residential mortgages (bank originated or purchased) included in asset 2.

5. Other Securitized assets included in securities

   Include:

   • other securitized assets (bank originated or purchased) included in asset 2.

(2) Selected information to be completed by Foreign Bank Branches only

1. Due from Head Office and related Canadian regulated Financial Institutions

   1. Head Office

      Include:

      • all amounts due from Head Office and other branches of the same bank included in asset 6(h).

   2. Related Canadian regulated deposit-taking institutions

      Include:

      • all amounts due from related Canadian regulated Deposit-Taking Institutions included in asset 6(h).

   3. Related Canadian regulated financial institutions

      Include:

      • all amounts due from related Canadian regulated Financial Institutions included in asset 6(h).

   Other Instructions:

   Please refer to the glossary section in this manual for the definition of Deposit-Taking Institutions and Financial Institutions.

2. Claims on residents of the Home Country included in Assets

   1. Securities

      Include:

      • all securities on residents of the home country included in asset 2(b).

   2. Loans

      Include:

      • all loans on residents of the home country included in asset 3.

   3. Other

      Include:

      • all other claims on residents of the home country included in assets 1(b), 4 and 6.

(3) Foreclosed long-lived assets acquired in liquidation of a loan (Report quarterly fiscal only. Monthly reporting between fiscal quarter-ends, is not required.)

General Instructions:

Report the net carrying value under IFRS. For example, this could be the dollar value of loans less write- offs or provisions.

1. Real Estate
2. Other

(4) Power of Sale Loans related to Real Estate

General Instructions:

Report dollar value (carrying value) of all Power of Sale loans related to real estate on which notice has been given or further legal action undertaken.

(5) Par value of holdings of securities issued by the Government of Canada

Include:

Institution holdings of securities issued directly by the Government of Canada. Amounts to be reported are the par values of the securities held by institutions and all of their consolidated subsidiaries as included in Asset item 2(a) of the monthly balance sheet.

Other instructions:

Trust and Loan companies are not required to submit this line item.

(6) Unrealized gain/loss on securities held at amortized cost (Report quarterly fiscal only. Monthly reporting between fiscal quarter-ends, is not required.)

Include:

• Net impact of marking to market or marking to model of all securities held at amortized cost.

Exclude:

• All securities held at fair value.

(7) Assets booked in Canada

General Instructions:

Assets booked in Canada are those transactions with Canadian or foreign customers that are recorded in either Canadian branches, Canadian subsidiaries or Canadian head office accounts. This reflects the bank's operations in Canada. It excludes those transactions of foreign branches or subsidiaries, whether Canadian or foreign customers, that are recorded in their foreign branches or foreign subsidiaries accounts. As an example, loans by Canadian branches or Canadian head offices to resident or non-resident customers are included in booked-in-Canada. Loans by the foreign branch, subsidiary or agency outside Canada, for example, are excluded as they are recorded in the accounts of the branch or agency.

(8) Loans to individuals for non-business purposes (as per Section 1 3(vi))

Report the month-end outstanding balance of loans to individuals for non-business purposes for the following items as reported in Section 1 3(vi).

1. Personal loan plans

   Include:

   • loans granted under an institution's personal loan plan (that is loans which are generally available, are made subject to standard terms and conditions and are usually repaid on an installment basis), whether at a fixed or variable rate of interest;
   • conditional sales contracts to finance the acquisition of consumer goods and services.

2. Credit card (interest and non-interest bearing)

   Include:

   • outstanding balances under a credit card plan if users have established access to credit and outstanding items are not debited to the user's deposit account as in the case of ordinary cheques.

3. Made under personal lines of credit

   Include:

   • loans to individuals for non-business purposes which are advanced under pre-arranged lines of credit.

4. Other personal loans

   Include:

   • loans on the security of bonds or stocks;
   • overdrafts in individuals' deposit accounts under Liability 1(a)(vi) and 1(b)(vi) and overdrafts in tax accounts related to residential mortgages;
   • bridge financing loans associated with residential properties;
   • government-guaranteed loans made to individuals for non-business purposes, such as Home Improvement Loans under the National Housing Act and Canada Student Loans;
   • all other loans to individuals for non-business purposes not included above.

(9) Selected Information on Assets Pledged for Covered Bonds

Covered bonds are debt instruments backed by the assets of the financial institution. Covered bonds are secured by a priority claim on collateral of high quality, on-balance sheet assets. The assets are typically, but not limited to, a pool of prime residential mortgages or public sector debt that remains on the issuer's balance sheet but acts as collateral to "cover" the bonds.

General Instructions:

Report the month-end outstanding balances of assets pledged for covered bonds.

1. Residential mortgages, insured
   • refer to Asset 3 for classification instruction.
2. Residential mortgages, uninsured
   • refer to Asset 3 for classification instruction.
3. Home equity lines of credit (HELOCs)
   • refer to Asset 3 for classification instruction.
4. Non-residential mortgages
   • refer to Asset 3 for classification instruction.
5. Assets other than mortgages
   • include assets not reported as mortgages.

Assets under Custody (AUC), Assets under Administration (AUA) and Assets under Management (AUM)

General

Reported assets (AUC, AUA and AUM) are beneficially owned by clients and therefore are not reported on the balance sheet of the financial institution. Amounts should be reported in Canadian dollars at market value.

(10) Assets under custody

Include:

• The value of assets held under custody by a "custodian of securities".
• Assets under custody as well as under sub-custody for affiliates or other companies.

Exclude:

• Assets where a value cannot be readily ascribed. (e.g. intangibles, art, private heirloom).

(11) Assets under administration

Include:

• Assets under custody plus the value of assets for which fund accounting/asset record-keeping services are provided, but not custodied.

Exclude:

• On balance sheet securitized assets.

(12) Assets under management

The value of assets for which the FI provides investment management services (decisions when to sell, buy, or leverage the assets)

(13) Items in transit (before netting) included in Cash and Cash Equivalents

1. Of which: Deposits in transit

   Report the gross debit balance (before netting) of all accounts representing items in transit which are specifically related to deposits (e.g. cheques, money orders, etc.).

2. Of which: Items in transit (other than deposits)

   Report the gross debit balance (before netting) of all accounts representing all items in transit other than deposits (e.g. outstanding inter-company and inter-branch transactions).

(14) Home Equity Lines of Credit (HELOCs)

This section provides additional detail on personal lines of credit secured by borrowers' homes, or Home Equity Lines of Credit (HELOC's). These loans are typically comprised of a revolving facility or a combination of revolving and non-revolving (amortizing) facilities tied to a common authorized limit which are secured by a residential property.

1. Made under Non-Mortgage Loans to individuals for non-business purposes secured by residential property:

   1. Of which: revolving
   2. Of which: non-revolving (amortizing), if applicable.

   Include:

   1. The outstanding revolving components of HELOC's included in fields 1075 and 1076, respectively
   2. The outstanding non-revolving (amortizing) components of HELOC's included in fields 1075 and 1076, respectively.

2. Made under Mortgages, Residential:

   1. Of which: non-revolving (amortizing) that are Insured, if applicable.
   2. Of which: non-revolving (amortizing) that are Uninsured, if applicable.

   Include:

   1. The outstanding non-revolving (amortizing) components of HELOC's included in fields 0539 and 0540, respectively (if applicable) that are Insured.
   2. The outstanding non-revolving (amortizing) components of HELOC's included in fields 0541 and 0542, respectively (if applicable) that are Uninsured.

(15) Defined Benefit Pension Plan Assets

Report the fair value of defined benefit plan assets gross of the present value of defined benefit plan obligations.

(16) Booked in Canada selected financial assets (A1b, A2, A3), vis-à-vis non-residents

Reporting of part 16 is only required of internationally active banks and foreign bank branches, where internationally active is defined as banks with positions in any currency vis-à-vis non-residents and/or positions in foreign currency vis-à-vis residents. These lines are intended to compliment the Geographical Distribution of Assets and Liabilities return. The reported values are expected be consistent with that return and to be completed by the same institutions.

A1b, A2, and A3 refer to items reported in the M4: Asset 1 (b) – Deposits with regulated financial institutions, Asset 2 – Securities, Asset 3 – Loans.

Non-resident banks are defined as institutions that are regarded as banks in the countries in which they are incorporated and supervised.

(17) (a) Residential mortgages (equals Section I (3)(b)(i) CAD only)

By number of units:

1. Of which: mortgages on properties of 1-4 units
2. Of which:mortgages on properties of more than 4 units

By readvanceable status:

1. Of which: readvanceable
2. Of which: non-readvanceable

By counterparty:

1. Of which: extended to individuals
2. Of which: extended to corporations (including partnerships, non-profit organizations)

(18) (a) Loans to individuals for non-business purposes – secured by residential property (equals Section I (3)(a)(vi)(A) CAD only)

By readvanceable status:

1. Of which: readvanceable
2. Of which: non-readvanceable

(19) (a) Non-residential mortgages (equals Section I (3)(b)(ii) CAD only)

By counterparty:

1. Of which: extended to individuals
2. Of which: extended to corporations (including partnerships, non-profit organizations)

By property type:

1. Of which: mortgages on multi-unit residential properties
2. Of which: not mortgages on multi-unit residential properties

(20) Non-mortgage loan portfolio

1. Non-mortgage loans to individuals for non-business purposes

   1. Of which: secured by residential real property

      Loans secured by residential real property include loans secured wholly or partially by collateral mortgages on residential real property, as well as any rights or interests in these.^{Footnote 1} Examples of loans secured by residential real property include home equity lines of credit (HELOCs).

      Real property (or immovable property, in Quebec) means land, including mines and minerals, and buildings, structures, improvements and other fixtures on, above or below the surface of the land, and includes an interest therein.

   2. Of which: secured by non-residential real property

      Loans secured by non-residential real property include loans secured wholly or partially by collateral mortgages or charges on land and/or buildings and other structures, as well as any rights or interests in these. Examples of loans secured by non-residential real property include loans secured by corporate real estate.

      Real property (or immovable property, in Quebec) means land, including mines and minerals, and buildings, structures, improvements and other fixtures on, above or below the surface of the land, and includes an interest therein.

   3. Of which: secured by other than real property

      Secured loans that are not covered in lines 17(a)(i) and 17(a)(ii).

   4. Of which: not secured

      Loan that are not secured.

2. Non-mortgage loans to individuals and others for business purposes

   1. Of which: secured by residential real property

      Loans secured by residential real property include loans secured wholly or partially by collateral mortgages on residential real property, as well as any rights or interests in these. Examples of loans secured by residential real property include home equity lines of credit (HELOCs).

      Real property (or immovable property, in Quebec) means land, including mines and minerals, and buildings, structures, improvements and other fixtures on, above or below the surface of the land, and includes an interest therein.

   2. Of which: secured by non-residential real property

      Loans secured by non-residential real property include loans secured wholly or partially by collateral mortgages or charges on land and/or buildings and other structures, as well as any rights or interests in these. Examples of loans secured by non-residential real property include loans secured by corporate real estate.

      Real property (or immovable property, in Quebec) means land, including mines and minerals, and buildings, structures, improvements and other fixtures on, above or below the surface of the land, and includes an interest therein.

   3. Of which: secured by other than real property

      Secured loans that are not covered in lines 17(b)(i) and 17(b)(ii).

   4. Of which: not secured

      Loan that are not secured.

Liabilities

General Instructions

Include in the appropriate deposit category, liabilities of subsidiaries that are similar in nature and characteristics to, and that, if issued by the institution, would rank equally with deposit liabilities of the institution.

Liabilities of subsidiaries other than those reported under Liability 1 or 2 and other than those that by their nature should be reported under Liability 6(a) or 6(b) are to be reported under Liability 6(c) to 6(k).

Deposits from an associated corporation that is a foreign deposit-taking institution are to be reported under Liability 1(c) or 2(c), as appropriate, and deposits from any other associated corporation are to be reported under Liability 1(e) or 2(e), as appropriate.

Except where offset is provided for in these Instructions, overdrafts in Liability 1 are to be included in the appropriate asset category.

Debit items should not be used to reduce reported deposit liabilities unless the charge has been shown in the customer's account as of the same date.

Section II - Liabilities

L 1 Demand and Notice Deposits

1. Federal and Provincial

   Include deposits of:

   • Receiver General for Canada;
   • Armed Forces paymasters;
   • collectors of customs;
   • custodian of enemy property;
   • departmental imprest accounts;
   • Provinces;
   • Territories of Canada.

   Other Instructions:

   Deposits of government boards, corporations and commissions that are separately constituted and carry on business enterprises are to be reported under Deposits - Others, as appropriate.

2. Municipal or school corporations

   Include demand and notice deposits of:

   • all emanations of municipal governments that do not have their own borrowing authority.

3. Deposit-taking Institutions

   Include:

   • deposits of Canadian and foreign deposit-taking institutions and official monetary institutions;
   • overdrafts in deposit accounts with deposit-taking institutions.

   Other Instructions:

   Settlements due to deposit-taking institutions are to be reported under Asset 6(a) or Liability 3.

4. Individuals

   1. Tax Sheltered

      Include:

      • notice deposit balances of individuals tax-sheltered under the Canadian Income Tax Act (RRSPs, RIFs, etc.).
      • Tax Free Savings Accounts (TFSA)

   2. Other

      Include:

      • deposit balances of individuals in single or joint names;
      • free credit balances of individuals on the books of investment dealer subsidiaries;
      • accounts of estates of individuals;
      • accounts of companies or persons, acting as trustees, if the institution has written evidence that the account represents trust funds of individuals or estates of individuals;
      • credit balances of individuals in property tax accounts.

      Exclude:

      • accounts of individuals, if it is known that the funds belong to other than those listed above.

5. Others

   Include:

   • other free credit balances payable on the books of investment dealer subsidiaries;
   • accounts of firms, business partnerships and personal corporations;
   • accounts of pension funds;
   • accounts of religious, charitable, fraternal, labour, recreational, educational and welfare organizations, institutions and corporations;
   • non-individual credit balances in property tax accounts;
   • non-chequable notice deposits not reported elsewhere.
   • deposits not reported elsewhere.

L 2 Fixed-Term Deposits

1. Federal and Provincial

   Include fixed-term deposits of:

   • Receiver General for Canada;
   • Armed Forces paymasters;
   • collectors of customs;
   • custodian of enemy property;
   • Provinces;
   • Territories of Canada.

   Other Instructions:

   Deposits of government boards, corporations and commissions that are separately constituted and carry on business enterprises are to be reported under Deposits - Others, as appropriate.

2. Municipal or school corporations

   Include fixed-term deposits of:

   • all emanations of municipal governments that do not have their own borrowing authority;

3. Deposit-taking Institutions

   Include:

   • term notes registered in the name of Canadian and foreign deposit-taking institutions and official monetary institutions;
   • advances from central banks outside Canada.

4. Individuals

   • Tax-sheltered

     Include:

     • fixed-term deposit balances of individuals tax-sheltered under the Canadian Income Tax Act (RRSPs, RIFs, etc.).
     • Tax Free Savings Accounts (TFSA)

   • Other

     Include:

     • term notes registered in the name of individuals in single or joint names;
     • term notes registered in the name of estates of individuals;
     • term notes registered in the name of companies or persons, acting as trustees, if the institution has written evidence that the account represents trust funds of individuals or estates of individuals.

     Exclude:

     • accounts of individuals, if it is known that the funds belong to other than those listed above.

5. Others

   Include:

   • all bearer deposit notes and other negotiable fixed-term notes;
   • accounts of firms, business partnerships and personal corporations;
   • accounts of pension funds;
   • accounts of religious, charitable, fraternal, labour, recreational, educational and welfare organizations, institutions and corporations;
   • term notes and other deposit instruments issued by the institution not reported elsewhere.

L 3 Cheques and Other Items in Transit

Include:

• For items that meet the criteria for offsetting in accordance with IFRS, report the net balance (when that balance is a credit) of transit items;
• if the foreign currency items in transit are a debit, although the total transit figure is a credit, report the foreign currency debit amount with a minus sign.

L 4 Advances From the Bank of Canada

Include:

• all advances from the Bank of Canada.

(a) Of which are advances from the Standing Liquidity Facility (SLF)

Include:

• Only include advances from the Bank of Canada's Standing Liquidity Facility which provides collateralized overnight loans to direct participants in the Large Value Transfer System (LVTS).

L 5 Acceptances

Refer to Asset 4.

Include:

• acceptances of the institution purchased and resold;
• acceptances of the institution that have not been purchased.

Exclude:

• acceptances of the institution that have been purchased and held by the institution. Report these under Asset 3(a)(viii).

L 6 Other Liabilities

1. Liabilities of Subsidiaries, Other Than Deposits

   1. Call and Other Short Loans Payable

      Include:

      • call and other short loans payable secured by securities which, when made, were payable on call or within 90 days;
      • sight drafts with securities attached;
      • daylight overdrafts outstanding.

   2. Other

      Include:

      • bonds, debentures and other similar forms of debt instruments;
      • liabilities of subsidiaries not included elsewhere (see general instructions to liabilities section).

2. Insurance-Related Liabilities

   Include:

   • insurance contract liabilities;
     • other insurance-related liabilities not reported elsewhere, including provisions for policyholder dividends and provisions for Experience Rating Refunds;
   • reinsurance contract held liabilities.

3. Accrued Interest

   Include:

   • accrued interest on deposits (Liabilities 1 and 2);
   • accrued interest on subordinated debt (Liability 9);
   • accrued interest on other liabilities as appropriate (Liability 6).

   Other instructions:

   Accrue interest to date on deposit liabilities on a monthly basis or accrue to the most recent quarter-end of the financial year, provided that the institution follows a consistent policy in this regard. The appropriate rate to be used when accruing interest on deposit instruments should be the effective rate if outstanding to maturity.

4. Mortgages and Loans Payable

   Include:

   • associated liabilities resulting from failure to achieve derecognition of financial assets.

   Other Instructions:

   Refer to Section II – Memo Items 3.

5. Income Taxes

   1. Current

      Include:

      • estimated accrual to date of income taxes payable for the current year.

   2. Deferred

      Include:

      • future taxes if balance is credit.

6. Obligations Related to Borrowed Securities

   Include:

   • any liabilities related to borrowed securities (securities sold short).

7. Obligations Related to Assets Sold Under Repurchase Agreements

   Include:

   • liabilities incurred under sale and repurchase agreements.
   • Section (g) captures all obligations related to assets sold under repurchase agreements with all counter parties.

   1. Of which obligations are to the Bank of Canada or other organizations of the federal government.

      Include:

      • Repurchase agreement obligations with a counterparty that is a Canadian federal government organization including: all branches of the federal government, the Bank of Canada, CMHC, CDIC and federal enterprises in the Government Business Enterprise listing (GBE). Obligations only refer to counterparty obligations not obligations related to issuing underlying assets.
      1. Of which are overnight and term repos with the Bank of Canada
      2. Of which are repos with the Receiver General
      3. Of which are repos with CHT on behalf of a third party
      4. Of which are other repo transactions with organizations of the federal government

   2. Of which are repos with Federal and Provincial public pension plans (CPP and QPP):

      Only include Canada Pension Plan (CPP) managed by Canada Pension Plan Investment Board and Quebec Pension Plan (QPP) managed by Caisse de dépôt et placement du Québec (CDPQ). Do not include pension plans of public sector employees.

8. Deferred Income

   Include:

   • deferred fees, commission and other revenues;
   • deferred servicing fee
   • income on mortgage-backed securities and other securitized assets;
   • unearned safety deposit box rentals and safekeeping charges;
   • other unearned income, except pre-computed interest on loans.

9. Derivative Related Amounts

   Include:

   • amounts relating to derivative instruments, including unrealized losses (gains are to be offset against losses), deferred unrealized gains relating to reserves for credit and market risks and administration costs etc., and premiums received. Offsetting is only permissible in accordance with IFRS.

   Exclude:

   • for Foreign Bank Branches only, derivative related amounts with head office, or other branches of the same bank (see Liability 6(j)).

10. Due to Head Office and related Canadian regulated Financial Institutions (to be completed by Foreign Bank Branches only)

    General Instructions:

    Report on a gross basis:

    1. Netting of assets and liabilities is only permissible in accordance with IFRS; and
    2. Amounts "due to/from" one branch cannot be used to offset amounts "due to/from" either head office or another branch of the same bank.
    3. Unless there is a netting arrangement in place, it is possible to have both an asset and a liability with another branch.

    Include:

    • amounts due to head office, other branches of the same bank and related Canadian regulated financial institutions.

    Other Instructions:

    Amounts due to foreign affiliates of the bank should be treated as third party liabilities and reported separately in the appropriate balance sheet line items.

    The sum of the amounts reported on liability memo item lines 2(a)(i), (ii) and (iii) must equal the total amount reported in liability 6(j).

11. Other

    Include:

    • foreign note circulation outstanding;
    • dividends accrued and payable and estimated accrual-to-date of the dividend for the current quarter;
    • contributions of institution and staff payable to Unemployment Insurance Fund;
    • unamortized premiums on subordinated debt outstanding;
    • income taxes withheld from staff salaries, directors' fees, dividends, etc.;
    • present value of the defined benefit obligation
    • estimated accrual-to-date of contributions, current and arrears, payable to the pension fund and other termination benefits for the current year;
    • interim net profit or loss of financial period if it has not yet been debited or credited to retained earnings;
    • gold and silver certificates;
    • lease liabilities;
    • allowance for ECL applicable to off-balance sheet items;
    • accrued expenses and salaries and accounts payable;
    • liability for assets sold with recourse;
    • financial instruments that relate to amounts reported as Tier 1 Capital in the BCAR but accounted for as liabilities. Include only preferred shares and amounts related to innovative tier 1 structures grandfathered under OSFI July 2003 and/or February 2004 Advisories.

L 7 Subordinated Debt

Include:

• debentures;
• subordinated notes.

Other Instructions:

Report all amounts at par.

Unamortized discounts, if any, are to be reported under Asset 6.

Unamortized premiums, if any, are to be reported under Liability 6.

L 8 Shareholders' Equity

1. Preferred Shares

   Include:

   • preferred shares issued by the institution.

2. Common Shares

   Include:

   • common shares issued by the institution.

3. Contributed Surplus

   Include:

   • premium on issues of shares less any payments of premium on redemption;
   • capital contributions by shareholders without the issuance of shares.

4. Retained Earnings

   Include:

   • interim profit (loss) not less frequently than at the end of each financial quarter.

   Note: Do not report foreign currency split for retained earnings. The entire balance of the amount is deemed to be Canadian currency.

5. Non-controlling Interests

   Include:

   • non-controlling interests arising from the consolidation of subsidiaries which are not 100% owned.

6. Accumulated Other Comprehensive Income (Loss)

   Include:

   • Report Accumulated Other Comprehensive Income (Loss) as required.
   • For quarterly fiscal reporting, this amount ties to the total reported in Section IV "Comprehensive Income", Schedule 2 "Accumulated Other Comprehensive Income (Loss), Net of Income Taxes" in the P3 "Consolidated Statement of Income, Retained Earnings and AOCI".

Memo Items

(1) Allowance for Expected Credit Losses on Unrecognized Items Included in Other Liabilities

Include:

• the total amount of allowances for expected credit losses, individual and other, on unrecognized items included in Liability 6.

(2) Selected information to be completed by Foreign Bank Branches only

1. Due to Head Office and related Canadian regulated Financial Institutions

   1. Head Office

      Include:

      • all amounts due to Head Office and other branches of the same bank included in liability 6(j).

   2. Related Canadian regulated deposit-taking institutions

      Include:

      • all amounts due to related Canadian regulated Deposit-Taking Institutions included in liability 6(j).

   3. Related Canadian regulated financial institutions

      Include:

      • all amounts due from related Canadian regulated Financial Institutions included in liability 6(j).

(3) Mortgages and Loans Payable

1. Mortgages and Loans Payable

2. Of which:

   1. Securitization Notes Payable (Institutions Own Assets)

      Include:

      Liabilities related to securitized assets (bank originated and assets purchased) reported on financial institution balance sheet under Liabilities 6(d).

      1. Mortgages - report the liabilities that are related to securitized mortgage assets.

      2. Other Assets - report the liabilities that are related to other securitized assets.

   2. Securitization Notes Payable (third party assets)

      Include:

      Liabilities related to securitized assets (third party originated) reported on financial institution balance sheet under Liabilities 6(d).

      1. Mortgages

         • report the liabilities that are related to third party securitized mortgage assets.

      2. Other Assets

         • report the liabilities that are related to other third party securitized assets.

(4) Select information on covered bonds liabilities

Report the month-end outstanding balances of liabilities recorded as deposits or other liabilities.

1. Recorded as deposit liabilities

   • refer to L1 and L2 for classification instruction.

2. Recorded in liabilities other than deposits

   • include liabilities not reported as deposits.

(5) Deposits obtained through agents (as of reporting date)

Report the amount of brokered deposits (or deposits obtained through agents) that is outstanding as of the end of the reporting period. Report all deposits obtained through agents/brokers. This amount must equal the deposit amount reported on datapoint 6984 of the Deposit Liabilities (K4) Report.

(6) Items in transit (before netting) included in Cheques and other items in transit

1. Of which: Deposits in transit

   Report the gross credit balance (before netting) of all accounts representing items in transit which are specifically related to deposits (e.g. cheques, money orders, etc.).

2. Of which: Items in transit (other than deposits)

   Report the gross credit balance (before netting) of all accounts representing all items in transit other than deposits (e.g. outstanding inter-company and inter-branch transactions).

When combined together, these four items (items in transit under Memo Items – Assets and items in transit under Memo Items – Liabilities) correspond to the net balance of all items in transit included in Cash and Cash Equivalent on the asset side of the balance sheet (when such net balance is a debit) or to the net balance of all items in transit included in Cheques and Other Items in Transit on the liabilities side of the balance sheet (when such balance is a credit), in accordance with offsetting criteria set out in IFRS.

(7) Defined Benefit Pension Plan Obligation

Report the present value of defined benefit plan obligations gross of the fair value of defined benefit plan assets.

(8) Booked in Canada deposits, vis-à-vis non-residents

Reporting of part 8 is only required of internationally active banks and foreign bank branches, where internationally active is defined as banks with positions in any currency vis-à-vis non-residents and/or positions in foreign currency vis-à-vis residents. These lines are intended to compliment the Geographical Distribution of Assets and Liabilities return. The reported values are expected be consistent with that return and to be completed by the same institutions.

Non-resident banks are defined as institutions that are regarded as banks in the countries in which they are incorporated and supervised.

(9) Liabilities resulting from extraordinary Bank of Canada operations

Report liabilities incurred as a result of extraordinarily Bank of Canada operations. Examples include operations from the 2007-2009 period such as: the term loan facility, the term PRA facility (not term PRA's for balance sheet management), and the term PRA for private sector instruments. This line should be reported as zero by all institutions for the foreseeable future.

Section III – Financial Instruments

Purpose

The purpose of this return is to provide supplementary information on the impacts of IFRS. It requires certain assets and liabilities, as reported in Section I and Section II of the M4, to be presented in accordance with classifications.

General Instructions

(Report quarterly fiscal only. Monthly reporting between fiscal quarter-ends, is not required. Deposit taking institutions that are subsidiaries of federally regulated Banks, Trust or Loan companies, are not required to complete Section III.)

Within each asset and liability category listed in Section III, institutions are required to separate out those items held at amortized cost from those items measured at fair value. The total Balance Sheet amount of assets and liabilities measured at amortized cost are to be reported in the corresponding cell located the column 'Held at Amortized Cost'. Similarly, for assets and liabilities measured at fair value, filers are to report the total Balance Sheet amount within the appropriate fair value classification columns of 'Fair Value Through Profit or Loss', 'Fair Value Through Other Comprehensive Income', 'Fair Value Hedges', 'Cash Flow Hedges', and/or 'Fair Value Option'. The line totals appearing in the column 'Total' for each category of asset and liability listed in Section III, except for 'Other Assets' and 'Other Liabilities', must equal the totals for these same asset and liability categories reported in Section I and Section II of the M4.

The "Total" for each category of assets and liabilities should be reported by valuation methodology of quoted price, pricing models with observable parameters, pricing models with significant unobservable parameters, other method and in the appropriate fair value classification columns.

Other Instructions

Column 'Fair Value through Profit or Loss'

• Report the Balance Sheet value of assets and/or liabilities classified as Fair Value through Profit or Loss.

Column 'Fair Value through Other Comprehensive Income'

• Report the Balance Sheet value of assets classified as Fair Value through Other Comprehensive Income.
• Liabilities are not permitted to be classified as Fair Value through Other Comprehensive income in accordance with IFRS.
• Items classified as Fair Value through Other Comprehensive Income are to be reported net of ECL.

Column 'Fair Value Hedges'

For a Fair Value Hedge, report the Balance Sheet value of both the hedged item and the hedging derivative in this column according to the appropriate asset and/or liability category presented. The entire position accounted for as a Fair Value Hedge is to be reported in this column.

Column 'Cash Flow Hedges'

The fair value of derivatives used to hedge cash flows are to be reported in this schedule in line A6 'Other Assets' and/or L4 'Other Liabilities'.

Column 'Fair Value Option'

Report the Balance Sheet value of financial instruments which are managed together on a fair value basis and which are designated as Held for Trading ("Fair Value Option") in accordance with IFRS and with OSFI's Accounting Guideline D-10 "Accounting for Financial Instruments Designated as Fair Value Option".

Column 'Gain/(Loss) Fair Value Option'

Report the before tax year-to-date realized and unrealized gain/(loss) recorded in earnings for each category of assets and liabilities classified under the 'Fair Value Option' column.

A 6 Other Assets & L4 Other Liabilities

Report only those assets and liabilities affected by the Financial Instruments standard and classified as Other Assets or Other Liabilities. This should only include derivative related amounts.

Lines 'Realized and Unrealized Gain/(Loss) from Fair Value Hedges and Fair Value Option'

• Report the before tax year-to-date total realized and unrealized gain/(loss) recorded in earnings arising from all assets and liabilities classified as 'Fair Value Hedges'.
• Note, the amount reported for Fair Value Option should reflect the net realized and unrealized gain/(loss) arising from financial instruments which are managed together on a fair value basis. This amount should tie to the sum of items contained in the column "Gain/(Loss) Fair Value Option".
• The amount reported for Fair Value Hedges should only represent any ineffectiveness arising from marking to market hedging items and hedged items which are designated in fair value hedging relationships.

Appendix 1- Definition Of Readvanceable

The re-advanceable amount of a loan is a portion of the drawn amount (not an authorized undrawn amount) and defined below:

Principal that when repaid does not permanently reduce the authorized limit (applicable to Combined Loan Plan or standalone products) and can be re-drawn by the client without further adjudication.

For reporting purposes re-advanceable is to be calculated using bullets 1- 4, examples are provided below. It is accepted that in some situations the calculations can deviate from the spirit of the definition articulated above.

1. A simple LOC or HELOC is 100% re-advanceable (see example 1).

2. A simple mortgage is 100% non re-advanceable (see example 2).

3. The re-advanceable / non re-advanceable portion of a combined mortgage-HELOC loan plan is determined in two steps (see examples 3-9).

   • Step 1. If the original CLP limit is equal to the current CLP limit, the entire amount is considered "re-advanceable"; however,
   • Step 2. If the current CLP limit is less than the original CLP limit, then the "non re-advanceable" amount is the integrated MTG O/S up to the "current CLP limit less the maximum policy allowable^{Footnote *} HELOC limit"^{Footnote **}.

   Footnote *

   HELOC allowable limit would normally be 65% LTV or a lower limit set by the FI's policy.

   Return to footnote *

   Footnote **

   The remaining O/S balance will be re-advanceable regardless of P+I or I-only structure.

   Return to footnote **

4. A mortgage with the option to increase the outstanding balance to the beginning of term amount at the customer's discretion without an approval or appraisal is 100% re-advanceable (see example 12).

Example 1 – Simple Line of Credit

• Product: Line of Credit
• Re-advanceable portion of the outstanding balance: 100%

Example 2 – Simple mortgage

• Product: Mortgage
• Re-advanceable portion of outstanding balance: 0%

Example 3 – Home Equity Plan where Original CLP limit = Current CLP limit

• Product: Combined Loan Plan (CLP) Home Equity Plan
• Loan Details:
  • Property value is $100k
  • Total authorized amount at origination is $80k (Original CLP Limit)
  • Revolving amount to be limited to 65% (maximum allowable HELOC Limit) of LTV which is $65k
  • Current balance of mortgage segment ($80k Limit) in the CLP structure is $80k
  • Current balance of HELOC segment ($0k Limit) in the CLP structure is $0k
• Since the original CLP Limit ($80k) is equal to the current CLP limit ($80k Mortgage Limit)
  • For the current report, $80k O/S is re-advanceable as CLP Limit minus HELOC Limit = $80k

Example 4 – Home Equity Plan where Original CLP limit = Current CLP limit and HELOC fully drawn but less than the maximum policy allowable HELOC limit

• Product: Combined Loan Plan (CLP) Home Equity Plan
• Loan Details:
  • Property value is $100k
  • Total authorized amount at origination is $80k (Original CLP Limit)
  • Revolving amount to be limited to 65% (maximum allowable HELOC Limit) of LTV which is $65k
  • Current balance of mortgage segment ($40k Limit) in the CLP structure is $40k
  • Current balance of HELOC segment ($40k Limit) in CLP structure is $40k
• Since original CLP Limit ($80k) is equal to the current CLP limit ($80k, $40k HELOC Limit + $40k Mortgage Limit)
  • For the current report, $80k O/S is re-advanceable.

Example 5 – Home Equity Plan where Original CLP limit = Current CLP limit and HELOC is fully drawn

• Product: Combined Loan Plan (CLP) Home Equity Plan
• Loan Details:
  • Property value is $100k
  • Total authorized amount at origination is $80k (Original CLP Limit)
  • Revolving amount to be limited to 65% (maximum allowable HELOC Limit) of LTV which is $65k
  • Current balance of mortgage segment ($15k Limit) in the CLP structure is $15k
  • Current balance of HELOC segment ($65k Limit) in the CLP structure is $65k
• Since the original CLP Limit ($80k) is equal to the current CLP limit ($80k, $65k HELOC Limit + $15k Mortgage Limit)
  • For the current report, $80k O/S is re-advanceable

Example 6 – Home Equity Plan where Current CLP limit

• Product: Combined Loan Plan (CLP) Home Equity Plan
• Loan Details:
  • Property value is $100k
  • Total authorized at origination amount is $80k (Original CLP Limit)
  • Revolving amount to be limited to 65% (maximum allowable HELOC Limit) of LTV which is $65k
  • Current balance of mortgage segment ($10k Limit) in the CLP structure is $10k
  • Current balance of HELOC segment ($65k Limit) in the CLP structure is $65k
• Since the current CLP limit ($75k, $65k HELOC limit + $10k Mortgage Limit) is less than the original limit ($80k)
  • For the current report, non re-advanceable portion of the mortgage segment outstanding balance is $10k (Current CLP limit ($75k) less the maximum allowable HELOC limit ($65k))
  • Re-advanceable portion of revolving loan outstanding is $65k

Example 7 – Home Equity Plan where Current CLP limit

• Product: Combined Loan Plan (CLP) Home Equity Plan
• Loan Details:
  • Property value is $100k
  • Total authorized amount at origination is $80k (Original CLP Limit)
  • Revolving amount to be limited to 65% (maximum allowable HELOC Limit) of LTV which is $65k
  • Current balance of mortgage segment ($10k Limit) in the CLP structure is $10k
  • Current balance of HELOC segment ($65k Limit) in the CLP structure is $0k
• Since the current CLP limit ($75k, $65k HELOC limit + $10k Mortgage Limit) is less than the original limit ($80k)
  • For the current report, non re-advanceable portion of the mortgage segment outstanding balance is $10k (Current CLP limit ($75k) less the maximum allowable HELOC limit ($65k))

Example 8 – Home Equity Plan where Current CLP limit

• Product: Combined Loan Plan (CLP) Home Equity Plan
• Loan Details:
  • Property value is $100k
  • Total authorized amount at origination is $80k (Original CLP Limit)
  • Current CLP Limit is $65k
  • Revolving amount to be limited to 65% (maximum allowable HELOC Limit) of LTV which is $65k
  • Current balance of mortgage segment in the CLP structure is $65k
    or
  • Current balance of HELOC segment in the CLP structure is $65k
    or
  • Balance is a combination between mortgage and HELOC segments that equals $65k
• Since the current CLP limit ($65k) is less than the original limit ($80k)
  • For the current report, non re-advanceable portion of the mortgage segment outstanding balance is $0k (Current CLP limit ($65k) less the maximum allowable HELOC limit ($65k))
  • Re-advanceable Portion is any outstanding balance

Example 9 – Home Equity Plan with Limited Revolver

• Product: Combined Loan Plan (CLP) Home Equity Plan
• Loan Details:
  • Property value is $100k
  • Total authorized amount at origination is $80k (Original CLP Limit)
  • Revolving amount to be limited to $30k (maximum allowable HELOC Limit)
  • Current balance of mortgage segment ($40k Limit) in the CLP structure is $40k
  • Current balance of HELOC segment ($30k Limit) in the CLP structure is $10k
• Since the current CLP limit ($70k, $30k HELOC limit + $40k Mortgage Limit) is less than the original limit ($80k)
  • For the current report, non re-advanceable portion of the mortgage segment outstanding balance is $40k (Current CLP limit ($70k) less the maximum allowable HELOC limit ($30k))
  • Re-advanceable portion of revolving loan outstanding is $10k

Example 10 – Mortgage with Refinancing Options Conditional on Approval or Appraisal

• Product: Mortgage with the option to increase the outstanding balance to the beginning of term amount conditional on an approval or appraisal.
• Re-advanceable portion of outstanding balance: 0%

Example 11 – Mortgage with Refinancing Options without Approval or Appraisal

• Product: Mortgage with the option to increase the outstanding balance to the beginning of term amount at the customer's discretion without an approval or appraisal.
• Re-advanceable portion of outstanding balance: 100%

Example 12 – Mortgage with optional pre-payments or lump sum payments

• Product: Mortgage with an optional series of pre-payments or optional one-time lump sum payments where the optional payments can be withdrawn at a later date by the borrower.
• Re-advanceable portion of outstanding balance: 0%.

Appendix 2 – Classification Of Properties As Residential And Non-residential

The reference table below classifies common property types residential or non-residential. The general principle is that residential properties are non-institutional facilities for the long term lodging of individuals.

Non-Residential Properties

• Office Buildings
  • Office
  • Office/Residential Condo (4)
  • Office Building/Hotel
  • Office/Shopping
• Shopping Centres
  • Strip Retail
  • Single Retail
  • Shopping Centre
• Land Banking and Development
  • Land
• Industrial Buildings
  • Commercial Condos
  • Commercial/Industrial/Retail
  • Industrial Condo
  • Warehouse
  • Industrial
  • Medical Buildings
• Hotels/Motels
  • Hotel/Motel
  • Apartment Hotel
• Other
  • Automobile
  • Franchise
  • Resort/Recreational (commercial resorts)
  • Time Share Units
  • Mixed Assets
  • Hospitals
  • Nursing Homes
  • Retirement Homes (1)
  • Day Care Centres
  • Churches
  • Farms
  • Other

Residential Properties

• 1-4 unit residential properties
  • Detached homes
  • Semi-detached homes
  • Town house units
  • Condominium units
  • Other small residential structures with 1-4 units
  • Cottages and similar recreational property
  • 1-4 unit residential properties with commercial components
  • Construction sites for 1-4 unit residential properties (2)
• More than 4 unit residential properties (multi-unit residential) (3)
  • Small or large apartment buildings with more than 4 units
  • Apartment building complexes with commercial components
  • All other residential properties with more than 4 units
  • Construction sites for residential properties with more than 4 units (2)

Notes

(1) The intention with the term 'retirement home' is to refer to institutional establishments.  Mortgages on institutional retirement homes are to be classified as non-residential, whereas mortgages on individual condo units within buildings marketed to the elderly are to be classified as residential.  The agencies acknowledge that this distinction may not always be simple to identify.  As a result the agencies will accept retirement home being classified as either residential or non-residential for the time being; however, filing institutions are encouraged to move towards the intended classification.

(2) Construction financing can include a wide range of products that have historically been classified inconsistently and recorded under three categories (business loans, residential mortgages, and non-residential mortgages).  The agencies do not require this reporting practice to be changed.  As a result it will be considered acceptable to record construction financing under any of the three categories; provided that the categorization is re-examined once the construction activity is complete.

(3) The preferred reporting practice for mortgages on multi-unit residential properties is to include them under residential.  However, it is acknowledged that some institution's legacy systems have included these mortgages under the non-residential category.  Both approaches will be accepted for the time being; however, filing institutions are encouraged to move towards the intended classification.

(4) Mortgages on mixed office residential condo buildings are to be classified as non-residential.  This is because individual condo units have separate ownership from the office portion of the building and therefore a mortgage on the office portion of the building should be classifies as non-residential.

Appendix 3 – Classification Of Counterparties (Individuals and Corporations)

The reference table below classifies various counterparty entities as individuals or corporations, where corporate is defined to include 'not for profit' organizations and quasi-corporations. The general principle is that counterparties are classified using a credit counterparty perspective. In the case of a default of the ultimate guarantor is an individual the loan should be classified as have an individual as the counterparty; however; if the ultimate guarantor is a non-individual (e.g. corporation, trust, co-operative) the loan should be classified as having a "corporation as the counterparty.