NCCF Change Control Log

Change:

• Deposit run-off rate for "RSB Unaffiliated third-party sourced cashable term deposit" was modified - Appx 1.Ref Rates

Change:

• Cell references in formulas in row 1081 were modified from row 300 to row 305 - All worksheets
• Cell references in formulas in row 1082 were modified from row 301 to row 306 - All worksheets
• Date formula in row 5 was modified to reflect proper bucketing based on reporting date - All worksheets
• Formulas in column W rows 1282-1518 ("Collateral" section) were modified to take reported values from column W rows 506-742 - All worksheets
• Fillable cells in rows 293-295 and 297-300 under "CommCorp and Wholesale Demand" deposits were closed (except for the "Balance" column) - All worksheets
• Cells in rows 215 and 487 for "FX and Cross Currency Swap Assets/Liabilities" were made fillable - 3.USD NCCF

Add:

• Formula for cell H991 for "FX and Cross Currency Swap Assets" was added - 1.Combined NCCF

Change:

• Cells under R&SB term deposit (rows 246-287) were made fillable under additional time buckets - All worksheets
• BAs under "Wholesale Issuance" (rows 314-316 and 1090-1092 under v1.2) were moved to "Other Deposits/Guarantees" (rows 309-311 and 1085-1087 under v1.3) - All worksheets
• BAs under "Other Deposits/Guarantees" (rows 308 and 1083 under v1.2) were moved to "Wholesale Issuance" (rows 317 and 1093 under v1.3) - All worksheets
• Subtotal formula in cell W1576 was modified - 3.USD NCCF

Add:

• Formulas were added to cells under R&SB term deposits (rows 1022-1063) under additional time buckets (also refer to change #9 above) - All worksheets

Change:

• Deposit run-off rates in rows 18, 31-36, and 45-50 in the Deposit Run-Off Table were modified - Appx 1.Ref Rates
• Formulas in reference to the securities haircut table were modified to refer to the EUR or GBP column rather than the CAD column - 4.EUR NCCF, 5.GBP NCCF
• FX Derivative memo section, rows 1557-1576, were made fillable - 3.USD NCCF
• Cell H317, instructions for BAs under wholesale issuance, was modified - Appx 2.Instructions
• Cell references to tab "4.EUR NCCF" in the summation formulas in rows 864-866, 902, 1013, 1521, and 1524-1546 were modified - 1.Combined NCCF

Change:

• Wording changed under rows 236, 247, 283-289, 1014, 1025 and 1061-1067- All worksheets
• Wording changed under rows R13, R24, R60-R66 - Appx 1.Ref Rates

Add:

• Rows 238-239 and 1016-1017 under Retail and Small Business (RSB) Demand / Notice Deposits - All worksheets
• Rows R15 and R16 under Retail and Small Business (RSB) Demand / Notice Deposits - Appx 1.Ref Rates

Change:

• Formulas in column L-V rows 1016-1017 ("Retail and Small Business (RSB) Demand / Notice Deposit” section) were modified to reflect deposit run-off rates for months 2-12 - 2.CAD NCCF, 3.USD NCCF
• Formulas in column I-K rows 1016-1017 ("Retail and Small Business (RSB) Demand / Notice Deposit” section) were modified to reflect the summation of the respective rows, 1016 and 1017, versus row 1015 - 4.EUR NCCF, 5.GBP NCCF, 6.Other(Incld) NCCF

A comprehensive review of the NCCF filing was performed in 2022. Significant changes to the Q2 2023 NCCF Return Template include:

• Removal of the unstructured (OSFI660) filing.
• Creation of a new RRS structured return (DT2).

All readers are encouraged to completely review the 2023 edition.

Change:

• Medium rated credit ratings was modified from "Aa1" to "A1" - Section 1.4 Securities Haircut Table
• Instructions for Customer' BAs Issued were modified to be run off at 75% at each renewal time bucket - Section 3.5 Deposits - Other
• Instructions for Wholesale BA Issuances were modified to be run off 100% at maturity - Section 3.6 Wholesale Funding
• Example 8 was modified from wholesale BA issuance to customer's BA - Appendix Example 8
• Cash flows in the example in the USD balance sheet were modified to flow in week 1 - Appendix Example 14

Change:

• Instructions on filing were changed to 14 calendar days for direct clearers and 30 calendar days for indirect clearers - Preamble, Section 5.0

Change:

• Filing instructions under General Instructions - Preamble

Change:

• LAR guideline release date - Section 1.0 Introduction
• Instructions under General Instructions
• Instructions under Inflows Overview - Section 2
• LAR guideline page references - All

Add:

• Instructions for DRA Adjusted for Qualifying Equity Futures - Section 2.7
• Example 15 - DRA Adjustment for Qualifying Equity Futures

A comprehensive review of the NCCF instructions was performed in 2022. Significant changes have been made to the Q2 2023 NCCF return instructions.

All readers are encouraged to completely review the 2023 edition.