Net cumulative cash flow – Change control log

Return template:

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

Return template:

• 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

Instructions:

• 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

Return template:

• 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

Return template:

• 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

Instructions:

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

Instructions:

• Change:
  • Filing instructions under General Instructions - Preamble

Instructions:

• 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

Return template:

• 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

Return template:

• 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 and instructions were performed in 2022. Significant changes have been made effective Q2 2023. Changes to the NCCF return template include:

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

Return template:

• Add:
  • Assurance Attestation page effective Q1 2024:
    • DT2 Comprehensive NCCF
    • OSFI949 Streamlined NCCF

Instructions:

• Delete:
  • Contact Person
  • Example 8
• Change:
  • Instructions under Application
  • Instructions under General Instructions
  • Run-off rate under 3.6 Wholesale Issuances – Banker’s Acceptances (BAs)

DT2 “Comprehensive” return template:

• Delete:
  • Rows 535, 537, 1395 and 1397 under Off-Balance Sheet Items – All worksheets
• Change:
  • Wording changed under rows 534, 536, 538 to 541, 543, 544, 546 to 550, 1394, 1396, 1398 to 1401, 1403, 1404 and 1406 to 1410 under Off-Balance Sheet Items – All worksheets
  • Wording changed under rows 845, 848, 1705 and 1708 under Memo Items – All worksheets
  • Closed fields under rows 846 and 847 under Memo Items – All worksheets
  • Closed fields under column G and column W under Memo Items – All worksheets
• Add:
  • “Undrawn amounts related to committed credit facilities to non-financial corporate clients by credit quality” under Memo Items – All worksheets

DT5 “Streamlined” return template:

• New structured return template

OSFI949 “Streamlined” unstructured return template:

• Closed fields under column G and column W under Memo Items

DT2/OSFI948 Comprehensive & DT5/OSFI949 Streamlined return templates:

• Deposit run-off rates for " Customers' BAs issued" was updated from 75% to 100% - Appx 1. Ref Rates

DT2/OSFI948 Comprehensive return templates:

• Wording of category changed under rows 512, 513, 514, 1370, 1371, 1372 for tabs 2 to 6
• Calculation formulas changed under rows 1370, 1371, 1372 for tabs 2 to 6
• Deposit run-off rates was updated for categories Placeholder 1, Placeholder 2, and Placeholder 3.
• Instructions updated to account for temporary data requirements for partnership deposits, ETNs, structured notes, NBFI with underlying retail categories.

DT5/OSFI949 Streamlined return templates:

• Wording of category changed under rows 254, 255, 256, 783, 784, 785
• Calculation formulas changed under rows 783, 784, 785
• Deposit run-off rates was updated for categories Placeholder 1, Placeholder 2, and Placeholder 3.
• Instructions updated to account for temporary data requirements for partnership deposits, ETNs, structured notes, NBFI with underlying retail categories.