Canada Gazette, Part I, Volume 150, Number 42: By-law Amending the Canada Deposit Insurance Corporation Differential Premiums By-law

1.3.3 Minimum Required Tier 1 Capital Ratio

Indicate the minimum required Tier 1 capital ratio as set by the regulator for the member institution in accordance with the Capital Adequacy Requirements Guideline of the Guidelines, but if a different minimum required Tier 1 capital ratio has been set by the regulator by written notice sent to the member institution, indicate that ratio instead.

1.3.4 “All in” Target Tier 1 Capital Ratio

Indicate the “all in” target Tier 1 capital ratio (including the capital conservation buffer and domestic systemically important bank surcharge as applicable) as set by the regulator for the member institution in accordance with the Capital Adequacy Requirements Guideline of the Guidelines, but if a different all-in target Tier 1 capital ratio has been set by the regulator by written notice sent to the member institution, indicate that ratio instead.

1.4 Tier 1 Capital Ratio Score

Use the scoring grid below to determine the member institution's Tier 1 capital ratio score.

Elements

Use the instructions below to arrive at the elements of the formula.

Refer to the following documents:

• (a) for “Assets for Year 1”, refer to the Reporting Form submitted by the member institution in the third filing year before the filing year in which this Reporting Form is being submitted;
• (b) for “Assets for Year 2”, refer to the Reporting Form submitted by the member institution in the second filing year before the filing year in which this Reporting Form is being submitted;
• (c) for “Assets for Year 3”, refer to the Reporting Form submitted by the member institution in the filing year before the filing year in which this Reporting Form is being submitted; and
• (d) for “Assets for Year 4” refer to the Leverage Requirements Return (LRR), Reporting Manual, completed in accordance with that Manual as of the end of the fiscal year indicated under the heading “Assets for Year 4” below, and to the Basel III Capital Adequacy Reporting — Credit, Market and Operational Risk (BCAR) form, Reporting Manual, completed in accordance with that Manual as of the end of the fiscal year indicated under the heading “Assets for Year 4” below.

Assets for Year 1

Assets for Year 1 is the amount that the member institution entered as element 7.4 of the formula in the Reporting Form submitted by the member institution in the third filing year before the filing year in which this Reporting Form is being submitted.

Assets for Year 2

Assets for Year 2 is the amount that the member institution entered as element 7.4 of the formula in the Reporting Form submitted by the member institution in the second filing year before the filing year in which this Reporting Form is being submitted.

Assets for Year 3

Assets for Year 3 is the amount that the member institution entered as element 7.4 of the formula in the Reporting Form submitted by the member institution in the filing year before the filing year in which this Reporting Form is being submitted.

Assets for Year 4

Assets for Year 4 is the amount determined by using the following formula:

7.4.1 + 7.4.4 + 7.4.5 + 7.4.6 + 7.4.7 + 7.4.8 + 7.4.9 + 7.4.10 – 7.4.2 – 7.4.3 (7.4.11 – 7.4.12) – 7.4.13 – 7.4.14 + 7.4.15 + 7.4.16 + 7.4.17 + 7.4.18 + 7.4.19 + 7.4.20 + 7.4.21 + 7.4.22 – 7.4.23 – 7.4.24 – 7.4.25 – 7.4.26

Use the instructions below to arrive at the elements of the formula.

7.4.1 On-balance sheet assets

Indicate the amount set out in the column “Accounting balance sheet value” for On-balance sheet assets – for purposes of the Leverage Ratio, as set out in Section 1 – Leverage Ratio Calculation of the LRR.

7.4.2 Off-balance sheet Eligible servicer cash advance facilities

Indicate the amount set out in the column “NotionalAmount” for Eligible servicer cash advance facilities – 10% CCF, as set out in Section 1 – Leverage Ratio Calculation of the LRR.

7.4.3 Other Off-balance sheet Securitization exposures

Indicate the amount set out in the column “NotionalAmount” for Other off-balance sheet securitization exposures – 100% CCF, as set out in Section 1 – Leverage Ratio Calculation of the LRR.

7.4.4 Off-balance sheet Direct credit substitutes

Indicate the amount set out in the column “NotionalAmount” for Direct credit substitutes – 100% CCF, as set out in Section 1 – Leverage Ratio Calculation of the LRR.

7.4.5 Off-balance sheet Transaction-related contingent items

Indicate the amount set out in the column “NotionalAmount” for Transaction-related contingent items – 50% CCF, as set out in Section 1 – Leverage Ratio Calculation of the LRR.

7.4.6 Off-balance sheet Short-term self-liquidating trade letters of credit

Indicate the amount set out in the column “NotionalAmount” for Short-term self-liquidating trade letters of credit – 20% CCF, as set out in Section 1 – Leverage Ratio Calculation of the LRR.

7.4.7 Total derivative contract exposure (not covered)

Indicate the amount set out in the column “Total Contracts” for (A) Single derivative exposure not covered by an eligible netting contract, (i) Replacement cost – Gross positive replacement cost”, as set out in Section 2 – Derivative Exposure Calculation of the LRR.

7.4.8 Total derivative contract exposure (covered)

Indicate the amount set out in the column “Total Contracts” for “(B) Derivative exposure covered by an eligible netting contract, (i) Replacement cost – Net positive replacement cost”, as set out in Section 2 – Derivative Exposure Calculation of the LRR.

7.4.9 On-balance sheet Derivatives

Indicate the amount set out in the column “Accounting balance sheet value” for Derivatives, as set out in Section 1 – Leverage Ratio Calculation of the LRR.

7.4.10 On-balance sheet Grandfathered securitization exposures

Indicate the amount set out in the column “Accounting balance sheet value” for Grandfathered securitization exposures, as set out in Section 1 – Leverage Ratio Calculation of the LRR.

7.4.11 Transitional Net Common Equity Tier 1 Capital

Indicate the Net Common Equity Tier 1 Capital (CET1 after all deductions) on Transitional Basis, as set out in Schedule 1A – Ratios, Capital, and Risk-weighted Assets on Transitional Basis of the BCAR form.

7.4.12 Transitional Gross Common Equity Tier 1 Capital

Indicate the Gross Common Equity Tier 1 Capital on Transitional Basis, as set out in Schedule 1A – Ratios, Capital, and Risk-weighted Assets on Transitional Basis of the BCAR form.

7.4.13 Transitional Deduction from Additional Tier 1

Indicate the Deduction from Additional Tier 1 during transition, as set out in Schedule 1A – Ratios, Capital, and Risk-weighted Assets onTransitional Basis of the BCAR form.

7.4.14 Transitional Deduction from Tier 2

Indicate the Deduction from Tier 2 during transition, as set out in Schedule 1A – Ratios, Capital, and Risk-weighted Assets on Transitional Basis of the BCAR form.

7.4.15 Eligible collective allowance

Indicate the Eligible collective allowance (re standardized approach), as set out in Schedule 3 – Capital Elements of the BCAR form.

7.4.16 Excess allowance

Indicate the Excess allowance (re IRB approach), as set out in Schedule 3 – Capital Elements of the BCAR form.

7.4.17 Direct credit substitutes – credit derivatives – Standardized Approach

Indicate the amount set out in the column “NotionalPrincipal Amount (a)” for Direct credit substitutes – credit derivatives, as set out in Schedule 39 – Off-balance Sheet Exposures Excluding Derivatives and Securitization Exposures of the BCAR form.

7.4.18 Direct credit substitutes – credit derivatives – Foundation IRB approach

Indicate the amount set out in the column “NotionalPrincipal Amount (d)” for Direct credit substitutes – credit derivatives, as set out in Schedule 39 – Off-balance Sheet Exposures Excluding Derivatives and Securitization Exposures of the BCAR form.

7.4.19 Direct credit substitutes – credit derivatives – Advanced IRB approach

Indicate the amount set out in the column “Notional Principal Amount (g)” for Direct credit substitutes – credit derivatives, as set out in Schedule 39 – Off-balance Sheet Exposures Excluding Derivatives and Securitization Exposures of the BCAR form.

7.4.20 Sale and repurchase agreements – Standardized approach

Indicate the amount set out in the column “NotionalPrincipal Amount (a)” for Sale & repurchase agreements, as set out in Schedule 39 – Off-balance Sheet Exposures Excluding Derivatives and Securitization Exposures of the BCAR form.

7.4.21 Sale and repurchase agreements – Foundation IRB approach

Indicate the amount set out in the column “NotionalPrincipal Amount (d)” for Sale & repurchase agreements, as set out in Schedule 39 – Off-balance Sheet Exposures Excluding Derivatives and Securitization Exposures of the BCAR form.

7.4.22 Sale and repurchase agreements – Advanced IRB approach

Indicate the amount set out in the column “NotionalPrincipal Amount (g)” for Sale & repurchase agreements, as set out in Schedule 39 – Off-balance Sheet Exposures Excluding Derivatives and Securitization Exposures of the BCAR form.

7.4.23 Collective allowance on balance sheet assets

Indicate the Collective allowance on balance sheet assets for capital purposes, as set out in Schedule 45 – Balance Sheet Coverage by Risk Type and Reconciliation to Consolidated Balance Sheet of the BCAR form.

7.4.24 “On-balance sheet” securitization exposures

Indicate the “On-balance sheet” securitization exposures recognized for capital ratio but not for consolidated balance sheet purposes, as set out in Schedule 45 – Balance Sheet Coverage by Risk Type and Reconciliation to Consolidated Balance Sheet of the BCAR form.

7.4.25 Adjustments – measurement bases

Indicate the Adjustments to reflect differences in balance sheet exposure amounts resulting from – measurement bases used for accounting purposes (fair values,) as set out in Schedule 45 – Balance Sheet Coverage by Risk Type and Reconciliation to Consolidated Balance Sheet of the BCAR form.

7.4.26 Adjustments – recognition bases

Indicate the Adjustments to reflect differences in balance sheet exposure amounts resulting from – recognition bases used for accounting purposes (settlement / trade date), as set out in Schedule 45 – Balance Sheet Coverage by Risk Type and Reconciliation to Consolidated Balance Sheet of the BCAR form.

A member institution must report assets for the last four fiscal years.