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Canada Deposit Insurance Corporation Differential Premiums By-law - SOR/99-120 (SCHEDULE 2)

Canada Deposit Insurance Corporation Differential Premiums By-law

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- (2) For the purposes of item 7 of the Reporting Form, the value of assets acquired by a member institution, as a result of a merger or an acquisition described in that item, is the value of the assets on the date of their acquisition as reported in the consolidated financial statements of the member institution.

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Elements [...] Refer to the Leverage Requirements Return (LRR), Reporting Manual, completed in accordance with that Manual as of the end of the fiscal year ending in the year preceding the filing year.
1.1.1 Tier 1 Capital Indicate the Tier 1 Capital as set out in Section 1 – Leverage Ratio Calculation of the LRR.
1.1.2 Total Exposures Indicate the total exposures as set out in Section 1 – Leverage Ratio Calculation of the LRR.
Elements Use the instructions below to arrive at the elements of the formula. Refer 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 ending in the year preceding the filing year.
1.3.1 Net Tier 1 Capital Indicate the net Tier 1 capital as set out in Schedule 1 – Ratio Calculations of the BCAR form.
1.3.2 Adjusted Tier 1 Capital Risk-Weighted Assets Indicate the adjusted Tier 1 Capital risk-weighted assets as set out in Schedule 1 – Ratio Calculations of the BCAR form.
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.

Elements Use the instructions below to arrive at the elements of the formula. Refer to the following documents: (a) the Consolidated Statement of Comprehensive Income, Retained Earnings and AOCI, Reporting Manual, completed in accordance with that Manual as of the fiscal year ending in the year preceding the filing year; and (b) 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 ending in the year preceding the filing year.
2.1 Net Income or Loss The net income or loss attributable to equity holders and non-controlling interests (the latter to be reported as a negative number) as set out in the Consolidated Statement of Comprehensive Income, Retained Earnings and AOCI.
2.2 Adjusted Tier 1 Capital Risk-Weighted Assets as of the End of the Fiscal Year Ending in the Year Preceding the Filing Year Indicate the adjusted Tier 1 Capital risk-weighted assets as set out in Schedule 1 — Ratio Calculations of the BCAR form.
2.3 Adjusted Tier 1 Capital Risk-Weighted Assets as of the End of the Fiscal Year Ending in the Second Year Preceding the Filing Year Calculate the adjusted Tier 1 Capital risk-weighted assets as of the end of the fiscal year ending in the second year preceding the filing year in the same manner as for element 2.2. [...] If the member institution is an amalgamated member institution formed by an amalgamation involving one or more member institutions and does not have a fiscal year ending in the second year preceding the filing year, it must report the same amount as for element 2.2.

If a member institution has been operating as a member institution for less than five fiscal years consisting of at least 12 months each (with the last fiscal year ending in the year preceding the filing year), it must indicate “N/A” (“not applicable”) for elements 3, 3.1, 3.2 and 3.13 and fill in any of elements 3.3 to 3.12 that apply to it.

If a member institution has been operating as a member institution for five or more fiscal years but less than 10 fiscal years consisting of at least 12 months each (with the last fiscal year of operation ending in the year preceding the filing year), it must complete the formula using the fiscal years during which it has been operating with the appropriate adjustment to the value of “n”.

If a member institution formed by an amalgamation involving only one member institution has been operating as a member institution for less than three fiscal years consisting of at least 12 months each (with the last fiscal year ending in the year preceding the filing year), in addition to filling in the applicable elements as an amalgamated member institution, it must also fill in the applicable elements for the amalgamating member institution.

If a member institution formed by an amalgamation involving two or more member institutions has been operating as a member institution for less than three fiscal years consisting of at least 12 months each (with the last fiscal year ending in the year preceding the filing year), it must indicate “N/A” (“not applicable”) for elements 3, 3.1, 3.2 and 3.13 and fill in any of elements 3.3 to 3.12 that apply to it.

3.1 Standard deviation of the Net Income or Loss

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If a member institution has been operating as a member institution for 12 or more fiscal years consisting of at least 12 months each, “n” will be equal to 10.

If a member institution has been operating as a member institution for seven or more but less than 12 fiscal years consisting of at least 12 months each, for each year that it is not operating the portion of the formula in the numerator referencing that year would be removed and “n” will be equal to the number of years that it has been so operating less 2 (e.g, if operating for 11 years, remove “(3.12 – 3.2)²” from the numerator and “n” will be equal to 9).

If a member institution has been operating as a member institution for six fiscal years consisting of at least 12 months each, “+ (3.7 – 3.2)² + (3.8 – 3.2)² + (3.9 – 3.2)² + (3.10 – 3.2)² + (3.11 – 3.2)² + (3.12 – 3.2)²” must be removed from the formula and “n” will be equal to 4.

If a member institution has been operating as a member institution for five fiscal years consisting of at least 12 months each, “+ (3.6 – 3.2)² + (3.7 – 3.2)² + (3.8 – 3.2)² + (3.9 – 3.2)² + (3.10 – 3.2)² + (3.11 – 3.2)² + (3.12 – 3.2)²” must be removed from the formula and “n” will be equal to 3.

3.2 Mean Net Income or Loss

Determine the mean net income or loss (the latter to be reported as a negative number) using the formula

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If a member institution has been operating as a member institution for 12 or more fiscal years consisting of at least 12 months each, “n” will be equal to 10.

If a member institution has been operating as a member institution for seven or more but less than 12 fiscal years consisting of at least 12 months each, the portion of the formula in the numerator referencing the years that it was not operating is to be removed and “n” will be equal to the number of years that it has been so operating less 2 (e.g., if operating for 11 years, “+ 3.12” is removed from the numerator and “n” will be equal to 9).

If a member institution has been operating as a member institution for six fiscal years consisting of at least 12 months each, “+ 3.7 + 3.8 + 3.9 + 3.10 + 3.11 + 3.12” must be removed from the formula and “n” will be equal to 4.

If a member institution has been operating as a member institution for five fiscal years consisting of at least 12 months each, “+ 3.6 + 3.7 + 3.8 + 3.9 + 3.10 + 3.11 + 3.12” must be removed from the formula and “n” will be equal to 3.

Net income or loss (the latter to be reported as a negative number) after tax for each of the last 10 fiscal years.

Indicate the net income or loss as determined for element 2.1 for the fiscal year ending in the year preceding the filing year. 3.3

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Indicate the number of fiscal years that the member institution has been operating as a member institution (if less than 12).

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If a member institution has been operating as a member institution for less than three fiscal years of at least 12 months each and it is a member institution formed by an amalgamation involving only one member institution, it must report the net income or loss of the amalgamating member institution for the three fiscal years or less preceding the amalgamation, as applicable.

If a member institution has been operating as a member institution for less than five fiscal years of at least 12 months each, it must report “N/A” (“not applicable”) for the elements corresponding to the fiscal years for which it was not operating as a member institution.

4.1 Net Income or Loss Net income or loss as determined for element 2.1.
4.2 Standard deviation of the Net Income or Loss The standard deviation of the net income or loss as determined for element 3.1.

5.1 Total Non-Interest Expenses Indicate the total non-interest expenses, as set out in the Consolidated Statement of Comprehensive Income, Retained Earnings and AOCI, less any charges for impairment included in that total.
(a) Net interest income as set out in the Consolidated Statement of Comprehensive Income, Retained Earnings and AOCI
Total (insert as element 5.2 of the formula)
(a) Non-interest income as set out in the Consolidated Statement of Comprehensive Income, Retained Earnings and AOCI
Total (insert as element 5.3 of the formula)

Elements

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

Refer to the following documents:

(a) the Return of Allowances for Expected Credit Losses, Reporting Manual, completed in accordance with that Manual as of the end of the fiscal year ending in the year preceding the filing year; and
(b) 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 ending in the year preceding the filing year.

6.1 Net Impaired On-Balance Sheet Assets

Indicate the net impaired on-balance sheet assets as set out for the total of the column “Net Impaired Amount” in the Return of Allowances for Expected Credit Losses. If the result is negative, report “zero”.

Table 6A — Impaired Off-balance Sheet Assets

(Complete Table 6A as of the end of the fiscal year ending in the year preceding the filing year, referring to Schedule 39 - Off-balance Sheet Exposures Excluding Derivatives and Securitization Exposures and Schedule 40 - Derivative Contracts of the BCAR form and to the Capital Adequacy Requirements Guideline of the Guidelines.)

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Table 6B — Impaired OTC Derivative Contracts

(Complete Table 6B as of the end of the fiscal year ending in the year preceding the filing year, referring to Schedule 40 - Derivative Contracts of the BCAR form and to the Capital Adequacy Requirements Guideline of the Guidelines.)

Replacement cost (market value)

a. Contracts held for trading purposes

(all contracts before permissible netting)

b. Contracts held for other than trading

(all contracts before permissible netting)

c. Contracts subject to permissible netting

(included in a and b above)

d. Total contracts – after permissible netting

Potential credit exposure

Credit equivalent amount

(after taking into account collateral and guarantees)

If a member institution has been operating as a member institution for less than six fiscal years consisting of at least 12 months each (with the last fiscal year ending in the year preceding the filing year), it must indicate “N/A” (“not applicable”) for elements 7 and 7.5 but still fill in any of elements 7.1 to 7.4 that apply to it.

If a member institution formed by an amalgamation involving only one member institution has been operating as a member institution for less than four fiscal years consisting of at least 12 months each (with the last fiscal year ending in the year preceding the filing year), in addition to filling in the applicable elements as an amalgamated member institution, it must also fill in the applicable elements for the amalgamating member institution.

If a member institution formed by an amalgamation involving two or more member institutions has been operating as a member institution for less than four fiscal years consisting of at least 12 months each (with the last fiscal year ending in the year preceding the filing year), it must indicate “N/A” (“not applicable”) for elements 7 and 7.5 but still fill in any of elements 7.1 to 7.4 that apply to it.

If a member institution acquires assets in the fiscal year ending in the year preceding the filing year as a result of a merger with or the acquisition of a regulated deposit-taking institution or as a result of the acquisition of the deposit-taking business of a regulated institution, and the value of those acquired assets on the date of their acquisition exceeds 15% of the value of the consolidated assets of the member institution immediately before that merger or acquisition, the member institution must include the value of those acquired assets in elements 7.1 to 7.3.

Assets for Years 1 to 4:

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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.

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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.

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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.

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Refer to the Leverage Requirements Return (LRR), Reporting Manual, completed in accordance with that Manual as of the end of the fiscal year ending in the year preceding the filing year, 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 ending in the year preceding the filing year.

Assets for Year 4 is the amount that the member institution determines by adding the following:

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(b) if applicable, the value of assets, acquired by the member institution in the fiscal year ending in the year preceding the filing year as a result of a merger or acquisition referred to in the fourth paragraph after the heading “7 THREE-YEAR MOVING AVERAGE ASSET GROWTH (%)”, for years 1, 2 and 3, if the value of those assets on the date of their acquisition exceeds 15% of the value of the consolidated assets of the member institution immediately before that merger or acquisition, and

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 “Notional Amount” 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 “Notional Amount” 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 “Notional Amount” 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 “Notional Amount” 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 “Notional Amount” 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 Net Common Equity Tier 1 Capital (CET1 after all deductions)

Indicate the Net Common Equity Tier 1 Capital (CET1 after all deductions), as set out in Schedule 3 – Capital and TLAC Elements of the BCAR form.

7.4.12 Gross Common Equity Tier 1 Capital

Indicate the Gross Common Equity Tier 1 Capital, as set out in Schedule 3 – Capital and TLAC Elements of the BCAR form.

7.4.13 Total Deduction from Additional Tier 1 Capital

Indicate the Total Deduction from Additional Tier 1 Capital, as set out in Schedule 3 – Capital and TLAC Elements of the BCAR form.

7.4.14 Total Deduction from Tier 2 Capital

Indicate the Total Deduction from Tier 2 Capital, as set out in Schedule 3 – Capital and TLAC Elements of the BCAR form.

7.4.15 Eligible stage 1 and stage 2 allowance

Indicate the Eligible stage 1 and stage 2 allowance (re standardized approach), as set out in Schedule 3 – Capital and TLAC Elements of the BCAR form.

7.4.16 Excess allowance

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

7.4.17 Direct credit substitutes – credit derivatives – Standardized Approach

Indicate the amount set out in the column “Notional Principal 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 “Notional Principal 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 “Notional Principal 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 “Notional Principal 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 “Notional Principal 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 Stage 1 and Stage 2 allowance on balance sheet assets

Indicate the Stage 1 and Stage 2 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.

Indicate the number of fiscal years consisting of at least 12 months that the member institution has been operating as a member institution (if less than six fiscal years).

If a member institution has been operating as a member institution for less than four fiscal years consisting of at least 12 months each, it must indicate “N/A” (“not applicable”) for the elements corresponding to the fiscal years for which it was not operating as a member institution.

8 REAL ESTATE ASSET CONCENTRATION

A member institution that is a domestic systemically important bank is not required to complete item 8 and will insert “N/A” as its score for element 8.5. It must complete element 8-1.

Elements

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Refer to Section I of the Consolidated Monthly Balance Sheet, Reporting Manual, completed in accordance with that Manual as of the end of the fiscal year ending in the year preceding the filing year.

Fill in Table 8 using the definitions and instructions below.

Refer to Section III of the Mortgage Loans Report, Reporting Manual, completed in accordance with that Manual as of the end of the fiscal year ending in the year preceding the filing year. A member institution may complete these calculations using the information reported in the Mortgage Loans Report filed at its year-end or, if not filed at its year-end, at the calendar quarter-end preceding that year-end.

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Elements Use the instructions below to arrive at the elements of the formula. Refer to the Consolidated Monthly Balance Sheet and Section I of the Pledging and Repos Report, Reporting Manual, all completed in accordance with that Manual as of the end of the fiscal year ending in the year preceding the filing year.
8-1.1.1 Total Liabilities The total liabilities is calculated by deducting from the amount set out in the column “Total” for Total Liabilities and Shareholders’ Equity the amounts included as shareholders’ equity in Section II – Liabilities of the Consolidated Monthly Balance Sheet.
8-1.1.4 Securitization Liabilities The securitization liabilities is the total of the amounts set out in the column “Total” for Securitization notes payable (institution’s own assets) and Securitization notes payable (third party assets) as set out for the Mortgages and Loans Payable in Section II – Memo Items of the Consolidated Monthly Balance Sheet.
8-1.2.1 Total Pledged Assets Indicate the total pledged assets as determined for element 8-1.1.9.
8-1.2.2 Total Assets Indicate the total assets as determined for element 8-1.1.7.

9.2 Total Capital

The total capital as determined for element 6.3, expressed in thousands of dollars.

Loans

Loans are as described in the Non-Mortgage Loan Report

Entity

Has the same meaning as in section 2 of the Bank Act.

Industry Sector List

Agriculture

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Calculate the total by adding together the amounts in the columns “TC” under “Resident Loan Balances” and “Non-Resident Loan Balances” and subtracting the amount set out in the column “TC” under “Allowance for Expected Credit Losses”, all as set out for “Agriculture” in the Non-Mortgage Loans Report.

Fishing and Trapping

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Calculate the total by adding together the amounts in the columns “TC” under “Resident Loan Balances” and “Non-Resident Loan Balances” and subtracting the amount in the column “TC” under “Allowance for Expected Credit Losses”, all as set out for “Fishing and Trapping” in the Non-Mortgage Loans Report.

Logging and Forestry

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Calculate the total by adding together the amounts in the columns “TC” under “Resident Loan Balances” and “Non-Resident Loan Balances” and subtracting the amount in the column “TC” under “Allowance for expected credit losses”, all as set out for “Logging and Forestry” in the Non-Mortgage Loans Report.

Mining, Quarrying and Oil Wells

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Calculate the total by adding together the amounts in the columns “TC” under “Resident Loan Balances” and “Non-Resident Loan Balances” and subtracting the amount in the column “TC” under “Allowance for expected credit losses”, all as set out for “Mining, Quarrying and Oil Wells” in the Non-Mortgage Loans Report.

Manufacturing

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Calculate the total by adding together the amounts in the columns “TC” under “Resident Loan Balances” and “Non-Resident Loan Balances” and subtracting the amount in the column “TC” under “Allowance for expected credit losses”, all as set out for “Manufacturing” in the Non-Mortgage Loans Report.

Construction/Real Estate

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Calculate the total by adding together the amounts in the columns “TC” under “Resident Loan Balances” and “Non-Resident Loan Balances” and subtracting the amount in the column “TC” under “Allowance for expected credit losses”, all as set out for “Construction/Real Estate” in the Non-Mortgage Loans Report.

Transportation, Communication and Other Utilities

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Calculate the total by adding together the amounts in the columns “TC” under “Resident Loan Balances” and “Non-Resident Loan Balances” and subtracting the amount in the column “TC” under “Allowance for expected credit losses”, all as set out for “Transportation, Communication and Other Utilities” in the Non-Mortgage Loans Report.

Wholesale Trade

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Calculate the total by adding together the amounts in the columns “TC” under “Resident Loan Balances” and “Non-Resident Loan Balances” and subtracting the amount in the column “TC” under “Allowance for expected credit losses”, all as set out for “Wholesale Trade” in the Non-Mortgage Loans Report.

Retail

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Calculate the total by adding together the amounts in the columns “TC” under “Resident Loan Balances” and “Non-Resident Loan Balances” and subtracting the amount in the column “TC” under “Allowance for expected credit losses”, all as set out for “Retail” in the Non-Mortgage Loans Report.

Service

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Calculate the total by adding together the amounts in the columns “TC” under “Resident Loan Balances” and “Non-Resident Loan Balances” and subtracting the amount in the column “TC” under “Allowance for expected credit losses”, all as set out for “Service” in the Non-Mortgage Loans Report.

Multiproduct Conglomerates

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Calculate the total by adding together the amounts in the columns “TC” under “Resident Loan Balances” and “Non-Resident Loan Balances” and subtracting the amount set out in the column “TC” under “Allowance for expected credit losses”, all as set out for “Multiproduct Conglomerates” in the Non-Mortgage Loans Report.

Others (Private Not for Profit Institutions, Religious, Health and Educational Institutions)

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Calculate the total by adding together the amounts in the columns “TC” under “Resident Loan Balances” and “Non-Resident Loan Balances” and subtracting the amount set out in the column “TC” under “Allowance for expected credit losses”, all as set out for “Others (Private Not for Profit Institutions, Religious, Health and Educational Institutions)” in the Non-Mortgage Loans Report.

Table 9

Insert 10% of total capital as determined for element 6.3: 9.3

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This Reporting Form was prepared by

Certification

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Canada Deposit Insurance Corporation Differential Premiums By-law - SOR/99-120 (SCHEDULE 2)

Canada Deposit Insurance Corporation Differential Premiums By-law

[...]

1
- [...]
- (2) For the purposes of item 7 of the Reporting Form, the value of assets acquired by a member institution, as a result of a merger or an acquisition described in that item, is the value of the assets on the date of their acquisition as reported in the consolidated financial statements of the member institution.

[...]

Refer to the Leverage Requirements Return (LRR) and 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 ending in the year preceding the filing year.

1.1 Leverage Ratio (%)

Indicate the leverage ratio (%) as set out in Section 1 – Leverage Ratio Calculation of the LRR.

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1.2 Authorized Leverage Ratio (%)

Indicate the authorized leverage ratio (%) as set out in Section 1 – Leverage Ratio Calculation of the LRR.

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1.3 Tier 1 Capital Ratio (%)

Indicate the Tier 1 capital ratio (%) as set out in Schedule 1 – Ratio Calculations of the BCAR form.

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1.4 Minimum Tier 1 Capital Ratio

Indicate the minimum 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 Tier 1 capital ratio has been set by the regulator by written notice sent to the member institution, indicate that ratio instead.

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1.5 “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.

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Elements Use the instructions below to arrive at the elements of the formula. Refer to the following documents: (a) the Consolidated Statement of Comprehensive Income, Retained Earnings and AOCI, Reporting Manual, completed in accordance with that Manual as of the fiscal year ending in the year preceding the filing year; and (b) 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 ending in the year preceding the filing year.
2.1 Net Income or Loss The net income or loss attributable to equity holders and non-controlling interests (the latter to be reported as a negative number) as set out in the Consolidated Statement of Comprehensive Income, Retained Earnings and AOCI.
2.2 Adjusted Risk-Weighted Assets as of the End of the Fiscal Year Ending in the Year Preceding the Filing Year Indicate the adjusted risk-weighted assets as set out in Schedule 1 – Ratio Calculations of the BCAR form.
2.3 Adjusted Risk-Weighted Assets as of the End of the Fiscal Year Ending in the Second Year Preceding the Filing Year Indicate the adjusted risk-weighted assets as of the end of the fiscal year ending in the second year preceding the filing year, calculated in the same manner as for element 2.2. [...] If the member institution is an amalgamated member institution formed by an amalgamation involving one or more member institutions and does not have a fiscal year ending in the second year preceding the filing year, it must indicate the same amount as for element 2.2.

If a member institution has been operating as a member institution for less than five fiscal years consisting of at least 12 months each (with the last fiscal year ending in the year preceding the filing year), it must indicate “N/A” (“not applicable”) for elements 3, 3.1, 3.2 and 3.13 and fill in any of elements 3.3 to 3.12 that apply to it.

If a member institution has been operating as a member institution for five or more fiscal years but less than 10 fiscal years consisting of at least 12 months each (with the last fiscal year of operation ending in the year preceding the filing year), it must complete the formula using the fiscal years during which it has been operating with the appropriate adjustment to the value of “n”.

If a member institution formed by an amalgamation involving only one member institution has been operating as a member institution for less than three fiscal years consisting of at least 12 months each (with the last fiscal year ending in the year preceding the filing year), in addition to filling in the applicable elements as an amalgamated member institution, it must also fill in the applicable elements for the amalgamating member institution.

If a member institution formed by an amalgamation involving two or more member institutions has been operating as a member institution for less than three fiscal years consisting of at least 12 months each (with the last fiscal year ending in the year preceding the filing year), it must indicate “N/A” (“not applicable”) for elements 3, 3.1, 3.2 and 3.13 and fill in any of elements 3.3 to 3.12 that apply to it.

3.1 Standard deviation of the Net Income or Loss

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If a member institution has been operating as a member institution for 12 or more fiscal years consisting of at least 12 months each, “n” will be equal to 10.

If a member institution has been operating as a member institution for seven or more but less than 12 fiscal years consisting of at least 12 months each, for each year that it is not operating the portion of the formula in the numerator referencing that year would be removed and “n” will be equal to the number of years that it has been so operating less 2 (e.g, if operating for 11 years, remove “(3.12 – 3.2)²” from the numerator and “n” will be equal to 9).

If a member institution has been operating as a member institution for six fiscal years consisting of at least 12 months each, “+ (3.7 – 3.2)² + (3.8 – 3.2)² + (3.9 – 3.2)² + (3.10 – 3.2)² + (3.11 – 3.2)² + (3.12 – 3.2)²” must be removed from the formula and “n” will be equal to 4.

If a member institution has been operating as a member institution for five fiscal years consisting of at least 12 months each, “+ (3.6 – 3.2)² + (3.7 – 3.2)² + (3.8 – 3.2)² + (3.9 – 3.2)² + (3.10 – 3.2)² + (3.11 – 3.2)² + (3.12 – 3.2)²” must be removed from the formula and “n” will be equal to 3.

3.2 Mean Net Income or Loss

Determine the mean net income or loss (the latter to be reported as a negative number) using the formula

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If a member institution has been operating as a member institution for 12 or more fiscal years consisting of at least 12 months each, “n” will be equal to 10.

If a member institution has been operating as a member institution for seven or more but less than 12 fiscal years consisting of at least 12 months each, the portion of the formula in the numerator referencing the years that it was not operating is to be removed and “n” will be equal to the number of years that it has been so operating less 2 (e.g., if operating for 11 years, “+ 3.12” is removed from the numerator and “n” will be equal to 9).

If a member institution has been operating as a member institution for six fiscal years consisting of at least 12 months each, “+ 3.7 + 3.8 + 3.9 + 3.10 + 3.11 + 3.12” must be removed from the formula and “n” will be equal to 4.

If a member institution has been operating as a member institution for five fiscal years consisting of at least 12 months each, “+ 3.6 + 3.7 + 3.8 + 3.9 + 3.10 + 3.11 + 3.12” must be removed from the formula and “n” will be equal to 3.

Net income or loss (the latter to be reported as a negative number) after tax for each of the last 10 fiscal years.

Indicate the net income or loss as determined for element 2.1 for the fiscal year ending in the year preceding the filing year. 3.3

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Indicate the number of fiscal years that the member institution has been operating as a member institution (if less than 12).

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If a member institution has been operating as a member institution for less than three fiscal years of at least 12 months each and it is a member institution formed by an amalgamation involving only one member institution, it must report the net income or loss of the amalgamating member institution for the three fiscal years or less preceding the amalgamation, as applicable.

If a member institution has been operating as a member institution for less than five fiscal years of at least 12 months each, it must report “N/A” (“not applicable”) for the elements corresponding to the fiscal years for which it was not operating as a member institution.

4.1 Net Income or Loss Net income or loss as determined for element 2.1.
4.2 Standard deviation of the Net Income or Loss The standard deviation of the net income or loss as determined for element 3.1.

5.1 Total Non-Interest Expenses Indicate the total non-interest expenses, as set out in the Consolidated Statement of Comprehensive Income, Retained Earnings and AOCI, less any charges for impairment included in that total.
(a) Net interest income as set out in the Consolidated Statement of Comprehensive Income, Retained Earnings and AOCI
Total (insert as element 5.2 of the formula)
(a) Non-interest income as set out in the Consolidated Statement of Comprehensive Income, Retained Earnings and AOCI
Total (insert as element 5.3 of the formula)

Elements

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

Refer to the following documents:

(a) the Return of Allowances for Expected Credit Losses, Reporting Manual, completed in accordance with that Manual as of the end of the fiscal year ending in the year preceding the filing year; and
(b) 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 ending in the year preceding the filing year.

6.1 Net Impaired On-Balance Sheet Assets

Indicate the net impaired on-balance sheet assets as set out for the total of the column “Net Impaired Amount” in the Return of Allowances for Expected Credit Losses. If the result is negative, report “zero”.

Table 6A — Impaired Off-balance Sheet Assets

Complete Table 6A as of the end of the fiscal year ending in the year preceding the filing year, referring to Schedule 39 – Off-balance Sheet Exposures Excluding Derivatives and Securitization Exposures and Schedule 40 – Derivative Contracts of the BCAR form and to the Capital Adequacy Requirements guideline of the Guidelines.

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Table 6B — Impaired OTC Derivative Contracts

Complete Table 6B as of the end of the fiscal year ending in the year preceding the filing year, referring to Schedule 40 – Derivative Contracts of the BCAR form and to the Capital Adequacy Requirements guideline of the Guidelines.

If a member institution has been operating as a member institution for less than six fiscal years consisting of at least 12 months each (with the last fiscal year ending in the year preceding the filing year), it must indicate “N/A” (“not applicable”) for elements 7 and 7.5 but still fill in any of elements 7.1 to 7.4 that apply to it.

If a member institution formed by an amalgamation involving only one member institution has been operating as a member institution for less than four fiscal years consisting of at least 12 months each (with the last fiscal year ending in the year preceding the filing year), in addition to filling in the applicable elements as an amalgamated member institution, it must also fill in the applicable elements for the amalgamating member institution.

If a member institution formed by an amalgamation involving two or more member institutions has been operating as a member institution for less than four fiscal years consisting of at least 12 months each (with the last fiscal year ending in the year preceding the filing year), it must indicate “N/A” (“not applicable”) for elements 7 and 7.5 but still fill in any of elements 7.1 to 7.4 that apply to it.

If a member institution acquires assets in the fiscal year ending in the year preceding the filing year as a result of a merger with or the acquisition of a regulated deposit-taking institution or as a result of the acquisition of the deposit-taking business of a regulated institution, and the value of those acquired assets on the date of their acquisition exceeds 15% of the value of the consolidated assets of the member institution immediately before that merger or acquisition, the member institution must include the value of those acquired assets in elements 7.1 to 7.3.

Assets for Years 1 to 4:

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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.

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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.

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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.

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Refer to the Leverage Requirements Return (LRR), Reporting Manual, completed in accordance with that Manual as of the end of the fiscal year ending in the year preceding the filing year, 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 ending in the year preceding the filing year.

Assets for Year 4 is the amount that the member institution determines by adding the following:

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(b) if applicable, the value of assets, acquired by the member institution in the fiscal year ending in the year preceding the filing year as a result of a merger or acquisition referred to in the fourth paragraph after the heading “7 THREE-YEAR MOVING AVERAGE ASSET GROWTH (%)”, for years 1, 2 and 3, if the value of those assets on the date of their acquisition exceeds 15% of the value of the consolidated assets of the member institution immediately before that merger or acquisition, and

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 “Notional Amount” 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 “Notional Amount” 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 “Notional Amount” 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 “Notional Amount” 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 “Notional Amount” 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”, 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”, as set out in Section 2 – Derivative Exposure Calculation of the LRR.