Q3 2019 Fixed Income Investor Presentation
Regulatory Environment Continually Evolving
20
20
Capital
Requirements
Risk-Based
Capital Ratios
Liquidity
Requirements
Other
Liquidity
Coverage Ratio
(LCR)
Net Stable
Funding Ratio
(Proposed)
Total Loss
Absorbing
Capacity
(TLAC)
■
The Basel Committee has finalized its Basel III reforms. Key changes include:
■ A new Standardized Approach for credit, CVA and operational risk (2022)
A new credit risk framework for constraining model-based approaches to reduce RWA variations (2022)
■ Revised market risk (2022), counterparty credit risk (2019), and securitization (2019) frameworks
■ A capital "output" floor based on the revised Standardized Approach to replace the existing Basel I
Capital Floor. Floor calibrated at 50% starting 2022 and increasing to 72.5% in 2027
■ Finalized leverage ratio framework with new leverage ratio buffer for G-SIBS and revised treatment of
off-balance sheet and derivative exposures
OSFI implemented a revised capital floor based on Basel II Standardized Approaches starting Q2/18.
In effect until the new capital floor comes in 2022.
In July 2018, OSFI issued a discussion paper on the domestic implementation of the Basel III reforms.
Proposal includes new risk weight functions for mortgages and credit cards, accelerated adoption of
revised operational risk framework (2021), no phase-in of the capital "output" floor (2022) and
increased leverage ratio requirements for D-SIBS
In June 2018, OSFI announced revisions to Pillar 2 buffer requirements (details on next slide)
OSFI mandates minimum LCR for Canadian institutions of 100%, which became effective Jan 1, 2015.
US Foreign Bank Organizations (FBOs) with <US$50B in total Non-Branch US Assets are not required
to be LCR compliant
The NSFR will require banks to maintain a stable funding profile in relation to the composition of
their assets and off-balance sheet exposures
Final Basel Committee on Banking Supervision (BCBS) guidelines were released in October 2014
OSFI consultation initiated in August 2016 and final rules expected by the spring of 2019
Official implementation of the metric is January 2020, with a minimum NSFR requirement of ≥100%
Requirement for too-big-to-fail banks to have loss-absorbing liabilities (e.g. wholesale funding)
Canadian Bail-in Regime came into force on September 23, 2018
TLAC minimum (23.25%¹ of RWA and 6.75% of leverage exposure) starting F2022 for Canadian D-SIBS
1 Increases to 23.50% when the Domestic Stability Buffer rises to 2.00% effective October 31, 2019View entire presentation