Q1 2020 Fixed Income Investor Presentation
19
Regulatory Environment Continually Evolving
Capital
Requirements
Risk-Based
Capital Ratios
Liquidity
Coverage Ratio
(LCR)
Liquidity
Requirements
Net Stable
Funding Ratio
(Proposed)
Other
☐
☐
"
☐
☐
Total Loss
Absorbing
Capacity (TLAC)
☐
☐
In December 2017, the Basel Committee finalized its Basel III reforms. Key changes include:
A revised Standardized Approach for credit risk (2022)
A new credit risk framework for constraining model-based approaches to reduce RWA variations (2022)
Revised market risk and CVA frameworks (2022)
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 introduced guideline amendments primarily concerning the treatment of deposits in Spring 2019
for implementation January 1, 2020; regulatory requirement is to maintain >100%
In April 2019, the Federal Reserve Board (FRB) proposed tailoring the post-crisis regulatory framework
for foreign banking organizations (FBOs) Enhanced Prudential Standards (EPS)
Proposal is US FBOs with <US$100B in total US Assets are not required to be LCR compliant
The NSFR is defined as the amount of available stable funding relative to the amount of required
stable funding
Final OSFI guidelines provided in April 2019, for implementation January 1, 2020, with minimum NSFR
requirement of ≥100%
Disclosures to be provided in DSIB financial reporting (MD&A) beginning January 2021
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 (23.50%¹ of RWA and 6.75% of leverage exposure) starting F2022 for Canadian D-SIBS
1 Increases to 23.75% when the Domestic Stability Buffer rises to 2.25% effective April 30, 2020View entire presentation