August 01, 2018

OSFI proposed revisions to the Leverage Requirements guideline. The revisions will align the guideline with the upcoming modifications to Chapter 4 (Settlement and Counterparty Risk) and Chapter 7 (Securitization) of the Capital Adequacy Requirements (CAR) guideline. Comments should be submitted by September 21, 2018. For institutions with a fiscal year ending October 31 or December 31, the final version of the guideline will be effective from November 2018 and January 2019, respectively.

The proposed revisions to the Leverage Requirements guideline include the following:

  • Replacing the Current Exposure Method (CEM) with the Standardized Approach to Counterparty Credit Risk (SA-CCR) as the method for computing counterparty credit risk exposure amounts for derivatives. This change aligns with the planned implementation of SA-CCR under Chapter 4 (Settlement and Counterparty Risk) of the CAR guideline in the first quarter of 2019.
  • Amending the treatment of securitized assets that meet the operational requirements for recognition of significant risk transfer (SRT) to align with the proposed revisions to Chapter 7 (Securitization) of the CAR guideline.
  • Aligning treatment of credit conversion factors for off-balance sheet securitization exposures with those under the proposed revisions to Chapter 7 (Securitization) of the CAR guideline.

The December 2017 Basel III reforms include revisions to the Basel III leverage ratio framework, including a new buffer for global systemically important banks (G-SIBs), along with other technical refinements to the leverage ratio exposure measure. OSFI will consider these revisions separately as part of the domestic implementation of the Basel III reforms and will consult stakeholders as part of the consultation process for any future changes to the Leverage Requirements guideline.

 

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Comment Due Date: September 21, 2018

Keywords: Americas, Canada, Banking, Leverage Ratio, SA-CCR, CAR, Securitization, OSFI

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