Instructions to complete ICAAP data return

I. Purpose

The ICAAP Data Return standardizes the format for Deposit-Taking Institutions (DTIs) to submit their ICAAP information on a regular basis.

II. Reporting Frequency

• DSIBs – The ICAAP Data Return must be completed on a quarterly fiscal basis (using quarter-end data) and filed within 30 days of the fiscal quarter end date through the Regulatory Reporting System (RRS).
• SMSBs – The ICAAP Data Return must be completed on an annual basis (using year-end data) and filed within 90 days of the fiscal year end date through the Regulatory Reporting System (RRS). Note that OSFI may, at its discretion, direct SMSBs to submit the ICAAP on a more frequent basis.

III. General Instructions

The ICAAP Data Return applies to all DTIs (note that this includes federally-regulated non-deposit-taking Trust and Loan Companies but excludes foreign bank branches). The ICAAP Data Return should be completed on a fully consolidated basis by the reporting institution.

Where values correspond to percentages, these should be reported as decimal numbers up to 2 decimal places (i.e., "10.00%").

Comments boxes are limited to the number of characters as noted in the ICAAP Data Return. Any additional information should be sent to the OSFI Lead Supervisor team via email.

The ICAAP Data Return is divided into three worksheets: '1. ICAAP', '2. ICAAP Comparison', and '3. Climate Risk'. Details on each of the worksheets are as follows:

1. 1. ICAAP

   Pillar 1 and Pillar 2 Summary (on a CET1 and Total Capital basis)

   1. Rows #100 to #190 {Pillar 1 Risks} – For the purpose of the ICAAP Data Return, populate Pillar 1 figures within these rows based on Regulatory Pillar 1 capital requirements. DTIs need to ensure that the figures reported for Pillar 1 risks within Columns #20 and #30 (summed in Row #190) are equal to the OSFI Target CET1 Capital Ratio and Target Total Capital Ratio percentages outlined below, respectively, multiplied by the DTIs risk-weighted assets.

      Pillar 1 (%)	DSIBs	SMSBs
      Minimum CET1/Total Capital	4.5% / 8.0%	4.5% / 8.0%
      Capital Conservation Buffer	2.5%	2.5%
      DSIB Surcharge	1.0%	–no data
      Countercyclical Buffer (CCyB)	varies	–no data
      Total Pillar 1 – CET1/Total Capital	8.0% / 11.5% + CCyB	7.0% / 10.5%

      Pillar 1 capital related to Credit Risk should exclude Pillar 1 Credit Valuation Adjustment (CVA) Risk, which is to be reported separately in Row #140.

      For Category III SMSBs:

      • Pillar 1 risks should be reported into Row #160 {Operational Risk} and #180 {Adjusted Total Assets} only.
      • Total Pillar 1 risk (summed in Row #190) should be equal to the figures calculated using the OSFI Target CET1 Simplified Risk-Based Capital Ratio (SRBCR) and Target Total SRBCR percentages outlined above, respectively, multiplied by the Category III SMSB's sum of Adjusted Total Assets and Operational Risk risk-weighted assets.
   2. Rows #200 to #220 {Adjustment for Pillar 1 Difference between Regulatory Capital and Economic Capital} – These rows are available for IRB banks only to allow institutions to include the adjustment for Pillar 1 differences between Regulatory Capital and Economic Capital. The result will enable the "ICAAP Requirement for Pillar 1 & 2" (Row #950) to match the total Economic Capital requirement used by IRB banks.
   3. Column #10 (Risk Categories) – The broader definitions of risk categories are provided below under Section IV 'Risk Definitions'.
   4. Columns #20 and #30 {ICAAP (Institution's Assessment of Capital Required for the Risk)} – DTIs are expected to report their own assessment of Pillar 2 capital required to cover all material risks for ICAAP purposes. The Pillar 2 capital amounts reported should not include the Pillar 1 capital requirements noted above. Where applicable, allocations should be broken down by sub-risk categories.
      • At a minimum, except Category III SMSBs, OSFI expects DTIs to provide a Pillar 2 capital allocation to cover Credit Concentration Risk and IRRBB. Where the DTI does not have a material Credit Risk, it should ensure Pillar 2 capital allocations are made to cover Operational/Reputation Risk.
      • For any risk that are not applicable, the cells in the respective row should be left blank.
      • Where DTIs have identified risks that are applicable but were determined as immaterial and therefore not quantified, institutions should populate those sections with zeros and select an appropriate item in Column #40.
   5. Column #40 {Risk Quantification Methodology} – Use the drop-down selection to identify the following for each particular risk:
      • M – Model quantified: The capital allocation for the particular risk has been quantified via model methodology.
      • NM – Non-model quantified: The capital allocation for the particular risk has been quantified via non-model methodology.
      • RM – Not quantified but risk managed (through stress testing, limits, or other controls) or mitigated: No quantification has been made because the risk has been risk managed/mitigated through stress testing, limits or other controls.
      • TBD – Identified as material risk but not yet quantified: Where risk has been identified as material but has not yet been quantified for capital allocation, "TBD" should be selected from the drop-down menu.
      • MUNQ – Materiality unknown and not yet quantified: Where materiality of the risk is unknown and not yet quantified, "MUNQ" should be selected from drop-down menu.
      • NMNQ – Not material and not quantified: Where risks have been identified as applicable but determined as immaterial and therefore not quantified, DTIs should populate those rows with zeros and select "NMNQ" from the drop-down menu.
   6. Column #50 {Other Comments (If Necessary)} – Where appropriate, supplement with additional comments to provide further clarification on the risk and/or risk quantification methodology.
   7. Row #310 {Concentration Risk} – Complete this row only if the DTI is unable to breakdown concentration risk into Rows #320 to #360 (i.e., DTIs are to complete either Row #310 or Rows #320 to #360).
   8. Row #410 {IRRBB} – Complete this row only if the DTI is unable to breakdown IRRBB risk into Rows #420 to #460 (i.e., DTIs are to complete either Row #410 or Rows #420 to #460).
   9. Row #490 {Trading Market Risk (TMR)} – Complete this row only if the DTI is unable to breakdown market risk into Rows #500 to #560 (i.e., DTIs are to complete either Row #490 or Rows #500 to #560).
   10. Row #610 {Operational Risk} – Complete this row only if the DTI is unable to breakdown operational risk into Rows #620 to #650 (i.e., DTIs are to complete either Row #610 or Rows #620 to #650).
   11. Row #920 {Inter-risk Diversification Benefit} – If an inter-risk diversification benefit is considered, complete this row (i.e., inter-risk diversification benefit should not be included as part of any other risk categories) and clearly describe the rationale in Column #50. Note that OSFI's supervisory review process will generally not take into account any inter-risks diversification benefit unless it is quantified by a rigorous model with adequate support.
   12. Row #930 {Additional Capital to Cover Stress Testing (Not Already Allocated to Pillar 2 Risks Above)} – Where the DTI has determined that additional capital is required to cover specific stress impacts and for which amounts have not already been allocated to specific Pillar 2 risks, this row should be completed.
   13. Rows #1000 to #1020 {Available Regulatory Capital} – DTIs need to ensure that the figures reported for available regulatory capital are equal to the figures reported within the BCAR in DPA_1017, DPA_1003, and DPA_1004. For Category III SMSBs, available regulatory capital should equal figures reported within the BCAR in DPA_16003, DPA_16004, and DPA_16005.
   14. Rows #1030 {Available Economic Capital} – IRB banks are expected to populate their available economic capital.
   15. Rows #1100 to #1160
       • Column #002 {Board Limit} – Indicate the Board approved capital limits as required by OSFI's Corporate Governance Guideline. In the case of layers of limits which are all approved by the Board (Board, Management, Operating, etc.), indicate the limit that is closest to OSFI's supervisory capital targets/regulatory minimums.
       • Column #003 {Management Limit} – Indicate the internal capital limit closest to the Board approved capital limit which does not require Board-level approval in the event of limit breach (but requires management-level approval). Should there be a range for the management limit, indicate the lowest value of the range.
       • Note, TLAC ratios (Rows #1140 to #1160) are applicable to DSIBs only.
   16. Rows #1200 to #1240 {Impact from OSFI Prescribed Stress Tests} and Rows #1300 to #1310 {OSFI Prescribed Stress Tests - Probability of Default / Loss Given Default} – Note that, unless otherwise instructed, these rows are applicable to SMSBs only. OSFI requests all SMSBs to conduct single-factor prescribed stress tests and report the capital ratio impact of such stress tests pre- and post-management actions. Detailed assumptions on these stress tests will be provided by the Lead Supervisor.
       • Row #1230 {OSFI Prescribed Stress Test – Capital Ratio Impact from Real Estate Downturn Substitution Stress Test (Real Estate Downturn Substitution)} – Where multiple single-factor stress tests are conducted, indicate the most severe capital impact in Row #1230 and provide additional comments in Row #2000 outlining the single-factor stress test used that resulted in the most severe capital impact as well as the ranges of capital impacts from other single-factor stress tests.
       • Rows #1300 to #1310 {Probability of Default / Loss Given Default information} – Use weighted-average where appropriate.
   17. Row #2000 {Additional Comments} – Additional information can be provided as necessary.

2. 2. ICAAP Comparison

   This worksheet presents a period over period comparison for the DTI's capital adequacy assessment.

   • Column #30 {Reporting Date (Current Period)} – Total Capital data on this column will populate automatically from the '1. ICAAP' worksheet. Populate Reporting Date for the current period.
   • Column #60 {Reporting Date (Previous Period)} – Total Capital data populated in the previous ICAAP Data Return submission should be included in this column. Populate Reporting Date for the previous period.
   • Column #70 {Difference (Current Period - Previous Period)} – Data in this column will populate automatically.
   • Column #80 {Is Risk Quantification Methodology Changed for Current Reporting Period?} – Select "Yes" or "No" from the drop down menu to identify whether there has been a change to the Risk Quantification Methodology since the last reporting period.
   • Column #90 {Comments on Material Differences} – Explanations should be provided for any material changes in the capital required, considering quantitative (with +/-5% difference) and qualitative factors.

3. 3. Climate Risk

   Climate Risk is considered transversal in nature as they drive more traditional risks including Credit, Market, Operational, Reputational, Insurance and Legal Risk. The purpose of this worksheet is to provide a breakdown of Climate Risk already captured within the risk categories in the ICAAP Data Return (i.e., for Pillar 1 '1. ICAAP' worksheet Rows #110 to #180; for Pillar 2 '1. ICAAP' worksheet Rows #780 and #790). DTIs are to complete this worksheet on a best efforts basis.

   • Column #110 {Total Climate Risk} – Complete this column on a best efforts basis, and where available, provide further breakdown in Columns #120 and #130.

IV. Risk Definitions

This section is intended to provide risk definitions that are commonly used in the banking industry. If DTIs define a particular risk differently, indicate it within the submission.