Wholesale IRB Credit Parameter Data Call (DT3)
Information
Purpose
This return supports the monitoring of IRB parameter performance by providing the following:
- Segment-level backtesting information
- Portfolio view of IRB parameters by pre-defined exposure class
- One-year horizon transition matrix
Statutory
Section 628 of the Bank Act.
Application
This return applies to all Banks accredited to apply the Internal Ratings Based Approach for regulatory capital purposes.
Frequency
Quarterly
Contact person
For all return-related questions, contact Returns Admin (RA-RRS.Support@osfi-bsif.gc.ca).
Reporting dates
The return must be completed on a quarterly basis and filed within 30 days of the fiscal quarter end.
Where to submit
OSFI
General instructions
For the description of data fields, please refer to the Business and Technical Specification documents.
Technical notes
The Wholesale IRB Credit Parameter Data Call return can be submitted through the Regulatory Reporting System (RRS) by uploading a data file in XML. An XSD file that outlines the structure of conforming XML files can be downloaded from the RRS Portal Documents section.