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UNCLASSIFIED
Title Credit Risk Data Business and
of Report
Data Definitions
Sub-Title
Wholesale Transaction
(at least 5 vertical spaces)
Internal Ratings Based Approach
(Graphic element /
image could be
inserted here, if
Last Updated: January 15, 2008
Version 5.0
(at least 5 vertical spaces)
January 15, 2008
For Data Submissions after Feb 29, 2008 (Q1/2008)
Date
Author’s Name
(if applicable)
UNCLASSIFIED
Wholesale Transaction Data Field Definitions
ID Field Name Description Data Type Priority Standard
Numerical, Decimal,
Mandatory or Example: which reference tables (data
Sample Field Full Description Percentage, Dollar
Optional modifiers) apply?
Amount, etc.
Institution Identification The unique Financial Institution of Canada code, assigned by OSFI, to each participating IDs that have already been assigned to FI's in
1 Alphanumeric(4) Mandatory
Number institution. All correspondence involving data should be coded with this ID. the FIRS database
Reporting Date of
2 The last day of each fiscal quarter. Numeric(8) Mandatory None
Information
Common Risk Level -Common Risk Record (10)
Currently investigating what type of standard
3 Common Risk Number The unique code assigned by the Financial Institution to identify a Common Risk. Alphanumeric(15) Mandatory will be appropriate. If no Common Risk name
is assigned, use Borrower Number ID#11.
Common Risk KMV KMV Common Risk-unique Identification
4 The identifying number assigned by Moody's KMV to identity the Common Risk , if available. Alphanumeric(15) Optional
Identification Number number
The name of the Common Risk in which the borrower belongs. Should be the legal name of If no Common Risk name has been assigned,
5 Common Risk Name Alphanumeric(100) Mandatory
the entity, but a construct used for Risk Management purposes will be acceptable. use Borrower Name - ID#14.
Common Risk Total The Credit Risk exposure authorized to the Common Risk - committed, uncommitted, and
6 Authorized - Canadian unadvised. In Canadian dollar equivalent at reporting date. Net of any Write-offs [not net of Numeric(15) Mandatory Rounded to the nearest dollar
dollar Equivalent any Provisions]. See Note 5
Common Risk Potential The total amount of authorized Credit Risk exposure available to the Common Risk - whether
7 Exposure - Canadian dollar committed, uncommitted, or unadvised - which could be utilized. In Canadian dollar equivalent Numeric(15) Mandatory Rounded to the nearest dollar
Equivalent at reporting date. Net of any Write-offs [not net of any Provisions]. See Table 3
The total Credit Risk exposure outstanding (i.e., the amount of the authorized exposure in
Common Risk Total
ID#6 which is utilized by the Common Risk. In Canadian dollar equivalent at reporting date. It
8 Outstanding - Canadian Numeric(15) Mandatory Rounded to the nearest dollar
is derived from the total outstanding for all reported borrowers within a Common Risk . Net of
dollar equivalent
any Write-offs [not net of any Provisions].
Common Risk Country Country code of the Common Risk's incorporation of business - i.e., country of residence. If Use the standard country names list
9 Alphanumeric(2) Mandatory
Code of Incorporation the Common Risk is a construct, use the country code applicable to the primary borrower. established by ISO (3166)
10 Parent Identification (SNC) Name, Address, and Industry information for a Parent Organization. Alphanumeric(100) Optional None
Borrower [Counterparty] Level - Borrower Record (20)
The unique code assigned by the Financial Institution to identity a Counterparty. OSFI will map
11 Borrower Number Alphanumeric(15) Mandatory None
that number to an internal OSFI number.
12 Borrower KMV ID The unique code assigned by Moody's KMV to identify a Counterparty, if available Alphanumeric(15) Optional KMV borrower-unique Identification Number
13 Borrower Ticker Symbol Stock exchange ticker symbol used to identify publicly held companies Alphanumeric(8) Optional None
14 Borrower Name The legal name of the Counterparty [i.e., borrower/obligor] Alphanumeric(100) Mandatory None
BIRR code inline with Wholesale Portfolio BIRR
Borrower Internal Risk Risk rating assigned to the Counterparty by the Financial Institution (reflecting a risk of declarations. It should be a valid BIRR code
15 Numeric(4) Mandatory
Rating default). within the selected Risk Rating System ( Field
ID #95).
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UNCLASSIFIED
Wholesale Transaction Data Field Definitions
ID Field Name Description Data Type Priority Standard
Numerical, Decimal,
Mandatory or Example: which reference tables (data
Sample Field Full Description Percentage, Dollar
Optional modifiers) apply?
Amount, etc.
The Credit Risk exposure authorized to the Counterparty - committed, uncommitted, and
Borrower Total Authorized -
16 unadvised in Canadian dollar equivalent at reporting date. Net of any Write-offs [not net of any Numeric(15) Mandatory Rounded to the nearest dollar
Canadian dollar equivalent
Provisions].
Borrower Potential The total amount of authorized Credit Risk exposure available to the Counterparty - whether
17 Exposure - Canadian dollar committed, uncommitted, or unadvised - which could be utilized. In Canadian dollar equivalent Numeric(15) Mandatory Rounded to the nearest dollar
Equivalent at reporting date. Net of any Write-offs [not net of any Provisions]. See Table 3
The total Credit Risk exposure outstanding (i.e., the utilized amount of the committed,
Borrower Total Outstanding uncommitted, and unadvised authorized) to the Counterparty in Canadian dollar equivalent at
18 Numeric(15) Mandatory Rounded to the nearest dollar
- Canadian dollar equivalent reporting date. It can be derived from the total of all facility outstandings to the Counterparty.
Net of any Write-offs [not net of any Provisions].
Secondary Industry 1 = Canadian SIC Codes [Stats Can]; 2 = US
Industry Classification System used by the Financial Institution [a flag to indicate what is the
19 Classification System Numeric(1) Optional SIC Codes; 3 = NAIC Codes. Must be
nature of the next two lines]
Code2 provided with Field ID 21
As per NAICS mapping, 2002 version.3. All
Primary Industry institutions must report NAICS codes, they are
20 Primary Industry Code in NAICS.3 Alphanumeric(6) Mandatory
Classification Code required to map NAICs to the OSFI Industry
Primary Key values.
Secondary Industry As per Industry Classification System from
21 Valid secondary industry code from one of the Industry Classification Systems in ID#19 4 Alphanumeric(6) Optional
Classification Code ID#19
Borrower Country of Standard two-letter code assigned by the Financial Institution to identify the country of Use the standard country names list
22 Alphanumeric(2) Mandatory
Residence residence of the Counterparty established by ISO (3166)
Borrower Province, or State Standard province/state code. If Country is not
23 The standard two-letter postal code (e.g. Ontario = ON, Texas = TX) Alphanumeric(2) Mandatory
Code of Residence USA or Canada, provide 'NA'.
The first and the last name of the person who would be OSFI's point of reference during an on-
24 Contact Name site review of the account. For preparation of Credit Data Summaries used during on-site Alphanumeric(40) Optional Last name, first name
reviews
The telephone number of the person who would be OSFI's point of reference during an on-site
25 Contact Phone Number Alphanumeric(20) Optional Area code, plus telephone number
review of the account. For preparation of Credit Data Summaries used during on-site reviews
Higher risk borrowers the Financial Institution is managing through special attention, watch list,
26 Watch List Numeric(1) Mandatory 1=Yes; 2=No
or heightened monitoring
See Table C - As per Basel II categorization of
exposures, asset classes and subclasses that
are required include the following: Bank,
Flag indicating if the borrower is identified as Small or Medium Enterprise, Corporate, or
27 Borrower Portfolio Numeric(1) Mandatory Sovereign, Project Finance, Object Finance,
Commercial for Basel II purposes
Commodities Finance, Income-producing Real
Estate, High Volatility Commercial Real Estate,
and SME's treated as Corporate.11
28 Borrower Annual Revenues The Counterparty's annual revenues in Canadian dollar equivalent. Numeric(15) Optional Rounded to the nearest dollar
Industry Portfolio The most granular Industry Portfolio to which the Counterparty is assigned for internal risk
29 Alphanumeric(30) Mandatory None
Classification management or reporting purposes
The total provisions (if any) set up to reflect an expected loss against the Counterparty's
30 Specific Allowance exposure. Cumulative specific provisions taken less cumulative write-offs. In Canadian dollar Numeric(15) Mandatory Rounded to the nearest dollar
equivalent
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UNCLASSIFIED
Wholesale Transaction Data Field Definitions
ID Field Name Description Data Type Priority Standard
Numerical, Decimal,
Mandatory or Example: which reference tables (data
Sample Field Full Description Percentage, Dollar
Optional modifiers) apply?
Amount, etc.
The permanent reduction in the carrying value of the loan in Canadian dollar equivalent, during Rounded to the nearest dollar. If no Write-offs,
31 Write Offs Numeric(15) Mandatory
the reporting quarter. provide '0' (zero).
Date of Financial
32 Date of Financial Institution's most recent write-off in the reporting quarter. Numeric(8) Optional None
Institution's Write Off
The total recovered of previously written off amounts through collection efforts, realization of Rounded to the nearest dollar. If no
33 Recoveries Numeric(15) Mandatory
collateral, etc. in Canadian dollar equivalent, during the reporting quarter. Recoveries, provide '0' (zero).
34 Date of Recovery Date of most recent recovery in the reporting quarter. Numeric(8) Optional None
Sum of all provisions established for probable losses on non-accrual loans assigned to an In accordance with OSFI's Capital Adequacy
35 Specific Provisions Numeric(15) Mandatory
individual borrower within the reporting quarter. In Canadian dollar equivalent. Report Guideline
A probabalistic assessment of the potential for losses and the amount of capital needed to In accordance with OSFI's Capital Adequacy
36 Economic Capital Numeric(15) Mandatory
support a given set of business activities or risks at the borrower level. Report Guideline
Exposure Classes of Internal Ratings Based approach Banks: the categorization of banking See Table C, In accordance with OSFI's
37 Exposure Classes Alphanumeric(2) Mandatory
book exposures into Internal Ratings Based asset classes. Capital Adequacy Report Guideline.11
Borrower Probability of
An internal estimate of the Probability of Default for a borrower risk rating grade used in
38 Default for Regulatory Numeric(6) Mandatory Rounded to 2 decimal places
determining regulatory capital requirements of an exposure.
Capital
Borrower Probability of
An internal estimate of the Probability of Default for a given borrower risk rating grade used in
39 Default for Economic Numeric(6) Mandatory Rounded to 2 decimal places
determining economic capital requirements of an exposure.
Capital
Borrower Regulatory The total aggregated amount of Internal Ratings Based approach regulatory capital applied to
40 Numeric(15) Mandatory Rounded to the nearest dollar
Capital the borrower's name.
External Borrower SNC Borrower Identification Number. Regulatory identification number for U.S. exposures.
41 Alphanumeric(15) Optional None
Identification Number Placeholder for Canadian exposures.
RRS code inline with Wholesale Portfolio RRS
95 Risk Rating System The Counterparty's Risk Rating System assigned by the Financial Institution. Numeric(4) Mandatory
declarations
Facility and Product Level -Facility Record (30)
42 Facility Number The unique code assigned by the FI to identity a facility. Alphanumeric(25) Mandatory None
43 Primary Facility Type Primary type of product authorized for the facility Alphanumeric(8) Mandatory See Table A, for expected values.11
Secondary type of product authorized for the facility - if a multi-product facility with all products
See Table A, for expected value ; used only if
44 Secondary Facility Type recorded as a single facility for MIS purposes; record the product ranked second by Alphanumeric(8) Optional
multi-product facilities are recorded.11
importance.
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UNCLASSIFIED
Wholesale Transaction Data Field Definitions
ID Field Name Description Data Type Priority Standard
Numerical, Decimal,
Mandatory or Example: which reference tables (data
Sample Field Full Description Percentage, Dollar
Optional modifiers) apply?
Amount, etc.
Use the standard country names list
45 Facility Country of Risk Standard two-letter code assigned by the FI to identity the country of ultimate risk of the facility Alphanumeric(2) Mandatory
established by ISO (3166)
Standard two-letter code assigned by the FI to identity the physical location of ID#39 for the Use the standard country names list
46 Booking Point Country Alphanumeric(2) Optional
facility established by ISO (3166)
47 Booking Point Transit Booking point transit number of the facility - to reflect the office in which booked. Alphanumeric(10) Mandatory None
FRR code inline with Wholesale Portfolio BIRR
declarations. It should be a valid FRR code
48 Facility Risk Rating Risk rating assigned to the facility by the FI (reflecting a risk of loss). Numeric(4) Mandatory
within the selected Risk Rating System ( Field
ID #96).
Standard three letter mnemonic used for
49 Facility Currency The base, or primary, currency in which the facility is documented with the Counterparty Alphanumeric(3) Mandatory
currency
The total amount of authorized Credit Risk exposure for the facility - committed, uncommitted,
50 Facility Total Authorized Numeric(15) Mandatory Rounded to the nearest dollar
and unadvised. In the Facility Currency. Net of any write-offs [not net of any Provisions].
The total outstanding amount of the facility. In the Facility Currency. Net of any Write-offs [not
51 Facility Total Outstanding Numeric(15) Mandatory Rounded to the nearest dollar
net of any Provisions].
Rounded to the nearest dollar - where there is
unadvised or undrawn amounts and these
The total amount of authorized Credit Risk exposure for the facility - committed, uncommitted,
Facility Total Authorized - amount are available or accessible to the
52 and unadvised. In Canadian dollar equivalent at reporting date. Net of any write-offs [not net Numeric(15) Mandatory
Canadian dollar Equivalent account holder without any further/ or
of any Provisions].
additional credit authorization/approval, these
amounts must be included.
The total amount of authorized Credit Risk exposure for the facility - whether committed,
Facility Potential Exposure -
53 uncommitted, or unadvised which could be utilized. In Canadian dollar equivalent at reporting Numeric(15) Mandatory Rounded to the nearest dollar
Canadian dollar Equivalent
date. Net of any Write-offs [not net of any Provisions]. See Table 3
Facility Total Outstanding - The total exposure outstanding under the facility. In Canadian dollar equivalent at reporting
54 Numeric(15) Mandatory Rounded to the nearest dollar
Canadian dollar Equivalent date. Net of any Write-offs [not net of any Provisions].
Facility Total Outstanding -
The total exposure outstanding under the facility. In Canadian dollar equivalent at reporting
55 Canadian dollar Equivalent, Numeric(15) Mandatory Rounded to the nearest dollar.
date for on-balance sheet products. Net of any Write-offs [not net of any Provisions].
on- Balance Sheet
Facility Total Outstanding -
The total exposure outstanding under the facility. In Canadian dollar equivalent at reporting
56 Canadian dollar Equivalent, Numeric(15) Mandatory Rounded to the nearest dollar.
date for off-balance sheet products. Net of any Write-offs [not net of any Provisions].
off-Balance Sheet
1=Committed; 2=Uncommitted; 3=Unadvised;
57 Exposure Type One of Committed/Uncommitted/Unadvised Numeric(1) Mandatory 11
Shared and/or Linked 1=Shared; 2=Linked; 3=Shared/Linked; 4=not a
58 Indicator of whether this is a "shared" or "linked" facility Numeric(1) Mandatory
Facility shared/linked facility; 11
Maximum Amount this borrower or facility can draw against the total shared/linked facility, in
59 Maximum Amount Draw the Facility Currency, assuming no existing drawdown. Net of any Write-offs [not net of any Numeric(15) Optional Rounded to the nearest dollar
Provisions].
Page 5 of 10
UNCLASSIFIED
Wholesale Transaction Data Field Definitions
ID Field Name Description Data Type Priority Standard
Numerical, Decimal,
Mandatory or Example: which reference tables (data
Sample Field Full Description Percentage, Dollar
Optional modifiers) apply?
Amount, etc.
Percentage this borrower or facility can draw against the shared/linked facility - i.e., ID#50 as a
60 Percentage Draw percentage of the total shared/linked facility authorized amount [which may differ from ID#50, if Numeric(3) Optional Rounded to the nearest whole percentage
the total is capped]
61 Review Date The currently scheduled review date for Counterparty exposure Numeric(8) Mandatory None
Status; if in default, the triggering event. The selection of the triggering event should be in
62 Facility Status Alphanumeric(2) Mandatory See table 1.11
accordance with the Capital Adequacy Report Guideline.
63 Default Date Date of default or triggering event. This date must be consistent between reporting period. Alphanumeric(8) Optional None
64 Hedging Status Indicate whether the exposure has been hedged, by a qualifying hedging technique. Numeric(1) Mandatory 1=Yes, completely; 2=Yes, partially; 3=No; 11
65 Hedging Percentage Indicates the amount of hedge as percentage of outstanding exposure at reporting date.9 Numeric(3) Optional Rounded to the nearest whole percentage
Cash and/or Marketable
66 Indicator whether the collateral taken is cash and/or marketable security Numeric(1) Mandatory 1=Yes; 2=No; 11
Security
67 Primary Collateral Type of collateral securing the facility. Alphanumeric(8) Mandatory See Table B.11
68 Seniority Profile Indicate whether the facility is senior or subordinated Numeric(2) Mandatory See Table 2.11
69 Syndicated Facilities Indicate whether the facility is syndicated Numeric(1) Mandatory 1=Yes; 2=No; 11
1=Agent or Co-agent; 2=Participant; 3=Not
70 Syndicate Role If syndicated, indicate the Financial Institution's role in the syndicate Numeric(1) Mandatory
syndicated; 11
The total provisions (if any) set up to reflect the amount of loss expected on the facility.
71 Specific Allowance Numeric(15) Mandatory Rounded to the nearest dollar
Cumulative specific provisions taken less cumulative Write-offs. In the Facility Currency
The permanent reduction in the carrying value of the loan in the Facility Currency, during the Rounded to the nearest dollar. If no Write-offs,
72 Write Offs Numeric(15) Mandatory
reporting quarter. provide '0' (zero).
Date of Financial
73 Date of Financial Institution's most recent Write Off in the reporting quarter. Numeric(8) Optional None
Institution's Write Off
The total recovered of previously written off amounts through collection efforts, realization of Rounded to the nearest dollar. If no Recovery/
74 Recoveries Numeric(15) Mandatory
collateral, etc. in currency of facility, during the reporting quarter. Write-offs, provide '0' (zero).
Page 6 of 10
UNCLASSIFIED
Wholesale Transaction Data Field Definitions
ID Field Name Description Data Type Priority Standard
Numerical, Decimal,
Mandatory or Example: which reference tables (data
Sample Field Full Description Percentage, Dollar
Optional modifiers) apply?
Amount, etc.
75 Date of Recovery Date of most recent recovery in the reporting quarter. Numeric(8) Optional None
1 = Guarantee, 2 = Standby Letter of Credit, 3=
76 Guarantee Type The type of guarantee used to mitigate a facility's credit risk. Numeric(1) Mandatory
No Guarantee
Rounded to the nearest dollar. Data is required
77 Guarantee Amount The value of the guarantee used to mitigate a facility's credit risk. Numeric(15) Optional
unless 'No Guarantee' declared in Field ID 76.
Data is required unless 'No Guarantee'
78 Guarantor Name The legal name of the guarantor. Alphanumeric(100) Optional
declared in Field ID 76.
Guarantor Internal Risk Data is required unless 'No Guarantee'
79 The internal borrower risk rating assigned to the guarantor by the FI. Alphanumeric(15) Optional
Rating declared in Field ID 76.
Guarantor (PD) Probability
An internal estimate of the Probability of Default associated with a guarantor's internal risk Rounded to 2 decimal places. Data is required
80 of Default for Regulatory Numeric(6) Optional
rating used in determining regulatory capital. unless 'No Guarantee' declared in Field ID 76.
Capital
Guarantor Probability of
An internal estimate of Probability of Default for each borrower risk rating grade used in Rounded to 2 decimal places. Data is required
81 Default for Economic Numeric(6) Optional
determining economic capital. unless 'No Guarantee' declared in Field ID 76.
Capital
Whether facility is in
1=Banking Book; 2=Trading Facilities /
82 banking book or trading Please refer to OSFI's Capital Adequacy Report Guideline. Numeric(1) Mandatory
Products
book
Sum of all provisions established for probable losses on the non-accrual loan within the
83 Specific Provisions Numeric(15) Mandatory Rounded to the nearest dollar
reporting quarter. In the Facility Currency.
Accrual or Non Accrual
84 Specifies whether or not a loan is classified as accrual or non-accrual Numeric(1) Mandatory 1=Accrual; 2=Non-Accrual
Account
Effective maturity assumed for IRB capital requirements, as outlined in OSFI's Capital
85 Effective Maturity Numeric(6) Mandatory Rounded to 1 decimal place
Adequacy Report Guideline.
Whether the facility is a
86 SNC Facility ID for U.S. exposures. Placeholder for Canadian exposures. Numeric(1) Optional 1=Yes; 2=No
SNC credit
1= Pass, 2 = Special Mention, 3 =
87 SNC Rating Ratings assigned by SNC. Numeric(1) Optional
Substandard, 4 = Doubtful, 5 = Loss and Blank
Agent/Participant bank
In the current SNC program, and as a new data element, the agent would be required to
88 share of committed Numeric(6) Optional Rounded to the nearest two decimal points
provide the utilized exposure for each participant.
exposure
Loss Given Default for
89 An internal estimate of the recovery rate for IRB regulatory capital. Numeric(6) Mandatory Rounded to the nearest two decimal points
Regulatory Capital
Page 7 of 10
UNCLASSIFIED
Wholesale Transaction Data Field Definitions
ID Field Name Description Data Type Priority Standard
Numerical, Decimal,
Mandatory or Example: which reference tables (data
Sample Field Full Description Percentage, Dollar
Optional modifiers) apply?
Amount, etc.
Loss Given Default for
90 An internal estimate of the recovery rate for internal economic capital. Numeric(6) Mandatory Rounded to the nearest two decimal points
Economic Capital
An internal estimate that predicts gross dollar exposure upon the default of the obligor (i.e.
Exposure at Default for current outstanding amounts plus an estimate of additional drawings up to the time of default
91 Numeric(15) Mandatory Rounded to the nearest dollar
Regulatory Capital and after) used in determining the Internal Ratings Based capital requirement for a group of
similar exposures, expressed as a dollar amount.
Exposure at Default for An internal estimate for economic capital of the expected gross dollar exposure for each
92 Numeric(15) Mandatory Rounded to the nearest dollar
Economic Capital facility upon a borrower's default.
A probabalistic assessment of the potential for losses to determine the amount of economic
93 Economic Capital Numeric(15) Mandatory Rounded to the nearest dollar
capital needed to support a facility's credit risk, which is used internally by the bank.
Internal Ratings Based The minimum amount of regulatory capital required under OSFI's Capital Adequacy Guideline
94 Numeric(15) Mandatory Rounded to the nearest dollar
Regulatory Capital to meet a facility's target level of capital adequacy associated with credit risk.
RRS code inline with Wholesale Portfolio RRS
96 Risk Rating System The Counterparty's Risk Rating System assigned by the Financial Institution. Numeric(4) Mandatory
declarations
Notes:
1 Borrowers are to include all government, Financial Institution, Corporate, and Commercial names with Common Risk exposure greater than the level determined by OSFI . All
intragroup and reconciliation accounts are to be excluded.
2 Exposure must include all facilities - committed, uncommitted, or unadvised - whether authorized at the FI or any of its subsidiaries or affiliates.
3 "Exposure", "facility", and "product" are intended to capture all "Banking book" exposure, plus trading products such as FX, futures/forwards, money market lines, swaps, CP purchases etc.,
which appear on the credit applications.
4 For linked and shared accounts, Facility and Borrower authorized amounts must show the maximum available to each Borrower, i.e., authorized exposure adjusted to reflect drawdowns.
Common Risk Authorized amounts must be adjusted to show the total available at that level. A "linked" facility is one which has availability to more than one Counterparty/product within a
Connection - with a cap less than the sum of the individual limits. A "shared" facility is one available to more than one Counterparty/product within a Connection - with full availability to each
Counterparty/product [see Table 3].
5 "Authorized" means an approved exposure which can be used by the business unit without referral to the approving officer.
6 Authorized amounts must include all exposure prior to any netting from hedging and prior to any participation where the FI is responsible to the agent for funding.
7 A "Qualifying hedging technique" is one which qualifies for preferential Regulatory Capital treatment.
8 FIs expected to input values found in Table A for IDs# 43, 44 and descriptions thereof.
9 FIs expected to input values found in Table B -collateral types- for ID# 67 and descriptions thereof.
10 All Dollar Amount fields are required in Canadian Dollar equivalent unless otherwise stated in the Description.
11 Unknown options have been removed, however submitting unknown options in Q1 and Q2 2008 will not trigger rejection.
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OSFI-BSIF UNCLASSIFIED
Table 1: Facility Status11 Table 2: Seniority Profile11
Code Description Code Description
01 Non-default 01 Senior
02 Default (Bankruptcy filing) 02 Mezzanine
03 Default (90 days past due) 03 Senior Subordinated
04 Default (Distressed restructuring) 04 Junior Subordinated
05 Default (Write-off/Specific Provision) 05 Super Priority
06 Default (Unlikely to pay) 06 Pari Passu
07 Default (Distressed Sale)
08 Default (Other)
Table 3: Linked/Shared facilities
Shared $100MM revolver loan facility available to counterparties A, B, and C:
At Facility level, show three facilities:
$100MM revolver loan to Counterparty A in ID#50 (Facility Total Authorized - Orig Curr)
$100MM revolver loan to Counterparty B in ID#50 (Facility Total Authorized - Orig Curr)
$100MM revolver loan to Counterparty C in ID#50 (Facility Total Authorized - Orig Curr)
If different products are available to the different counterparties, show these, as applicable at the Facility level, for the
particular Counterparty.
At Counterparty level show: The CAD equivalent of $100MM Authorized to Counterparty A in ID#16 (Borrower Total Authorized
in CAD)
At Counterparty level show: The CAD equivalent of $100MM Authorized to Counterparty B in ID#16 (Borrower Total Authorized
in CAD)
At Counterparty level show: The CAD equivalent of $100MM Authorized to Counterparty C in ID#16 (Borrower Total Authorized
in CAD)
At Common Risk level show: The CAD equivalent of $100MM Authorized in ID#6 (Common Risk Total Authorized in CAD)
Linked $100MM facility available by demand loans up to $60MM &/or L/Cs up to $80MM:
At Facility level, show two facilities:
$60MM Demand Loans in ID#50 (Facility Total Authorized - Orig Curr)
$80MM L/Cs in ID#50 (Facility Total Authorized - Orig Curr)
At Counterparty level show: The CAD equivalent of $100MM Authorized in ID#16 (Borrower Total Authorized in CAD)
At Common Risk level show: The CAD equivalent of $100MM Authorized in ID#6 (Common Risk Total Authorized in CAD)
Potential Exposure ID for Shared/Linked Facilities:
When there is no outstanding, ID#53 (Facility Potential Exposure - CAD) will equal ID#52 (Facility Total Authorized - CAD).
When any amount is outstanding, ID#53 (Facility Potential Exposure - CAD) must be adjusted downward, as appropriate,
to reflect the reduced undrawn amount under the facilities and to show the maximum exposure if this facility were to
utilize all remaining undrawn exposure.
Example: $100MM shared facility, with $40MM drawn by Counterparty A, $0MM drawn by Counterparty B, and $25MM
drawn by Counterparty C
Counterparty A: Potential Exposure, ID#53 = $75MM [the $40MM drawn by A, plus the $35MM undrawn part of the facility]
Counterparty B: Potential Exposure, ID#53 = $35MM [$0 drawn by B, plus the $35MM undrawn part of the facility]
Counterparty C: Potential Exposure, ID#53 = $60MM [$25MM drawn by C, plus the $35MM undrawn part of the facility]
At the Borrower level, ID#17 (Borrower Potential Exposure - CAD) is adjusted for outstandings to different counterparties
in the same manner as ID#53 (Facility Potential Exposure - CAD), above.
At the Common Risk level, ID#7 (Common Risk Potential Exposure - CAD) is similarly adjusted for potential exposure to
different counterparties in ID#17 (Borrower Potential Exposure - CAD), to show a maximum Potential Exposure of
$100MM.
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OSFI-BSIF UNCLASSIFIED
Table A: Facility Type11 Table B: Collateral11
Code Description Code Description Code Description
01 Revolver Loan 16 Receivable Financing facility 01 Non-marketable Securities
02 Term Loan - Bullet 17 Debtor in Possession facility 02 Accounts Receivable
03 Term Loan - Amortizing 18 Other Trading facility 03 Inventory
04 Bridge Loan 97 Other loan facility 04 Fixed Assets and/or Equipment
05 Demand Loan 98 Other non-loan facility 05 Commercial Real Estate
06 Overdraft 06 Residential Real Estate
08 Derivative - FX, Futures, Interest/Cross Currency Swap 07 Other Real Property
09 Derivative - Credit 08 Intangibles/Franchise Value
10 Derivative - Other 09 Express-written Guarantee
11 Letter of Credit/Letter of Guarantee 10 Secured - other
12 Guarantees 11 GSA - General Security Agreement
13 Other off-balance sheet facilities 12 Accounts Receivable and Inventory
14 Asset Based Securitizations 13 Unsecured
15 Project Finance facility 14 Cash
15 Marketable Securities
Table C: Exposure Classes
11 Wholesale Portfolio (BB) Exposure Class (BF) -
Description
Exposure Classes Borrower Portfolio - Field ID 27 Field ID 37
Total Wholesale 1800 - -
Total Corporate 1801 - -
Bank 1802 1 08
Sovereign 1803 2 09
Project Finance 1804 3 01
Object Finance 1805 4 02
Commodities Finance 1806 5 03
Income Producing Real Estate 1807 6 04
High Volatility Real Estate 1808 7 05
SMEs Treated as Corporate 1809 8 06
Other Corporate 1810 9 07
Equity - - 10
Purchased Receivables - - 11
Legend: - = No values
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