Deposit-Taking Institutions - Reporting Manual EB/ET – 2L Schedule for Office of the Superintendent of Financial Institutions Liability Reporting by Counterparty

EB/ET Interbank and Major Exposures Return – 2L Schedule for Liability Reporting by Counterparty

PURPOSE

The purpose of the EB/ET – 2L schedule for liability reporting by counterparty, is to provide a better understand of the interconnectedness between financial institutions and improve the monitoring of shadow banking and DSIB funding activities.

STATUTORY

Sections 628 of the Bank Act

APPLICATION

This return applies to the following banks: Royal (RBC), Toronto Dominion Financial Group (TD), Bank of Nova Scotia (BNS), (BMO), Canadian Imperial Bank of Commerce (CIBC), and (NBC).

PUBLICATION

[A formal statement will be provided]

FREQUENCY

Quarterly – calendar

REPORTING DATES

This return is to be completed as of the end of each quarter and submitted within 50 days of the quarter-end date.

CONTACT AGENCY

Bank of Canada

SCOPE

The scope of this return is limited to the Net Cumulative Cash Flow return.

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GENERAL INSTRUCTIONS

The EB/ET-2L is to provide a counterparty breakdown of select liabilities using the definitions provided on the NCCF return unless otherwise stated.

1. COUNTERPARTY IDENTIFICATION

This return has a mix of fixed counterparties, variable counterparties, and an aggregated “other” column for each category. The fixed counterparties are named entities and will be reported on every reporting period regardless of their ranking. Variable counterparties will also be named but can change from one reporting period to another and are numbered by category (e.g. Auto Lender 1, Auto Lender 2, Auto Lender 3, …). The selection of the variable counterparties is to be updated every period using the counterparty rankings, to report the largest counterparties in every category without duplicating the counterparties already reported as fixed counterparties. The “other” column for each category captures the residual aggregate values for all counterparties that are not individually identified as either fixed or variable counterparties.

2. COUNTERPARTY RANKING

To be based on the total reported on row C1.

3. INDUSTRY CLASSIFICATION

This return uses the 2017 North American Industry Classification System (NAICS) as a guide to map financial institutions to the industries on the EB/ET-2L. The concordance table is in Appendix I ‘Concordance Table – NAICS to EB/ET Liabilities’. Corporate conglomerates that satisfy the criteria of multi-sector classification should be categorized on a best efforts basis. Additionally, a small number of the 6-digit NAICS classifications apply to multiple EB/ET categories (522111, 522112, 523920, 523990, 526989, 522299), counterparties with these classifications are to be allocated to the EB/ET categories on a best efforts basis. For example: A counterparty would be classified into a single industry instead of allocating or “spreading” the balance into multiple industries, unless the spread already exists.

4. COUNTERPARTY CONSOLIDATION

The ‘fixed’ counterparties named on the template are to be reported on a consolidated basis subject to the exceptions listed below. Reporting banks are asked on a best efforts basis to consolidate the ‘variable’ counterparties which are also subject to the exceptions listed below.

1. Funds and investment vehicles (e.g. mutual funds, other investment funds, and special purpose vehicles) are to be reported as separate counterparties

2. Auto lenders are to be reported as individual counterparties and not consolidated into non-financial parent companies.

3. Otherwise counterparties are generally expected to be consolidated at the ultimate parent level, except for the following cases:

1. Financial Corporations: All entities in the corporate structure of Manulife Financial Corporation are allotted to “Insurance Companies” except for the following cases:

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a. Manulife Bank of Canada (LEI:5493001EC14NJPX15P10): is to be reported under “Deposit Taking Institutions (excluding credit unions)” b. Manulife Asset Management and subsidiaries are to be reported separately into their respective categories (e.g. Investment Management Companies, Mortgage Investment Corporations/Mortgage Investment Funds, and Real Estate Investment Companies).

2. Power Corporation of Canada: All entities in the corporate structure of Power Corporation of Canada are allotted to “Insurance Companies” except for the following cases: a. IGM Financial Inc. and subsidiaries are to be reported separately into their respective categories (e.g. Investment Management Companies, Mortgage Investment Corporations/Mortgage Investment Funds, and Real Estate Investment Companies). b. Power Energy Corporation and subsidiaries are to be reported in the Non-Financial Corporations category. c. Sagard Funds (Sagard Europe, Sagard Holdings, and Sagard China) are to be reported separately in the Investment Management Companies category.

3. Domestic government counterparties are to be consolidated up to the GBE level http://www.osfi- bsif.gc.ca/Eng/Docs/GBE.pdf

5. CROSS RETURN RULES

The total of each row on the EB/ET – 2L is required to reconcile with the NCCF.

6. DEFINITIONS

• Before netting: “before netting” is gross of netting between repo and reverse repo, and prior to offsetting with collateral. • Total repurchase agreements denominated in Canadian dollars after market value of collateral: Gross repo balance after offset with pre-haircut collateral. • Maturity bucketing: is presumed to be based on residual maturity (consistent with NCCF report) instead of original maturity • Independent investment dealers: Investment dealers that are not consolidated subsidiaries of the big 6 banks. • Clearing houses: For the purpose of this return, clearing houses are entities that will have a central counterparty function.

7. FINANCIAL INSTRUMENT CATEGORIES

The definitions for financial instrument categories on the EB/ET-2L follow the financial instrument definitions of the NCCF Return subject to the notes and exceptions listed below.

1. Part A Non-Negotiable Deposits: Deposits are to be broken down by counterparty with the exception of ‘negotiable’ deposits that are to be allocated to a single column (column 205).

2. Part A customer’s BAs issued, swapped intrabank deposits and deposits from affiliates: BAs should be reported in column 205 with other negotiable deposits. Cross currency funding with affiliates (NCCF line 313) and deposits from affiliates (NCCF line 314) is to be reported as funding from that own entity (e.g. CIBC will enter the value of NCCF line 312 (sum of line 313 and 314) under the 2L template Column 2, RBC will enter their NCCF line 312 in 2L template Column 3, etc.).

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3. Part B components must be zero or positive in lines 1f, 2f and 3f: The intent is to capture the value of under-collateralization. As such, repos and securities lent are assessed at the individual transaction level. a. If the cash leg is less than or equal to the collateral leg (i.e. over-collateralization), a zero value will be reported for that transaction. b. If the cash leg is greater than the collateral leg (i.e. under-collateralization), the value reported for that transaction will be equal to the cash leg subtract the collateral leg. c. The value reported in these three lines will be the sum of all individual values calculated for the individual transactions pertaining to those lines.

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APPENDIX I – CONCORDANCE TABLE – NAICS TO EB/ET LIABILITIES

EB/ET Assets North American Industry Classification (NAICS) Industry 2-Digit 3-Digit 4-Digit 5-Digit 6-Digit Big 6 Banks 52 522 (Credit 5221 52211 522111 (Personal and (Finance intermediation (Depository (Banking) commercial banking and and related credit industry) Insurance) activities) intermediation) NOTE: This category may also apply to “Other Deposit Taking Institutions (excluding credit unions)” 522112 (Corporate and institutional banking industry) NOTE: This category may also apply to “Other Deposit Taking Institutions (excluding credit unions)” Other Deposit Taking 52 522 (Credit 5221 52211 522111 (Personal and Institutions (excluding (Finance intermediation (Depository (Banking) commercial banking credit unions) and and related credit industry) Insurance) activities) intermediation) NOTE: This category may also apply to “Big 6 Banks” 522112 (Corporate and institutional banking industry) NOTE: This category may also apply to “Big 6 Banks” 52219 (Other 522190 (Other depository depository credit credit intermediation) intermediation) Insurance Companies 52 524 (Insurance 5241 52411 (Direct 524111 (Direct (Finance carriers and (Insurance life, health and individual life, health and related carriers) medical and medical insurance Insurance) activities) insurance carriers) carriers) 524112 (Direct group life, health and medical insurance carriers) 52412 (Direct 524121 (Direct general insurance property and casualty (except life, insurance carriers) health and 524122 (Direct, medical) private, automobile carriers) insurance carriers) 524123 (Direct, public, automobile insurance carriers)

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524124 (Direct property insurance carriers) 524125 (Direct liability insurance carriers) 524129 (Other direct insurance (except life, health and medical) carriers) 52413 524131 (Life (Reinsurance reinsurance carriers) carriers) 524132 (Accident and sickness reinsurance carriers) 524133 (Automobile reinsurance carriers) 524134 (Property reinsurance carriers) 524135 (Liability reinsurance carriers) 524139 (General and other reinsurance carriers) 5242 52421 524210 (Insurance (Agencies, (Insurance agencies and brokerages and agencies and brokerages) other insurance brokerages) related 52429 (Other 524291 (Claims activities) insurance adjusters) related 524299 (All other activities) insurance related activities) Investment 52 523 5239 (Other 52391 523910 (Miscellaneous Management (Finance (Securities, financial (Miscellaneous intermediation) Companies and commodity investment intermediation) Insurance) contracts, and activities) 52392 523920 (Portfolio other financial (Portfolio management) NOTE: investment management) This category may also and related apply to “Pension activities) Funds” 52393 523930 (Investment (Investment advice) advice) 52399 (All 523990 (All other other financial financial investment investment activities) NOTE: This activities) category may also apply to “Investment Dealers” and “Clearing Houses” 526911 (Equity funds – Canadian)

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526 (Funds 5269 (Other 52691 (Open- 526912 (Equity funds and other funds and end investment – foreign) financial financial funds) 526914 (Money vehicles) vehicles) market funds) 526915 (Bonds and income / dividend funds – Canadian) 526916 (Bonds and income / dividend funds – foreign) 526917 (Balance funds / asset allocation funds) 526919 (Other open- ended funds) 52693 526930 (Segregated (Segregated (except pension) (except funds) pension) funds) 52698 (All 526989 (All other other funds miscellaneous funds and financial and financial vehicles) vehicles) NOTE: This category may also apply to “Mortgage Investment Corporations/Mortgage Investment Funds” and “Special Purpose Vehicles” Auto Lenders 53 (Real 532 (Rental 5321 53211 532112 (Passenger car estate and and leasing (Automotive (Passenger car leasing) rental and services) equipment and leasing) leasing) rental and 53212 (Truck, 532120 (Truck, utility leasing) utility trailer trailer and recreational and vehicle (RV) rental recreational and leasing) vehicle (RV) rental and leasing) Leasing & Finance 52 522 (Credit 5222 (Non- 52221 (Credit 522210 (Credit card Companies (excluding (Finance intermediation depository card issuing) issuing) auto, and real estate and and related credit 52222 (Sales 522220 (Sales companies) Insurance) activities) intermediation) financing) financing) 52229 (Other 522291 (Consumer non-depository lending) credit 522299 (All other non- intermediation) depository credit intermediation) NOTE: This category may also apply to “Mortgage Finance Companies”

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5223 52239 (Other 522390 (Other (Activities activities activities related to related to related to credit intermediation) credit credit intermediation) intermediation) 52231 522310 (Mortgage and (Mortgage and non-mortgage loan non-mortgage brokers) loan brokers) 53 (Real 532 (Rental 5322 53221 532210 (Consumer estate and and leasing (Consumer (Consumer electronics and rental and services) goods and electronics and appliance rental) leasing) rental) appliance rental) 53228 (All 532280 (All other other consumer goods rental) consumer goods rental) 5324 53241 532410 (Construction, (Commercial (Construction, transportation, mining, and industry transportation, and forestry machinery machinery and mining, and and equipment rental equipment forestry and leasing) rental and machinery and leasing) equipment rental and leasing) 53242 (Office 532420 (Office machinery and machinery and equipment equipment rental and rental and leasing) leasing) 53249 (Other 532490 (Other commercial commercial and and industrial industrial machinery machinery and and equipment rental equipment and leasing) rental and leasing) 533 (Lessors 5331 (Lessors 53311 (Lessors 533110 (Lessors of of non- of non- of non- non-financial financial financial financial intangible assets intangible intangible intangible (except copyrighted assets (except assets (except assets (except works)) copyrighted copyrighted copyrighted works)) works)) works)) Mortgage Finance 52 522 (Credit 5222 (Non- 52229 (Other 522299 (All other non- Companies (Finance intermediation depository non-depository depository credit and and related credit credit intermediation) NOTE: Insurance) activities) intermediation) intermediation) This category may also apply to “Leasing & Finance Companies”

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Mortgage Investment 52 526 (Funds 5269 (Other 52691 (Open- 526913 (Mortgage Corporations/Mortgage (Finance and other funds and end investment funds) Investment Funds and financial financial funds) Insurance) vehicles) vehicles) 52698 (All 526989 (All other other funds miscellaneous funds and financial and financial vehicles) vehicles) NOTE: This category may also apply to “Investment Management Companies” and “Special Purpose Vehicles” Investment Dealers 52 523 5231 52311 523110 (Investment (Independent) (Finance (Securities, (Securities and (Investment banking and securities and commodity commodity banking and dealing) Insurance) contracts, and contracts securities other financial intermediation dealing) investment and brokerage) 52312 523120 (Securities and related (Securities brokerage) activities) brokerage) 52313 523130 (Commodity (Commodity contracts dealing) contracts dealing) 52314 523140 (Commodity (Commodity contracts brokerage) contracts brokerage) 52399 (All 523990 (All other other financial financial investment investment activities) NOTE: This activities) category may also apply to “Investment Management Companies” and “Clearing Houses” Pension Funds 52 523 5239 (Other 52392 523920 (Portfolio (Finance (Securities, financial (Portfolio management) NOTE: and commodity investment management) This category may also Insurance) contracts, and activities) apply to “Investment other financial Management investment Companies” and related activities)

526 (Funds 5261 (Pension 52611 52611 (Trusteed and other funds) (Pension pension funds) financial funds) 526112 (Non-trusteed vehicles) pension funds)

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Real Estate Investment 53 (Real 531 (Real 5311 (Lessors 53111 (Lessors 531111 (Lessors of Companies (REITs, estate and estate) of real estate) of residential residential buildings REOCs, real estate rental and buildings and and dwellings (except leasing & financing leasing) dwellings) social housings companies) projects)) 531112 (Lessors of social housing projects) 53112 (Lessors 531120 (Lessors of of non- non-residential residential buildings (except mini- buildings warehouses)) (except mini- warehouses)) 53113 (Self- 531130 (Self-storage storage mini- mini-warehouses) warehouses) 53119 (Lessors 531190 (Lessors of of other real other real estate estate property) property) 5312 (Offices 53121 (Offices 531211 (Real estate of real estate of real estate agents) agent and agents and 531212 (Offices of real brokers) brokers) estate agents) 5313 53131 (Real 531310 (Real estate (Activities estate property property managers) related to real managers) estate) 53132 (Offices 531320 (Offices of real of real estate estate appraisers) appraisers) 53139 (Other 531390 (Other activities activities related to real related to real estate) estate) Credit Unions 52 522 (Credit 5221 52213 (Local 522130 (Local credit (Finance intermediation (Depository credit unions) unions) and and related credit 522321 (Central credit Insurance) activities) intermediation) unions) Special Purpose 52 526 (Funds 5269 (Other 52698 (All 526981 (Securitization Vehicles (Finance and other funds and other funds vehicles) and financial financial and financial 526989 (All other Insurance) vehicles) vehicles) vehicles) miscellaneous funds and financial vehicles) NOTE: This category may also apply to “Investment Management Companies” and “Mortgage Investment Corporations/Mortgage Investment Funds”

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Clearing Houses 52 522 (Credit 5223 52232 522329 (Other (Finance intermediation (Activities (Financial financial transactions and and related related to transactions processing and Insurance) activities) credit processing, clearing house intermediation) reserve and activities) clearing house activities) 523 5232 52321 523210 (Securities and (Securities, (Securities and (Securities and commodity exchanges) commodity commodity commodity contracts, and exchanges) exchanges) other financial 52399 (All 523990 (All other investment other financial financial investment and related investment activities) NOTE: This activities) activities) category may also apply to “Investment Management Companies” and “Investment Dealers” Non-Financial All non-government NAICS codes that are not listed above are applicable. Corporations

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