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IRB Credit Data Wholesale Transactions Technical Specification File Layout & Data Validation Rules Last Updated: June 26, 2013 Version: 6.0, June 26, 2013 For Data Submissions after Feb 28, 2014 (Q1/14)

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Page 1: IRB Credit Data - osfi-bsif.gc.ca · IRB CREDIT DATA Technical Specification UNCLASSIFIED / NON CLASSIFIÉ 2 1. Introduction Two returns have been specified for the IRB Wholesale

IRB Credit Data

Wholesale Transactions

Technical Specification

File Layout &

Data Validation Rules

Last Updated: June 26, 2013

Version: 6.0, June 26, 2013

For Data Submissions after Feb 28, 2014 (Q1/14)

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IRB CREDIT DATA Technical Specification

UNCLASSIFIED / NON CLASSIFIÉ 1

TABLE OF CONTENTS

1. INTRODUCTION ............................................................................................................................................... 2

1.1. IRB CREDIT DATA DOCUMENTS .................................................................................................................... 2 1.2. BIBLIOGRAPHY ............................................................................................................................................... 2

2. EXTRACT FILE REQUIREMENTS .............................................................................................................. 2

2.1. FILE TYPE AND NAMING CONVENTION ......................................................................................................... 2 2.2. RECORD TYPE ................................................................................................................................................. 3 2.3. FILE STRUCTURE ............................................................................................................................................ 3 2.4. RECORD FIELD ORDER ................................................................................................................................... 4 2.5. HEADER RECORD (00) ................................................................................................................................... 4 2.6. COMMON RISK RECORD (10) ......................................................................................................................... 5 2.7. BORROWER RECORD (20) .............................................................................................................................. 5 2.8. FACILITY RECORD (30) .................................................................................................................................. 6 2.9. BORROWER FOOTER RECORD (21) ................................................................................................................ 8 2.10. COMMON RISK FOOTER RECORD (11) ........................................................................................................... 8 2.11. FOOTER RECORD (99) .................................................................................................................................... 8

3. DATA VALIDATION RULES .......................................................................................................................... 9

3.1. ERROR HANDLING .......................................................................................................................................... 9 3.1.1. PRE PROCESSING CHECKS .......................................................................................................................... 9 3.1.2. DATA HIERARCHY CHECKS ..................................................................................................................... 10 3.1.3. FIELD VALUE CHECKING ......................................................................................................................... 10 3.1.4. FIELD VALUE RULES ................................................................................................................................ 10 3.1.4.1. DOLLAR AMOUNT RULES ........................................................................................................................ 10 3.1.4.2. PROBABILITY AND PERCENTAGE RULES ................................................................................................. 11 3.1.4.3. OTHER NUMERIC VALUE RULES ............................................................................................................. 11 3.1.4.4. DATE VALUE RULES ................................................................................................................................ 12 3.1.5. ADDITIONAL IMPORTANT NOTES ............................................................................................................ 12 3.2. BUSINESS RULES .......................................................................................................................................... 13 3.2.1. QUALIFYING DATA .................................................................................................................................. 13 3.2.2. INDUSTRY CLASSIFICATION CODES ........................................................................................................ 13 3.2.3. COUNTRIES ............................................................................................................................................... 14 3.2.4. CURRENCIES ............................................................................................................................................. 14 3.2.5. PROVINCE/STATE ..................................................................................................................................... 14 3.2.6. DATE FIELDS ............................................................................................................................................ 14 3.2.7. DOLLAR AMOUNTS .................................................................................................................................. 14 3.2.7.1. ‘CROSS-MEASURE’ VALIDATION RULES ................................................................................................. 15 3.2.7.2. ‘CROSS-LEVEL’ VALIDATION RULES........................................................................................................ 16 3.2.8. NEGATIVE VALUES ................................................................................................................................... 16 3.2.9. EFFECTIVE MATURITY ............................................................................................................................. 16 3.2.10. GUARANTEE ............................................................................................................................................. 17 3.2.11. RISK RATINGS .......................................................................................................................................... 17 3.2.12. PERCENTAGE VALUES ............................................................................................................................. 17 3.2.13. OTHER BUSINESS VALIDATION RULES ................................................................................................... 17 3.3. OPTIONAL VERSUS MANDATORY DATA ELEMENTS .................................................................................. 18 3.4. ERROR REPORTING ....................................................................................................................................... 18

CHANGE CONTROL LOG ..................................................................................................................................... 19

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IRB CREDIT DATA Technical Specification

UNCLASSIFIED / NON CLASSIFIÉ 2

1. Introduction

Two returns have been specified for the IRB Wholesale Transaction data call, also known as

Rapid2: Wholesale Transaction return (BF) and the Wholesale Transaction – Defaulted and

Fully Resolved return (BG).

1.1. IRB Credit Data documents

This document describes the layout and format of file to be provided for the Wholesale

Transaction return. Data validation rules, errors and warnings are also described. The data

definitions for the fields in the return are found in [1]. It also provides examples, and

background information about the data collected to populate the NCR Transactional

database.

1.2. Bibliography

[1] OSFI, “IRB Wholesale Transaction Credit Data Definitions document.”, Microsoft Excel

Spreadsheet, March 2007, Unclassified OSFI Publication.

[2] OSFI, “IRB Credit Data, Wholesale Transaction - Technical Specification: File Layout &

Data Validation Rules”, Microsoft Word Document, March 2007, Unclassified OSFI

Publication.

2. Extract File Requirements

The following sections describe the extract file layout for the IRB Wholesale Transaction

return. Throughout the extract file layout documentation, all primary key fields are printed in

bold type and listed in the order in which they appear in the key.

Within the record layout in each section (sections 2.5 to 2.11), the first column refers to the

Field ID, which should be used to link to [1]. The second and third columns refer to the start

and end positions of that field within the record. The following columns are the lengths of the

field, field name, “M” which refers to mandatory fields, and finally the “Notes” column provides

extra information to assist with the planning of extracts and describes what field format/mask

should be used.

2.1. File Type and Naming Convention

Data destined for the NCR Transactional database will be a fixed width text file, 680 bytes

per line including a carriage return (CR) and line feed (LF) as record delimiters. Empty fields

(i.e., fields that have no value) must be indicated by blank spaces if the data type is

alphanumeric or zeros if the data type is numeric. Mandatory fields must be populated as

indicated in [1].

The fixed width text file will have the naming convention of FI_BF_MMYYYY.DAT, where BF

is a fixed string and FI represents the Institution ID (provided by OSFI), MM represents the

Month, and YYYY Represents the year of the reporting date of information.

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2.2. Record Type

The first field in each row must be the record type or row identifier. Valid values are:

Record Type Description

00 Header record

10 Common Risk header record

20 Borrower header record

30 Facility detail record

21 Borrower sub-footer record

11 Common Risk sub-footer record

99 Footer record

2.3. File Structure

The first row of the extract file must be a header record (“00”) and the last one must be a

footer record (“99”), and they must be the only “00” and “99” records in the file.

Apart from the header and footer, all the other (data) records may be in any order.

Referential integrity is established by checking for the existence of parent records by using

the primary keys (Common Risk Number, Borrower Number and Facility Number).

For example, every Facility record must have a Borrower record and each Borrower record

must have a Common Risk record. The order of the records is irrelevant, as long as the

logical data hierarchy structure is maintained. Also note that every Common Risk record

must have a Common Risk footer. The same rule applies for Borrower, in that every

Borrower record needs a Borrower footer record.

OSFI suggests the following file structure:

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2.4. Record Field Order

The order of the fields in a record must be the same as the order they are specified in the

following record layouts (sections 2.5 to 2.11). Field values must be formatted as specified

in the record layouts.

2.5. Header Record (00)

The header record is a quality control mechanism that uniquely identifies each file sent to

OSFI (i.e. who sent the file, the reporting date, the file name, etc). The information

contained in the header field is checked against the file name and the actual details of the

file to ensure that the file received by OSFI has not been corrupted.

The record layout of the header is detailed below:

Field ID Start End Length Field Name M Notes

- 1 2 2 Record Type pic(9) – Fixed string “00”

1 3 6 4 Institution ID pic(X) - Right-padded with spaces

2 7 14 8 Reporting Date Of Information pic(9) - Format: YYYYMMDD

- 15 21 7 File Type

pic(X) - Fixed string “BF” Right-padded with spaces

- 22 27 6 File Layout Version pic(X) - Fixed string “04.0.0”

- 28 670 643 Filler pic(X) – Blank spaces

- 671 678 8 Sequential Row Counter pic(9) - Left padded with zeros

- 679 680 2 Cr + Lf pix(X) - Hexadecimal: 0D + 0A

File Header Record ("00")

Common Risk Record (“10”)

File Footer Record ("99")

Facility Record (“30”)

Borrower Record (“20”)

Borrower Footer Record (“21”)

Common Risk Footer Record (“11”)

All Common Risk Records

All Borrower Records

…etc….

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2.6. Common Risk Record (10)

The record layout of the Common Risk is detailed as follows:

Field ID Start End Length FIELD NAME M Notes

- 1 2 2 RECORD TYPE pic(9) - Fixed string “10”

3 3 17 15 COMMON RISK NUMBER pic(X) - Right-padded with spaces

4 18 32 15 COMMON RISK KMV ID pic(X) - Right-padded with spaces

5 33 132 100 COMMON RISK NAME pic(X) - Right-padded with spaces

9 133 134 2 COMMON RISK COUNTRY CODE OF INCORPORATION pic(X) - Right-padded with spaces

10 135 234 100 PARENT IDENTIFICATION (SNC) pic(X) - Right-padded with spaces

- 235 670 436 FILLER pic(X) - Blank spaces

- 671 678 8 SEQUENTIAL ROW COUNTER pic(9) - Left-padded with zeros

- 679 680 2 CR + LF pix(X) - Hexadecimal: 0D + 0A

2.7. Borrower Record (20)

The record layout of the borrower is detailed below:

Field

ID

Start End Length Field Name M Notes

- 1 2 2 Record Type pic(9) - Fixed string "20"

3 3 17 15 Common Risk Number pic(X) - Right-padded with spaces

11 18 32 15 Borrower Number pic(X) - Right-padded with spaces

12 33 47 15 Borrower KMV ID pic(X) - Right-padded with spaces

13 48 55 8 Borrower Ticker Symbol pic(X) - Right-padded with spaces

14 56 155 100 Borrower Name pic(X) - Right-padded with spaces

15 156 159 4 Borrower Internal Risk Rating pic(9) - In-line with Wholesale Portfolio returns

19 160 160

1 Secondary Industry Classification System Code

pic(9) – 1, 2 or 3

20 161 166 6 Primary Industry Classification Code pic(X) - Right-padded with spaces

21 167 172 6 Secondary Industry Classification Code pic(X) - Right-padded with spaces

22 173 174 2 Borrower Country Of Residence pix(X) - Right-padded with spaces

23 175 176

2 Borrower Province Or State Code Of Residence

pic(X) - Right-padded with spaces

24 177 216 40 Contact Name pic(X) - Right-padded with spaces

25 217 236 20 Contact Phone Number pic(X) - Right-padded with spaces

26 237 237 1 Watch List pic(9) – 1 or 2

27 238 238

1 Borrower Portfolio

pic(9) – See Table C in data definitions document [1]

28 239 253 15 Borrower Annual Revenues pic(9) - No commas/dots, left-padded with zeros

29 254 283 30 Industry Portfolio Classification pic(X) - Right-padded with spaces

30 284 298 15 Individual Allowance for Credit Losses pic(9) - No commas/dots, left-padded with zeros

31 299 313 15 Write Offs pic(9) - No commas/dots, left-padded with zeros

32 314 321 8 Date Of FIs Write Off pic(9) - Format: YYYYMMDD

33 322 336 15 Recoveries pic(9) - No commas/dots, left-padded with zeros

34 337 344 8 Date Of Recovery pic(9) - Format: YYYYMMDD

35 345 359 15 Individual Provisions for Credit Losses pic(9) - No commas/dots, left-padded with zeros

36 360 374 15 Economic Capital pic(9) - No commas/dots, left-padded with zeros

37 375 376 2 Exposure Class pic(x) - See Table C in data definitions document [1]

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38 377 382 6 Borrower PD For IRB Regulatory Capital pic(9) - No commas, left-padded with zeros

39 383 388 6 Borrower PD For IRB Economic Capital pic(9) - No commas, left-padded with zeros

40 389 403 15 Borrower Regulatory Capital pic(9) - No commas/dots, left-padded with zeros

41 404 418 15 External Borrower Id Number pic(X) - Right-padded with spaces

95 419 422 4 Risk Rating System pic(9) - In-line with Wholesale Portfolio returns

- 423 670 248 Filler pic(X) - Blank spaces

- 671 678 8 Sequential Row Counter pic(9) - Left-padded with zeros

- 679 680 2 Cr + Lf pix(X) - Hexadecimal: 0D + 0A

2.8. Facility Record (30)

The record layout of the facility is detailed below:

Field ID Start End Length Field Name M Notes

- 1 2 2 Record Type pic(9) - Fixed string "30"

3 3 17 15 Common Risk Number pic(X) - Right-padded with spaces

11 18 32 15 Borrower Number pic(X) - Right-padded with spaces

42 33 57 25 Facility Number pic(X) - Right-padded with spaces

43 58 65 8

Primary Facility Type pic(x) - Right-padded with spaces, See Table A in data definitions document [1]

44 66 73 8

Secondary Facility Type pic(X) - Right-padded with spaces, See Table A in data definitions document [1]

45 74 75 2 Facility Country Of Risk pic(X) - Right-padded with spaces

46 76 77 2 Booking Point Country pic(X) - Right-padded with spaces

47 78 87 10 Booking Point Transit pic(X) - Right-padded with spaces

48 88 91 4 Facility Risk Rating pic(9) - In-line with Wholesale Portfolio returns

49 92 94 3 Facility Currency pic(X) - Right-padded with spaces

50 95 109 15 Facility Total Authorized Orig Curr pic(9) - No commas/dots, left-padded with zeros

51 110 124 15 Facility Total Outstanding Orig Curr pic(9) - No commas/dots, left-padded with zeros

52 125 139 15 Facility Total Authorized – CAD Equivalent pic(9) - No commas/dots, left-padded with zeros

53 140 154 15 Facility Potential Exposure – CAD Equivalent pic(9) - No commas/dots, left-padded with zeros

54 155 169 15 Facility Total Outstanding – CAD Equivalent pic(9) - No commas/dots, left-padded with zeros

55 170 184 15 Facility Total Outstanding In CAD On B/S pic(9) - No commas/dots, left-padded with zeros

56 185 199 15 Facility Total Outstanding In CAD Off B/S pic(9) - No commas/dots, left-padded with zeros

57 200 200 1 Exposure Type pic(9) - 1, 2, 3 *

58 201 201 1 Shared And/Or Linked Facility pic(9) - 1, 2, 3, 4 *

59 202 216 15 Maximum Amount Draw pic(9) - No commas/dots, left-padded with zeros

60 217 219 3 Percentage Draw pic(9) - No commas/dots, left-padded with zeros

61 220 227 8 Review Date pic(9) - Format: YYYYMMDD

62 228 229 2 Facility Status pic(x) - See Table 1 in data definitions document [1]

63 230 237 8 Default Date pic(9) - Format: YYYYMMDD

64 238 238 1 Hedging Status pic(9) - 1, 2, 3 *

65 239 241 3 Hedging Percentage pic(9) - No commas/dots, left-padded with zeros

66 242 242 1 Cash And/Or Marketable Security pic(9) - 1, 2 *

67 243 250 8

Primary Collateral pic(x) - Right-padded with spaces, See Table B in data definitions document [1]

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68 251 252 2 Seniority Profile pic(x) - See Table 2 in data definitions document [1]

69 253 253 1 Syndicated Facilities pic(9) - 1, 2 *

70 254 254 1 Syndicate Role pic(9) - 1, 2, 3 *

71 255 269 15 Individual Allowance for Credit Losses pic(9) - No commas/dots, left-padded with zeros

72 270 284 15 Write Offs pic(9) - No commas/dots, left-padded with zeros

73 285 292 8 Date Of FI‟s Write Off pic(9) - Format: YYYYMMDD

74 293 307 15 Recoveries pic(9) - No commas/dots, left-padded with zeros

75 308 315 8 Date Of Recovery pic(9) - Format: YYYYMMDD

76 316 316 1 Guarantee Type pic(9) - 1, 2, 3

77 317 331 15 Guarantee Amount pic(9) - No commas/dots, left-padded with zeros

78 332 431 100 Guarantor Name pic(X) - Right-padded with spaces

79 432 446 15 Guarantor Internal Risk Rating pic(X) - Right-padded with spaces

80 447 452 6 Guarantor PD For Regulatory Capital pic(9) - No commas, left-padded with zeros

81 453 458 6 Guarantor PD For Economic Capital pic(9) - No commas, left-padded with zeros

82 459 459 1

Whether Facility Is In Banking Or Trading Book pic(9) – 1 or 2

83 460 474 15 Individual Provisions for Credit Losses pic(9) - No commas/dots, left-padded with zeros

84 475 475 1 Accrual Or Non Accrual Account pic(9) – 1or 2

85 476 481 6 Effective Maturity pic(9) - No commas, left-padded with zeros

86 482 482 1 Whether The Facility Is A SNC Credit pic(9) – 1or 2

87 483 483 1 SNC Rating pic(9) – 1,2,3,4 or 5

88 484 489 6 Agent/Participant Bank Share Of Committed

Exposure pic(9) - No commas, left-padded with zeros

89 490 495 6 LGD For Regulatory Capital pic(9) - No commas, left-padded with zeros

90 496 501 6 LGD For Economic Capital pic(9) - No commas, left-padded with zeros

91 502 516 15 EAD For Regulatory Capital pic(9) - No commas/dots, left-padded with zeros

92 517 531 15 EAD For Economic Capital pic(9) - No commas/dots, left-padded with zeros

93 532 546 15 Economic Capital pic(9) - No commas/dots, left-padded with zeros

94 547 561 15 IRB Regulatory Capital pic(9) - No commas/dots, left-padded with zeros

96 562 565 4 Risk Rating System Pic(9) - In-line with Wholesale Portfolio returns

- 566 670 105 Filler pic(X) - Blank spaces

- 671 678 8 Sequential Row Counter pic(9) - Left-padded with zeros

- 679 680 2 Cr + Lf pic(X) - Hexadecimal: 0D + 0A

* Option „9‟ („Unknown‟) used to be available for these fields and submitting that during Q1/08 and

Q2/08 will not trigger rejection. From Q3/08, however, that option is not available any more.

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2.9. Borrower Footer Record (21)

The record layout of the borrower footer is detailed below:

Field ID Start End Length Field Name M Notes

- 1 2 2 Record type pic(9) - Fixed string “21”

3 3 17 15 Common Risk number pic(X) - Right-padded with spaces

11 18 32 15 Borrower number pic(X) - Right-padded with spaces

16 33 47 15 Borrower total authorized in CAD pic(9) - No commas/dots, left-padded with zeros

17 48 62 15 Borrower potential exposure in CAD pic(9) - No commas/dots, left-padded with zeros

18 63 77 15 Borrower total outstanding in CAD pic(9) - No commas/dots, left-padded with zeros

97 78 82 5 Total number of facilities in this borrower pic(9) - No commas/dots, left-padded with zeros

- 83 670 588 Filler pic(X) - Blank spaces

- 671 678 8 Sequential row counter pic(9) - Left-padded with zeros

- 679 680 2 CR + LF pic(X) - Hexadecimal: 0D + 0A

2.10. Common Risk Footer Record (11)

The record layout of the Common Risk footer is detailed below:

Field ID Start End Length Field Name M Notes

- 1 2 2 Record Type pic(9) - Fixed string "11"

3 3 17 15 Common Risk Number pic(X) - Right-padded with spaces

6 18 32 15 Common Risk Total Authorized – CAD Equivalent pic(9) - No commas/dots, left-padded with zeros

7 33 47 15 Common Risk Potential Exposure – CAD Equivalent pic(9) - No commas/dots, left-padded with zeros

8 48 62 15 Common Risk Total Outstanding – CAD Equivalent pic(9) - No commas/dots, left-padded with zeros

- 63 670 608 Filler pic(X) - Blank spaces

- 671 678 8 Sequential Row Counter pic(9) - Left-padded with zeros

- 679 680 2 Cr + Lf pic(X) - Hexadecimal: 0D + 0A

2.11. Footer Record (99)

The record layout of the footer is detailed below:

Field ID Start End Length Field Name M Notes

- 1 2 2 Record Type pic(9) - Fixed string "99"

1 3 6 4 Institution ID pic(X) - Right-padded with spaces

2 7 14 8 Reporting Date Of Information pic(9) - Format: YYYYMMDD

- 15 21 7 File Type

pic(X) - Fixed string “BF” Right-padded with spaces

- 22 27 6 File Layout Version pic(X) - Fixed string “04.0.0”

- 28 670 643 Filler pic(X) - Blank spaces

- 671 678 8 Sequential Row Counter pic(9) - left-padded with zeros

- 679 680 2 Cr + Lf pic(X) - Hexadecimal: 0D + 0A

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3. Data Validation Rules

3.1. Error Handling

The error handling philosophy is to identify and contain the maximum number of possible

errors and warnings. The file will be entirely rejected if errors are detected and no data will

be uploaded to the database. Warnings are minor discrepancies in data that financial

institutions are encouraged to correct but will not prevent the database from accepting the

file.

Processing of the file will proceed as detailed below:

3.1.1. Pre processing Checks

Pre processing is performed to ensure that the extract files received are

formatted correctly, and that the header and footer records match the actual

contents of the file. A program checks extract files for header and formatting

errors. The following pre processing checks are made:

Each record in the file has a valid record type (00, 10, 20, 30, 21, 11, 99).

Each record in the file is 678 bytes long plus 2 ASCII characters

(Carriage return and Line feed).

Each record has the correct number of fields for its record type.

Each record has a sequential counter that starts at 00000001 at the

header record and is incremented by 1 in each record in the file.

The type of return exactly matches the information in the header and

footer record

The extension of the file is *.DAT

The institution ID in the file name, header and footer records is a valid

Bank of Canada code (provided by OSFI).

Every submitted field value should be formatted according to the

specifications. (E.g. left-padded with spaces is not acceptable if „left-

padded with zeros‟ was specified, even if the „meaningful‟ part of the field

is identical.)

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3.1.2. Data Hierarchy Checks

Each Facility record must have a Borrower record and each Borrower

record must have a Common Risk record.

Each Common Risk header record must have a matching Common Risk

footer record. Similarly, each Borrower header record must have a

matching Borrower footer record.

Each Common Risk record must have a unique Common Risk number.

Each Borrower must have a unique Borrower number.

Each Facility must have a unique combination of Borrower number and

Facility number.

The “number of facilities” in the borrower footer must match the count of

facilities with the same Borrower number.

3.1.3. Field Value Checking

Field value checking ensures that a field has valid values as specified in [1].

3.1.4. Field Value Rules

Field value rules ensure that the data given in each field conforms to the data types

described in [1]. The following general rules shall be applied to the return data file.

Other field value rules may also be given in the aforementioned data definitions

document.

3.1.4.1. Dollar Amount Rules

All dollar amounts are reported and validated according to the following rules:

1. All dollar amounts shall be reported in units of “thousands of dollars”.

2. All dollar amounts shall be rounded to the nearest thousand dollars.

3. Dollar amounts shall only contain numeric digits (with the exception of the

negative sign). No commas, or decimal separators shall be used.

4. Negative dollar amounts should be reported with the hyphen sign before the

first „meaningful‟ digit, in other words report the negative number left-padded

with zeros (see example below).

5. All dollar amounts shall be reported in a 15-character field that is left padded

with zeros.

For example, $2,183,624.68 will be reported as the string 000000000002184, and -

$34,892.45 will be reported as the string 000000000000-35

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3.1.4.2. Probability and Percentage Rules

All percentages are reported and validated according to the following rules:

1. All probabilities between 0 and 1 shall be reported as percentages between

0% and 100%.

2. All percentages shall be reported with two significant digits after the decimal

place. (With the following exceptions: Zero significant digit for Field ID 60

<Percentage Draw> and 65 <Hedging Percentage>.)

3. All percentages shall be rounded to the nearest hundredth of a percent. (With

the above mentioned exceptions: To whole percent for Field 60 <Percentage

Draw> and 65 <Hedging Percentage>.)

4. Percentages shall only contain numeric digits, a decimal character and in the

case of negative values a hyphen character. No comma shall be used.

5. Negative percentage values should be reported with the hyphen sign before

the first „meaningful‟ digit, in other words report the negative number left-

padded with zeros.

6. All percentages shall be reported in a 6-character field that is left padded with

zeros. (With the exception of Field ID 60 & 65, which are 3-character fields.)

For example, 98.738543% will be reported as the string 098.74

Example for Field ID 60 & 65: 98.738543% will be reported as the string 099

Example for negative values (other than Field ID 60 & 65): -6.1234% will be reported

as string 0-6.12

Example for negative values (for Field ID 60 & 65): -6.1234% will be reported as string

0-6

3.1.4.3. Other Numeric Value Rules

All other numeric values are reported and validated according to the following rules:

1. The number of digits is determined by the data definition document in [1].

2. Numeric values shall only contain numeric digits and in the case of negative

values a hyphen character. (For Field ID 85 a decimal point is required.)

3. Numeric values (other than dollar amounts and percentages as described

above) shall be Integers rounded to the 1‟s position with no significant digits

after the decimal place. (With the following exceptions: One significant digit

for Field 85 <Effective Maturity>, which would be rounded to tens of a year.)

4. Negative values should be reported with the hyphen sign before the first

„meaningful‟ digit, in other words report the negative number left-padded with

zeros.

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5. All numeric values shall be left padded with zeros.

For example, 000073654 and 000000-79 are valid 9 character numeric values

representing 73,654 and -79.22, respectively. For Field 85, 0003.1 is a valid numeric

value representing 3.12 years. The following are not valid:

0073654 <= Wrong number of characters (should be 9, not

7)

00073,654 <= Commas are not allowed

0073654.5 <= Only Integers are allowed; non-digit characters

are not allowed

73654 <= Not left padded with zeros

-00000079 <= Hyphen sign is not at the right position

3.1.4.4. Date Value Rules

Date values are reported and validated according to the following rules:

1. The width of a date field is 8 characters.

2. Dates shall only contain numeric digits (e.g., alphabetic month names,

special characters and spaces are not allowed).

3. Dates shall follow the format YYYYMMDD, where YYYY is the year, MM is

the month and DD is the day.

For example, the string 20100608 represents June 8th, 2010.

3.1.5. Additional Important Notes

The sequential row counter field that appears in every record must start at

“00000001” in the header record and be incremented by 1 in every row.

Therefore, the footer will show the total number of records in the file.

Aggregate values for percentages, ratios and probabilities must be calculated

from pre-aggregated totals in the numerator and the denominator.

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3.2. Business Rules

The term “business rules” usually refers to a set of conditions that can be used to

determine the validity of data. Each rule specifies criteria that a certain data element (or a

number of elements) has to meet in order to be valid. Business rules are used to identity

data that may have been entered incorrectly. Sending these records back to the Financial

Institutions for correction will lead to greater integrity of information in Risk Asset Portfolios.

Many of the business rules for these technical specifications require data from different

data records to reconcile. That is, sums of data within different data records should be

equal to one another. As such, the “business rules” are listed numerically.

3.2.1. Qualifying Data

Report all transactions where the Common Risk Total Authorized – CAD

Equivalent amount (Field ID 6) is greater than or equal to $10 Million.

3.2.2. Industry Classification Codes

Primary Industry Classification Code (ID #20) should be a valid 6-digit NAIC

Code. OSFI will validate the submitted NAIC codes against Industry

Classification lookup tables provided by Statistics Canada. The submitted

code will be rejected if it does not exist in the appropriate table.

Secondary Industry Classification Code (ID #21) could come from any of the

following three Industry Classification Systems. The selected Industry

Classification System (1, 2 or 3) is identified in the Secondary Industry

Classification System Code field (ID #19):

1 - Canadian SIC Codes = 4 Characters

2 - US SIC Codes = 4 Characters

3 - NAIC Codes = 6 Characters

Regardless of the industry classification system the financial institution is

using, OSFI will require the full number that identifies the lowest level of

granularity of an industry.

Once the length of the SIC code has been checked. OSFI will validate

Canadian SIC and NAIC codes against Industry Classification lookup tables

provided by Statistics Canada. US SIC codes will be validated against lookup

tables provided by the U.S. Department of Labour. If the code does not exist

in the appropriate table, a Warning will be generated.

Field ID 19 and 21 both should be declared or none of them, otherwise a

Warning will be generated.

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3.2.3. Countries

Country codes (ID #s 9, 22, 45 and 46) will be validated against ISO

standards (ISO# 3166). The submitted code will be rejected if it does not exist

in the appropriate table.

3.2.4. Currencies

Currency code (ID #49) will be validated against ISO standards (ISO# 4217).

Pre-euro currencies and other old currencies are still used and will be

accepted. The submitted code will be rejected if it does not exist in the

appropriate table.

Facility Total Outstanding – Original Currency (ID #51) is being compared to

Facility Total Outstanding – CAD Equivalent (ID #54) and if the submitted

values are equal and greater than 10 (meaning $10,000) and the submitted

code for Facility Currency is not „CAD‟, a Warning is generated.

3.2.5. Province/State

If country (ID #22) is Canada or USA, province or state (ID #23) will be

validated against lookup data provided by Statistics Canada. If country (ID

#22) is not Canada or USA, the submission of „NA‟ is required in the province

or state field (ID #23). The submitted code will be rejected if it does not exist

in the appropriate table or not „NA‟.

3.2.6. Date Fields

The following date fields should be less than or equal to the Reporting Date

otherwise a Warning is generated: Date of FIs Write Off (ID #32, #73), Date

of Recovery (ID #34, #75), and Default Date (ID #63).

3.2.7. Dollar Amounts

There are several measures (Authorized, Outstanding, EAD, etc.) in the

Wholesale Transaction return that are required to report on different levels

(Common Risk, Borrower and Facility level). The Dollar Amount validation

rules section is divided into two parts. The first describes the validation rules

between different measures on the same level (called „cross-measure‟

validations), while the second part describes the rules between the same

measures on different levels (called „cross-level‟ validations).

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3.2.7.1. ‘Cross-measure’ Validation Rules

Total Outstanding – CAD Equivalent (ID #8, #18, #54) must not exceed

the Total Authorized – CAD Equivalent (ID #6, #16, #52) at their

respective levels: Common Risk, Borrower and Facility. Note that there is

a 100% or 1,000 (meaning $1Million) tolerance level defined (to account

for temporary excesses), however a discrepancy that exceeds both the

100% and the 1,000 at the same time will generate an error message

and the data will be rejected. Differences of less than that, but more than

1% will be shown as a Warning.

Total Outstanding – CAD Equivalent (ID #8, #18, #54) must not exceed

the Potential Exposure – CAD Equivalent (ID #7, #17, #53) at their

respective levels: Common Risk, Borrower and Facility. Note that there is

a 100% or 1,000 (meaning $1Million) tolerance level defined (to account

for temporary excesses), however a discrepancy that exceeds both the

100% and the 1,000 at the same time will generate an error message

and the data will be rejected. Differences of less than that, but more than

1% will be shown as a Warning.

Individual Allowance (ID #30, #71) must not exceed the sum of Total

Authorized (ID #16, #50) and Write Offs (ID #31, #72) by more than 5%

at their respective levels: Borrower and Facility level. Otherwise, the data

will be rejected. Differences of less than or equal to 5% will be shown as

a Warning.

Individual Provisions (ID #35, #83) must not exceed the sum of Total

Authorized (ID #16, #50) and Write Offs (ID #31, #72) at their respective

levels: Borrower and Facility levels. Otherwise, the data will be rejected.

Note, that there is no tolerance level specified.

Total Outstanding – CAD Equivalent (ID #54) must be equal to the sum

of Total Outstanding in CAD on B/S (ID #55) and Total Outstanding in

CAD off B/S (ID #56) with a tolerance level of 5% (of Field ID #54) at the

Facility level. Otherwise, the data will be rejected. Differences of less

than or equal to 5% will be shown as a Warning.

EAD for Regulatory Capital (ID #91) and EAD for Economic Capital (ID

#92) must not be less than Total Outstanding – CAD Equivalent (ID #54)

at the Facility level. Otherwise, a Warning will be generated.

Economic Capital (ID #93) and IRB Regulatory Capital (ID #94) both

must be greater than zero if the selected corresponding Exposure Class

(ID #37) value is one of the followings: 01, 02, 03, 04, 05, 06, 07.

Otherwise, the data will be rejected. (Please, note that zero Economic

Capital will not trigger rejection in the Q4/07 submission.)

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3.2.7.2. ‘Cross-level’ validation rules

The reported values at the Borrower level (Total Authorized – ID #16;

Potential Exposure – ID #17 and Total Outstanding – ID #18) must not

exceed the corresponding values at the Common Risk level (ID #6; ID #7

ID #8) by more than 1%. Otherwise, the data will be rejected. Differences

of less than or equal to 1% will be shown as a Warning.

The reported values at the Facility level (Total Authorized – ID #52;

Potential Exposure – ID #53; and Total Outstanding – ID #54) must not

exceed the corresponding values at the Borrower level (ID #16; ID #17;

and ID #18) by more than 1%. Otherwise, the data will be rejected.

Differences of less than or equal to 1% will be shown as a Warning.

The sum of the measurement values reported for the same Common

Risk number (at the Borrower level) must be equal to the corresponding

measurement values reported for the same Common Risk (at the

Common Risk level) with a tolerance of 1% (of the reported Common

Risk value). Otherwise, the data will be rejected. Differences of less than

or equal to 1% will be shown as a Warning. This rule is applicable to the

following measures:

o Total Outstanding – ID #8 & 18;

The sum of the measurement values reported for the same Borrower

number (at the Facilities level) must be equal to the corresponding

measurement values reported for the same Borrower (at the Borrower

level) with a tolerance of 10% (of the reported Borrower value).

Otherwise, the data will be rejected. Differences of less than or equal to

10% will be shown as a Warning. This rule is applicable to the following

measures:

o Total Outstanding – ID #18 & 54;

3.2.8. Negative values

Submitting negative values in the return will cause rejection, with the following

exceptions: Individual Allowance (ID #30 & #71) and Individual Provisions (ID

#35 & #83), where negative values are considered acceptable under certain

circumstances.

3.2.9. Effective Maturity

The reported value for Effective Maturity (ID #85) must not exceed 5.0

(meaning 5 years). Otherwise, the data will be rejected.

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3.2.10. Guarantee

All the fields that contain information regarding Guarantees (ID #77; 78; 79;

80 and 81) must be reported unless Guarantee Type (ID #76) is specified as

„No Guarantee‟ (option 3). Otherwise, the data will be rejected.

3.2.11. Risk Ratings

The reported BIRR (ID #15) and FRR (ID #48) codes should exist within the

selected Risk Rating System (ID #95 & 96), in other words the reported

RRS/BIRR and RRS/FRR combination should be declared in the BB and BC

returns. Otherwise, the data will be rejected.

Also the Risk Rating System reported at the borrower level (ID #95) should

be in line with the one reported at the facility level (ID #96) for all the facilities

of the same Borrower. (E.g. the same Borrower Number [ID #11] in the

Facility Record.) Otherwise, the data will be rejected. (Please, note that this

rule might not apply for Shared/Linked Facilities.)

3.2.12. Percentage Values

The following percentage fields must not contain negative values or values

greater than 100%: Borrower PD for IRB Regulatory Capital (ID #38),

Borrower PD for IRB Economic Capital (ID #39) and Agent/Participant Bank

Share of Committed Exposure (ID #88). If they do, the submission will be

rejected.

For the Hedging Percentage field (ID #65) the same rule applies (>=0% and

<=100%), however a submitted value outside of the range will not cause

rejection, only a Warning will be generated.

3.2.13. Other Business Validation Rules

The submitted value for certain fields must come from a set of pre-defined

options specified in [1]. The submission of a value outside of the pre-defined

set will cause rejection of the data file.

Document [1] specifies options for the following fields:

- Secondary Industry Classification System Code (ID #19)

- Watch List (ID #26)

- Borrower Portfolio (ID #27)*

- Exposure Class (ID #37)

- Primary Facility Type (ID #43)*

- Secondary Facility Type (ID #44)*

- Exposure Type (ID #57)*

- Shared And/Or Linked Facility (ID #58)*

- Facility Status (ID #62)*

- Hedging Status (ID #64)*

- Cash And/Or Marketable Securities (ID #66)*

- Primary Collateral (ID #67)*

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- Seniority Profile (ID #68)*

- Syndicated Facilities (ID #69)*

- Syndicate Role (ID #70)*

- Guarantee Type (ID #76)

- Whether The Facility Is In Banking Or Trading Book (ID #82)

- Accrual Or Non Accrual Account (ID #84)

- Whether The Facility Is A SNC Credit (ID #86)

- SNC Rating (ID #87)

*Note that the marked fields used to have an „Unknown‟ option and as a

transition providing „Unknown‟ value during Q1/08 and Q2/08 will not cause

rejection of the data.

3.3. Optional Versus Mandatory Data Elements

Where data points are cited as “optional”, this is to accommodate instances where the

data point may not exist for all Financial Institutions. If, however, a Financial Institution has

the data for an “optional” field, the data must be reported in the return.

Mandatory fields are data points that must be reported by all Financial Institutions.

Otherwise, the data will be rejected.

3.4. Error Reporting

If any of these validation checks fails an Error Report will be created and the input file will

be rejected. The contents of the Error Report will vary depending upon the types of errors

found in the input file. This report will have enough information to help troubleshoot and

correct the inconsistencies. However, if the Error Report contains only Warnings, the input

file will be accepted by OSFI. Please, note that you still required correcting the erroneous/

inconsistent data (in other words to eliminate the „warnings‟) for the following data

submission.

This report will be e-mailed to the Financial Institution in question indicating whether or not

the file was successfully uploaded in the database. If problems were detected, the error

report will be attached to this e-mail including both „errors‟ and „warnings‟.

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Change Control Log

Changes in version 2.0

These entries highlight changes made since the last release of this document. This log

has been written for the technical audience who is already familiar with the previous

release of this document and needs to know what changes have been made to it.

Readers should have Version 1.0 of this document on hand when reviewing this change

log.

Those not already working with Version 1.0 of this Technical Specification Document do

not need to use this change log.

1) Section 2.1 - File Type and Naming Convention: Changed file name reference from

"IRBWSTRANS to "BF".

2) Section 2.5 - Header Record (00): <File Type> value set to “BF” – now fits inside of 7

seven character limit.

3) Section 2.5 - Header Record (00): Updated Start/End fields positions

4) Section 2.6 - Common Risk Record (10): Field ID 4 <Common Risk KMV Id> the

checkmark was removed from the Mandatory indicator column making

this field optional

5) Section 2.6 - Common Risk Record (10): Updated Start/End fields positions

6) Section 2.7 - Borrower Record (20): Field ID 19 was renamed to “Secondary Industry

Classification System Code” and made optional by removing the check

mark in the Mandatory indicator column. This field refers only to Field 21

<Secondary Industry Classification Code>. The Primary Industry

Classification Code must be reported in NAIC.

7) Section 2.7 - Borrower Record (20): Field ID 21 <Secondary Industry Classification

Code> the checkmark was removed from the Mandatory indicator column

making this field optional.

8) Section 2.7 - Borrower Record (20) : Field 36 <Economic Capital> the checkmark was

removed from the Mandatory indicator column making this field optional.

9) Section 2.7 - Borrower Record (20): Field 37 <Exposure Class> field length has been

changed from 1 to 2.

10) Section 2.7 - Borrower Record (20): Updated Start/End fields positions.

11) Section 2.8 - Facility Record (30): Field 11 <Borrower Number> changed from 8 to 15

digits.

12) Section 2.8 - Facility Record (30): Field 41 <Facility Number> changed from 8 to 25

digits.

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13) Section 2.8 - Facility Record (30): Field ID 43 <Secondary Facility Type> the

checkmark was removed from the Mandatory indicator column making

this field optional

14) Section 2.8 - Facility Record (30): Field ID 54 <Facility Total Outstanding In CAD On

B/S> and Field ID 55 < Facility Total Outstanding In CAD Off B/S > were

changed to length = 15 and are now consistent with the data definition in

the Business Spec.

15) Section 2.8 – Facility Record (30): Field ID 54 <Facility Total Outstanding In CAD On

B/S> and Field ID 55 < Facility Total Outstanding In CAD Off B/S > have

been changed to 15 digits.

16) Section 2.8 - Facility Record (30): Field 85 <Whether the Facility is a SNC Credit>

field length has been changed from 20 to 1.

17) Section 2.8 - Facility Record (30): Fields 91 to 94 <EAD For Regulatory Capital, EAD

For Economic Capital, Economic Capital, Irb Regulatory Capital> were re-

numbered from 90 to 93 in order to fill in for missing #90.

18) Section 2.8 - Facility Record (30): Updated Start/End fields positions.

19) Section 2.10 - Common Risk Footer Record (11): Updated Start/End fields positions.

20) Section 2.10 - Common Risk Footer Record (11): Updated Start/End fields positions.

21) Section 2.11 - Footer Record (99): <File Type> value set to “BF” – now fits inside of 7

seven character limit.

22) Section 3.1 - Error Handling: added Section 3.1.4 - Field Value Rules. This section

provides clarification on rounding and precision for reporting of dollar

amounts, percentages and dates. This section has been harmonized

with the guidance provided in the Portfolio Returns.

23) Section 3.1.1 - Pre processing Checks: Clarified validation rules.

24) Section 3.1.2 -

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Data Hierarchy Checks: Clarified validation rules.

25) Section 3.1.5 - Additional Important Notes: Added statements regarding additional

aggregates of percentages, and ratios in the Important Notes section.

26) Section 3.2 - Business Rules: added Section 3.2.1 Qualifying Data.

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Changes in version 3.0

These entries highlight changes made since the last release of this document. This log

has been written for the technical audience who is already familiar with the previous

release of this document and needs to know what changes have been made to it.

Readers should have Version 2.0 of this document on hand when reviewing this change

log.

Those not already working with Version 2.0 of this Technical Specification Document do

not need to use this change log.

1) Section 2.5 - Header Record (00): Notes added for <File Type>: “Right padded with

spaces”

2) Section 2.7 - Borrower Record (20): Field ID 12 <Borrower KMV ID> the checkmark

was removed from the Mandatory indicator column making this field optional

3) Section 2.7 - Borrower Record (20): Field ID 24 <Contact Name> the checkmark was

removed from the Mandatory indicator column making this field optional

4) Section 2.7 - Borrower Record (20): Field ID 25 <Contact Phone Number> the

checkmark was removed from the Mandatory indicator column making this field

optional

5) Section 2.7 - Borrower Record (20): Field ID 32 <Date Of FIs Write Off> the

checkmark was removed from the Mandatory indicator column making this field

optional

6) Section 2.7 - Borrower Record (20): Field ID 34 <Date Of Recovery> the checkmark

was removed from the Mandatory indicator column making this field optional

7) Section 2.7 - Borrower Record (20): Field width was adjusted accordingly, so the

Notes field is readable.

8) Section 2.7 - Borrower Record (20): Field ID 38 <Borrower PD for IRB Regulatory

Capital> field start position was corrected to 377. (It was 376.) Field length was correct

and not changed.

9) Section 2.7 - Borrower Record (20): Field ID 38 & 39 Notes changed, „/dots‟ part has

been removed as decimal point is required for percentage values.

10) Section 2.8 - Facility Record (30): Field IDs were re-numbered since Field ID 41 were

already used. Field <Facility Number> became ID #42 and all the other fields are

shifted by 1.

11) Section 2.8 - Facility Record (30): Field ID 81 <Guarantor PD for Economic Capital>

Field length was changed to 6 reflecting the fact that a percentage value is expected.

Field start & end positions were re-calculated accordingly.

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12) Section 2.8 - Facility Record (30): Field ID 82 <Whether Facility Is In Banking Or

Trading Book> Notes changed reflecting the business meaning of the two options:

“1=Banking Book, or 2=Trading Facilities/Products”.

13) Section 2.8 - Facility Record (30): Field ID 88 <Agent/Participant Bank Share of

Committed Exposure> Field length was changed to 6 reflecting the fact that a

percentage value is expected. Field start & end positions were re-calculated

accordingly.

14) Section 2.8 - Facility Record (30): Filler length was adjusted to 109 to complete the

record length of 680.

15) Section 2.8 - Facility Record (30): Field ID 80, 81, 85, 88, 89 & 90 Notes changed,

„/dots‟ part has been removed as decimal point is required for percentage values.

16) Section 3.1.4.2 - Probability and Percentage Rules: Point 2&3: Field ID 60, 65, 85 are

added as exceptions as they are required to be rounded to and reported less than 2

digits. Examples has been added.

17) Section 3.1.4.2 - Probability and Percentage Rules: Point 4. Comment added: “No

comma shell be used”

18) Section 3.2.7 (Dates Checks) in version 2.0 was removed, because the there was no

supporting data in the return. (<Maturity Date>; <Origination Date>)

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Changes in version 3.5

These entries highlight changes made since the last release of this document. This log

has been written for the technical audience who is already familiar with the previous

release of this document and needs to know what changes have been made to it.

Readers should have Version 3.0 of this document on hand when reviewing this change

log. Note, that there might be a number of small, „cosmetic-type‟ corrections in the

document that are not listed here. (They should not have an impact on development.)

Those not already working with Version 3.0 of this Technical Specification Document do

not need to use this change log.

1. Section 1 - Introduction: Comment added about the two returns.

2. Section 2.3 - File Structure: Borrower and Common Risk Footer added to the file structure diagram.

3. Section 2.5 - Header Record (00): Field “File layout version” Notes changed to “pic(X) – Fixed String “03.5.0”

4. Section 2.5 to 2.11 – Record Type descriptions: In the Mandatory indicator column, the checkmark was added or removed – making an Optional field Mandatory (Field ID #36) and some Mandatory ones Optional. (Field ID #10, 13, 28, 41, 46, 59, 60, 63, 65, 73, 75, 77, 78, 79, 80, 81, 86, 87, 88)

5. Section 2.5 to 2.11 – Record Type descriptions: Notes changed; the term “Left justified” was replaced by “Right-padded with spaces” for more clarity.

6. Section 2.7 - Borrower Record (20): Field ID 27 <Borrower Portfolio> Notes changed incorporating additional options (Referring to the Data Definitions document).

7. Section 2.7 - Borrower Record (20): Field ID 37 <Exposure Class> Notes corrected reflecting that the field is alphanumeric fields: pic(x) – Right-padded with spaces.

8. Section 2.8 - Facility Record (30): Field ID 43 <Primary Facility Type>; Field ID 62 <Facility Status>; Field ID 67 <Primary Collateral> and Field ID 68 <Seniority Profile> Notes corrected reflecting that these fields are alphanumeric fields: pic(x) – Right-padded with spaces.

9. Section 2.7 to 2.8: Data Definitions document [1] Table references were added to the Notes section of several fields. (ID #27, 37, 43, 44, 62, 67, 68)

10. Section 2.11 - Footer Record (99): Field “File layout version” Notes changed to “pic(X) – Fixed String “03.5.0”

11. Section 3.1.1 - Pre processing Checks: Comments about return type checking was added.

12. Section 3.1.1 - Pre processing Checks: Comments about formatting was added.

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13. Section 3.1.2 -

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Data Hierarchy Checks: It was modified to highlight the fact that the Borrower number should be unique within an Institution, not only for a Common Risk number.

14. Section 3.1.4.1 - Dollar Amount Rules: Comments #3 and #4 were modified/added to incorporate the option of negative value submission. Also an example was added.

15. Section 3.1.4.2 - Probability and Percentage Rules: Comments #2, #4 and #5 were modified/added to incorporate the option of negative value submission. Also an example was added.

16. Section 3.1.4.2 - Probability and Percentage Rules: All references to Field ID 85 removed as it is not percentage value. (It was added to Section 3.1.4.3 - Other Numeric Value Rules)

17. Section 3.1.4.2 - Probability and Percentage Rules: Example for Field ID 60 & 65 was corrected (to 3 digits).

18. Section 3.1.4.3 - Other Numeric Value Rules: Comments #2 and #4 were modified/added to incorporate the option of negative value submission. Also an example was added.

19. Section 3.2 - Business Rules: The consequences of validation rule failures are added/clarified for every business rule.

20. Section 3.2.1 - Qualifying Data: Field ID reference added for clarity.

21. Section 3.2.2 - Industry Classification Codes: Describes the modified Industry Classification Code validation rules (Field ID 19, 20, 21).

22. Section 3.2.3 - Countries: Field ID references corrected.

23. Section 3.2.4 - Currencies: Additional business validation rule added via comparing Original currency Outstanding amount with Canadian equivalent.

24. Section 3.2.5 - Province/State: Field ID references corrected and „NA‟ option was created for non-Canadian and non-US exposures.

25. Section 3.2.6 - Date Fields: Validation of Date fields added.

26. Section 3.2.7 - Dollar Amounts: Separated into two sections describing the „cross-measure‟ and „cross-level‟ validation rules.

27. Section 3.2.7.1 -

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„Cross-measure‟ Validation Rules: Section was added to describe all the „cross-measure‟ validation rules.

28. Section 3.2.7.2 - „Cross-level‟ validation rules: Section was added to describe all the „cross-level‟ validation rules.

29. Section 3.2.8 - Negative values: Negative value business validation rules added.

30. Section 3.2.9 - Effective Maturity: Effective Maturity business rule validation added.

31. Section 3.2.10 - Guarantee: Business validation rules added Re Guarantee related fields.

32. Section 3.2.12 - Percentage Values: Percentage value business validation rules added.

33. Section 3.2.13 - Other Business Validation Rules: Section was added to incorporate other field value checking.

34. Section 3.3 - Optional Versus Mandatory Data Elements: Section was added to clarify the expectations re Mandatory and Optional fields.

35. Section 3.4 - Error Reporting: Comment added about error reporting and tolerance period.

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Changes in version 4.0

These entries highlight changes made since the last release of this document. This log

has been written for the technical audience who is already familiar with the previous

release of this document and needs to know what changes have been made to it.

Readers should have Version 3.5 of this document on hand when reviewing this change

log. Note, that there might be a number of small, „cosmetic-type‟ corrections in the

document that are not listed here. (They should not have an impact on development.)

Those not already working with Version 3.5 of this Technical Specification Document do

not need to use this change log.

1. Section 2.5 - Header Record (00): Field “File layout version” Notes changed to “pic(X) – Fixed String “04.0.0”

2. Section 2.7 - Borrower Record (20): Field ID 15 <Borrower Internal Risk Rating> was renamed and in Notes section data type changed to pic(9) and reference was added to Portfolio returns.

3. Section 2.7 - Borrower Record (20): Field ID 95 <Risk Rating System> was added. (Start/End positions and field Length are adjusted accordingly.)

4. Section 2.8 - Facility Record (30): Field ID 48 <Facility Risk Rating> in Notes section data type changed to pic(9) and reference was added to Portfolio returns.

5. Section 2.8 - Facility Record (30): Field ID 96 <Risk Rating System> was added. (Start/End positions and field Length are adjusted accordingly.)

6. Section 2.11 - Footer Record (99): Field “File layout version” Notes changed to “pic(X) – Fixed String “04.0.0”

7. Section 3.2.11 - Risk Ratings: Business validation has been added for the RRS/BIRR and RRS/FRR combination.

8. Section 3.2.13 - Other Business Validation Rules: Comment has been added about the „Unknown‟ options.

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Changes in version 4.0 Release 2

These entries highlight changes made since the last release of this document. This log

has been written for the technical audience who is already familiar with the previous

release of this document and needs to know what changes have been made to it.

Readers should have Version 4.0 of this document on hand when reviewing this change

log. Note, that there might be a number of small, „cosmetic-type‟ corrections in the

document that are not listed here. (They should not have an impact on development.)

Those not already working with Version 4.0 of this Technical Specification Document do

not need to use this change log.

1. Section 3.2.7.1 -

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„Cross-measure‟ Validation Rules: Economic Capital and IRB Regulatory Capital validation rule changed.

2. Section 3.2.11 - Risk Ratings: Comment added for Risk Rating Systems validation.

3. Section 3.4 - “Tolerance Period” paragraph was removed as it is not applicable for Data submissions after Dec 1

st, 2007.

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Changes in version 4.0 Release 3

These entries highlight changes made since the last release of this document. This log

has been written for the technical audience who is already familiar with the previous

release of this document and needs to know what changes have been made to it.

Readers should have Version 4.0 Release 2 of this document on hand when reviewing

this change log. Note, that there might be a number of small, „cosmetic-type‟ corrections in

the document that are not listed here. (They should not have an impact on development.)

Those not already working with Version 4.0 Release 2 of this Technical Specification

Document do not need to use this change log.

1. Section 3.2.7.1 -

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„Cross-measure‟ Validation Rules: Tolerance adjusted for Outstanding/Authorized validation rule.

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Changes in version 5.0

These entries highlight changes made since the last release of this document. This log

has been written for the technical audience who is already familiar with the previous

release of this document and needs to know what changes have been made to it.

Readers should have Version 4.0 (Release 3) of this document on hand when reviewing

this change log. Note, that there might be a number of small, „cosmetic-type‟ corrections in

the document that are not listed here. (They should not have an impact on development.)

Those not already working with Version 4.0 (Release 3) of this Technical Specification

Document do not need to use this change log.

1. Section 2.8 - Facility Record (30): „Unknown‟ („9‟) option has been removed for Field ID 57, 58, 64, 66, 69 and 70. Also a comment has been added about the 2 quarters transition.

2. Section 3.2.7.1 -

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„Cross-measure‟ Validation Rules: Tolerance levels were modified for the first two rules.

3. Section 3.2.7.2 - „Cross-level‟ validation rules: List of applicable measures was modified for the last rule.

4. Section 3.2.13 - Other Business Validation Rules: Fields have been flagged where „Unknown‟ option had been removed. Also comment changed, mentioning the 2 quarters transition period.

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Changes in version 6.0

These entries highlight changes made since the last release of this document. This log

has been written for the technical audience who is already familiar with the previous

release of this document and needs to know what changes have been made to it.

Readers should have Version 5.0 of this document on hand when reviewing this change

log. Note, that there might be a number of small, „cosmetic-type‟ corrections in the

document that are not listed here. (They should not have an impact on development.)

Those not already working with Version 5.0 of this Technical Specification Document do

not need to use this change log.

General 1. Changed all reference of „Specific Provisions‟ to „Individual Provisions for

Credit Losses‟

2. Changed all reference of „Specific Allowances‟ to „Individual Allowances for

Credit Losses’