Regulatory Alerts2021-02-01
AMF Normative Treatment of HASCAP Loans for Deposit and Trust Institutions – COVID-19
The Autorité des marchés financiers has established a normative treatment allowing Canadian deposit and trust institutions to classify BDC’s Highly Affected Sectors Credit Availability Program (HASCAP) loan guarantees as exposures to the Government of Canada under existing capital adequacy guidelines. Financial institutions may apply a zero percent risk weight to the guaranteed portion under the Standardized Approach or utilize Probability of Default substitution and Loss Given Default adjustments under the Internal Ratings-Based Approach, with capital calculations adjusted for currency or maturity mismatches. This treatment applies to the entire loan amount for leverage ratio calculations, takes effect upon publication, and remains valid until the underlying BDC guarantees expire, subject to AMF reassessment as pandemic conditions evolve.