Office of the Superintendent of Financial Institutions
In March 2017, the Basel Committee on Banking Supervision (BCBS) issued its final standard on information that internationally active banks must publically disclose on the Net Stable Funding Ratio (NSFR), entitled Pillar 3 Disclosure Requirements – Consolidated and Enhanced Framework.Footnote 1 The requirements include a NSFR disclosure template and related qualitative disclosures to help users understand the NSFR data.
This guideline establishes OSFI's expectations on NSFR public disclosure requirements for Domestic Systemically Important Banks (D-SIBs).Footnote 2
The NSFR disclosure requirements apply to Canadian D-SIBs.Footnote 3
The NSFR disclosure requirements commence with the quarterly reporting for the period ending January 31, 2021.
As liquidity positions can be subject to rapid change, disclosures are most relevant and useful if published frequently. As such, D-SIBs should provide NSFR disclosures quarterly and at the same time as the publication of the financial statements.
Disclosures should be easily located, such as in a standalone document, or may be appended to or be a part of the financial reports. D-SIBs may choose where to provide the disclosures in their financial reports (e.g. Management Discussion and Analysis, financial statement notes, supplemental information or Pillar 3 report). Institutions should publish the NSFR and LCR disclosure templates in the same location.
D-SIBs must also make available on their websites an archive of disclosures for a minimum of 12 months; where investor information is available for longer periods, the same archive period should also be used for disclosures.
D-SIBs should provide the following disclosures:
In the unweighted cells, report NSFR derivatives liabilities as calculated according to NSFR paragraphs 19 and 20. There is no need to differentiate by maturities.
[The weighted value under NSFR derivative liabilities is cross-hatched given that it will be zero after the 0% ASF is applied.]
Total HQLA as defined in the LCR paragraphs 49–68 (encumbered and unencumbered), without regard to LCR operational requirements and LCR caps on Level 2 and Level 2B assets that might otherwise limit the ability of some HQLA to be included as eligible in calculation of the LCR:
In the unweighted cell, report NSFR derivative assets, as calculated according to NSFR paragraphs 34 and 35. There is no need to differentiate by maturities.
In the weighted cell, if NSFR derivative assets are greater than NSFR derivative liabilities, (as calculated according to NSFR paragraphs 19 and 20), report the positive difference between NSFR derivative assets and NSFR derivative liabilities.
BCBS, March 2017: https://www.bis.org/bcbs/publ/d400.htm.
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OSFI has designated six institutions as D-SIBs: Bank of Montreal, Bank of Nova Scotia, Canadian Imperial Bank of Commerce, National Bank of Canada, Royal Bank of Canada, and Toronto-Dominion Bank of Canada.
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The NSFR disclosure requirements are not mandatory for non D-SIBs.
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Source: Template LIQ2: NSFR, Basel Pillar 3 Disclosure Requirements – Consolidated and Enhanced Framework, March 2017.
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Items to be reported in the "no maturity" time bucket do not have a stated maturity. These may include, but are not limited to, items such as capital with perpetual maturity, non-maturity deposits, short positions, open maturity positions, non-HQLA equities, and physical traded commodities.
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As an exception, rows 21 and 23 are subcomponents of rows 20 and 22, respectively. Row 17 is the sum of rows 18, 19, 20, 22 and 24.
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In accordance with paragraphs 18 and 29, Basel III: The Net Stable Funding Ratio, October 2014: http://www.bis.org/bcbs/publ/d295.pdf
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BCBS, Basel III: The Net Stable Funding Ratio
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OSFI, LAR Guideline – REVISED, November 2014: http://www.osfi-bsif.gc.ca/Eng/fi-if/rg-ro/gdn-ort/gl-ld/Pages/LAR_rev_let.aspx
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OSFI, LAR Guideline, Chapter 3
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Capital instruments reported should meet all requirements outlined in BCBS, Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems, June 2011: http://www.bis.org/publ/bcbs189.pdf and should only include amounts after transitional arrangements have expired under fully implemented Basel III standards (i.e. as in 2022).
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