OSFI Consults on NSFR Disclosure Requirements for D-SIBs

The guideline stipulates that D-SIBs should provide NSFR disclosures quarterly and with the publication of the financial statements. 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. As per the guideline, D-SIBs should provide the following disclosures:

• NSFR disclosure template. The template captures key quantitative information about the NSFR and is calculated on a regulatory consolidated basis and presented in Canadian dollars. D-SIBs are required to disclose the NSFR data based on quarter-end positions. The Appendix provides the proposed NSFR disclosure template and the associated completion instructions.
• NSFR qualitative disclosures. D-SIBs should provide sufficient qualitative disclosures on the NSFR to facilitate understanding of the results and data disclosed. This information should be provided on a quarterly basis to supplement the NSFR disclosure template. Where significant to the NSFR, D-SIBs could discuss the:
  • Drivers of their NSFR results and the reasons for intra-period changes as well as the changes over time (for example, changes in strategies, funding structure, circumstances)
  • Composition of interdependent assets and liabilities and to what extent these transactions are interrelated

OSFI issued a consultation on the NSFR requirements in December and the consultation period ended on February 01, 2019. Chapter 3 of the Liquidity Adequacy Requirements (LAR) guideline incorporates the NSFR rules issued by BCBS in October 2014 into the LAR Guideline. NSFR guideline, which is expected to come into effect on January 01, 2020, requires institutions to maintain a stable funding profile in relation to their on- and off-balance sheet activities, thus reducing the likelihood that disruptions to an institution's regular sources of funding will erode its liquidity position in a way that could increase the risk of its failure and potentially lead to broader systemic stress. NSFR limits over reliance on short-term wholesale funding, encourages better assessment of funding risk across all on- and off-balance sheet items, and promotes a more stable funding profile.

Related Links

• Notification
• Draft Guideline and Template for NSFR Disclosures
• Draft NSFR Guideline
• Impact Analysis

Comment Due Date: March 15, 2019

Effective Date: January 01, 2020

Keywords: Americas, Canada, Banking, Basel III, Liquidity Risk, NSFR, LAR Guideline, D-SIBs, Disclosures, OSFI