Net Stable Funding Ratio Disclosure Requirements – Guideline (2019)

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}

1. Scope of application

The NSFR disclosure requirements apply to Canadian D-SIBs.^{Footnote 3}

2. Implementation date and frequency of reporting

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.

3. Location of disclosures

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.

4. Disclosure requirements

D-SIBs should provide the following disclosures:

1. 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 their NSFR data based on quarter-end positions. Refer to the Appendix for the NSFR disclosure template and general instructions on the completion of the template.
2. 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. Specifically, where significant to the NSFR, D-SIBs could discuss:
   1. the drivers of their NSFR results and the reasons for intra-period changes as well as the changes over time (e.g. changes in strategies, funding structure, circumstances); and
   2. the composition of interdependent assets and liabilities and to what extent these transactions are interrelated.

Appendix

General instructions for completion of the NSFR disclosure template

• Instructions have been extracted from and should be read in conjunction with the Basel Pillar 3 Disclosures.^{Footnote 6}
• The rows in the template are fixed and compulsory for D-SIBs to populate and publically disclose. The categories in the rows and columns in the template should not be altered. More specifically:
  • Each dark grey row is the major heading of each section (e.g. ASF item, RSF item) and does not require any value to be reported.
  • Each light grey row represents major categories of the NSFR and requires total values to be reported.
  • Each unshaded row represents subcomponents of major categories under ASF and RSF items and requires values to be reported.^{Footnote 7}
  • No data should be entered in the cross-hatched cells.
• Values entered in the template must be based on quarter-end positions of individual line items.
• Values entered for each RSF line item should include both unencumbered and encumbered amounts.
• Values entered in unweighted columns are to be assigned on the basis of residual maturity.^{Footnote 8}
• The following table provides an explanation of each row of the disclosure template with references to relevant paragraphs from the BCBS's Basel III: The Net Stable Funding Ratio^{Footnote 9} and has been further supplemented with references to relevant paragraphs from OSFI's Revised Liquidity Adequacy Requirements Guideline (LAR Guideline).^{Footnote 10}