OSFI has advised that it:
is in the process of revising Guideline B-6 on Liquidity to take account of the Principles recommended by the Basel Committee and to incorporate any additional guidance that is appropriate for domestic application. Similar deliberations are taking place across jurisdictions through the BCBS and other regulatory fora. A consultation draft of the revised Guideline is targeted for release in the summer of 2009.
There is, surprisingly, a request for submissions:
As part of our development of new guidance on liquidity, OSFI welcomes submissions as to how to best give effect to the BCBS Principles on a consistent and measurable basis.
… but no indication that these submissions will be publicly disclosed and discussed.
The Basel Committee on Banking Supervisions’s September ’08 Principles for Sound Liquidity Risk Management and Supervision include:
Principle 13: A bank should publicly disclose information on a regular basis that enables market participants to make an informed judgement about the soundness of its liquidity risk management framework and liquidity position.
… with the exhortation:
As part of its periodic financial reporting, a bank should provide quantitative information about its liquidity position that enables market participants to form a view of its liquidity risk. Examples of quantitative disclosures currently disclosed by some banks include information regarding the size and composition of the bank’s liquidity cushion, additional collateral requirements as the result of a credit rating downgrade, the values of internal ratios and other key metrics that management monitors (including regulatory metrics that may exist in the bank’s jurisdiction), the limits placed on the values of those metrics, and balance sheet and off-balance sheet items broken down into a number of short-term maturity bands and the resultant cumulative liquidity gaps. A bank should provide sufficient qualitative discussion around its metrics to enable market participants to understand them, eg the time span covered, whether computed under normal or stressed conditions, the organisational level to which the metric applies (group, bank or non-bank subsidiary), and other assumptions utilised in measuring the bank’s liquidity position, liquidity risk and liquidity cushion.
As an example of current reporting the RBC 2008 Annual Report contains a three page section (pp. 109-112 of the report, 111-114 of the PDF) on liquidity risk, comprised largely of ‘don’t worry, trust us’ blather and precious little quantitative data.