In the context of the SREP, DNB requires all LSI’s to maintain a survival period of six months, based on its internal stress test. DNB expects an LSI to calculate and monitor its survival period at least on a monthly basis and it should be notified by an LSI in case its survival period drops below 7 months.
The survival period requirement entails that a credit institution needs to ensure it can continue operating for a minimum period of 6 months and meet all its payments due under the assumed liquidity stress scenarios. This requirement is based on the outcome of the internal stress test of the credit institution, that should capture the vulnerabilities of the specific institution. Responsive actions taken by the management are to be incorporated in the stress if applicable (“dynamic balance sheet assumption”).
The stress test and survival horizon calculations should be in line with the EBA guidelines on liquidity risk stress testing (EBA/GL/2018/04). According to these EBA guidelines, credit institutions have to apply three types of stress scenarios:
Credit institutions should furthermore design different time horizons in their stress testing, which should range from intraday and overnight up to at least 12 months. Credit institutions are expected to meet the 6 month survival period requirement in all three types of stress scenarios.
On Tuesday 5th November from 3:00-4:45 PM CET DNB will organize a physical information session about fit and proper assessments.
Read more Information session about fit and proper assessments DNB
On 30 September 2024, DNB published the amendments to the two policy rules for the deposit guarantee scheme (DGS). These amendments were publicly consulted in June 2024.
Read more Adoption of the 2024 amendments to the Policy Rules for the Deposit Guarantee Scheme
As at 30 June 2024, Dutch households held some €15 billion in bank deposits in other euro area countries, the latest figures from DNB and the European Central Bank (ECB) show. This means foreign savings keep growing.
Read more Dutch households see foreign bank deposits double in two years
DNB is extending the period during which it will take no enforcement action on the boundary between the banking book and the trading book.
Read more DNB extends non-enforcement period with respect to boundary between banking book and trading book
