Information session about fit and proper assessments DNB
On Tuesday 28th May from 3:00-4:45 PM CET DNB will organize an online information session about fit and proper assessments.
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Which considerations does DNB take into account when assessing liquidity outflows of products and services reported by institutions under Article 23 LCR DR?
Published: 23 May 2018
In order to promote consistent and harmonised reporting by institutions in accordance with Article 23 LCR DR, DNB follows the Guidance on Article 23 LCR DR as included in the EBA report ‘Monitoring the Liquidity Coverage Ratio Implementation in the EU’. In addition to this report DNB offers specific guidance as detailed below. This guidance is addressed to Dutch credit institutions directly supervised by DNB. Institutions are requested to take into account this guidance in their monthly LCR reporting as well as in the annual qualitative data request on Article 23 LCR DR reporting.
In accordance with Article 23 of the Delegated Act on the Liquidity Coverage Requirement (Commission Delegated Regulation [EU] 2015/61), institutions need to assess the likelihood and potential volume of liquidity outflows during 30 calendar days for other products and services which are not covered in Articles 27-31 LCR DR and which they offer or sponsor or which potential purchasers would consider associated with them.
Since no specific outflow percentages are prescribed in Article 23 LCR DR, institutions can use their own methodology for assigning an appropriate outflow percentage to these products and services. As part of this assessment, institutions need to assume combined idiosyncratic and market-wide stress and they need to take into account material reputational damage that could result from not providing liquidity support to the products and services.
In addition to the regular (COREP) LCR DR reporting requirement, institutions need to report once a year to their competent authority on the products and services for which the likelihood and potential volume of the liquidity outflows is material. The competent authorities subsequently determine the outflow percentages for these material liquidity outflows.
To complement the regular LCR reporting framework, DNB has set up an annual qualitative data request aimed at the material liquidity outflows reported under Article 23 LCR DR. The goal is (1) to check whether the correct products and services are being reported under Article 23 LCR DR; and (2) to obtain information about the methodology used by institutions so as to decide whether the outflows applied to these products and services by the institution can be determined.
When assessing the liquidity outflows of institutions reported under Article 23 LCR DR, DNB takes into account the general Guidance on Article 23 LCR DR as published by the EBA in the report ‘Monitoring the Liquidity Coverage Ratio Implementation in the EU’.
In addition to the general EBA guidance DNB also offers the following specific guidance:
On Tuesday 28th May from 3:00-4:45 PM CET DNB will organize an online information session about fit and proper assessments.
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