Gepubliceerd: 27 mei 2020
Recently the European Central Bank announced a temporary reduction in capital requirements for significant institutions using internal models for market risk, by allowing these banks to adjust the supervisory component of these requirements. DNB hereby extends this relief measure to all Dutch less significant institutions.
DNB agrees with the ECB’s statement to temporarily reduce the qualitative market risk multiplier to compensate for currently observed increases of another factor, the quantitative multiplier, which can increase when market volatility has been higher than predicted by the bank’s internal model.
This decision will be reviewed after six months on the basis of observed volatility.
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