DNB decisions on liquidity requirements and reporting

LCR requirements

In October 2014 DNB published its intention to introduce an LCR requirement of 100% as per the 1st of October 2015 and later confirmed it. One of the underlying factors for this decision was the assumption that inflows and outflows from cash pooling products fulfilling certain criteria that reduce their liquidity risk would be taken into account in the LCR on a net basis.

DNB reaffirms that a national requirement (henceforth NLCR) of 100% is introduced from the 1st of October 2015. The definition of this requirement is that outlined in the Commission Delegated Regulation (EU) 2015/61 (henceforth: LCR DA), with the sole exception that netting of inflows and outflows is permitted but not required for cash pooling products strictly fulfilling the requirements laid down in Article 26(a), 26(b) and 26(c) of the LCR DA. This requirement is applicable to all the entities subject to the LCR DA. This requirement is applicable until the 1st of January 2018 at the latest.

Notwithstanding the above, all the entities subject to the LCR DA will also have to meet an LCR requirement (henceforth LCR) as defined in the LCR DA, following the schedule outlined in Article 38 ¹. More specifically, the minimum requirement for the LCR will be set to 60% from the 1st of October 2015, 70% from the 1st of January 2016, 80% from the 1st of January 2017 and 100% from the 1st of January 2018.

LCR reporting

Following the delay in the implementation of the Amending ITS on LCR reporting (see ITS), DNB has decided to implement early the Amending ITS on LCR reporting in the following manner:

• for all credit institutions and non EEA branches operating in the Netherlands, except if they are waived or if they are branches of EEA credit institutions;
• at all levels of consolidation where the LCR requirement is applicable;
  on a quarterly basis;
• with reference date the last day of each quarter, starting with December 2015;
• with a remittance period of 30 calendar days;
• on an all-currency basis only.

These reports shall reflect the definition of the LCR (i.e. as laid down in the LCR DA), and not that of the NLCR. In addition, supervisors are able to request, on a case-by-case basis, also reports reflecting the NLCR if considered necessary.

Until the draft amending ITS on LCR reporting has been adopted by the European Commission and has formally entered into force, credit institutions are also required to continue reporting the currently applicable LCR templates on a monthly basis, as referred to in article 15 of the ITS on supervisory reporting.

Once the draft amending ITS on LCR reporting enters into force, its provisions shall be fully applied (e.g. monthly reporting, all significant currencies, etc.) and DNB’s temporary LCR reporting decision ceases to apply.

If a firm wishes to share their LCR reports with DNB more frequently on a voluntary basis, for example for the purpose of improving data quality, they are welcome to do so.

For branches (both EEA and non EEA), additional information is available at: (LINK)

Until the final LCR templates are endorsed by the European Commission (after which they will be incorporated in e-line), DNB will provide the templates in an e-line application.

8028 reporting

DNB took notice of the announcement that the maturity ladder template might not be adopted as part of the ITS on Additional Monitoring Metrics (see EC announcement). In order to maintain a good monitoring of the liquidity positions beyond the 30-day horizon of the LCR, as well as some related Pillar 2 requirements, while at the same time not introducing new requirements, DNB has decided to maintain the 8028 reporting requirement:

• on a monthly basis for all credit institutions operating in the Netherlands, except if they are waived or if they are branches of either EEA or non-EEA institutions;
• only at the highest level of consolidation in the Netherlands;
• with last reference date 31 December 2016 with corresponding remittance date 30 January 2017, based on the assumption that by that time more harmonization in the area of liquidity reporting and Pillar 2 is achieved.

Legal setup

All the above-mentioned decisions on reporting, together with the earlier communicated decision on the phase-in of the NLCR and the discontinuation of the 8028 liquidity requirement are implemented by DNB in early October via an amendment to the Regeling Specifieke bepalingen CRD & CRR and the Regeling staten financiële ondernemingen Wft 2011.²

Dutch credit institutions are required to maintain a 100% NLCR as from 1 October 2015. Based on article 412 fifth paragraph CRR ³ and article 38 second paragraph of the DA LCR ⁴, Member States or competent authorities may require domestically authorized institutions or a subset of those institutions to maintain an LCR up to a maximum of 100% or to meet other liquidity requirements until the binding minimum LCR standard is fully harmonized (hence until 1 January 2018). The Dutch regulator has mandated DNB to use this national option. Based on Article 415 third paragraph of the CRR, until 1 January 2018 DNB is also authorized to continue the enforcement of existing reporting requirements in the area of liquidity. It is on this basis that DNB has decided to continue the requirement of reporting template 8028.

The proposed Amending Supervisory Regulation will contain two main topics. First, the introduction of a 100% NLCR for Dutch credit institutions, applicable from 1 October 2015 through a new article 6:1 of Regeling specifieke bepalingen CRD IV en CRR. Legal basis of article 6:1 Regeling specifieke bepalingen CRD IV en CRR is article 3:63 second paragraph Wet op het financieel toezicht (Wft) in conjunction with article 108 second paragraph and article 111 sixth paragraph Besluit prudentiële regels Wft (Bpr). Second topic of the Amending Supervisory Regulation is the implementation of the new reporting framework for liquidity in the Regeling staten financiële ondernemingen Wft 2011 (more specifically in annex 6 of that supervisory regulation). The LCR (as per DA) reporting requirement for credit institutions starting on 1 October 2015 follows from article 415 CRR. The legal basis for the proposed changes in annex 6 of the Regeling staten financiële ondernemingen Wft 2011 can be found in article 3:72 fifth paragraph Wft in conjunction with article 131 Bpr.

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¹ Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions
² Regeling specifieke bepalingen CRD IV en CRR en Regeling staten financiële ondernemingen Wft 2011
³ Regulation (EU) nr. 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Capital Requirements Regulation, CRR; PbEU L 176)
⁴ Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (Delegated Act Liquidity Coverage Requirement, DA LCR; PbEU L 11)