+8. Title 8. Assessing risks to liquidity and funding and SREP liquidity and funding assessment
---+8.1. General considerations
------+361. Competent authorities should assess the institution’s material liquidity and funding risks and …
------+362. When assessing the inherent liquidity and funding risk, and the adequacy of the liquidity and …
------+363. The methodology comprises six main components: a. assessment of inherent liquidity risk …
------+364. The assessment flow is documented graphically in figure 3. Figure 3. Elements of the …
------+365. In the assessment of risks to liquidity and funding, competent authorities should review …
------+366. Competent authorities should ensure the assessment pays attention to how the institution’s …
------+367. To assist with the quantitative assessment of the institution’s liquidity and funding risks …
------+368. Competent authorities shall also evaluate any information with a potential impact on liquidity …
------+369. In reviewing the quality of the institution’s organisational and risk management arrangements …
------+370. Competent authorities should take into account the impact of ESG risks on the inherent …
------+371. The outcome of the assessment of each individual risk should be reflected in a summary of …
---+8.2. Assessment of inherent liquidity risk
------+372. Competent authorities should assess the institution’s short- and medium-term liquidity risk …
------+373. For the assessment of liquidity needs, buffers and counterbalancing capacity under normal …
------+374. Competent authorities should assess the institution’s liquidity needs in the short and medium …
------+375. Competent authorities should support the assessment of short-term liquidity risk by analysing …
------+376. In evaluating the impact of shocks on the institution’s liquidity needs, competent authorities …
------+377. Competent authorities should ensure that their assessment of the institution’s short-term …
------+378. Competent authorities should assess the institution’s exposure to intraday liquidity risk for …
------+379. For those jurisdictions where reporting on intraday risk is not yet available, competent …
------+380. Competent authorities should assess the adequacy of the institution’s liquidity buffer and …
------+381. Competent authorities should consider factors that might reduce the institution’s ability to …
------+382. Competent authorities should review (where applicable) the appropriateness of the …
------+383. Competent authorities should run their own liquidity stress tests to independently assess …
---+8.3. Assessment of inherent funding risk
------+384. Competent authorities should assess the institution’s funding risk and whether the medium- and …
------+385. Competent authorities should assess the appropriateness of the institution’s funding profile …
------+386. Competent authorities should consider the impact on the institution’s funding profile of any …
------+387. Competent authorities should assess whether potential shortcomings arising from the …
------+388. Competent authorities should consider factors that may reduce the stability of the funding …
------+389. Competent authorities should assess risks to the sustainability of the funding profile arising …
------+390. Competent authorities should also assess the risk that asset encumbrance may have an adverse …
------+391. Competent authorities should be aware of the institution’s actual market access and current …
------+392. Competent authorities should assess the expected change in funding risks based on the …
---+8.4. Assessment of liquidity and funding risk management and control framework
------+393. To achieve a comprehensive understanding of the institution’s liquidity and funding risk …
------+394. Competent authorities should assess whether the institution has a sound, clearly formulated …
------+395. Competent authorities should assess whether the institution has an appropriate organisational …
------+396. Competent authorities should assess whether the institution has appropriate policies and …
------+397. Competent authorities should assess the adequacy of the institution’s approach to maintaining …
------+398. Competent authorities should assess whether the institution has an appropriate framework and …
------+399. Competent authorities should assess whether institutions have an appropriate reporting …
------+400. Competent authorities should assess the adequacy of the process of measuring intraday …
------+401. Competent authorities should assess whether the institution has an adequate set of liquidity …
------+402. Institutions should be able to demonstrate that the indicators are adequately documented …
---+Institution’s liquidity- and funding-specific stress testing
------+403. Competent authorities should assess whether an institution has implemented adequate …
------+404. Competent authorities should take into account whether the framework permits the institution …
------+405. Competent authorities should ensure that the institution provides the modelled impact of …
------+406. An important aspect that competent authorities should consider when assessing the …
------+407. Competent authorities should also assess whether the institution takes a conservative approach …
------+408. Competent authorities should assess whether the management framework of the institution’s …
------+409. Competent authorities should assess whether the institution has a strong and comprehensive …
------+410. Competent authorities should consider whether the institution has limits to ensure consistency …
------+411. Competent authorities should assess whether the limits are approved and regularly reviewed by …
------+412. Competent authorities should assess whether the institution has implemented an adequate …
------+413. Competent authorities should assess whether the institution has adequate controls regarding …
------+414. Competent authorities should assess whether the institution’s liquidity contingency plan (LCP) …
------+415. Competent authorities should assess whether the actions described in the LCP are feasible in …
------+416. Competent authorities should assess the appropriateness of the institution’s governance …
------+417. Competent authorities should assess whether the funding plan is feasible and appropriate in …
------+418. In addition, competent authorities may consider: a. whether the institution adequately …
------+419. Competent authorities should assess whether the institution’s funding plan is appropriately …
------+420. In addition, competent authorities may take into account whether the institution is able to …
------+421. Competent authorities should consider the quality of the institution’s processes for …
---+8.5. Summary of findings, scoring and supervisory measures
------+422. Following the above assessment, competent authorities should form a view on the institution’s …
------+423. In setting the liquidity and funding adequacy score, competent authorities should, where …
------+424. Following the liquidity and funding adequacy scoring of section 8.5, competent authorities …
------+425. The next table provides a non-exhaustive list of qualitative and quantitative supervisory …
------+426. Where competent authorities determine that quantitative measures may be necessary, they should …
------+427. It is relevant to note that part of the measures mentioned in table 18 are of a qualitative …
------+428. When setting structural, long-term supervisory requirements, competent authorities should …
------+429. Where competent authorities conclude that there is a high risk that the institution’s cost of …
---+8.6. Benchmarking and setting of quantitative liquidity and funding requirements
------+430. To support their liquidity and funding adequacy scoring and calibrate specific quantitative …
------+431. Competent authorities should use the most appropriate benchmark for the institution’s business …
------+432. Competent authorities should assess the suitability of any benchmarks applied to institutions …
------+433. A key input to the competent authority’s benchmarks for the quantification of specific …
------+434. Below are some examples of the possible approaches: a. Example 1: Institution with an initial …
------+435. Where competent authorities have not developed their own benchmark for the quantification of …
------+436. To articulate the specific quantitative liquidity requirements, competent authorities should …
------+437. To articulate the specific quantitative stable funding requirements appropriately, competent …
------+438. Competent authorities should structure quantitative liquidity or funding requirements in such …
------+439. Competent authorities should ensure that the institution immediately notifies them if it does …
------+440. Notwithstanding the above, competent authorities may also set qualitative requirements in the …
------+441. Below are some examples of the different approaches for the structure of specific quantitative …
------+Example of specific requirements articulation

8. Title 8. Assessing risks to liquidity and funding and SREP liquidity and funding assessment

8. Title 8. Assessing risks to liquidity and funding and SREP liquidity and funding assessment

1. Übersicht

,
8.1. General considerations

8.1. General considerations
8.2. Assessment of inherent liquidity risk

8.2. Assessment of inherent liquidity risk
8.3. Assessment of inherent funding risk

8.3. Assessment of inherent funding risk
8.4. Assessment of liquidity and funding risk management and control framework

8.4. Assessment of liquidity and funding risk management and control framework
Institution’s liquidity- and funding-specific stress testing

Institution’s liquidity- and funding-specific stress testing
8.5. Summary of findings, scoring and supervisory measures

8.5. Summary of findings, scoring and supervisory measures
8.6. Benchmarking and setting of quantitative liquidity and funding requirements

Determination of specific quantitative liquidity and funding requirements

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards
  • EBA - Published by the European Banking Authority at https://www.eba.europa.eu/