12. Other characteristics

12.1. Institutions should consider their retail deposit base to identify any other characteristics that indicate or might indicate a retail deposit type with higher outflow rates than those specified in Article 421(1) and (2) CRR. The identification or non-existence of other characteristics should be documented.

12.2. In order to identify such characteristics, institutions should assess the observed (historical) and expected stability/volatility for the specific retail deposit products offered and identify product types that proved, or are believed might prove, to be unstable.

12.3. For this purpose, institutions should conduct a stress test scenario assuming a combined severe idiosyncratic and market-wide event. Internal statistical and mathematical models could be used to assess the volatility of retail deposit products. The inputs for these methods should generally comprise data derived from the past behaviour of deposits and from hypothetical assumptions based on stress scenarios.

12.4. Small and less sophisticated institutions could use simplified methods based on statistical models, such as models identifying the maximum decrease observed in a 30-day period for a given deposit on a given time horizon including a stressed period.

12.5. The use of expert judgement is encouraged in order to include factors not taken into account by a model, especially in the case of innovative products without a long history.

12.6. A ranking of retail deposit products in terms of volatility or perceived volatility would be a very useful tool in the analysis. This would assist in consistent implementation across an institution’s retail deposit products. The comparison of the results obtained for different products and the identification of outliers may help identify less stable deposits.

12.7. The assumptions underpinning these methods should comprise a 30-day prediction and be frequently reviewed, in particular to capture any material change in market conditions. In addition, institutions should consider correlation, contagion effects and seasonal effects to improve the quality of this assessment.

1. Forbhreathnú

1.1 Tagairtí

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

3. Caighdeáin ghaolmhara

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