435. Where competent authorities have not developed their own benchmark for the quantification of …

Where competent authorities have not developed their own benchmark for the quantification of specific quantitative liquidity requirements, they can apply a benchmark using the following steps particularly in the case of liquidity risk:

• a. perform a comparative analysis, under stressed conditions, of net cash outflows and eligible liquid assets over a set of time horizons: up to one month (including overnight), from one month to three months, and from three months to one year; for this purpose, competent authorities should project net outflows (gross outflows and inflows);
• b. counterbalance capacity throughout different maturity buckets, considering stressed conditions (for example, prudent valuation under stress assumptions for liquid assets versus current valuation under normal conditions and after a haircut), building a stressed maturity ladder for the year ahead;
• c. estimate the survival period of the institution, based on the assessment of the stressed maturity ladder;
• d. determinate the desired/supervisory minimum survival period, taking into account the institution’s risk profile and market and macroeconomic conditions;
• e. if the desired/supervisory minimum survival period is longer than the institution’s current survival period, competent authorities may estimate additional amounts of liquid assets (additional liquidity buffers) to be held by the institution to extend its survival period to the minimum required.

Articulation of specific quantitative liquidity and funding requirements

1. Pregled

1.1 Reference

1.2 Utvrđeni zahtjevi

1.3 Povezani standardi

2. Utvrđeni zahtjevi

3. Povezani standardi

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