376. In evaluating the impact of shocks on the institution’s liquidity needs, competent authorities …

In evaluating the impact of shocks on the institution’s liquidity needs, competent authorities should take into account all material sources of liquidity risk for the institution, in particular:

• a. the possibility that any applicable EU regulatory requirement would not adequately identify the institution’s liquidity needs in the event of the type of stress scenario used for the requirement, including where maturities are shorter than 30 days;
• b. risks arising in respect of wholesale counterparties regarding on-balance-sheet items and funding concentrations. Competent authorities should have regard to the volatility of funding provided by counterparties that all belong to the most material sectors serviced and potential contagion risks. In this respect, particular attention should be paid to funding gathered through new business lines and distribution channels, as well as from clients running activities bearing an increased level of risk (crypto-asset issuers and services providers);
• c. risks arising in respect of contingent cash flows/off-balance-sheet items (for example, credit lines, margin calls) and activities (for example, liquidity support for unconsolidated special-purpose vehicles beyond contractual obligations;
• d. inflows and outflows on a gross basis, as well as a net basis; where there are very large inflows and outflows, competent authorities should pay specific attention to the risk to the institution when inflows are not received when expected, even when the net outflow risk is limited;
• e. risks arising in respect of retail counterparties including funding concentrations. For this purpose, competent authorities should make use of the methodology on the classification of retail deposits into different risk buckets, pursuant to Articles 24 and 25 of Commission Delegated Regulation (EU) 2015/61;
• f. the risk that excessive risks in the medium- to long-term funding profile will adversely affect the behaviour of counterparties relevant to the short-term liquidity position;
• g. risk arising in the context of fiduciary deposits⁵⁴ .

⁵⁴ The best practices are available in the EBA report: Monitoring of liquidity coverage ratio implementation in the EU – Second report (EBA/REP/2021/07).

1. Panoramica

1.1 Riferimenti

• Article 24 Outflows from stable retail deposits
• Article 25 Outflows from other retail deposits

1.2 Requisiti identificati

1.3 Standard correlati

2. Requisiti identificati

3. Standard correlati

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