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    DNB Finalizes CCyB Framework, Issues Other Regulatory Updates

    February 25, 2022

    DNB, the central bank of Netherlands, published multiple reporting updates and the final version of the countercyclical capital buffer (CCyB) framework, also noting that it is set to apply a 2% CCyB in a standard risk environment. In answer to a query from the Dutch Banking Association (NVB) during the consultation process, DNB clarified that, when releasing the buffer, DNB will communicate the period during which it is expected not to raise the buffer. DNB also announced its decision not to extend the temporary COVID-19 relief measures for the less significant credit institutions that come under its direct supervision. Thus, after March 31, 2022, the less significant institutions must reinclude central bank exposures when calculating their leverage ratio; these institutions are also expected to operate above the level of their Combined Buffer Requirement and their Pillar 2 Guidance from January 01, 2023.

    With respect to the reporting changes, DNB issued an updated the list of additional data requests for banks, including semi-recurring as well as ad hoc data requests from DNB and European agencies. The updated data requests, which have been highlighted with the word "UPDATE" in red, relate to Basel III Monitoring Quantitative Impact Study (QIS), EBA stress tests, Risk Assessment Questionnaire, and Supervisory fees. For some of these data requests, DNB has updated the submission timeline for banks. In addition, DNB set out that:

    • the file "Required templates and filing indicators Interest Risk Reporting" has been made available; this version will be applicable for reports with reference date March 2022 onward.
    • additional data quality checks related to reference period March 2022 (run from April 01, 2022) and informed that feedback on certain data quality checks may take longer than usual, with the output expected to be made available once the processing gets completed.
    • the Liability Data Report (LDR) reporting obligation is now available in DLR as of February 21, 2022, with the submission deadline of March 18, 2022.

     

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    Keywords: Europe, Netherlands, Banking, Reporting, Basel, Data Quality Checks, DLR, CCyB, Regulatory Capital, Macro-Prudential Policy, Leverage Ratio, Pillar 2 Guidance, DNB

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