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    DNB Publishes Multiple Regulatory and Reporting Updates in June 2022

    June 30, 2022

    DNB, the central bank of Netherlands, published several reporting updates and the results of a study on macro-prudential perspective on cyber risk.

    As part of the recent announcements, DNB

    • updated the list of the additional data requests, including semi-recurring as well as one-off data requests to banks from DNB and European agencies.
    • announced that the Structural Foreign Exchange positions reporting obligation will be available as of July 01, 2022 in the Digital Reporting Portal (or DLR). DNB has published the related reporting template. The Structural Foreign Exchange provision, as laid down in Article 352(2) of the Capital Requirements Regulation (CRR), allows competent authorities to authorize the exclusion of Foreign Exchange risk positions deliberately taken by institutions to hedge against the adverse effect of exchange rates on capital ratios from the calculation of the net open currency positions, where those positions are of a structural nature. Institutions for which the exclusion of these Structural Foreign Exchange positions has been granted are required to report on a quarterly basis the monitoring figures as specified in guidelines on the treatment of Structural Foreign Exchange positions (EBA/GL/2020/09).
    • published a revised version of the additional data quality checks for the second quarter of 2022. In this revised version, 11 validation rules have been removed and 35 validation rules have been modified. The changes are not substantive and only concern the addition of the leading zeros in the rows and columns.
    • announced that the submission deadline for the audit certification 2021 is June 30, 2022. The scope remains unchanged compared to last year. This means that the following reports needs to be certified: COREP OF, COREP LE, FINREP (only the highest level), and interest rate risk. The reporting obligation for the audit certification 2021 can be found under reference period December 31, 2021 in DLR
    • published the results of its study on macro-prudential perspective on cyber risk. In the study, DNB investigates under which circumstances a cyber incident at a financial institution could develop into a threat for the financial system. The study focuses on a number of scenarios and channels of contagion. In one scenario, a cyberattack causes one or more participants in the interbank payment system to fail, while in the other the loss of confidence leads to a bank run. The preliminary conclusion is that a cyber incident can affect financial stability mainly when operational problems spread through multiple channels of contagion and if this results in a major confidence shock.

     

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    Keywords: Europe, Netherland, Banking, Reporting, Structural Foreign Exchange, CRR, Basel, COREP, FINREP, Cyber Risk, Financial Stability, DNB

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