DFSA Consults on Guidelines on Capital Adequacy and Liquidity Risk
The Danish Financial Supervisory Authority (DFSA) proposed to amend guidelines on capital adequacy and solvency requirements for credit institutions, with the consultation period ending on November 09, 2021. The proposed changes relate to the credit and market risk sections. DFSA also proposed to amend guidelines on liquidity risk management for banks and "mortgage-credit institutes," with the consultation ending on November 12, 2021. In another update, the Central Bank of Denmark (Danmarks Nationalbank) announced that it will start publishing the Denmark Short-Term Rate (DESTR) on April 04, 2022. The first publication will reflect trading activity on April 01, 2022 and thus the DESTR will be available for use in financial contracts with effect from April 01, 2022.
The Central Bank of Denmark also published methodology and policies for DESTR. Furthermore, the Central Bank of Denmark will publish a compounded DESTR index beginning on April 04, 2022. The index will ensure the possibility of calculating compounded average rates for all periods. A similar index is published by other central banks as well. In January 2021, the Central Bank of Denmark established a working group on short-term reference rate with participation from the Danish financial sector. The working group has recommended DESTR as the preferred short-term reference rate in Danish kroner and proposed a transition away from the Tom/Next rate to DESTR. The Central Bank of Denmark supports the working group's recommendation on the transition from Tom/Next rate to DESTR as well as the cessation of the Tom/Next rate and will assist in calculating the realized spread between the Tom/Next rate and pre-DESTR.
Related Links (in Danish)
Comment Due Date: November 09, 2021 (Capital Adequacy)/November 12, 2021 (Liquidity Risk)
Keywords: Europe, Denmark, Banking, Regulatory Capital, Liquidity Risk, DESTR, Benchmark Reforms, Basel, Market Risk, Credit Risk, DFSA, Central Bank of Denmark
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