March 20, 2019

EBA published an updated methodological guide on how to compile risk indicators and detailed risk analysis tools (DRATs). This guidance, which describes how risk indicators are computed in EBA publications, allows competent authorities and users of EBA data to interpret key bank figures in a consistent fashion when conducting their risk assessments.

This update includes additional indicators based on IFRS 9 information, in addition to the other indicators to better understand institutions' profitability, exposures to sovereign counterparties, and own funds requirements for operational risk, among others. This updated guide is based on the EBA reporting framework version 2.8, which has been applicable from December 2018 onward. The guide is structured in two parts. Part I presents the risk indicators by means of an introduction, along with a description of each of them, and concludes with a short reference to the relevant methodological concerns, when those arise. Consequently, each risk indicator has been allocated either to one of the nine specified categories, depending on the type of risk addressed (namely liquidity, funding, asset quality, profitability, concentration, solvency, operational, market, and sovereign risk) or to the dedicated category for SME monitoring. Each of these categories has a dedicated chapter in Part I. Finally, Part II discusses the selective methodological issues that may arise when compiling or using the risk indicators and DRATs.

 

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Keywords: Europe, EU, Banking, Guidance, Risk Indicators, Reporting, DRATs, EBA

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