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.
Keywords: Europe, EU, Banking, Guidance, Risk Indicators, Reporting, DRATs, EBA
Previous ArticleEC Publishes Draft Equivalence Decisions for Credit Rating Agencies
Next ArticleEBA Single Rulebook Q&A: First Update for May 2019
BIS published the September issue of the Quarterly Review, which contains special features that analyze the rapid rise in equity funding for financial technology firms, the effectiveness of policy measures in response to pandemic, and the evolution of international banking.
The Basel Committee for Banking Supervision (BCBS) met in September 2021 and reviewed climate-related financial risks, discussed impact of digitalization, and welcomed efforts by the International Financial Reporting Standards (IFRS) Foundation to develop a common set of sustainability reporting standards
The Office of the Comptroller of the Currency (OCC) issued a Cease and Desist Order against MUFG Union Bank for deficiencies in technology and operational risk governance.
The European Commission (EC) published the Delegated Regulation 2021/1527 with regard to the regulatory technical standards for the contractual recognition of write down and conversion powers.
In a response to the questions posed by a member of the European Parliament, the President Christine Lagarde highlighted the commitment of the European Central Bank (ECB) to an ambitious climate-related action plan along with a roadmap, which was published in July 2021.
The Single Resolution Board (SRB) published a Communication on the application of regulatory technical standard provisions on prior permission for reducing eligible liabilities instruments as of January 01, 2022.
The Australian Prudential Regulation Authority (APRA) published a new set of frequently asked questions (FAQs) to provide guidance to authorized deposit-taking institutions on the interpretation of APS 120, the prudential standard on securitization.
The French Prudential Control and Resolution Authority (ACPR) published the corrective version of the RUBA taxonomy Version 1.0.1, which will come into force from the decree of January 31, 2022.
The European Commission (EC) announced that Nordea Bank has signed a guarantee agreement with the European Investment Bank (EIB) Group to support the sustainable transformation of businesses in the Nordics.
The Australian Prudential Regulation Authority (APRA) published a new set of frequently asked questions (FAQs) to clarify the regulatory capital treatment of investments in the overseas deposit-taking and insurance subsidiaries.