Page 97 - EBA 2015.1815 Annual report 2014 web 2

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2 0 1 4 a n n u a l r e p o r t
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Upgrading the risk
analysis tools
In 2015, the EBA’s main focus concerning the
increased data infrastructure brought by the
broadened data collection is to adhere to a
strict quality assurance process and ensure
full usage of the new data.
Keeping in mind the increased number of in-
stitutions reporting the data under the COREP
and FINREP, the EBA will strive to improve the
quality of data before it is submitted by com-
petent authorities. This will mean that it will
continue to encourage the competent authori-
ties to take additional quality checks before
sending the data.
In light of the data usage and in consideration
of new harmonised concepts and definitions,
and broadened data coverage, the ΕΒΑ will
finalise the definitions of the new comprehen-
sive set of risk indicators. This toolkit of new
risk indicators complements the existing set
of KRIs, with an increase from the current
53 to more than 200. The new indicators will
also cover a wider spectrum of different types
of risk, including: liquidity, funding and asset
encumbrance, asset quality, profitability, con-
centration, solvency, operational and market
risk. The introduction of the indicators will en-
hance the EBA’s mandate in identifying, at an
early stage, trends, potential risks and vulner-
abilities stemming from the micro-prudential
level, across borders and across sectors.
Furthermore, the EBA will introduce a set of
Detailed Risk Analysis Tools (DRAT), which
go beyond the traditional definition of met-
rics, based solely on ratios, and instead use
data visualisation techniques to increase their
analytical power and assist potential users in
reaching better conclusions. A representative
selection of these DRAT indicators includes
matrices of concentration, ranking of counter-
parties for large exposures and non-perform-
ing exposures, liquidity and funding informa-
tion granular breakdowns and asset quality
matrices. Similarly as the KRIs the DRATs will
be used both internally by the EBA staff as well
as externally in an aggregated form.
In respect to the EBA Risk Dashboard, the plan
is to review its current contents, in the course
of 2015, and enrich it with the most relevant
representation of risk indicators and DRATs.
In addition to the upgrade of the EBA Risk
Dashboard, the EBA will develop an analyti-
cal tool combining data on sectorial and ge-
ographical distribution of gross exposures,
non-performing exposures and provisions
collected from institutions through FINREP
supervisory reporting; and market-based in-
formation on Expected Default Frequencies
(EDF).
When finished, the tool will be used as a part
of regular risk assessment work for provid-
ing up-dated information and forward looking
information on risks and vulnerabilities in the
European banking.
Increasing transparency
on the EU banking sector
In 2015, the EBA will put a lot of emphasis on
its work on market disclosure and public dis-
semination of data and postpone the EU-wide
stress test. The BoS of the EBA decided not to
carry out an EU-wide stress test in 2015 and
to start preparing for the next exercise in 2016.
Instead of a stress test, in 2015, the EBA will
run a transparency exercise in line with the
one conducted in 2013, which will provide de-
tailed data on EU banks’ balance sheets and
portfolios. This decision has been communi-
cated to the European Parliament, the Council
and the Commission.
The planned disclosure exercise will be con-
ducted in order to prevent reappearance of
uncertainty on EU banks’ exposures and sol-
vency, after the significant progress made on
the capital side.
In addition to the disclosure exercise and still in
the context of disclosure to markets, the EBA
will continue to monitor Pillar 3 disclosures of
banks and propose way to enhance them as
necessary. Namely, the regular assessment of
Pillar 3 disclosures with identification of best
disclosure practices, which the EBA has been
carrying out since the first release of Pillar
3 disclosures in 2009, will resume. This as-
sessment was interrupted in 2014 due to the
priority given to drafting guidelines and other
legal acts in the Regulation (EU) 575/2013.
This assessment will be the first to cover the
disclosure requirements in the CRR that have
superseded those in Annex 12 of Directive (EU)
2006/48.