EBA欧洲银行-EBA-GL-2015-02_EN-Guidelines-on-recovery-plan-indicators_14页_247kb

报告摘要

EBA Guidelines on the Minimum List of Qualitative and Quantitative Recovery Plan Indicators (EBA-GL-2015-02)

Core Content

These guidelines, issued under Article 16 of the EBA Regulation, establish a minimum list of qualitative and quantitative indicators that financial institutions must include in their recovery plans. The aim is to ensure that institutions can effectively monitor and respond to financial distress in a timely and structured manner.

Main Objectives

To provide a framework for recovery plan indicators that are relevant for assessing the feasibility of recovery options.
To ensure that indicators are easily monitorable, forward-looking, and aligned with the institution's risk profile and governance structure.
To support the integration of recovery plans with internal risk management frameworks and existing contingency plans.

Key Requirements

Reporting Obligations

Competent authorities must notify the EBA by 23 September 2015 whether they comply or intend to comply with these guidelines.
If no notification is received by the deadline, the EBA will consider the competent authorities non-compliant.
Notifications should be submitted via the email address compliance@eba.europa.eu with the reference 'EBA/GL/2015/02'.

Scope of Application

The guidelines apply to competent authorities and financial institutions that are required to develop recovery plans under Directive 2014/59/EU.
Institutions may exclude market-based and macroeconomic indicators if they provide satisfactory justifications based on their business model, risk profile, size, and complexity.

Recovery Plan Indicators Framework

Mandatory Categories

Capital indicators – Must be included in all recovery plans.
Liquidity indicators – Must be included in all recovery plans.
Profitability indicators – Must be included in all recovery plans.
Asset quality indicators – Must be included in all recovery plans.

Categories Subject to Rebuttable Presumption

Market-based indicators – May be excluded if not relevant to the institution.
Macroeconomic indicators – May be excluded if not relevant to the institution.

Minimum List of Recovery Plan Indicators (Annex II)

Category	Indicators
Capital indicators	- Common Equity Tier 1 ratio<br>- Total Capital ratio<br>- Leverage ratio
Liquidity indicators	- Liquidity Coverage Ratio<br>- Net Stable Funding Ratio<br>- Cost of wholesale funding
Profitability indicators	- Return on Assets or Return on Equity<br>- Significant operational losses
Asset quality indicators	- Growth rate of gross non-performing loans<br>- Coverage ratio [Provisions / (Total non-performing loans)]
Market-based indicators	- Rating under negative review or rating downgrade<br>- CDS spread<br>- Stock price variation
Macroeconomic indicators	- GDP variations<br>- CDS of sovereigns

Additional Recovery Plan Indicators (Annex III)

A non-exhaustive list of indicators that may be included in recovery plans, based on the institution's specific needs:

Category	Indicators
Capital indicators	- (Retained earnings and Reserves) / Total Equity<br>- Adverse information on the financial position of significant counterparties
Liquidity indicators	- Concentration of liquidity and funding sources<br>- Cost of total funding (retail and wholesale)<br>- Average tenure of wholesale funding<br>- Contractual maturity mismatch<br>- Available unencumbered assets
Profitability indicators	- Cost-income ratio (Operating costs / Operating income)<br>- Net interest margin
Asset quality indicators	- Net non-performing loans / Equity<br>- (Gross non-performing loans) / Total loans<br>- Growth rate of impairments on financial assets<br>- Non-performing loans by significant geographic or sector concentration<br>- Forborne exposures / Total exposures
Market-based indicators	- Price to book ratio<br>- Reputational threat to the institution or significant reputational damage
Macroeconomic indicators	- Rating under negative review or rating downgrade of sovereigns<br>- Unemployment rate

Implementation and Monitoring

The framework of recovery plan indicators must be adapted to the institution's business model, strategy, and risk profile.
Indicators should be calibrated based on the institution's risk profile, the time needed to activate recovery measures, and the recovery capacity.
Institutions must recalibrate the indicators at least annually and ensure they are forward-looking.
The management information systems should support easy and frequent monitoring of the indicators and allow for timely submission to competent authorities when requested.
Monitoring should be continuous to enable timely action in response to significant financial deterioration.

Conclusion

The guidelines provide a structured and comprehensive framework for the development and implementation of recovery plans, emphasizing the importance of both quantitative and qualitative indicators. They aim to enhance financial stability, risk management, and governance within the European financial sector.

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