4. Business model and management

In addition to the core risk indicators, the DGS may define and include additional risk indicators that are relevant for determining the differences in risk profiles of its member institutions.

If a Member State has, through regulation, imposed restrictions on institutions within a certain subsector in a manner that substantially reduces the likelihood of a DGS intervention, the DGS may reduce contributions from member institutions belonging to the respective low-risk sector in accordance with Article 13(1) second subparagraph of the DGSD, by including an additional risk indicator, under the condition that the competent and designated authority have cooperatively, after consulting the DGS, allowed it, based on empirical evidence indicating that within these low-risk sectors the occurrence of DGS interventions has been consistently lower than in other sectors.

The DGS may reduce the contributions of a member institution that is part of an institutional protection scheme (IPS) according to Article 13(1) third subparagraph of the DGSD by including an additional risk indicator in the calculation method. The IPS membership indicator should reflect the additional solvency and liquidity protection provided by the IPS to the member institution. To that end, the additional risk indicator should measure the amount of the IPS ex-ante funds that are available without delay for both recapitalisation and liquidity funding purposes. This may also include additional funding commitments callable upon request and backed by liquidity reserves held by IPS members. To measure whether these ex ante funds are sufficiently large to provide a credible and effective support for that member institution, the DGS should set them in relation to the size of the IPS member institution.

Requirements for risk indicators

The DGS should use risk indicators that capture a sufficiently wide spectrum of sources of risk in the calculation method. If and when a DGS chooses additional indicators, this may include, but is not limited to, risks stemming from money laundering, poor governance or poor quality of Single-Customer-View files.

The DGS should align the selection of the risk indicators with the best practices in risk management and with the existing prudential requirements.

The DGS should use the values of risk indicators for each member institution calculated on an individual basis.

However, the DGS should calculate the value of risk indicators at a consolidated level where the Member State exercises the option provided for in Article 13(1) of Directive 2014/49/EU to allow the central body and all credit institutions permanently affiliated to the central body, as referred to in Article 10(1) of Regulation (EU) 575/2013, to be subject as a whole to the risk weight determined for the central body and its affiliated institutions on a consolidated basis.

Where a member institution has received a waiver from meeting capital and/or liquidity requirements at the individual level pursuant to Articles 7, 8 or 21 of Regulation (EU) 575/2013, the DGS should calculate the corresponding capital/liquidity indicators at the consolidated or sub-consolidated level.

To calculate values of risk indicators for a given period the DGS should use:

• a. the value at the end of the reporting period for positions from the income statement;
• b. the average between the value at the end of the reporting period and the value at the end of the previous reporting period for positions from the balance sheet.