+Category 3. Credit risk/asset-quality indicators

Category 3. Credit risk/asset-quality indicators

  • a) Highly liquid financial assets with impairment indicators (e.g. indicators of impairment to credit quality as laid down in IFRS 9) / reserve of assets
  • b) Total amount of the reserve of assets held as deposits placed at credit institutions with the lowest credit rating as per issuer’s risk appetite in line with Article 36(4) of Regulation (EU) 2023/1114 / total banking deposit within the reserve of assets
  • c) Distance from the minimum level of over-collateralization (as specified under Article 36(4) of Regulation (EU) 2023/1114)
  • d) Negative change in the credit rating of key counterparties (e.g. credit institution holding issuer’s deposit)

1. Overview

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1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
  • EBA - Published by the European Banking Authority at https://www.eba.europa.eu/