Market-based indicators

Market-based indicators aim to capture the expectations from market participants of a rapidly deteriorating financial condition of the institution that could potentially lead to disruptions in access to funding and capital markets. In accordance with this objective, the framework of qualitative and quantitative indicators should refer to the following types of indicators:

• a. equity-based indicators which capture variations in the share price of listed companies, or ratios that measure the relationship between the book and market value of equity;
• b. debt-based indicators, capturing expectations from wholesale funding providers such as credit default swaps or debt spreads;
• c. portfolio-related indicators, capturing expectations in relation to specific asset classes relevant to each institution (e.g. real estate);
• d. rating downgrades (long-term and/or short-term) as they reflect expectations of the rating agencies that can lead to rapid changes in the expectations of market participants regarding the institution’s financial position.