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EDTF recommendations
557
The Enhanced Disclosure Taskforce (EDTF), established by the Financial Stability Board, published its report ‘Enhancing the Risk Disclosures of Banks’
in October 2012. The report suggests improvements to address the quality, comparability and transparency of risk disclosures in areas of risk
governance, capital adequacy, liquidity and funding, credit risk and market risk.
The Group implemented the majority of the EDTF recommendations in its 2012 Annual Report and Accounts and Pillar 3 Report and the remainder in its
2013 reports.
The table below sets out the EDTF recommendations and the related locations in the 2013 Annual Report and Accounts and Pillar 3 Report.
Page reference
Risk type Recommendation
Report &
Accounts
Pillar 3
General 1 Present all risk information together. Where this is not practicable, provide an index. 1, 174-364
557
2 Risk terminology, risk measures and key parameter values used. 548-556 9
3 Top and emerging risks. 30, 179-181
4 Key future regulatory ratios. 195-202, 204
211, 213, 215
5 Summarise risk management organisation, processes and key functions. 176-177
6 Risk culture and risk appetite. 184-186
7 Key risks arising from business models and activities. 8-9, 11-19
24-27
177-178
Risk governance and risk
management
strategies/business model
8 Stress testing. 181-182
194, 212
329
9 Pillar 1 minimal capital requirements. 193-194 9
10 Composition of capital and reconciliation between accounting and regulatory balance
sheet.
197-198, 205
11 Regulatory capital flow statement. 198-199
12 Capital planning and management. 193-194
13 Risk-weighted assets (RWAs) and business activities. 202-204 9
14 Capital requirements and RWAs. 195, 330 9
15 Credit risk in the banking book for major portfolios. 207-208 9
16 RWA flow statements. 202-204
Capital adequacy and risk-
weighted assets
17 Back-testing of models. 326-327 9
Liquidity 18 Liquid assets and their management. 210-214
Funding 19 Encumbered assets. 223-226
20 Contractual maturity of assets, liabilities and off-balance sheet commitments. 217, 220-222
433, 472
21 Funding strategy including key sources. 216-220
Market risk 22 Linkages the balance sheet and market risk portfolios. 320
23 Significant trading and non-trading market risk factors. 323
24 Model limitations, assumptions and validation procedures 324-328
25 Stress testing and scenario analysis. 329
Credit risk 26 Credit risk exposures, including linkage to balance sheet. 269-278, 206 9
27 Policies for impaired loans and forbearance. 242-251
28 Flow statements for impaired loans and allowance for loan losses. 299-316
29 Counterparty credit risk that arises from derivatives transactions. 241, 296-299
414, 426-427
9
30 Credit risk mitigation. 237-241, 269 9
Other risks 31 Other risk types. 189-191
354-364
32 Discussion of publicly known risk events. 4-5, 22
178-179
393-394
451-452
474-482