Early Warning Signals - Best practices for credit risk reporting

[User 537]

We looking to improve our credit risk reporting, having received regulatory on the lack of reporting of Stage 1 borrowers that are weaker than usual in our credit risk reporting

Whilst we have SICR criteria and a rudimentary EWS, we're also looking for guidance how specifically in the risk report to display and explain:

• Besides overviews on the EWS, what to include into the regular reports
• Any focus on non-EWS metrics (and reasoning around why they are not in the EWS but still reported)
• Name level listings of flagged clients? If so, what are the thresholds on borrower size?
• For above - what are the follow-ups once in the report, i.e. what are the criteria so that it is not included in the next one (besides the EWS not triggering again on a flagged client)
• Any broader implications (escalation to credit risk mgmt. / board risk committees)?

We would be grateful for any inputs on the above, or any other pointers on best practices. Many thanks in advance!