EBA欧洲银行-EBA-QIS-DoD-Instructions_46页_672kb

EBA Data Collection Exercise Summary: Proposed Regulatory Changes on the Definition of Default

Core Content

The European Banking Authority (EBA) initiated a Qualitative and Quantitative Impact Study (QIS) to assess the potential impact of proposed regulatory changes on the Definition of Default under Article 178(6) and (7) of Regulation (EU) No 575/2013 (CRR). This exercise aims to support the development of Regulatory Technical Standards (RTS) and Guidelines (GL) by gathering data and insights from participating banks.

Main Objectives

1. Estimate the impact of specific policy decisions on regulatory capital requirements.
2. Assess the ability of institutions to recover historical data using the new definition of default.
3. Evaluate the calibration of risk parameters and the materiality of model changes resulting from the new definition.
4. Gather necessary information to make final regulatory decisions.

Key Information

1. Scope and Participation

• The exercise is voluntary, targeting banks that provide COREP reporting.
• It applies to banks using the Standardised Approach (SA) or Internal Ratings-Based (IRB) Approach.
• Sampling is optional, but if used, the sample should be representative of the total exposure class.
• The minimum sample size is:
  • At least 20% of the number of obligors.
  • At least 20% of the EV (for SA) or EAD (for IRB) of each relevant exposure class.
• Immaterial portfolios (low exposure value or few obligors) may be excluded from the sample if their omission does not affect representativeness.

2. Consolidation Level

• Data must be reported at the same consolidation level as used for COREP reporting.
• The highest level of consolidation is generally required.
• Banks that only report COREP on a solo basis must complete the QIS on that basis as well.
• This information is to be provided in the "General information" sheet, field 12D.

3. Reporting Date

• All data should be reported as of 30 June 2015.
• If data is not available for that period, the reference date must be specified, and estimates for that period should be provided if possible.
• Exchange rates for converting data to EUR are provided for 30 June 2015 and should be used for the reporting period.

4. Filling in the Data

• The QIS must be completed on a best-efforts basis.
• If data is not available, the cell should be marked as "not available".
• If an issue is not applicable, the cell should be marked as "not applicable".
• Decimal separator must be ".".
• Comments should be provided in designated comment fields.
• Quantitative data (e.g., EV, EAD, RWA, LGD, PD, DR, etc.) should be filled in yellow cells.
• Percentages should be entered as decimals (e.g., 0.75 instead of 75%).

5. COREP Templates

• The QIS template includes references to COREP records.
• These fields do not need to be filled since the data is already available via COREP.
• However, including the data directly in the QIS template is beneficial if available.

Structure of the QIS

Part 1: Qualitative Questionnaire

• Applies to all portfolios of the institution.
• No sampling is used.
• Current practices are to be described in detail, including:
  • Use of different default definitions for different types of exposures, legal entities, branches, or geographical locations.
  • Number of default definitions used.
  • Main differences between the definitions.
  • Application level (individual facility or obligor level) for retail exposures.
  • Pulling effect for facility-level default definitions.
  • Contagion effect for obligor-level default definitions.
  • Technical default definition and its application across exposure types.

Part 2: Quantitative Questionnaire

• Divided into two parts: one for policy options, and one for Standardised and IRB Approaches.
• Policy options include:
  • Materiality threshold
  • Technical defaults
  • Specific credit risk adjustments (SCRA)
  • Sale of credit obligations
  • Probation period before return to non-defaulted status
  • Probation period for distressed restructuring
  • Contagion effect
  • Combined effect of all policy options
• Standardised Approach:
  • Focuses on representative samples of exposures.
  • Requires information on current risk parameters of the sample.
  • Includes estimated impact of policy options on the sample.
• IRB Approach:
  • Similar to the Standardised Approach.
  • Requires data on IRB-specific risk parameters.

Process and Timeline

• The QIS templates and instructions were published on 21/09/2015.
• A deadline for submitting questions and comments was set for 19/10/2015.
• Final templates were published on 26/10/2015.
• The deadline for submitting completed templates to Competent Authorities (CAs) was 10/12/2015.
• Data quality checks were completed by 15/01/2016.
• Resubmission of templates was possible by 29/01/2016 if necessary.

Additional Notes

• Institutions contacted by their local supervisor are expected to participate.
• The glossary in the QIS Excel template provides definitions and acronyms to aid in understanding the template.
• The EBA is mindful of the burden on institutions and has included simplifying assumptions to reduce complexity.
• All responses must be consistent with the glossary definitions provided in the template.