EBA欧洲银行-2020-EU-wide-stress-test-Draft-Template-Guidance_49页_1mb

2020 EU-Wide Stress Test Guidance Summary

Core Content

This document provides technical guidance for participating banks to populate the templates for the 2020 EU-wide Stress Test, in conjunction with the Methodological Note. It outlines the structure, data input requirements, and reporting standards for various templates used in the stress test. The guidance emphasizes compliance with supervisory reporting standards, data consistency, and the use of predefined formats.

Main Views

1. Template Overview

• The templates are categorized into:
  • Instructions: Contains general information and version details.
  • Input: Requires banks to enter basic information such as bank name, material countries, and country/currency combinations.
  • CSV (Calculation Support and Validation): Banks must populate these templates, except for optional ones.
  • TRA (Transparency): Automatically populated and used for disclosure purposes.

2. Data Input and Format Requirements

• No structural changes to the templates are allowed; only data input is permitted.
• Password protection must remain intact; otherwise, the EBA will reject the file.
• Text fields are typically handled via drop-down menus, except in the CSV_ONEOFF template which uses free-text fields.
• Monetary amounts should be reported in million euros (rounded to two decimal places), unless specified otherwise.
• Percentage data should be formatted as X.XX%.
• Zero values must be explicitly entered as 0, not left blank.

3. Supervisory Reporting Standards

• All templates refer to the supervisory reporting requirements as of 31 December 2019.
• FINREP and COREP standards apply to most templates, with version 2.9 used for securitisation-related templates (CSV_CR_SEC and CSV_CR_SEC_SUM).
• The Methodological Note provides the primary definitions and requirements, which this guidance does not redefine.

Key Information

1. CSV Templates

• CSV_CR_SUM: Summary of credit risk P&L impact (excluding securitisations). Automatically populated from CSV_CR_SCEN.
• CSV_CR_SCEN: Contains historical and projected credit risk data, including exposures, LTV ratios, provisions, and parameters, broken down by asset class, regulatory approach, country, year, and scenario. Used to calculate projected impairments and provisions.
• CSV_CR_REA: Credit risk REA and expected loss (EL) data, including regulatory risk parameters. Used by CSV_CR_REA_IRB and CSV_CR_REA_sta.
• CSV_CR_REA_IRB: Contains IRB REA and expected loss data. Excludes certain parameters if the slotting criteria apply for specialised lending.
• CSV_CR_REA_sta: Contains STA REA and credit risk adjustments. Excludes securitisation positions subject to mark-to-market valuation.
• CSV_CR_SEC_SUM: Summary of securitisation REA and impairments. Applies REA floors and reports the impact on CET1 capital.
• CSV_CR_SEC: Detailed securitisation data by regulatory approach (SEC-IRBA, SEC-SA, SEC-ERBA, SEC-IAA), including exposure values, credit risk adjustments, and REA projections.

2. Market Risk, CCR Losses, and CVA

• CSV_MR_SUM: Summary of market risk impacts, including full revaluation, CVA, CCR losses, and NTI projections. Data sourced from CSV_MR_FULL_REVAL, CSV_MR_RESERVE, CSV_MR_CCR, and CSV_MR_PROJ.
• CSV_MR_FULL_REVAL: Full revaluation of market risk positions, including fair value assets and liabilities.
• CSV_MR_RESERVE: Revaluation of reserves, including liquidity and model uncertainty reserves.
• CSV_MR_PROJ: Projections of client revenues and their related hedges.
• CSV_MR_CCR: Counterparty credit risk losses.

3. Non-Interest Income, Expenses, and Capital

• CSV_NII_SUM: Summary of non-interest income and expenses.
• CSV_NII_CALC: Detailed calculation of non-interest income, including net fee and commission income and dividend income.
• CSV_REA_SUM: Summary of REA across all templates.
• CSV_NFCI_DIV: Evolution of net fee and commission income and dividend income.
• CSV_ONEOFF: Adjustments for non-recurring events (optional).
• CSV_P&L: Evolution of profit and loss (P&L) for the stress test.
• CSV_CAP: Capital information.
• CSV_MDA: Calculation of potential distribution restrictions following MDA trigger breaches.
• CSV_CAPMEAS: Major capital measures and material losses (optional).

4. Pro-Forma Data Use

• Pro-forma data may be used in cases of major events affecting the bank’s business model.
• A list of such constraints is provided in Table 5.

5. Reporting Standards and Definitions

• Definitions and parameters for credit risk, market risk, and other areas are taken from the Methodological Note and Regulation (EU) 2017/2401.
• The bucketing approach and liquidity and model uncertainty methodology are highlighted in Box 1 and Box 2.
• Examples on client revenues are provided in Box 3.

Summary of Template Links

• CSV_CR_SCEN feeds into CSV_CR_SUM, CSV_CR_REA, CSV_CR_REA_IRB, CSV_CR_REA_sta, and TRA_CR_IRB, TRA_CR_STA.
• CSV_CR_REA feeds into CSV_CR_REA_IRB and CSV_CR_REA_sta.
• CSV_CR_SEC_SUM feeds into CSV_P&L and CSV_REA_SUM.
• CSV_MR_FULL_REVAL and CSV_MR_RESERVE feed into CSV_MR_SUM.
• CSV_MR_PROJ and CSV_MR_CCR feed into CSV_MR_SUM.
• CSV_REA_SUM aggregates data from CSV_CR_REA_IRB, CSV_CR_REA_STA, and CSV_CR_SEC_SUM.

Conclusion

This guidance ensures consistency, compliance, and accuracy in the reporting of data for the 2020 EU-wide stress test. It outlines the data input rules, template structure, and supervisory reporting standards. Banks are required to follow the Methodological Note closely, as it defines the core principles and definitions used in the templates.