EBA欧洲银行-QIS2018_QQ_ECAIs_03122018_6页_188kb

EBA Qualitative Questionnaire on December 2017 Basel III Standards for ECAIs

Core Content

The European Banking Authority (EBA) issued a qualitative questionnaire in response to a Call for Advice from the European Commission regarding the impact and implementation of the December 2017 Basel III standards. The questionnaire specifically focuses on external credit assessment institutions (ECAIs) and their methodologies for assessing bank credit ratings under the revised Basel III framework.

Main Objectives

• To gather qualitative information from ECAIs on how they incorporate or exclude assumptions of implicit government support in their credit rating methodologies.
• To understand the practical implications of the Basel III revisions on ECAIs' operations and the potential consequences of issuing bank ratings without such assumptions.

Key Information

General Overview

• The EBA received a Call for Advice from the European Commission about the December 2017 Basel III revisions.
• The questionnaire is directed at all ECAIs and aims to collect data on their methodologies and practices.
• The deadline for submission was 11/01/2019.

Filling in the Qualitative Questionnaire

• All sections must be completed in English.
• ECAIs are required to answer all questions unless otherwise specified.
• Answers should be based on actual data, not subjective judgments.
• If a question is not applicable, the answer should be left blank, not filled with "na" or "N/A".

Respondent Information

• ECAIs must provide the name of their institution.

Standardised Approach for Credit Risk

• Basel III requires that ratings for banks should not incorporate assumptions of implicit government support, unless the bank is a public bank owned by its government.
• The following questions are related to bank ratings excluding those for public banks owned by their governments.

Questions on Implicit Government Support

Q1: Do you have a bank credit rating methodology?

• Yes or No

Q2: Does your methodology take into account any assumptions regarding implicit government support?

• Yes or No

Q3: How does the assumption of implicit government support affect the final rating (in terms of notches for an average counterparty)?

• Average number of notches
• Explanation (optional)

Q4: Does the assumption of implicit government support vary across jurisdictions?

• Yes or No

Q4a: Breakdown of impact by jurisdiction

• A table is provided with jurisdictions and number of notches upgrade columns, where responses are expected for each country.

Q5: Do you use an assumption of implicit government support for all types of banks or only in certain cases?

• All types of banks
• Certain types of banks

Q5a: Explanation of methodology

• A table is provided with columns: Description of Business model, Number of notches upgrade, and Explanation.

Q5b: Impact of bank-specific factors

• A table is provided with columns: Description of bank-specific factor, Number of notches upgrade, and Explanation.

Q6: Do you issue bank credit ratings that do not assume implicit government support?

• Yes or No

Q6a: Public disclosure of such ratings

• Yes or No

Q6a (Alternative): Ease of producing ratings without implicit government support

• Options: Very easy, Easy, Feasible, Difficult, Very difficult

Q6b: Potential negative consequences

• Yes or No
• Explanation (optional)

Summary of Key Points

• ECAIs are required to provide detailed information on their credit rating methodologies.
• The assumption of implicit government support is a key factor in the Basel III framework.
• The questionnaire asks ECAIs to quantify the impact of such assumptions in terms of notches.
• There is a need to evaluate whether the assumption varies across jurisdictions.
• ECAIs must also assess the feasibility of issuing ratings without implicit government support and consider any potential consequences.