EBA欧洲银行-QIS2018_QQ_institutions_03122018_83页_515kb

Summary of EBA Qualitative Questionnaire on December 2017 Basel III Standards

Overview

This qualitative questionnaire, issued by the European Banking Authority (EBA), is designed to collect additional information from financial institutions regarding the impact and implementation of the December 2017 Basel III standards. It is part of the Q2-2018 EBA-BCBS monitoring exercise and the Call for Advice data collection. The purpose is to assist the European Commission in understanding the effects of the Basel III revisions within the EU context. The questionnaire is structured into 8 sections, each addressing different aspects of credit risk, securities financing transactions, operational risk, and other related topics.

Core Content

1. Standardised Approach for Credit Risk (SA)

This section focuses on the implications of the revised Basel III standards on the Standardised Approach for credit risk, particularly for corporate, retail, and land acquisition, development, and construction (ADC) exposures.

• Corporate Exposures: Institutions are asked to evaluate whether the non-ratings-based approach would result in higher, similar, or lower risk-sensitivity compared to the ratings-based approach. Additionally, they are asked to estimate the proportion of rated borrowers versus those listed on a recognized exchange.
• Retail Exposures: Institutions are required to identify the relative quantitative threshold for determining if an exposure is one of a significant number, and to assess the use of other quantitative criteria to ensure diversification.
• Qualitative Characteristics: Institutions are to list the qualitative factors they consider for retail portfolio diversification.
• Currency of Income: Institutions are asked whether the information on the currency of the borrower's source of income is currently available and whether tracking this information would be a challenge.
• Credit Risk Mitigation (CRM): The questionnaire asks about the expected impact of the removal of own estimates of haircuts and the introduction of supervisory haircuts under the comprehensive approach on the Risk-Weighted Assets (RWA) for credit risk. It also includes a ranking of CRM provisions by their expected impact on RWA.

2. IRB Approach for Credit Risk

This section is relevant only to institutions using the IRB approach. It examines the potential impact of clarifications on the estimation of Probability of Default (PD), Loss Given Default (LGD), and Conversion Factors (CCF) on risk parameters.

• PD Estimation: Institutions are to evaluate the impact of clarifications on PD estimates for sovereign, institutional, and corporate exposures.
• LGD Estimation: The impact of changes on LGD estimates for retail exposures is assessed.
• CCF Estimation: Institutions are asked to evaluate the impact of changes on CCF estimates for sovereign, institutional, corporate, and retail exposures.
• Definition of Commitment: The effect of the revised Basel text on the amount of unconditionally cancellable commitments (UCC) in off-balance sheet exposures is evaluated.

Main Points and Key Information

• The questionnaire is comprehensive and covers a wide range of topics related to credit risk management under Basel III.
• Institutions are required to provide their responses based on actual data rather than subjective opinions, with specific instructions on formatting and units.
• The questionnaire is divided into sections that are relevant to different types of institutions depending on their risk management approach.
• The focus is on the impact of Basel III revisions on RWA, risk parameters, and portfolio management.
• The use of external ratings for regulatory purposes is a key consideration, especially in the context of the non-ratings-based approach for SA.
• The removal of certain features (such as the ability to use cohort approaches for CCF) and the introduction of new ones (such as supervisory haircuts) are analyzed for their effect on risk parameters.

Key Sections and Questions

Implementation and Reporting Guidelines

• All responses must be in English.
• Institutions must answer all questions unless stated otherwise.
• Specific sections are only for institutions using certain approaches (e.g., IRB or internal models).
• Data should be reported in euros using ECB exchange rates.
• Percentages must be in decimal form, with a dot as the decimal separator.
• No arbitrary numbers should be used to avoid errors.
• Confidentiality is maintained; institution names and LEI codes are not disclosed at the institutional level.

Conclusion

The EBA questionnaire is a detailed and structured tool to assess the impact of the 2017 Basel III standards on credit risk management within the EU. It aims to gather insights on the practical implications of these reforms for different types of exposures and risk approaches, providing a basis for the European Commission to evaluate their effectiveness and feasibility.