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EU Comprehensive Quantitative Impact Study (QIS) FAQs Summary

Core Content Overview

This document provides clarifications and technical guidance for the EU-specific parts of the Comprehensive Quantitative Impact Study (QIS) conducted by the Committee of European Banking Supervisors (CEBS). It addresses questions from supervisors and banks regarding the definition of capital, liquidity, provisioning, and real estate exposures. The answers are intended to assist in completing the QIS questionnaire but are not official interpretations of the consultation documents.

Main Topics and Key Information

1. Definition of Capital (DefCapCalcCOREP Worksheet)

• Formula Corrections: Several cell formulae in the worksheet contain errors and need to be corrected to ensure accurate capital calculations. Examples include:

  • Cell D6 should include D46 instead of D47.
  • Cell D47 should include D50 and D51 in addition to D48 and D49.
  • Cell D83 should be corrected to sum 1.3.i for i=1...11.
  • Cell D84 should be adjusted to subtract D85 from D83.
  • Cell D85 should use the MAX function to handle Tier 2 capital below 50% of regulatory deductions.

• Consolidation Effects: Institutions that use local GAAP must account for consolidation differences in "other country specific original own funds" or "other country specific deductions to original own funds" to reflect the impact on core capital.

• Goodwill Deduction: All goodwill (positive first consolidation differences) must be deducted from original own funds, but only once, even if already accounted for elsewhere.

2. Liquidity Worksheet

• Subset Reporting: National supervisors define which subsidiaries are included in the liquidity reporting. The data is collected on a consolidated level, but some entities may be reported on a solo basis (5-10 units).

• Self-Issued Bonds and ABS/MBS:

  • Self-issued bonds maturing within 30 days are included in the liquidity calculation.
  • Self-issued ABS/MBS are included as they are securitizations.
  • ABS/MBS issued for other group entities are also included.

• Other Assets Central Bank Eligible:

  • Assets not eligible for the buffer but central bank eligible should be reported in row 275.
  • Double counting is not intended, so overlapping entries should be avoided.

• LTV Bucket Allocation:

  • Entire exposures should be allocated to the appropriate LTV bucket (e.g., 50-60% for a 0-55% LTV).
  • RWA, LGD, and PD are based on exposures at the beginning of the year, except for defaulted exposures which are reported on a flow basis.

• Reporting Definitions:

  • Flow refers to the sum of exposures defaulting within a year that were on the books at the start of the year.
  • Cumulative Loan Provisions are based on the beginning of the year, not the end.
  • RWA, PD, and LGD should be reported as nominal amounts, not percentages.

• Exposure Reporting:

  • Only exposures outstanding at the beginning of the year should be included.
  • Defaulted exposures at the start or during the year should be excluded from "Non defaulted commercial real estate exposures (stock)".

3. Real Estate Worksheet (EU Only)

• Color Coding: Yellow cells represent overall figures, while green cells provide granular breakdowns per LTV bucket. All data is required for analysis.

• Home Member State: Defined as the Member State of the consolidated supervisor for cross-border groups. Subsidiaries report based on their own home state.

• LTV Bucket Allocation: Exposures should be allocated to the appropriate LTV bucket based on the current LTV at the time of default, not the origination.

• Mortgage Lending Value: Defined as a prudent assessment of the property's future marketability, not the origination value. Applies only in Member States with specific regulatory criteria.

• Specialised Lending Exposures: Should be excluded from the Real Estate worksheet to avoid distortion in results.

• Real Estate Collateral Definition: Follows the CRD definition (Annex VIII, Part 1, points 13–15) and should not be narrowed.

• High Risk Exposures: Must be included in the Real Estate worksheet even if assigned an augmented risk weight (e.g., 150%).

• Loss Estimation: Refers to the total gross loss estimated by the bank, including both realised losses and provisions. Provisions should reflect incurred losses but not be double-counted.

4. TTC Provisioning Worksheet (EU Only)

• Provision Reporting:

  • Row 29: Report "Specific provisions related to defaulted exposures treated under the IRB approach".
  • Row 31: Report "General provisions related to non-defaulted exposures treated under the IRB approach".
  • All figures are based on accounting provisions.

• Expected Loss:

  • Expected losses for defaulted and non-defaulted exposures should be reported at the beginning of the reference year.

• Non-Performing Loans (NPLs):

  • NPLs include impaired and past due but not impaired assets.
  • Banks should use their own definition of past due, consistent with their accounting practices (e.g., Basel II definition for pre-Solvency years).

• Risk Provisioning:

  • Includes impairments on long-term securities (categories LAR and AFS), not just loans and receivables.

Additional Notes

• The document should be read in conjunction with the BCBS FAQs on the QIS.
• It will be updated frequently, and revised versions will be available on the CEBS website.
• Yellow-shaded questions are new, while red-shaded questions have been revised.