EBA欧洲银行-EBA-RTS-2014-14-28Final-draft-RTS-on-Data-Waiver-Permission29_26页_463kb

EBA Final Draft Regulatory Technical Standards on Data Waiver Permission

Core Content

The EBA Final Draft Regulatory Technical Standards (RTS) outline the conditions under which competent authorities (CAs) may permit financial institutions to use data covering a shorter time period (two years instead of five years) for estimating risk parameters under the Internal Rating Based (IRB) Approach. These standards are intended to support the transition to more risk-sensitive capital calculation methods while ensuring prudence and legal clarity.

Main Features of the Draft RTS

• Scope of Application: Institutions may request permission to use two-year data for PD, own-LGD, and own-conversion factor (CF) estimates for certain types of exposures when implementing the IRB Approach.
• Data Waiver Phasing: The period of data coverage should increase by one year annually until it reaches five years.
• Eligibility Restrictions:
  • Exclusions: Exposures to central governments, central banks, and certain types of corporate exposures are excluded from data waiver permission.
  • Low-Default Portfolios: These are explicitly excluded from the data waiver.
  • Exposure Types: Only exposures that existed at the time of the first IRB implementation are eligible for data waiver permission.
• Quantitative Limits:
  • The total exposure value covered by data waiver permissions should not exceed 5% of the institution’s total exposure value.
  • The total risk-weighted exposure amount (RWA) covered by data waiver permissions should not exceed 5% of the institution’s total RWA.
• Qualitative Requirements:
  • Institutions must prove that longer time series data are unavailable or unsuitable.
  • An appropriate margin of conservatism must be applied to parameter estimates.
  • Enhanced data vetting processes are required for shorter data series.
• Timing Restrictions:
  • Data waiver permission may only be granted within five years of the institution’s first implementation of the IRB Approach.
  • After five years, permission for data waiver is no longer allowed.
• Proportionality and Legal Clarity:
  • The provisions apply only to new data waiver permissions.
  • This ensures that the standards do not have unintended consequences and that they align with the principles of proportionality and legal clarity.

Key Information

• Regulatory Basis: The RTS are based on Articles 180(1)(h), 180(2)(e), 181(2), and 182(3) of the Capital Requirements Regulation (CRR) and are in line with the objectives of encouraging the use of more risk-sensitive approaches while ensuring data quality and model robustness.
• Impact Assessment: The EBA conducted a cost-benefit analysis and considered stakeholder feedback to finalize the RTS.
• Stakeholder Input: The Banking Stakeholder Group (BSG) was consulted, and their views were taken into account in the development of the RTS.
• Public Consultation: Feedback from the public consultation and the BSG opinion was analyzed to refine the conditions for data waiver permission.
• Implementation Timeline:
  • The EBA must submit the draft RTS to the European Commission by 31 December 2014.
  • The Regulation shall enter into force on the 20th day following its publication in the Official Journal of the European Union.

Key Considerations

• The use of shorter data series increases the uncertainty of risk parameter estimation.
• The data waiver is intended to support the transition to the IRB Approach, which is more risk-sensitive than the Standardised Approach.
• The EBA recognizes that the data waiver has been in use in the EU since 2007 under Directive 2006/48/EC.
• The use of data waiver is limited to a small subset of institution assets to ensure that it does not lead to systematic underestimation of capital requirements.
• The EBA used the list of globally systemically important banks (G-SIBs) as a proxy for systemically important institutions in the EU, and found that all G-SIB parent institutions had already transitioned to the IRB Approach.

Summary of Options Considered

Set 1: Eligible Portfolios

• Option (a): No portfolios eligible – not adopted as it would hinder the use of the IRB Approach.
• Option (b): All portfolios eligible – not adopted due to increased uncertainty in risk parameter estimation.
• Option (c): Exclude low-default portfolios – adopted as it provides a balanced approach.

Set 2: Quantitative Thresholds

• Option (a): No quantitative thresholds – not adopted.
• Option (b): Set exact quantitative thresholds – adopted to limit the impact on capital requirements and ensure prudence.

Set 3: Timing of Data Waiver Implementation

• Option (a): Permission granted at the time of first IRB implementation – adopted.
• Option (b): Permission granted up to five years after first implementation – not adopted.

Set 4: Additional Conditions

• Option (a): Apply margin of conservatism and enhanced data vetting – adopted.

Conclusion

These RTS aim to ensure the proper application of the IRB Approach while safeguarding financial stability by limiting the use of shorter data series to a controlled and proportionate extent. They also emphasize the importance of data quality and model robustness in the context of capital requirements.