EBA欧洲银行-EBA-QIS-2018-Template-Instructions-V-5.0_198页_3mb

EBA QIS 2018 Template Instructions Summary

Core Content

The EBA QIS 2018 Template Instructions provide guidance for banks to complete a data collection exercise related to the implementation of the revised Basel III framework in the EU. This exercise is part of the European Commission's Call for Advice (CfA) and is conducted jointly with the regular EBA/BCBS monitoring exercise. The instructions are designed to help banks understand how to fill in the required data in an Excel workbook, ensuring consistency and accuracy for regulatory analysis.

Main Purpose

• Support the implementation of the 2017 Basel III revisions in the EU.
• Collect data for impact assessment analysis.
• Provide a structured template for data reporting, which includes both general and specific worksheets for different aspects of capital requirements, risk-weighted assets, and regulatory adjustments.

Key Information

• The final Basel III framework includes revisions to credit risk, operational risk, and CVA risk, along with the introduction of an output floor of 72.5%.
• The EBA received a Call for Advice from the European Commission in May 2018 to support the implementation of the 2017 Basel III revisions.
• Banks are required to use the version of the instructions provided by their Competent Authority to fill in the QIS workbook.
• The data collection is voluntary, but the EBA encourages participation from both large and small institutions.
• Banks should report data as of 30/06/2018.

Structure of the Excel Questionnaire

The Excel workbook includes multiple worksheets, each with specific panels for data entry:

General Information Worksheets

• "General Info": Contains general bank data, current capital, and capital distribution data.

  • Panel A: General bank data.
  • Panel B: Current capital.
  • Panel C: Capital distribution data.

• "EU additional General Info": Additional data for the Call for Advice.

  • Panel A: General bank data.
  • Panel B: Size of the trading activity.
  • Panel C: Additional capital distribution data for the output floor analysis.
  • Panel D: Capital requirements.

Capital Requirements and TLAC

• "Requirements": Overall capital requirements and actual capital ratios.

• "Requirements Redc.": Overall capital requirements and actual capital ratios reduced.

• "DefCap": Detailed information on the definition of capital and its impact on RWA.

  • Panel A: Provisions and expected losses.
  • Panels B1, C1, D1: Positive elements of capital.
  • Panels B2, C2, D2: Regulatory adjustments.
  • Panel E: Investments in TLAC liabilities outside regulatory consolidation and below deduction thresholds.
  • Panel F: Holdings of equity instruments above deduction thresholds but exempt under CRR.

• "TLAC holdings" and "TLAC": Information on TLAC instruments and their eligibility for meeting minimum TLAC requirements.

• "EU specific MREL": Data on MREL requirements and components.

Leverage Ratio

• "EU CfA leverage ratio": Additional data on leverage ratio for the Call for Advice.
• "EU CRR Leverage ratio": Data on leverage ratio as defined in the CRR.

Credit Risk Reforms

• "Credit risk (SA)" and "EU Credit risk (SA)": Data on exposures under the Standardised Approach (SA).

  • Panel A1: SA exposures.
  • Panel A2: Memo item on equity exposures under current treatment.
  • Panel A3: Breakdown of unrated exposures to banks by SCRA grade.
  • Panel A4: Use of ratings-based approaches for rated exposures and regulatory approaches for unrated ones.
  • Panel A5: Marginal impact of revised CCFs.
  • Panel A6: Separate analysis of retail exposures.
  • Panel A7: Real estate exposures using the whole loan approach.
  • Panel A8: Impact of SME and infrastructure supporting factors.

• "Credit risk (IRB)" and "EU Credit risk (IRB)": Data on exposures under the Internal Ratings-Based (IRB) approach.

  • Panel A: Exposures under IRB approaches.
  • Panel B: Memo item on equity exposures under current treatment.
  • Panel C: Additional information on supporting factors.

• "Securitisation": Data on the revised securitisation framework, including STC structures.

Trading Book and Market Risk

• "TB": Summary of trading book data.
• "TB SA Current" and "TB SA FRTB": Optional data for the standardised approach under current and revised market risk requirements.
• "TB risk class": Granular data on specific components of market risk.
• "TB IMA Backtesting-P&L": Data on backtesting and P&L related to internal models for market risk.

Securities Financing Transactions (SFTs)

• "EU SFTs": Additional data on SFTs for the Call for Advice.
  • Panel A: Size of SFTs business.
  • Panel B: Approaches for calculating SFT exposures.
  • Panel C: Minimum haircut floors framework.

Counterparty Credit Risk (CCR) and Credit Valuation Adjustment (CVA)

• "CCR and CVA": Data on exposures to CCPs and CVA risk.
• "EU CVA": Additional data on CVA for the Call for Advice.
  • Panel A: Size of derivative business.
  • Panel B: Capital requirements for CVA.

Operational Risk

• "OpRisk": Data on the revised standardised measurement approach.
• "Sovereign exposures": Data on exposures to sovereigns.

Data Filling Instructions

• Data should only be entered in yellow and green cells.
• Pink cells are to be completed by the competent authority.
• White and orange cells are for calculation results or consistency checks and should not be modified.
• Grey cells are empty and may be non-editable depending on conditional formatting.
• Banks should use the same currency and unit throughout the workbook.
• Percentages should be entered as decimals (e.g., 1% = 0.01).
• RWA for IRB approaches should be reported after applying the scaling factor of 1.06.
• Conditional formatting is used to activate only relevant input cells based on the data entered in "General Info" and "EU Additional General Info".
• Banks are encouraged to report data on a best-efforts basis, especially when certain models or processes are not yet implemented.
• Any deviations from the instructions should be clearly specified.

Reporting and Submission Process

• The EBA does not collect data directly from banks; banks should contact their competent authority for submission procedures.
• Competent authorities will handle data confidentiality and forward the information to the EBA.
• Banks are advised to consult their competent authority for any questions or uncertainties regarding the study, rules, or standards.

Conclusion

The EBA QIS 2018 Template Instructions aim to streamline the data collection process for banks participating in the implementation of the 2017 Basel III revisions. The structured format ensures that banks provide accurate and relevant data, which is essential for the EBA to assess the impact of the new regulatory requirements. The workbook includes a variety of worksheets covering capital requirements, risk-weighted assets, leverage ratios, credit risk, market risk, SFTs, CCR, CVA, and operational risk, with clear guidance on how to complete each section.