EBA欧洲银行-Instructions-for-the-EBA-qualitative-survey-on-IRB-models-28Dec-201629_39页_726kb

EBA Qualitative Survey on IRB Models Summary

1. Core Content

The European Banking Authority (EBA) launched a qualitative survey to assess the impact of proposed guidelines (GLs) and draft Regulatory Technical Standards (RTS) on Internal Ratings Based (IRB) models used by banks for credit risk. The survey is voluntary and aims to understand current modelling practices in relation to the GLs, which focus on Probability of Default (PD) and Loss Given Default (LGD) estimation, as well as the treatment of defaulted assets.

The survey is divided into three sheets:

• Sheet A: General information about the institution and the models it uses.
• Sheet B: Detailed information on selected PD models.
• Sheet C: Detailed information on selected LGD models.

The goal is to provide the EBA with insights to adjust the proposed policy and to estimate the extent of model changes required by institutions. It is not intended to assess the impact of policy proposals on capital requirements or PD/LGD estimates directly.

2. Main Points

2.1 Scope of the Survey

• The survey is only for institutions using the IRB approach.
• It is voluntary, and institutions may not be able to answer some questions if the required information is not available.
• The EBA is currently finalizing the CP of the draft RTS on economic downturns, expected to be published in the first quarter of 2017.

2.2 Model Selection Criteria

• Institutions are required to select at least 3 PD models and 3 LGD models.
• These models should cover:
  • The highest share of exposure values.
  • The largest share of obligors.
  • The current modelling practices.
• Subsidiaries must select only local models.
• Parent entities may choose central or local models, but must coordinate with subsidiaries to avoid double reporting.
• If a central model is applied only in a subsidiary, it should be reported by the subsidiary, not the parent entity.

2.3 Information at Model Level

• The survey requires quantitative data at the model level, not at the exposure class level.
• This includes:
  • Exposure values.
  • Number of obligors.
  • Use of credit risk mitigation.
• The EBA will liaise with Competent Authorities (CAs) to obtain COREP data for institutions that have not submitted it.

2.4 Reporting Date

• Sheet A should be completed as of 30 June 2016.
• Sheets B and C should include the most up-to-date information about the currently approved model.
• If data is not available for 30 June 2016, an alternative date should be indicated with a short explanation in the comments.

2.5 Filling the Survey

• The survey should be completed on a best efforts basis.
• Empty cells are allowed only in the comments section or where explicitly instructed.
• Grey cells should not be filled.
• Percentages must be entered with two decimal places (e.g., 75.00%).
• Comments should be used for additional explanations, especially when a drop-down menu is selected.
• Not applicable or not known options are provided for certain questions.

2.6 Process

• Institutions are encouraged to review the survey and raise questions in a dedicated mailbox: EBA-IRBsurvey@eba.europa.eu.
• After submission, the CAs will perform preliminary data quality checks.
• The EBA will conduct further quality checks and may contact institutions for clarification.

2.7 Timeline

3. Key Information

• The survey is not quantitative, but aims to understand modelling choices and practices.
• It is not intended to evaluate the impact of the policy proposals on capital requirements.
• Institutions are required to use the EBA's definition of PD and LGD models as outlined in the GLs.
• COREP terminology should be followed for reporting, but data must be at the model level.
• Institutions must indicate the level of governance (central or local) of the selected models.
• Internal model IDs are required for those who participated in the EBA 2016 benchmarking exercise.
• Comments are essential for explaining:
  • Unavailable or unanswerable data.
  • Specific circumstances related to model application.
  • Reasons for model exclusions or delays in updating.

4. Sheet A: General Information

• Row 5–6: Provide LEI and institution name.
• Row 7: Indicate the jurisdiction of the National Competent Authority (NCA).
• Row 8: Specify the consolidation level (individual or consolidated).
• Row 11–14: Report the number of PD and LGD models used within the entity.
• Rows 15–19: Indicate the types of LGD models used.
• Rows 23–25: Provide name of the PD model, Internal model ID, reporting date, total exposure value, unit, currency, and number of obligors.

5. Sheet B: Info on PD Model

• Row 4: Provide the name of the PD model.
• Row 5: Describe the scope of application (types of exposures covered).
• Row 6: Indicate the level of governance (central, local, etc.).
• Rows 7–17: Tick the exposure classes covered by the model.
• Row 18: Indicate whether the Foundation or Advanced IRB approach is used.
• Row 19: Specify the type of PD model (quantitative criteria or quantitative data).
• Row 20: Indicate the level of PD assignment (obligor level, facility level, etc.).
• Row 24: Confirm if any exposures or obligors are not subject to individual PD estimation.
• Row 25: Provide information on the policy or practice for incorporating new rating data.

6. Sheet C: Info on LGD Model

• Rows 32–34: Provide the name of the LGD model, Internal model ID, reporting date, total exposure value, unit, currency, and number of obligors.
• Additional data is required for:
  • Guarantees.
  • Credit derivatives.
  • Other funded credit protection.
  • Eligible financial collateral.
  • Real estate collateral.
  • Other physical collateral.
  • Receivables.

All data should be consistent with COREP reporting standards and reflect the model's scope.