26 October 2015

EBA publishes final templates and instructions for the Quantitative Impact Study on the definition of default

The European Banking Authority (EBA) has a mandate to develop draft regulatory technical standards to specify the conditions according to which a competent authorities shall set the materiality threshold for credit obligations past due and to issue guidelines on the application of the definition of default. In this context the EBA has published the following consultation papers:

• Consultation Paper on the draft RTS on materiality threshold of credit obligation past due under Article 178 of Regulation (EU) 575/2013 (EBA/CP/2014/32) published on 31 October 2014;
• Consultation Paper on the draft guidelines on the application of default of an obligor under Article 178 of Regulation (EU) 575/2013 (EBA/CP/2015/15) published on 22 September 2015;

As it is expected that the changes resulting from the two regulatory products mentioned above might have significant impact on some institutions the EBA has decided to carry out a qualitative and quantitative analysis (QIS) in order to:

• estimate the impact of specific policy decisions on the regulatory capital requirements;
• assess the ability of institutions to recover historical data based on an adjusted definition of default;
• estimate the expected impact of the policy decisions on the calibration of risk parameters and assessing the expected materiality of the model changes resulting from the changes in the definition of default;
• gather information necessary to take final decisions on the regulatory requirements to be included in the RTS and GL.

The information submitted will help the EBA estimate the impact of the requirements set out in its proposed draft Regulatory Technical Standards (RTS) and Guidelines aiming to harmonise the definition of default across the EU prudential framework.

The final templates and instructions address the comments received from institutions during a consultation period that ended on 19 October 2015.

Press release

EBA_QIS_DoD Instructions

EBA_QIS_on default definition template

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