Annex V Part 2 §104 F 30.02 r0120
Loan commitments, financial guarantees and other commitments given listed in Annex I to CRR may be instruments that are in the scope of IFRS 9 where they are measured at fair value through profit or loss, or where they are subject to the impairment requirements of IFRS 9, as well as instruments that are within the scope of IAS 37 or IFRS 4.
Annex V Part 2 §105 F 30.02 r0120
Under IFRS, loan commitments, financial guarantees and other commitments given shall be reported in template 9.1.1 where any of the following conditions are met:
(a) they are subject to impairment requirements of IFRS 9;
(b) they are designated at fair value through profit or loss under IFRS 9;
(c) they are within the scope of IAS 37 or IFRS 4.
Annex V Part 2 §113 F 30.02 r0120
‘Loan commitments’ shall be firm commitments to provide credit under pre-specified terms and conditions, except those that are derivatives because they can be settled net in cash or by delivering or issuing another financial instrument. The following items of Annex I to CRR shall be classified as ‘Loan commitments’:
(a) ‘Forward deposits’;
(b) ‘Undrawn credit facilities’, which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ under pre-specified terms and conditions.
Annex V Part 2 §114 F 30.02 r0120
‘Financial guarantees’ shall be contracts that require the issuer to make specified payments to reimburse the holder of a loss it incurs, because a specified debtor fails to make payment where due in accordance with the original or modified terms of a debt instrument, including guarantees provided for other financial guarantees. Under IFRS, those contracts shall meet the definition of financial guarantee contracts in IFRS 9.2.1(e) and IFRS 4.A. The following items of Annex I to CRR shall be classified as ‘financial guarantees’:
(a) ‘Guarantees having the character of credit substitute’;
(b) ‘Credit derivatives’ that meet the definition of financial guarantee;
(c) ‘Irrevocable standby letters of credit having the character of credit substitutes’.
Annex V Part 2 §115 F 30.02 r0120
‘Other commitments’ shall include the following items of Annex I to CRR:
(a) ‘Unpaid portion of partly-paid shares and securities’;
(b) ‘Documentary credits issued or confirmed’;
(c) ‘Trade finance off-balance sheet items’;
(d) ‘Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions’;
(e) ‘Warranties and indemnities’ (including tender and performance bonds) and ‘guarantees not having the character of credit substitutes’;
(f) ‘Shipping guarantees, customs and tax bonds’;
(g) ‘Note issuance facilities’ (NIFs) and ‘Revolving underwritings facilities’ (RUFs);
(h) ‘Undrawn credit facilities’ which comprise agreements to ‘lend’ or provide ‘acceptance facilities’ where the terms and conditions are not pre-specified;
(i) ‘Undrawn credit facilities’ which comprise agreements to ‘purchase securities’ or ‘provide guarantees’;
(j) ‘Undrawn credit facilities for tender and performance guarantees’;
(k) ‘Other off-balance sheet items’ in Annex I to CRR.
Annex V Part 2 §117 F 30.02 r0131
The item ‘of which: non-performing’ shall include the nominal amount of those loan commitments, financial guarantees and other commitments given that are considered as non-performing in accordance with paragraphs 213 to 239 of this Part.
Annex V Part 2 §118 F 30.02 r0120
For financial guarantees, loan commitments and other commitments given, the ‘Nominal amount’ shall be the amount that best represents the institution’s maximum exposure to credit risk without taking account of any collateral held or other credit enhancements. In particular, for financial guarantees given, the nominal amount shall be the maximum amount the entity would have to pay if the guarantee is called on. For loan commitments, the nominal amount shall be the undrawn amount that the institution has committed to lend. Nominal amounts shall be the exposure values before applying conversion factors and credit risk mitigation techniques.
Annex V Part 2 §213 F 30.02 r0021
For the purposes of template 18, non-performing exposures shall be exposures listed in Article 47a(3) CRR.
Annex V Part 2 §215 F 30.02 r0021
Under IFRS, for the purpose of template 18, impaired exposures shall be those that have been found credit-impaired (Stage 3). Exposures included in impairment stages other than Stage 3 and those that are purchased or originated credit-impaired shall be considered as non-performing where they meet the criteria to be considered as non-performing in accordance with Article 47a (3) CRR.
Annex V Part 2 §216 F 30.02 r0021
Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. With reference to the exposures referred to in point (a) of Article 47a(3) CRR, materiality shall be assessed in accordance with Article 178 CRR and the Commission Delegated Regulation (EU) 2018/171 (RTS on materiality threshold for credit obligations past due).
Annex V Part 2 §217 F 30.02 r0021
For the purpose of template 18, ‘exposures’ shall include all debt instruments (debt securities and loans and advances, including cash balances at central banks and other demand deposits) and off-balance sheet exposures, except those held for trading exposures.
Annex V Part 2 §218 F 30.02 r0021
Debt instruments shall be included in the following accounting portfolios: (a) debt instruments at cost or amortised cost; (b) debt instruments at fair value through other comprehensive income or through equity subject to impairment; and (c) debt instruments at strict LOCOM or fair value through profit or loss or through equity not subject to impairment, in accordance with the criteria of paragraph 233 of this Part. Each category shall be broken down by instrument and by counterparty.
Annex V Part 2 §219 F 30.02 r0021
Under IFRS and relevant national GAAP based on BAD, off-balance sheet exposures shall comprise the following revocable and irrevocable items:
(a) loan commitments given;
(b) financial guarantees given;
(c) other commitments given.
Annex V Part 2 §220 F 30.02 r0021
Debt instruments classified as held for sale in accordance with IFRS 5 shall be reported separately.
Annex V Part 2 §221 F 30.02 r0021
In template 18 for debt instruments, ‘gross carrying amount’ as defined in paragraph 34of Part 1 of this Annex shall be reported. For off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Annex shall be reported.
Annex V Part 2 §222 F 30.02 r0021
For the purpose of template 18, an exposure is ‘past-due’ where it meets the criteria of paragraph 96 of this Part. For the purpose of classification of exposures as non-performing in accordance with point (a) of Article 47a(3) CRR, the counting of 90 days past due commences once the past due amount, being the sum of past due principal, interest and fees, breaches the materiality threshold as defined in paragraph 216 of this Part. If the past due part of exposures continues to be material for 90 consecutive days, the exposure should then be classified as non-performing.
Annex V Part 2 §223 F 30.02 r0021
For the purpose of template 18, ‘debtor’ shall mean an obligor within the meaning of Article 178 CRR.
Annex V Part 2 §226 F 30.02 r0021
Exposures classified as non-performing in accordance with paragraph 213 shall be categorised as either non-performing on an individual basis (‘transaction based’) or as non-performing for the overall exposure to a given debtor (‘debtor based’). For the categorisation of non-performing exposures on an individual basis or to a given debtor, the following categorisation approaches shall be used for the different types of non-performing exposures:
(a) for non-performing exposures classified as defaulted in accordance with Article 178 CRR, the categorisation approach of that Article shall be applied;
(b) for exposures that are classified as non-performing due to impairment under the applicable accounting framework, the recognition criteria for impairment under the applicable accounting framework shall be applied;
(c) for other non-performing exposures that are neither classified as defaulted nor as impaired, the provisions of Article 178 CRR for defaulted exposures shall be applied.
Annex V Part 2 §227 F 30.02 r0021
Where an institution has on-balance sheet exposures to a debtor that are past due by more than 90 days and the gross carrying amount of the past due exposures represents more than 20% of the gross carrying amount of all on-balance sheet exposures to that debtor, all on- and off-balance sheet exposures to that debtor shall be considered as non-performing. Where a debtor belongs to a group, the need to consider also exposures to other entities of the group as non-performing shall be assessed, except for exposures affected by isolated disputes that are unrelated to the solvency of the counterparty.
Annex V Part 2 §228 F 30.02 r0021
Exposures shall be considered to have ceased being non-performing where all of the conditions provided in Article 47a(4) CRR are met.
Annex V Part 2 §230 F 30.02 r0021
The classification of a non-performing exposure as non-current asset held for sale in accordance with IFRS 5 shall not discontinue their classification as non-performing exposure in accordance with Article 47a(5) CRR.
Annex V Part 2 §231 F 30.02 r0021
Granting forbearance measures to a non-performing exposure shall not discontinue the non-performing status of this exposure. Where exposures are non-performing with forbearance measures, as referred to in paragraph 262, those exposures shall be considered to have ceased being non-performing where all the conditions provided in Article 47a(6) CRR are met.
Annex V Part 2 §232 F 30.02 r0021
Where the conditions referred to in paragraph 231 of this Part of this Annex are not met at the end of the one year period specified in point (b) of Article 47a(6) CRR, the exposure shall continue to be identified as non-performing forborne exposure until all conditions are met. The conditions shall be assessed at least on a quarterly basis.
Annex V Part 2 §233 F 30.02 r0021
The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported as follows in template 18:
(a) ‘Debt instruments at cost or at amortised cost’ shall encompass debt instruments included in any of the following:
(i) ‘Financial assets at amortised cost’ (IFRS);
(ii) ‘Non-trading non-derivative financial assets at a cost based method’, including debt instruments under moderate LOCOM (national GAAP based on BAD);
(iii) ‘Other non-trading non-derivative financial assets’, except debt instruments measured at strict LOCOM (national GAAP based on BAD);
(b) ‘Debt instruments at fair value through other comprehensive income or through equity subject to impairment’ shall encompass debt instruments included in any of the following:
(i) ‘Financial assets at fair value through other comprehensive income’ (IFRS);
(ii) ‘Non-trading non-derivative financial assets measured at fair value to equity’, where instruments in that measurement category can be subject to impairment in accordance with the applicable accounting framework under national GAAP based on BAD;
(c) ‘Debt instruments at strict LOCOM, or at fair value through profit or loss or through equity not subject to impairment’ shall encompass debt instruments included in any of the following:
(i) ‘Non-trading financial assets mandatorily at fair value through profit or loss’ (IFRS);
(ii) ‘Financial assets designated at fair value through profit or loss’ (IFRS);
(iii) ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’ (national GAAP based on BAD);
(iv) ‘Other non-trading non-derivative financial assets’ where debt instruments are measured under strict LOCOM (national GAAP based on BAD);
(v) ‘Non-trading non-derivative financial assets measured at fair value through equity’, where debt instruments in that measurement category are not subject to impairment in accordance with the applicable accounting framework under GAAP based on BAD.
Annex V Part 2 §234 F 30.02 r0021
Where IFRS or the relevant national GAAP based on BAD provide for the designation of commitments at fair value through profit and loss, the carrying amount of any asset resulting from that designation and measurement at fair value shall be reported in ‘Financial assets designated at fair value through profit or loss’ (IFRS) or ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’ (national GAAP based on BAD). The carrying amount of any liability resulting from that designation shall not be reported in template 18. The notional amount of all commitments designated at fair value through profit or loss shall be reported in template 9.
Annex V Part 2 §234i F 30.02 r0021
The following exposures shall be identified in separate rows:
(a) Loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part;
(b) Credit for consumption as defined in paragraph 88(a) of this Part.
Annex V Part 2 §235 F 30.02 r0021
Past due exposures shall be reported separately within the performing and non-performing categories for their entire amount as defined in paragraph 96 of this Part. Exposures past due by more than 90 days but that are not material in accordance with Article 178 CRR shall be reported within performing exposures in ‘Past due > 30 days <= 90 days’.
Annex V Part 2 §236 F 30.02 r0021
Non-performing exposures shall be reported broken down by past due time bands. In case of application of the debtor approach for the classification of exposures as non-performing referred to in paragraph 226 of this Part of this Annex, the exposures of the debtor shall be reported in the past-due time bands of non-performing in accordance with their individual past-due status. Exposures that are not past due or are past due by 90 days or less, but are nevertheless identified as non-performing due to the likelihood of non-full repayment, shall be reported in a dedicated column. Exposures that present both past due amounts and a likelihood of non-full repayment shall be allocated by past-due time bands consistent with the number of days that they are past due.
Annex V Part 2 §237 F 30.02 r0021
The following exposures shall be identified in separate columns:
(a) exposures which are considered to be impaired in accordance with the applicable accounting framework; under IFRS, the amount of credit-impaired assets (Stage 3) which does not include purchased or originated credit impaired assets, shall be reported; under national GAAP, the amount of impaired assets shall be reported;
(b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR;
(c) under IFRS, assets with significant increase in credit risk since initial recognition, but not credit-impaired (Stage 2) which do not include purchased or originated credit impaired assets;
(d) under IFRS, for performing exposures, assets without significant increase in credit risk since initial recognition (Stage 1);
(e) exposures which are considered as purchased or originated financial assets that are credit-impaired at initial recognition in accordance with IFRS 9 Appendix A, including any off-balance sheet exposures that are deemed credit-impaired upon their initial recognition;
(f) for performing exposures, the amount of accumulated impairment for exposures past due by more than 30 days.
Annex V Part 2 §238 F 30.02 r0021
Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110of this Part.
Annex V Part 2 §239 F 30.02 r0021
Information on collateral held and guarantees received on performing and non-performing exposures shall be reported separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount or nominal amount after deduction of provisions of the related exposure.
Annex V Part 2 §272 F 30.02 r0030, r0090
‘Derivatives’ shall include both trading derivatives, including economic hedges, and hedging derivatives under IFRS and under GAAP, reported in templates 10 and 11.
Annex V Part 2 §285 F 30.02 c0020
Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions:
(a) ‘Asset management’ shall refer to assets belonging directly to the customers, for which the institution is providing management. ‘Asset management’ shall be reported by type of customer: collective investment undertakings, pension funds, customer portfolios managed on a discretionary basis, and other investment vehicles;
(b) ‘Custody assets’ shall refer to the services of safekeeping and administration of financial instruments for the account of clients provided by the institution and services related to custodianship such as cash and collateral management. ‘Custody assets’ shall be reported by type of customers for which the institution is holding the assets distinguishing between collective investment undertakings and others. The item ‘of which: entrusted to other entities’ shall refer to the amount of assets included in custody assets for which the institution has given the effective custody to other entities;
(c) ‘Central administrative services for collective investment’ shall refer to the administrative services provided by the institution to collective investment undertakings. It shall include, among others, the services of transfer agent, of compiling accounting documents, of preparing the prospectus, financial reports and all other documents intended for investors, of carrying out the correspondence by distributing financial reports and all other documents intended for investors, of carrying out issues and redemptions and keeping the register of investors, as well as of calculating the net asset value;
(d) ‘Fiduciary transactions’ shall refer to the activities where the institution acts in its own name but for the account and at the risk of its customers. Frequently, in fiduciary transactions, the institution provides services, such as custody, asset management services, to a structured entity or managing portfolios on a discretionary basis. All fiduciary transactions shall be reported exclusively in this item irrespective of whether the institution provides other services;
(e) ‘Payment services’ shall refer to the payment services listed in Annex I of Directive (EU) 2015/2366;
(f) ‘Customer resources distributed but not managed’ shall refer to products issued by entities outside the prudential group that the institution has distributed to its current customers. This item shall be reported by type of product;
(g) ‘Amount of the assets involved in the services provided’ shall include the amount of assets in relation to which the institution is acting, using the fair value. Other measurement bases including nominal value may be used where the fair value is not available. Where the institution provides services to entities such as collective investment undertakings or pension funds, the assets concerned may be shown at the value at which those entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, where applicable.