Annex V Part 2 §113 F 19.00 r0340
‘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 §116 F 19.00 r0340
Under IFRS, the following items are recognised in the balance sheet and, consequently, shall not be reported as off-balance sheet exposures:
(a) ‘Credit derivatives’ that do not meet the definition of financial guarantees are ‘derivatives’ under IFRS 9;
(b) ‘Acceptances’ are obligations by an institution to pay on maturity the face value of a bill of exchange, normally covering the sale of goods. Consequently, they are classified as ‘trade receivables’ on the balance sheet;
(c) ‘Endorsements on bills’ that do not meet the criteria for derecognition under IFRS 9;
(d) ‘Transactions with recourse’ that do not meet the criteria for derecognition under IFRS 9;
(e) ‘Assets purchased under outright forward purchase agreements’ are ‘derivatives’ under IFRS 9;
(f) ‘Asset sale and repurchase agreements as referred to in paragraphs 3 and 5 of Article 12 of Directive 86/635/EEC’. In those contracts, the transferee has the option, but not the obligation, to return the assets at a price agreed in advance on a date specified or on a date to be specified. Therefore, those contracts meet the definition of derivatives in Appendix A to IFRS 9.
Annex V Part 2 §118 F 19.00 c0010
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 §240 F 19.00 c0010
For the purpose of template 19, forborne exposures shall be debt contracts in respect of which forbearance measures as defined in Article 47b(1) and (2) CRR have been applied.
Annex V Part 2 §243 F 19.00 c0010
Forbearance measures also include the exercise of clauses which, where used at the discretion of the debtor, enable the debtor to change the terms of the contract (‘embedded forbearance clauses’) and which shall be treated as a concession where the institution approves executing those clauses and concludes that the debtor is experiencing financial difficulties.
Annex V Part 2 §244 F 19.00 c0010
For the purposes of Annexes III and IV as well as this Annex, ‘refinancing’ shall mean the use of debt contracts to ensure the total or partial payment of other debt contracts the terms of which the debtor is unable to comply with.
Annex V Part 2 §245 F 19.00 c0010
For the purpose of template 19, ‘debtor’ means an obligor within the meaning of Article 47b(4) CRR.
Annex V Part 2 §246 F 19.00 r0340
For the purpose of template 19, ‘debt’ shall include loans and advances (including also cash balances at central banks and other demand deposits), debt securities and revocable and irrevocable loan commitments given, including those loan commitments that are designated at fair value through profit and loss that are assets at the reporting date. ‘Debt’ shall exclude exposures held for trading.
Annex V Part 2 §251 F 19.00 c0010
In template 19 for ‘debt’, the ‘gross carrying amount’ shall be reported in accordance with paragraph 34 of Part 1 of this Annex. For loan commitments given which are off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Part of this Annex shall be reported.
Annex V Part 2 §252 F 19.00 c0010
Exposures shall be regarded as forborne where a concession has been made in accordance with Article 47b(1) CRR, irrespective of whether any amount is past due or of the classification of the exposures as impaired in accordance with the applicable accounting framework or as defaulted in accordance with Article 178 CRR. Exposures shall not be treated as forborne where the debtor is not in financial difficulties. Under IFRS, modified financial assets (IFRS 9.5.4.3 and Appendix A) shall be treated as forborne where a concession as defined in Article 47b(1) CRR has been made, regardless of the incidence of the modification on the change in the credit risk of the financial asset since initial recognition.
Annex V Part 2 §254 F 19.00 c0010
There is a rebuttable presumption that forbearance has taken place in any of the circumstances listed in Article 47b(3) CRR.
Annex V Part 2 §255 F 19.00 c0010
Financial difficulties shall be assessed at debtor level as referred to in paragraph 245. Only exposures to which forbearance measures have been applied shall be identified as forborne exposures.
Annex V Part 2 §256 F 19.00 c0010, c0020
Forborne exposures shall be included in the non-performing exposures category or the performing exposures category in accordance with paragraphs 213 to 239 and 260 of this Part. The classification as forborne exposure shall be discontinued where all of the conditions provided in Article 47a(7) CRR are met.
Annex V Part 2 §257 F 19.00 c0010
Where the conditions referred to in Article 47a(7) CRR are not met at the end of the probation period, the exposure shall continue to be identified as performing forborne under probation until all the conditions are met. The conditions shall be assessed at least on a quarterly basis.
Annex V Part 2 §258 F 19.00 c0010
Forborne exposures, which are classified as non-current assets held for sale in accordance with IFRS 5, shall continue to be classified as forborne exposures.
Annex V Part 2 §259 F 19.00 c0020, c0060
A forborne exposure may be considered as performing from the date the forbearance measures were applied where both of the following conditions are met:
(a) that extension has not led the exposure to be classified as non-performing;
(b) the exposure was not considered to be a non-performing exposure at the date the forbearance measures were extended.
Annex V Part 2 §260 F 19.00 c0020, c0060
Where additional forbearance measures are applied to a performing forborne exposure under probation that has been reclassified out of non-performing category or the forborne exposure under probation reclassified out of non-performing category becomes more than 30 days past due, the exposure shall be classified as non-performing in accordance with point (c) of Article 47a(3) CRR.
Annex V Part 2 §261 F 19.00 c0020, c0060
‘Performing exposures with forbearance measures’ (performing forborne exposures) shall comprise forborne exposures that do not meet the criteria to be considered as non-performing and that are included in the performing exposures category. Performing forborne exposures shall be under probation until all the criteria laid down in Article 47a(7) CRR, including where paragraph 259 of this Part applies, are met. Performing forborne exposures under probation that have been reclassified out of the non-performing forborne exposures category shall be reported separately within the performing exposures with forbearance measures in the column ‘of which: Performing forborne exposures under probation reclassified from non-performing’.
Annex V Part 2 §262 F 19.00 c0060
‘Non-performing exposures with forbearance measures’ (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered as non-performing and that are included in the non-performing exposures category. Those non-performing forborne exposures shall include the following:
(a) exposures which have become non-performing due to the application of forbearance measures;
(b) exposures which were non-performing prior to the extension of forbearance measures;
(c) forborne exposures which have been reclassified from the performing category, including exposures reclassified in application of paragraph 260.
Annex V Part 2 §263 F 19.00 c0060
Where forbearance measures are extended to exposures which were non-performing prior to the extension of forbearance measures, the amount of those forborne exposures shall be separately identified in the column ‘of which: forbearance of exposures non-performing prior to forbearance measures’.