Annex V Part 2 §213 F 24.01 c0010
For the purposes of template 18, non-performing exposures shall be exposures listed in Article 47a(3) CRR.
Annex V Part 2 §215 F 24.01 c0010
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 24.01 c0010
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 §223 F 24.01 c0010
For the purpose of template 18, ‘debtor’ shall mean an obligor within the meaning of Article 178 CRR.
Annex V Part 2 §226 F 24.01 c0010
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 24.01 c0010
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 24.01 c0010
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 24.01 c0010
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 24.01 c0010
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 24.01 c0010
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 24.01 c0010
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 24.01 c0010
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 24.01 c0010
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 24.01 c0010
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 24.01 c0010
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 24.01 c0010
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 24.01 c0010
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 §239ii F 24.01 r0020
Inflows to the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The inflow shall reflect the gross carrying amount of exposures that have become non-performing as defined in paragraphs 213 to 239 or 260 of this Part during the period, including purchased non-performing exposures. An increase in the gross carrying amount of a non-performing exposure due to accrued interest or due to an increase in the accumulated negative changes in fair value due to credit risk shall be reported as an inflow as well.
Annex V Part 2 §239iii F 24.01 r0020, r0120
For an exposure that during the period has been reclassified multiple times from non-performing to performing or vice versa, the amount of inflows and outflows shall be identified based on a comparison between the status of the exposure (performing or non-performing) at the beginning of the financial year or at initial recognition and its status at the reporting reference date.
Annex V Part 2 §239vi F 24.01 r0020
The reclassification of a non-performing exposure from one accounting portfolio to another shall be reported neither as inflow nor as outflow. As an exception, the reclassification of a non-performing exposure from any accounting portfolio to ‘held for sale’ shall be reported as outflow from the original accounting portfolio and inflow to ‘held for sale’.
Annex V Part 2 §239iv F 24.01 r0120
Outflows from the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The outflow shall reflect the sum of the gross carrying amounts of exposures that cease to be non-performing during the period, and, where applicable, shall include the amount of write-offs made in the context of the partial or full derecognition of the exposure. A decrease in the gross carrying amount of a non-performing exposure due to interest paid or a decrease in the accumulated negative changes in fair value due to credit risk shall be reported as an outflow as well.
Annex V Part 2 §239v F 24.01 r0120
An outflow shall be reported in the following cases:
(a) a non-performing exposure meets the criteria for ceasing to be classified as non-performing as laid out in paragraphs 228 – 232 of this Part and is reclassified as performing not forborne or performing forborne;
(b) a non-performing exposure is partially or totally repaid; in case of partial repayment, only the repaid amount shall be classified as outflow;
(c) collateral is liquidated, including outflows due to other liquidation or legal procedures, such as the liquidation of assets other than collateral obtained via legal procedures, and the voluntary sale of the collateral;
(d) the institution takes possession of the collateral as referred in paragraph 175 of this Part including cases of debt asset swaps, voluntary surrenders and debt equity swaps;
(e) a non-performing exposure is sold;
(f) the risk pertaining to a non-performing exposure is transferred and the exposure meets the criteria to be derecognised;
(g) a non-performing exposure is written-off partially or totally; in case of partial write-offs, only the written-off amount shall be classified as outflow;
(h) a non-performing exposure, or parts of a non-performing exposure, ceases to be non-performing for other reasons.
Annex V Part 2 §239 F 24.01 c0010
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 §239ix F 24.01 c0060, c0070
‘Commercial real estate (CRE) loans’ shall comprise exposures as defined in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps.
Annex V Part 2 §328 F 24.01 r0010, r0320
Template 24.1 shall provide a reconciliation of the opening and closing balances of the stock of loans and advances, excluding loans and advances classified as cash balances at central banks and other demand deposits, trading financial assets, held for trading or as held for sale, that are classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part and reported in template 18. Inflows and outflows of non-performing loans and advances shall be broken down by type of inflow or outflow.
Annex V Part 2 §329 F 24.01 r0020
Inflows to the category of non-performing exposures shall be reported in accordance with paragraphs 239ii to 239iii and 239vi of this Part, with the exception of inflows to the category ‘held for sale’, which are outside the scope of this template. Inflows shall be broken down by type (source) of inflow. In this context:
(a) ‘Inflow due to accrued interest’ shall represent interest accrued on non-performing loans and advances that have not been included in any of the other categories of the breakdown by type (source); in this regard, this inflow captures the interest accrued on non-performing loans and advances that were classified as non-performing at the end of the preceding financial year and have been continuously classified as such ever since; interest accrued on exposures that were classified as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part only during the period shall be reported together with the inflow itself in the corresponding type (source) category;
(b) ‘of which: reclassified from performing forborne exposures under probation previously reclassified from non-performing’ shall include ‘performing forborne exposures under probation reclassified from non-performing’, as defined in paragraph 261 of this Part, that were reclassified again as non-performing in accordance with paragraphs 213 to 239 or 260 of this Part during the period;
(c) ‘Inflow due to other reasons’ shall capture inflows that cannot be linked to any of the other, specified sources of inflows and shall include, among others, increases in the gross carrying amount of non-performing exposures due to additional amounts disbursed during the period, the capitalisation of past due amounts including capitalised fees and expenses and changes in exchange rates related to non-performing loans and advances that were classified as non-performing at the end of the preceding financial year and have been continuously classified as such ever since.
Annex V Part 2 §331 F 24.01 r0120
Outflows from the category of non-performing exposures shall be reported in accordance with paragraphs 239iii to 239vi of this Part, and be broken down by type (reason) of the outflow. In this context, ‘outflow due to write-offs’ shall reflect the amount of write-offs made during the period that cannot be linked to any of the other specified outflow types and shall include also write-offs related to the total extinguishment of all the reporting institution’s rights by expiry of the statue-of-limitations period, forgiveness or other causes occurred during the period.
Annex V Part 2 §332 F 24.01 r0120
In those cases where an exposure is partially derecognised and the remaining part is reclassified as performing, the outflow pertaining to the reclassification and the outflow pertaining to the derecognition shall be reported as separate outflows. For outflows due to collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, the net cumulated recoveries obtained shall be reported. If, at the moment of collateral liquidations, sale of exposures, risk transfers and taking possession of collateral, a write-off was made, that amount shall be reported as a part of the related outflow type.