Annex V Part 2 §105 F 18.00 r0340, r0410, r0480
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 18.00 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 §114 F 18.00 r0410
‘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 18.00 r0480
‘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 §116 F 18.00 r0340, r0410, r0480
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 18.00 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 §213 F 18.00 c0020, c0060
For the purposes of template 18, non-performing exposures shall be exposures listed in Article 47a(3) CRR.
Annex V Part 2 §215 F 18.00 c0020, c0060
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 18.00 c0020, c0060
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 18.00 r0550
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 §221 F 18.00 c0010
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 §223 F 18.00 c0020, c0060
For the purpose of template 18, ‘debtor’ shall mean an obligor within the meaning of Article 178 CRR.
Annex V Part 2 §226 F 18.00 c0020, c0060
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 18.00 c0020, c0060
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 18.00 c0020, c0060
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 18.00 c0020, c0060
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 18.00 c0020, c0060
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 18.00 c0020, c0060
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 18.00 c0020, c0060
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 18.00 c0020, c0060
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 18.00 c0020, c0060
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 18.00 c0020, c0060
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 18.00 c0020, c0060
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 18.00 c0020, c0060
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 18.00 c0020, c0060
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 18.00 c0020, c0060
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.