Annex V Part 2 §216 F 18.02 c0030, c0080
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 §221 F 18.02 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 18.02 c0030, c0080
For the purpose of template 18, ‘debtor’ shall mean an obligor within the meaning of Article 178 CRR.
Annex V Part 2 §226 F 18.02 c0030, c0080
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 18.02 c0030, c0080
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 18.02 c0030, c0080
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 18.02 c0030, c0080
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 18.02 c0030, c0080
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 18.02 c0030, c0080
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 18.02 c0030, c0080
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 18.02 c0030, c0080
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 18.02 c0030, c0080
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 18.02 c0030, c0080
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 18.02 c0030, c0080
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 18.02 c0030, c0080
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 18.02 c0030, c0080
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 §239vi F 18.02 r0010, r0020, r0030, r0040, r0050, r0060, r0070, r0080, r0090, r0100
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 §239vii F 18.02 r0010, r0020
The following exposures shall be identified in separate rows:
(a) commercial real estate (CRE) loans as defined in paragraph 239ix, broken down into CRE loans to SMEs and CRE loans to non-financial corporations other than SMEs;
(b) loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part;
(c) credit for consumption as defined in paragraph 88(a) of this Part.
Annex V Part 2 §239viii F 18.02 r0040, r0050, r0060, r0080, r0090, r0100
Template 18.2 shall present information on commercial real estate loans to non-financial corporations and on loans collateralised by commercial or residential immovable property to non-financial corporations and households respectively, broken down by loan to value ratio (LTV ratio). Loans and advances classified as held for trading, trading financial assets and debt instruments held for sale shall be excluded.
Annex V Part 2 §239 F 18.02 c0030, c0080
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.