[F1ANNEX V U.K. REPORTING ON FINANCIAL INFORMATION

Textual Amendments

PART 2 U.K. TEMPLATE RELATED INSTRUCTIONS

17. NON-PERFORMING EXPOSURES (18) U.K.

17.1. Information on performing and non-performing exposures (18.0) U.K.

213. For the purposes of template 18, non-performing exposures shall be exposures that satisfy any of the following criteria: U.K.
(a)

material exposures which are more than 90 days past due;

(b)

the debtor is assessed as unlikely to pay his or her credit obligations in full without realisation of collateral, regardless of the existence of any past due amount or of the number of days past due.

214. The categorisation as non-performing exposures shall apply notwithstanding the classification of an exposure as defaulted for regulatory purposes in accordance with Article 178 CRR or as impaired for accounting purposes in accordance with the applicable accounting framework. U.K.
215. Exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR and exposures that have been found impaired in accordance with the applicable accounting framework shall always be considered as non-performing exposures. Under IFRS, for the purpose of template 18, impaired exposures shall be those that have been found credit-impaired (Stage 3), including purchased or originated credit-impaired assets reported in this stage in accordance with paragraph 77of this Part. Exposures included in impairment stages other than Stage 3 shall be considered as non-performing where they meet the criteria to be considered as non-performing. U.K.
216. Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. Materiality shall be assessed in accordance with Article 178 CRR. U.K.
217. 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. U.K.
218. 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. U.K.
219. Under IFRS and relevant national GAAP based on BAD, off-balance sheet exposures shall comprise the following revocable and irrevocable items: U.K.
(a)

loan commitments given;

(b)

financial guarantees given;

(c)

other commitments given.

220. Debt instruments classified as held for sale in accordance with IFRS 5 shall be reported separately. U.K.
221. 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. U.K.
222. For the purpose of template 18, an exposure is ‘ past-due ’ where it meets the criteria of paragraph 96 of this Part. U.K.
223. For the purpose of template 18, ‘ debtor ’ shall mean an obligor within the meaning of Article 178 CRR. U.K.
224. A commitment shall be considered as a non-performing exposure for its nominal amount where, drawn down or otherwise used, it would lead to exposures that present a risk of not being paid back in full without realisation of collateral. U.K.
225. Financial guarantees given shall be considered as non-performing exposures for their nominal amount where the financial guarantee is at risk of being called by the guaranteed party, including, in particular, where the underlying guaranteed exposure meets the criteria to be considered as non-performing, referred to in paragraph 213. Where the guaranteed party is past-due on the amount due under the financial guarantee contract, the reporting institution shall assess whether the resulting receivable meets the non-performing criteria. U.K.
226. 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: U.K.
(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.

227. 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, where those exposures are not already considered as impaired or defaulted in accordance with Article 178 CRR, except for exposures affected by isolated disputes that are unrelated to the solvency of the counterparty. U.K.
228. Exposures shall be considered to have ceased being non-performing where all of the following conditions are met: U.K.
(a)

the exposure meets the exit criteria applied by the reporting institution for the discontinuation of the impairment and default classification according to the applicable accounting framework and Article 178 of the CRR respectively;

(b)

the situation of the debtor has improved to the extent that full repayment is likely to be made, either according to the original or to the modified conditions;

(c)

the debtor does not have any amount past-due by more than 90 days.

229. An exposure shall remain classified as non-performing as long as the conditions in points (a), (b) and (c) of paragraph 228 are not met, even where the exposure has already met the discontinuation criteria applied by the reporting institution for the impairment and default classification in accordance with the applicable accounting framework and Article 178 CRR respectively. U.K.
230. 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. U.K.
231. 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 following conditions are met: U.K.
(a)

exposures are not considered to be impaired or defaulted by the reporting institution according to the applicable accounting framework and Article 178 of the CRR, respectively;

(b)

at least one year has passed since the date on which the forbearance measures were granted and the date on which the exposures were classified as non-performing, whichever is later;;

(c)

there is not, following the forbearance measures, any past-due amount or concern regarding the full repayment of the exposure according to the post-forbearance conditions. The absence of concerns shall be determined after an analysis of the debtor’s financial situation by the institution. Concerns may be considered as no longer existing where the debtor has paid, via its regular payments in accordance with the post-forbearance conditions, a total equal to the amount that was previously past-due (where there were past-due amounts) or that has been written-off (where there were no past-due amounts) under the forbearance measures or the debtor has otherwise demonstrated its ability to comply with the post-forbearance conditions.

The specific exit conditions referred to in points (a), (b) and (c) shall apply in addition to the criteria applied by reporting institutions for impaired and defaulted exposures according to the applicable accounting framework and Article 178 CRR, respectively.

232. 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 that paragraph, 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. U.K.
233. 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: U.K.
(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.

234. 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. U.K.
234i. The following exposures shall be identified in separate rows: U.K.
(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.

235. 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 ’ . U.K.
236. Non-performing exposures shall be reported broken down by past due time bands. 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. U.K.
237. The following exposures shall be identified in separate columns: U.K.
(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), including 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), including purchased or originated credit-impaired assets that no longer meet the definition of ‘ credit-impaired ’ assets after the initial recognition;

(d)

under IFRS, for performing exposures, assets without significant increase in credit risk since initial recognition (Stage 1).

238. 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. U.K.
239. 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. U.K.

17.2. Inflows and outflows of non-performing exposures – loans and advances by counterparty sector (18.1) U.K.

239i. Template 18.1 shall provide the inflows and outflows of loans and advances, excluding loans and advances classified as trading financial assets or held for trading, that were classified into or out of the category of non-performing exposures as defined in paragraphs 213 to 239 or 260of this Part. Inflows and outflows of non-performing loans and advances shall be broken down by counterparty sector. U.K.
239ii. 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. U.K.
239iii. 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. U.K.
239iv. 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. U.K.
239v. An outflow shall be reported in the following cases: U.K.
(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.

239vi. 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 ’ . U.K.
239vii. The following exposures shall be identified in separate rows: U.K.
(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.

17.3. Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property (18.2) U.K.

239viii. 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. U.K.
239ix. ‘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 (1) . U.K.
239x. The LTV ratio shall be calculated in accordance with the method for the calculation of the ‘ current loan-to-value ratio ’ (LTV-C) laid down in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps. U.K.
239xi. Information on collateral received and financial guarantees received on loans shall be reported in accordance with paragraph 239of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure.] U.K.
(1)

[F1Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14), OJ C 31, 31.1.2017, p. 1 .]

Textual Amendments