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Commission Implementing Regulation (EU) 2017/1443 of 29 June 2017 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regards to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance)
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assets, liabilities, equity, income and expenses that are recognised by the institution;
off-balance sheet exposures and activities in which the institution is involved;
transactions performed by the institution;
valuation rules, including methods for the estimation of allowances for credit risk, applied by the institution.
“CRR”: Regulation (EU) No 575/2013
“IAS” or “IFRS”: “International Accounting Standards”, as defined in Article 2 of the IAS Regulation No 1606/2002(1), which have been adopted by the Commission;
“ECB BSI Regulation” or “ECB/2013/33”: Regulation (EC) No 1071/2013 of the European Central Bank(2);
“NACE Regulation”: Regulation (EC) No 1893/2006 of the European Parliament and of the Council(3);
“NACE codes”: codes in NACE Regulation;
“BAD”: Council Directive 86/635/EEC(4);
“Accounting Directive”: Directive 2013/34/EU(5);
“National GAAP”: national generally accepted accounting principles developed under BAD;
“SME”: micro, small and medium-sized enterprises defined in Commission Recommendation C(2003)1422(6);
“ISIN code”: the International Securities Identification Number assigned to securities, composed of 12 alphanumeric characters, which uniquely identifies a securities issue;
“LEI code”: the global Legal Entity Identifier assigned to entities, which uniquely identifies a party to a financial transaction;
“Impairment stages”: categories of impairment as defined in IFRS 9.5.5. “Stage 1” refers to impairment measured in accordance with IFRS 9.5.5.5. “Stage 2” refers to impairment measured in accordance with IFRS 9.5.5.3. “Stage 3” refers to impairment on credit-impaired assets as defined in Appendix A of IFRS 9.
Table 1 | |||
Credit/debit convention, positive and negative signs | |||
Element | Credit/Debit | Balance/Movement | Figure reported |
---|---|---|---|
Assets | Debit | Balance on assets | Positive (“Normal”, no sign needed) |
Increase on assets | Positive (“Normal”, no sign needed) | ||
Negative balance on assets | Negative (Minus “–” sign needed) | ||
Decrease on assets | Negative (Minus “–” sign needed) | ||
Expenses | Balance on expenses | Positive (“Normal”, no sign needed) | |
Increase on expenses | Positive (“Normal”, no sign needed) | ||
Negative balance (including reversals) on expenses | Negative (Minus “–” sign needed) | ||
Decrease on expenses | Negative (Minus “–” sign needed) | ||
Liabilities | Credit | Balance on liabilities | Positive (“Normal”, no sign needed) |
Increase on liabilities | Positive (“Normal”, no sign needed) | ||
Negative balance on liabilities | Negative (Minus “–” sign needed) | ||
Decrease on liabilities | Negative (Minus “–” sign needed) | ||
Equity | Balance on equity | Positive (“Normal”, no sign needed) | |
Increase on equity | Positive (“Normal”, no sign needed) | ||
Negative balance on equity | Negative (Minus “–” sign needed) | ||
Decrease on equity | Negative (Minus “–” sign needed) | ||
Income | Balance on income | Positive (“Normal”, no sign needed) | |
Increase on income | Positive (“Normal”, no sign needed) | ||
Negative balance (including reversals) on income | Negative (Minus “–” sign needed) | ||
Decrease on income | Negative (Minus “–” sign needed) |
institutions may be permitted or required to apply the equity method to investments in insurance and non-financial subsidiaries in accordance with Article 18(5) of CRR;
institutions may be permitted to use the proportional consolidation method for financial subsidiaries in accordance with Article 18(2) of CRR;
institutions may be required to use the proportional consolidation method for investment in joint ventures in accordance with Article 18(4) of CRR.
“Financial assets held for trading”;
“Non-trading financial assets mandatorily at fair value through profit or loss”
“Financial assets designated at fair value through profit or loss”;
“Financial assets at fair value through other comprehensive income”;
“Financial assets at amortised cost”.
“Trading financial assets”;
“Non-trading non-derivative financial assets measured at fair value through profit or loss”;
‘Non-trading non-derivative financial assets measured at fair value to equity;
“Non-trading non-derivative financial assets measured at a cost-based method”; and
“Other non-trading non-derivative financial assets”.
“Financial liabilities held for trading”;
“Financial liabilities designated at fair value through profit or loss”;
“Financial liabilities measured at amortised cost”.
“Trading financial liabilities”;
“Non-trading non-derivative financial liabilities measured at a cost-based method”.
under IFRS and national GAAP based on BAD for debt instruments measured at fair value through profit or loss without being included in the held for trading or trading portfolio, the gross carrying amount shall depend on whether they are classified as performing or non-performing. For performing debt instruments, the gross carrying amount shall be the fair value. For non-performing debt instruments, the gross carrying amount shall be the fair value after adding back any accumulated negative fair value adjustment due to credit risk, as defined in paragraph 69 of Part 2 of this Annex. For the purpose of the measurement of the gross carrying amount, the valuation of the debt instruments shall be performed on the level of single financial instruments;
under IFRS for debt instruments at amortised cost or at fair value through other comprehensive income, the gross carrying amount shall be the carrying amount before adjusting for any loss allowance;
under national GAAP based on BAD, for debt instruments classified as “non-trading non-derivative financial assets measured at a cost-based method”, the gross carrying amount of impaired assets shall be equal to the carrying amount before adjusting for specific allowances for credit risk. The gross carrying amount of unimpaired assets shall be the carrying amount before adjusting for general allowances for credit risk and general allowances for banking risk, where affecting the carrying amount;
under national GAAP based on BAD, the gross carrying amount of debt instruments classified as “Non-trading non-derivative financial assets measured at fair value to equity” shall depend on whether these financial assets are subject to impairment requirements. Where they are subject to impairment requirements, the gross carrying amount shall be the carrying amount before adjusting for any accumulated impairment, following the requirements in point (c) above for impaired and unimpaired assets, or any accumulated amount of fair value adjustment that is considered as impairment loss. When these financial assets are not subject to impairment requirements, the gross carrying amount of these financial assets shall be the fair value for performing exposures, and for non-performing exposures the fair value after adding back any accumulated negative fair value adjustment due to credit risk;
under national GAAP based on BAD, the gross carrying amount of debt instruments measured at strict or moderate LOCOM shall be the cost where measured at cost during the reporting period. Where these debt instruments are measured at market value the gross carrying amount shall be the market value before adjusting for credit-risk induced value adjustments;
under national GAAP based on BAD, for debt instruments reported under “Other non-trading non-derivative financial assets” under measurement methods other than LOCOM, the gross carrying amount shall be the carrying amount before taking into account any valuation adjustment that qualifies as impairment;
for trading financial assets under GAAP based on BAD or held for trading financial assets under IFRS, the gross carrying amount shall be the fair value. Where GAAP based on BAD require haircuts on trading and fair valued instruments, the carrying amount of the financial instruments shall be the fair value before these haircuts.
central banks;
general governments: central governments, state or regional governments, and local governments, including administrative bodies and non-commercial undertakings, but excluding public companies and private companies held by these administrations that have a commercial activity (which shall be reported under “credit institutions”, “other financial corporations” or “non-financial corporations” depending on their activity); social security funds; and international organisations, such as institutions of the European Union, the International Monetary Fund and the Bank for International Settlements;
credit institutions: any institution covered by the definition in Article 4(1)(1) of CRR (“undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account”) and multilateral development banks (MDBs);
other financial corporations: all financial corporations and quasi-corporations other than credit institutions such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries, financial auxiliaries and captive financial institutions and money lenders;
non-financial corporations: corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services according to the ECB BSI Regulation;
households: individuals or groups of individuals as consumers and producers of goods and non-financial services exclusively for their own final consumption, and as producers of market goods and non-financial and financial services provided that their activities are not those of quasi-corporations. Non-profit institutions which serve households (“NPISH”) and which are principally engaged in the production of non-market goods and services intended for particular groups of households shall be included.
for loans and advances, the immediate borrower. For trade receivables, the immediate borrower shall be the counterparty obliged to pay the receivables, except in transactions with recourse, where the immediate borrower shall be the transferor of receivables where the reporting institution does not acquire substantially all the risks and rewards of ownership of the transferred receivables;
for debt securities and equity instruments, the issuer of the securities;
for deposits, the depositor;
for short positions, the counterparty of the securities borrowing transaction or reverse repurchase agreement;
for derivatives, the direct counterparty of the derivative contract. For centrally cleared OTC derivatives the direct counterparty shall be the clearing house acting as a central counterparty. Counterparty breakdown for credit risk derivatives refers to the sector where the counterparty of the contract (buyer or seller of protection) belongs;
for financial guarantees given, the counterparty shall be the direct counterparty of the guaranteed debt instrument;
for loan commitments and other commitments given, the counterparty whose credit risk is assumed by the reporting institution;
for loan commitments, financial guarantees and other commitments received, the guarantor or the counterparty that has provided the commitment to the reporting institution.
the time value of an option where the changes in the time value and the intrinsic value of that option are separated and only the change in the intrinsic value is designated as a hedging instrument [IFRS 9.6.5.15];
the forward element of a forward contract where the forward element and the spot element of that forward contract are separated and only the change in the spot element of the forward contract is designated as hedging instrument;
the foreign currency basis spread from a financial instrument where this spread is excluded from the designation of that financial instrument as the hedging instrument [IFRS 9.6.5.15, IFRS 9.6.5.16].
“Interest income”;
“Interest expense”;
“Dividend income”;
“Gains or losses on de-recognition of financial assets and liabilities not measured at fair value through profit or loss, net”;
“Modification gains or losses, net”;
“Impairment or (–) reversal of impairment on financial assets not measured at fair value through profit or loss”.
where a financial asset is reclassified out of the amortised cost measurement category and into the fair value through profit or loss accounting portfolio [IFRS 9.5.6.2], gains or losses due to the reclassification shall be reported in “Gains or (–) losses on financial assets and liabilities held for trading, net” or “Gains or (–) losses on non-trading financial assets mandatorily at fair value through profit or loss, net”, as applicable;
where a financial asset is reclassified out of the fair value through other comprehensive income measurement category and into the fair value through profit or loss measurement category [IFRS 9.5.6.7], the cumulative gains or losses previously recognised in other comprehensive income reclassified to profit or loss shall be reported in “Gains or (–) losses on financial assets and liabilities held for trading, net” or “Gains or (–) losses on non-trading financial assets mandatorily at fair value through profit or loss, net”, as applicable.
time value of options;
forward elements of forward contracts;
foreign exchange basis spread of financial instruments.
for debt instruments measured at amortised cost or at a cost-based method, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised, where appropriate for each of the impairment stages. Accumulated impairment reduces the carrying amount of the debt instrument through the use of an allowance account under IFRS and national GAAP based on BAD, or via direct reductions that do not constitute a derecognition event under national GAAP based on BAD;
for debt instruments measured at fair value through other comprehensive income under IFRS, accumulated impairment is the sum of expected credit losses and their variations recognised as a reduction of fair value on a given instrument since initial recognition;
for debt instruments at fair value through equity under national GAAP based on BAD subject to impairment, accumulated impairment is the cumulative amount of impairment losses, net of use and reversals that has been recognised. The reduction in the carrying amount is either made through use of an allowance account or via direct reductions that do not constitute a derecognition event.
“on demand (call) and short notice (current account)” shall include balances receivable on demand (call), at short notice (by close of business on the day following that on which the demand was made), current accounts and similar balances including loans that are overnight deposits for the borrower (loans to be repaid by close of business on the day following that in which it was granted), regardless of their legal form. It shall also include “overdrafts” that are debit balances on current account balances;
“Credit card debt” shall include credit granted either via delayed debit cards or via credit cards [ECB BSI Regulation];
“Trade receivables” shall include loans to other debtors granted on the basis of bills or other documents that give the right to receive the proceeds of transactions for the sale of goods or provision of services. This item shall include all factoring and similar transactions, like acceptances, outright purchase of trade receivables, forfaiting, discounting of invoice, bills of exchange, commercial papers and other claims where the reporting institution buys the trade receivables (both with and without recourse);
“Finance leases” shall include the carrying amount of finance lease receivables. Under IFRS “finance lease receivables” are as defined in IAS 17;
“Reverse repurchase loans” shall include finance granted in exchange for securities or gold bought under repurchase agreements or borrowed under securities lending agreements as defined in paragraphs 183 and 184 of this Part;
“Other term loans” shall include debit balances with contractually fixed maturities or terms that are not included in other items;
“Advances that are not loans” shall include advances that cannot be classified as “loans” according to the ECB BSI Regulation. This item shall include, among others, gross amounts receivable in respect of suspense items (such as funds that are awaiting investment, transfer, or settlement) and transit items (such as cheques and other forms of payment that have been sent for collection).
“Loans collateralized by immovable property” shall include loans and advances formally secured by residential or commercial immovable property collateral, independently of their loan/collateral ratio (commonly referred as “loan-to-value”) and the legal form of the collateral;
“Other collateralized loans” shall include loans and advances formally secured by collateral, independently of their loan/collateral ratio (commonly referred to as “loan-to-value”) and the legal form of the collateral, other than “Loans collateralised by immovable property”. This collateral shall include pledges of securities, cash, and other collateral independently from the legal form of the collateral.
“Credit for consumption” shall include loans granted mainly for the personal consumption of goods and services [ECB BSI Regulation];
“Lending for house purchase” shall include credit extended to households for the purpose of investing in houses for own use and rental, including building and refurbishments [ECB BSI Regulation].
“Certificates of deposits” shall be securities that enable the holders to withdraw funds from an account;
“Asset backed securities” according to Article 4(1)(61) of CRR;
“Covered Bonds” according to Article 129(1) of CRR;
“Hybrid contracts” shall comprise contracts with embedded derivatives;
“Other debt securities issued” shall include debt securities not recorded in the previous lines and distinguishes convertible compound financial instruments and non-convertible instruments.
they are subject to impairment requirements of IFRS 9;
they are designated at fair value through profit or loss under IFRS 9;
they are within the scope of IAS 37 or IFRS 4.
“Forward deposits”;
“Undrawn credit facilities” which comprise agreements to “lend” or provide “acceptance facilities” under pre-specified terms and conditions.
“Guarantees having the character of credit substitute”;
“Credit derivatives” that meet the definition of financial guarantee;
“Irrevocable standby letters of credit having the character of credit substitutes”.
“Unpaid portion of partly-paid shares and securities”;
“Documentary credits issued or confirmed”;
“Trade finance off-balance sheet items”;
“Documentary credits in which underlying shipment acts as collateral and other self-liquidating transactions”;
“Warranties and indemnities” (including tender and performance bonds) and “guarantees not having the character of credit substitutes”;
“Shipping guarantees, customs and tax bonds”;
‘Note issuance facilities’ (NIFs) and “Revolving underwritings facilities” (RUFs);
“Undrawn credit facilities” which comprise agreements to “lend” or provide “acceptance facilities” where the terms and conditions are not pre-specified;
“Undrawn credit facilities” which comprise agreements to “purchase securities” or “provide guarantees”;
“Undrawn credit facilities for tender and performance guarantees”;
“Other off-balance sheet items” in Annex I to CRR.
“Credit derivatives” that do not meet the definition of financial guarantees are “derivatives” under IFRS 9;
“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;
“Endorsements on bills” that do not meet the criteria for de-recognition under IFRS 9;
“Transactions with recourse” that do not meet the criteria for de-recognition under IFRS 9;
“Assets purchased under outright forward purchase agreements” are “derivatives” under IFRS 9;
“Asset sale and repurchase agreements as defined in paragraphs (3) and (5) of Article 12 of Directive 86/635/EEC”. In these 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, these contracts meet the definition of derivatives under IFRS 9-Appendix A.
interest rate: Interest rate derivatives shall be contracts related to an interest-bearing financial instrument whose cash flows are determined by referencing interest rates or another interest rate contract such as an option on a futures contract to purchase a Treasury bill. This category shall be restricted to those deals where all the legs are exposed to only one currency's interest rate. Thus it shall exclude contracts involving the exchange of one or more foreign currencies such as cross-currency swaps and currency options, and other contracts whose predominant risk characteristic is foreign exchange risk, which are to be reported as foreign exchange contracts. The only exception is where cross-currency swaps are used as part of a portfolio hedge of interest rate risk, where they shall be reported in the dedicated rows for these types of hedges. Interest rate contracts shall include forward rate agreements, single-currency interest rate swaps, interest rate futures, interest rate options (including caps, floors, collars and corridors), interest rate swaptions and interest rate warrants;
equity: Equity derivatives shall be contracts that have a return, or a portion of their return, linked to the price of a particular equity or to an index of equity prices;
foreign exchange and gold: These derivatives shall include contracts involving the exchange of currencies in the forward market and the exposure to gold. They therefore shall cover outright forwards, foreign exchange swaps, currency swaps (including cross-currency interest rate swaps), currency futures, currency options, currency swaptions and currency warrant. Foreign exchange derivatives shall include all deals involving exposure to more than one currency, whether in exchange rates or in interest rates except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk. Gold contracts shall include all deals involving exposure to that commodity;
credit: Credit derivatives shall be contracts in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit and that do not meet the definition of financial guarantees [IFRS 9]. The contracts shall specify an exchange of payments in which at least one of the two legs is determined by the performance of the reference credit. Payouts can be triggered by a number of events, including a default, a rating downgrade or a stipulated change in the credit spread of the reference asset. Credit derivatives that meet the definition of a financial guarantee in paragraph 114 of this Part of this Annex shall be reported only in template 9;
commodity: These derivatives shall be contracts that have a return, or a portion of their return, linked to the price of, or to a price index of, a commodity such as a precious metal (other than gold), petroleum, lumber or agricultural products
other: These derivatives shall be any other derivative contracts, which do not involve an exposure to foreign exchange, interest rate, equity, commodity or credit risk such as climatic derivatives or insurance derivatives.
commodities: All derivatives transactions involving a commodity or commodity index exposure, whether or not they involve a joint exposure in commodities and any other risk category which may include foreign exchange, interest rate or equity, shall be reported in this category;
equities: With the exception of contracts with a joint exposure to commodities and equities, which are to be reported as commodities, all derivatives transactions with a link to the performance of equities or equity indices shall be reported in the equity category. Equity deals with exposure to foreign exchange or interest rates shall be included in this category;
foreign exchange and gold: This category shall include all derivatives transactions (with the exception of those already reported in the commodity or equity categories) with exposure to more than one currency, be it pertaining either to interest-bearing financial instruments or exchange rates except where cross-currency swaps are used as part of a portfolio hedge of interest rate risk.
for contracts with variable nominal or notional principal amounts, the basis for reporting shall be the nominal or notional principal amounts at the reference date;
the notional amount value to be reported for a derivative contract with a multiplier component shall be the contract effective notional amount or par value;
swaps: The notional amount of a swap shall be the underlying principal amount upon which the exchange of interest, foreign exchange or other income or expense is based;
equity and commodity-linked contracts: The notional amount to be reported for an equity or commodity contract shall be the quantity of the commodity or equity product contracted for purchase or sale multiplied by the contract price of a unit. The notional amount to be reported for commodity contracts with multiple exchanges of principal shall be the contractual amount multiplied by the number of remaining exchanges of principal in the contract;
credit derivatives: The contract amount to be reported for credit derivatives shall be the nominal value of the relevant reference credit;
digital options have a predefined payoff which can be either a monetary amount or a number of contracts of an underlying. The notional amount for digital options shall be defined as either the predefined monetary amount or the fair value of the underlying at the reference date.
derivatives hedging unquoted equity instruments for which cost may be an appropriate estimate of fair value;
credit derivatives measured at fair value through profit or loss used to manage the credit risk of all, or part of, a financial instrument that is designated as measured at fair value through profit or loss at, or subsequent to, initial recognition, or while it is unrecognised in accordance with IFRS 9.6.7.;
derivatives that are classified as “held for trading” in accordance with IFRS 9 Appendix A or trading assets in accordance with the national GAAP based on BAD but are not part of the trading book as defined in Article 4(1)(86) of CRR.
“credit institutions”;
“other financial corporations”;
“rest” comprising all other counterparties.
where the modification results in the partial or total derecognition of an asset due to a write-off as defined in paragraph 74, the impact on expected losses due to this derecognition shall be reported in “Decrease in allowance account due to write-offs”, and any other impact from modification on expected credit losses in other appropriate columns;
where the modification results in the complete derecognition of an asset for reasons other than a write-off as defined in paragraph 74 and its substitution by a new asset, the impact of modification on expected credit losses shall be reported in “Changes due to derecognition” for the changes due to the asset derecognised, and in “Increases due to origination and acquisition” for the changes due to the newly recognised modified asset. Derecognition for reasons other than write-offs shall include derecognition where the terms of the modified assets have been subject to substantial changes;
where the modification does not result in derecognition of all or part of the modified asset, its impact on expected losses shall be reported in “Changes due to modifications without derecognition”.
where the debt instrument is partially or totally de-recognised because there is no reasonable expectation of recovery, the decrease in the loss allowance reported due to the amounts written off shall be reported in: ‘Decrease in allowance account due to write-offs;
“Amounts written-off directly to the statement of profit or loss” shall be the amounts of financial assets written-off during the reporting period that exceed any allowance account of the respective financial assets at the derecognition date. They shall include all amounts written-off during the reporting period and not only those which are still subject to enforcement activity.
within “Loans collateralised by immovable property”, “Residential” shall include loans secured by residential immovable property and “Commercial” loans secured by pledges of immovable property other than residential including offices and commercial premises and other types of commercial immovable property. The determination of whether immovable property collateral shall be residential or commercial shall be made in accordance with the CRR;
within “Other collateralised loans”, “Cash [Debt instruments issued]” shall include (a) deposits in the reporting institution that have been pledged as collateral for a loan and (b) debt securities issued by the reporting institution which have been pledged as collateral for a loan. “Rest” shall include pledges of other securities issued by any third parties or pledges of other assets;
“Financial guarantees received” shall include contracts that in accordance with paragraph 114 of this Part of this Annex require the issuer to make specified payments to reimburse the institution 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.
Amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral;
Amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.
interest income on financial and other assets;
interest income on financial liabilities with negative effective interest rate.
interest expenses on financial and other liabilities;
interest expenses on financial assets with negative effective interest rate.
interest rate: including trading of loans and advances, deposits and debt securities (held or issued);
equity: including trading of shares, quotas of UCITS and other equity instruments;
foreign exchange trading: including exclusively trading on foreign exchanges;
credit risk: including trading of credit link notes;
commodities: this item shall include only derivatives because gains and losses on commodities held with trading intent shall be reported under “Other operating income” or “Other operating expense” in accordance with paragraph 316 of this Part;
other: including trading of financial instruments which cannot be classified in other breakdowns.
material exposures which are more than 90 days past due;
the debtor is assessed as unlikely to pay its 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.
loan commitments given;
financial guarantees given;
other commitments given.
for non-performing exposures classified as defaulted in accordance with Article 178 of CRR, the categorisation approach of that Article shall be applied;
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;
for other non-performing exposures that are neither classified as defaulted nor as impaired, the provisions of Article 178 of CRR for defaulted exposures shall be applied.
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;
the situation of the debtor has improved to the extent that full repayment, according to the original or where applicable the modified conditions, is likely to be made;
the debtor does not have any amount past-due by more than 90 days.
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;
one year has passed since the latest between the moment where forbearance measures were applied and the moment where exposures have been classified as non-performing;
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 of CRR, respectively.
“Debt instruments at cost or at amortised cost” shall encompass debt instruments included in any of the following:
‘financial assets at amortised cost’ (IFRS);
“Non-trading non-derivative financial assets at a cost based method”, including debt instruments under moderate LOCOM (national GAAP based on BAD);
“Other non-trading non-derivative financial assets”, except debt instruments measured at strict LOCOM (national GAAP based on BAD);
“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:
“Financial assets at fair value through other comprehensive income” (IFRS);
“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;
“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:
“Non-trading financial assets mandatorily at fair value through profit or loss” (IFRS);
“Financial assets designated at fair value through profit or loss” (IFRS);
“Non-trading non-derivative financial assets measured at fair value through profit or loss” (national GAAP based on BAD);
“Other non-trading non-derivative financial assets” where debt instruments are measured under strict LOCOM (national GAAP based on BAD);
“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.
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 in this column;
exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR.
a modification of the previous terms and conditions of a contract that the debtor is considered unable to comply with due to its financial difficulties (“troubled debt”) resulting in insufficient debt service ability and that would not have been granted had the debtor not been experiencing financial difficulties;
a total or partial refinancing of a troubled debt contract, that would not have been granted had the debtor not been experiencing financial difficulties.
a difference in favour of the debtor between the modified terms of the contract and the previous terms of the contract;
inclusion in a modified contract of more favourable terms than other debtors with a similar risk profile could have obtained from the same institution at that time.
a modified contract that has been classified as non-performing before the modification or would in the absence of modification be classified as non-performing;
the modification that has been made to a contract involves a total or partial cancellation by write-offs of the debt;
the institution approves the use of embedded forbearance clauses for a debtor who is non-performing or who would be considered as non-performing without the use of those clauses;
simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was non-performing or would in the absence of refinancing be classified as non-performing.
the modified contract was totally or partially past due by more than 30 days (without being non-performing) at least once during the three months prior to its modification or would be more than 30 days past due, totally or partially, without modification;
simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was totally or partially past due by 30 days at least once during the three months prior to its refinancing;
the institution approves the use of embedded forbearance clauses for 30 days past due debtors or debtors who would be 30 days past due without the exercise of those clauses.
the forborne exposure is considered to be performing, including where it has been reclassified from the non-performing exposures category after an analysis of the financial condition of the debtor showed that it no longer met the conditions to be considered as non-performing;
a minimum two year period has passed from the date the forborne exposure was considered to be performing (“probation period”);
regular payments of more than an insignificant aggregate amount of principal or interest have been made during at least half of the probation period;
none of the exposures to the debtor is more than 30 days past due at the end of the probation period.
that extension has not led the exposure to be classified as non-performing;
the exposure was not considered to be a non-performing exposure at the date the forbearance measures were extended.
exposures which have become non-performing due to the application of forbearance measures;
exposures which were non-performing prior to the extension of forbearance measures;
forborne exposures which have been reclassified from the performing category, including exposures reclassified in application of paragraph 260.
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 in this column;
exposures in respect of which a default is considered to have occurred in accordance with Article 178 of CRR.
amounts considered for the calculation of the effective interest of financial instruments [IFRS 7.20.(c)];
amounts arising from financial instruments that are measured at fair value through profit or loss [IFRS 7.20.(c).(i)].
“Securities. Issuances” shall include fees and commissions received for the involvement in the origination or issuance of securities not originated or issued by the institution;
“Securities. Transfer orders” shall include fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities;
“Securities. Other” shall include fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution;
“Clearing and settlement” shall include fee and commission income (expenses) generated by (charged to) the institution where participating in counterparty, clearing and settlement facilities;
“Asset management”, “Custody”, “Central administrative services for collective investment undertakings”, “Fiduciary transactions”, “Payment services” shall include fee and commission income (expenses) generated by (charged to) the institution where providing these services;
“Structured finance” shall include fees and commissions received for the involvement in the origination or issuance of financial instruments other than securities originated or issued by the institution;
fees from “Loan servicing activities” shall include, on the income side, the fee and commission income generated by the institution providing loan servicing services and on the expense side, the fee and commission expense charged to the institution by loan service providers;
“Loan commitments given” and “Financial guarantees given” shall include the amount, recognized as income during the period, of the amortization of the fees and commission for these activities initially recognised as “other liabilities”;
“Loan commitments received” and “Financial guarantees received” shall include the fee and commission recognised as expense by the institution during the period as a consequence of the charge made to the counterparty that has given the loan commitment or the financial guarantee that is initially recognised as “other assets”;
“Other” shall include the rest of fee and commission income (expenses) generated by (charged to) the institution such as those derived from “other commitments”, from foreign exchange services (such as exchange of foreign banknotes or coins) or from providing (receiving) other fee-based advice and services.
“Asset management” shall refer to assets belonging directly to the customers, for which the institution is providing management. “Asset management” shall be reported by type of customer: collective investment undertakings, pension funds, customer portfolios managed on a discretionary basis, and other investment vehicles;
“Custody assets” shall refer to the services of safekeeping and administration of financial instruments for the account of clients provided by the institution and services related to custodianship such as cash and collateral management. “Custody assets” shall be reported by type of customers for which the institution is holding the assets distinguishing between collective investment undertakings and others. The item “of which: entrusted to other entities” shall refer to the amount of assets included in custody assets for which the institution has given the effective custody to other entities;
“Central administrative services for collective investment” shall refer to the administrative services provided by the institution to collective investment undertakings. It shall include, among others, the services of transfer agent; of compiling accounting documents; of preparing the prospectus, financial reports and all other documents intended for investors; of carrying out the correspondence by distributing financial reports and all other documents intended for investors; of carrying out issues and redemptions and keeping the register of investors; as well as of calculating the net asset value;
“Fiduciary transactions” shall refer to the activities where the institution acts in its own name but for the account and at the risk of its customers. Frequently, in fiduciary transactions, the institution provides services, such as custody asset management services to a structured entity or managing portfolios on a discretionary basis. All fiduciary transactions shall be reported exclusively in this item without regarding whether the institution provides additionally other services;
“Payment services” shall refer to the collection on behalf of customers of payments generated by debt instruments that are neither recognised on the balance sheet of the institution nor originated by it;
“Customer resources distributed but not managed” shall refer to products issued by entities outside the prudential group that the institution has distributed to its current customers. This item shall be reported by type of product;
“Amount of the assets involved in the services provided” shall include the amount of assets in relation to which the institution is acting, using the fair value. Other measurement bases including nominal value may be used where the fair value is not available. Where the institution provides services to entities such as collective investment undertakings, pension funds, the assets concerned may be shown at the value at which these entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, where appropriate.
“Gains or losses on de-recognition of investments in subsidiaries, joint ventures and associates”, where reporting under national GAAP based in BAD;
“Gains or losses on de-recognition of non-financial assets”;
“Profit or loss from non-current assets and disposal groups classified as held for sale not qualifying as discontinued operations”;
“Profit or loss after tax from discontinued operations”.
“LEI code” shall include the LEI code of the investee. Where a LEI code exists for the investee it shall be reported;
“Entity code” shall include the identification code of the investee. The entity code is a row identifier and shall be unique for each row in template 40.1.
“Entity name” shall include the name of the investee;
“Entry date” means the date in which the investee entered within the “scope of the group”;
“Share capital of investee” means the total amount of capital issued by the investee as at the reference date;
“Equity of investee”, “Total assets of the Investee” and “Profit or (loss) of the Investee” shall include the amounts of these items in the last financial statements of the investee;
“Residence of investee” means the country of residence of the investee;
“Sector of investee” means the sector of counterparty as defined in paragraph 42 of Part 1 of this Annex;
“NACE code” shall be provided on the basis of the principal activity of the investee. For non-financial corporations, NACE codes shall be reported with the first level of disaggregation (by “section”); for financial corporations, NACE codes shall be reported with a two level detail (by “division”);
“Accumulated equity interest (%)” shall be the percentage of ownership instruments held by the institution as of the reference date;
“Voting rights (%)” means the percentages of voting rights associated to the ownership instruments held by the institution as of the reference date.
“Group structure [relationship]” shall indicate the relationship between the ultimate parent and the investee (parent or entity with joint control of the reporting institution, subsidiary, joint venture or associate);
“Accounting treatment [Accounting Group]” shall indicate the relationship between the accounting treatment with the accounting scope of consolidation (full consolidation, proportional consolidation, equity method or other);
“Accounting treatment [CRR Group]” shall indicate the relationship between the accounting treatment with the CRR scope of consolidation (full consolidation, proportional consolidation, equity method or other);
“Carrying amount” means amounts reported on the balance sheet of the institution for investees that are neither fully nor proportionally consolidated;
“Acquisition cost” means the amount paid by the investors;
“Goodwill link to the investee” means the amount of goodwill reported on the consolidated balance sheet of the reporting institution for the investee in the items “goodwill” or “investments in subsidiaries, joint ventures and associated”;
“Fair value of the investments for which there are published price quotations” means the price at the reference date; it shall be provided only if the instruments are quoted.
“Security code” shall include the ISIN code of the security. For securities without ISIN code assigned, it shall include another code that uniquely identifies the security. “Security code” and “Holding company code” shall be a composite row identifier, and together shall be unique for each row in template 40.2;
“Holding company code” shall be the identification code of the entity within the group that holds the investment. “Holding company LEI code” shall include the LEI code for the company holding the security. Where a LEI code exists for the holding company it shall be reported;
“Entity code”, “Accumulated equity interest (%)”, “Carrying amount” and “Acquisition cost” are defined above. The amounts shall correspond to the security held by the related holding company.
“Pension and similar expenses” shall include the amount recognized in the period as staff expenses for any post – employment benefit obligations (both defined contributions plans and defined benefits plans) and contributions to social security funds;
“Share based payments” shall include the amount recognized in the period as staff expenses for share based payments.
Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1)
Regulation (EC) No 1071/2013 of the European Central Bank of 24 September 2013 concerning the balance sheet of monetary financial institutions sector (recast) (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1).
Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).
Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).
Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19)
Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (C(2003)1422) (OJ L 124, 20.5.2003, p. 36).
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