Article 12
Non-performing exposures and fixed rate loan commitments to retail counterparties
1.
Institutions with a non-performing exposure ratio of 2 % or more shall allocate the notional repricing cash flows of their non-performing exposures to the relevant repricing time buckets referred to in point 1 of the Annex. They shall allocate those expected cash flows net of provisions, taking into account their timing and in a way that it is consistently applied over time.
For the purposes of the first subparagraph, institutions shall calculate the non-performing exposures ratio by dividing the amount of non-performing debt securities, loans and advances, as referred to in Article 47a(3) of Regulation (EU) No 575/2013, by the total amount of gross debt securities, loans and advances.
2.
Where the sum of notional amounts of fixed rate loan commitments to retail counterparties exceeds 2 % of the non-trading book positions that are accounted for as an asset in accordance with the applicable accounting framework, institutions shall estimate the drawn amount, in both the baseline scenario and the applicable scenarios referred to in Article 4, based on:
(a)
historical internal observations of drawings on fixed rate loan commitments by the type of the counterparty under similar conditions;
(b)
the value of the contract for the counterparty in the baseline scenario;
(c)
the value of the contract for the counterparty in the shock scenario.
Institutions shall allocate the estimated drawn amounts to the relevant repricing time buckets referred to in point 1 of the Annex in accordance with the estimated time of the drawing.