Legal references and instructions

Row number

Explanation

(a)

In the concise risk statement in accordance with point (f) of Article 435(1) CRR, how the business model translates into the components of the institution’s credit risk profile.

(b)

When discussing their strategies and processes to manage credit risk and the policies for hedging and mitigating that risk in accordance with points (a) and (d) of Article 435(1) CRR, the criteria and approach used for defining the credit risk management policy and for setting credit risk limits.

(c)

When informing on the structure and organisation of the risk management function in accordance with point (b) of Article 435(1) CRR, the structure and organisation of the credit risk management and control function.

(d)

When informing on the authority, status and other arrangements for the risk management function in accordance with point (b) of Article 435(1) CRR, the relationships between credit risk management, risk control, compliance and internal audit functions.

Legal references and instructions

Row number

Explanation

(a)

The scope and definitions of ‘past-due’ and ‘impaired’ exposures used for accounting purposes and the differences, if any, between the definitions of past due and default for accounting and regulatory purposes in accordance with Article 178 CRR.

(b)

The extent of past-due exposures (more than 90 days) that are not considered to be impaired and the reasons for this.

(c)

Description of methods used for determining general and specific credit risk adjustments.

(d)

The institution’s own definition of a restructured exposure used for the implementation of point (d) of Article 178(3) CRR in accordance with Article 178 CRR when different from the definition of exposures with forbearance measures as defined in Article 47b CRR.

Legal references and instructions

Row number

Explanation

005

Cash balances at central banks and other demand deposits

Institutions shall disclose this information in line with the information reported in Annexes III and IV to Commission Implementing Regulation (EU) 680/2014 (1).

010

Loans and advances

Loans and advances are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with Regulation (EU) 1071/2013 (‘ECB BSI Regulation’) (2) as well as advances that cannot be classified as ‘loans’ in accordance with the ECB BSI Regulation, as defined in paragraph 32 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014, but excluding loans and advances classified as held for sale, cash balances at central banks and other demand deposits.

020 – 060, 080, 100 – 140, 160 –210

Counterparty breakdown

Institutions shall apply the breakdown by counterparty as defined in paragraph 42 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The classification of exposures incurred jointly by more than one obligor shall be done based on the characteristics of the obligor that was the more relevant, or determinant, for the institution’s decision to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE code shall be driven by the characteristics of the more relevant or determinant obligor.

070

SMEs

As defined in paragraph 5(i) of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014

090

Debt securities

Debt securities are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation, as defined in paragraph 31 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

150

Off-balance-sheet exposures

Off-balance sheet exposures shall include the off-balance sheet items listed in Annex I CRR.

220

Total

Legal references and instructions

Column number

Explanation

a

Gross carrying amount/nominal amount on performing exposures

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014

b, c, e, f, h, i, k and l

Of which stage 1/stage 2/stage 3

For institutions applying IFRS, 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 to IFRS 9.

The columns ‘Of which stage 1’, ‘Of which stage 2’ and ‘Of which stage 3’ shall not be disclosed by institutions that apply national generally accepted accounting principles based on Council Directive (EEC) 86/635 (1) on the annual accounts and consolidated accounts of banks and other financial institutions.

d

Gross carrying amount/nominal amount on non-performing exposures

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014; non-performing exposures as defined in Article 47a CRR.

g

Performing exposures – accumulated impairment and provisions

This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

j

Non-performing – accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions

Non-performing exposures as defined in Article 47a CRR

This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

m

Accumulated partial write-off

This is to include the accumulated partial amount at the reference date of principal and accrued past-due interest and fees for any debt instrument that has been de-recognised to date using either of the methods described in paragraph 74 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014, to be disclosed because the institution has no reasonable expectation of recovering the contractual cash flows. These amounts are to be disclosed until the total extinguishment of all the institution’s rights by expiry of the statute-of-limitations period, forgiveness or another cause, or until recovery. Therefore, where the written-off amounts are not recovered, they are to be disclosed while they are subject to enforcement activities.

Write-offs constitute a de-recognition event and relate to a financial asset in its entirety or (in the case of a partial write-off) to a portion of it, including where the modification of an asset leads the institution to give up its right to collect cash flows either on a portion or on the entirety of that asset.

n

Collateral and financial guarantees received on performing exposures

Amounts for collateral received and guarantees received shall be calculated in accordance with paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. The sum of amounts for both collateral and guarantees is to be capped at the carrying amount of the related exposure.

o

Collateral and financial guarantees received on non-performing exposures

Non-performing exposures as defined in Article 47a CRR

Amounts for collateral received and guarantees received shall be calculated in accordance with paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. The sum of amounts for both collateral and guarantees is to be capped at the carrying amount of the related exposure.

Legal references and instructions

Row number

Explanation

010

Loans and advances

Loans and advances are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with the ECB BSI Regulation as well as advances that cannot be classified as ‘loans’ in accordance with the ECB BSI Regulation, as defined in paragraph 32 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014, but excluding loans and advances classified as held for sale, cash balances at central banks and other demand deposits.

020

Debt securities

Debt securities are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation, as defined in paragraph 31 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

030

Total

Legal references and instructions

Column number

Explanation

a to e

Net exposure values

The net values shall be disclosed by residual contractual maturities.

Net value of the exposure: For on-balance-sheet items, the net value is the gross carrying value of exposure less allowances/impairments. For off-balance-sheet items, the net value is the gross carrying value of exposure less provisions.

Exposure: In accordance with Article 5 CRR, exposure refers to an asset or an off-balance-sheet item that gives rise to a credit risk exposure in accordance with the CRR.

Gross carrying values: The accounting value before any allowance/impairments but after considering write-offs. Institutions shall not take into account any CRM technique in the application of Chapter 4 of Title II of Part Three CRR. Off-balance-sheet items shall be disclosed for their nominal amount gross of any CCF applicable in accordance with Article 111 and 166 CRR or CRM techniques, and gross of any provision, particularly (a) guarantees given (the maximum amount that the institution would have to pay if the guarantee were called) and (b) loan commitments and other commitments (the total amount that the institution has committed to lend).

In this disclosure:

f

Total

Legal references and instructions

Row number

Explanation

010

Initial stock of non-performing loans and advances

The gross carrying amount of the stock of non-performing loans and advances at the end of the last financial year

020

Inflows to non-performing portfolios

The gross carrying amount of loans and advances that entered non-performing status during the period (since the end of last financial year)

030

Outflows from non-performing portfolios

The gross carrying amount of loans and advances that exited non-performing status

040

Outflow due to write-offs

Full or partial write-offs of total loans and advances recorded during the reference period

A write-off (full or partial) constitutes a de-recognition event. Therefore, the gross carrying amount of loans and advances is reduced by the amount of the write-offs. Furthermore, debt forgiveness in the context of forbearance measures, i.e. write-offs for which the amount of debt outstanding from the borrower was cancelled (the institution forfeits the right to legally recover it), is also to be included in this category.

050

Outflow due to other situations

Any other decreases to the carrying amount of loans and advances other than write-off shall be included in this row. Those adjustments might include, for instance, the outflow due to: i) loan repayment, partial or total; ii) collateral liquidations; iii) taking possession of collateral, iv) sale of instruments; v) risk transfers; vi) FX changes; vii) other closure actions; viii) reclassifications between asset classes, etc. Moreover, the adjustments shall include the outflow due to reclassification as held for sale.

Where the amount for this category is significant, institutions are asked to provide additional information in the narrative accompanying this template.

060

Final stock of non-performing loans and advances

The gross carrying amount of the stock of non-performing loans and advances at the disclosure reference date.

Legal references and instructions

Column number

Explanation

a

Gross carrying amount

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Legal references and instructions

Row number

Explanation

010

Initial stock of non-performing loans and advances

The gross carrying amount of the stock of non-performing loans and advances at the end of the last financial year

020

Inflows to non-performing portfolios

The gross carrying amount of loans and advances that entered non-performing status during the period (since the end of last financial year)

030

Outflows from non-performing portfolios

The gross carrying amount of loans and advances that exited non-performing status

040

Outflow to performing portfolio

The gross carrying amount of loans and advances that exited non-performing status and became performing during the period (since the end of last financial year)

050

Outflow due to loan repayment, partial or total

The reduction in the gross carrying amount of non-performing loans and advances due to cash payments, namely regular payments of capital and any ad hoc repayments during the period (since the end of last financial year)

060

Outflow due to collateral liquidations

The effect on the gross carrying amount of an instrument from the liquidation of any kind of collateral shall be disclosed in this row. Outflows due to other liquidation or legal procedures and voluntary sale of property are also to be included in this row. For the avoidance of doubt, please note that the gross carrying amount of the instrument shall be disclosed, including any potential accompanying partial write-off. Please also note that outflows might not be equal to the sum of net cumulated recoveries and partial write-offs.

060 column b

Related net accumulated recoveries

Cash recoveries or cash equivalents collected due to collateral liquidations (net of respective collateral liquidation costs) are to be disclosed in this row.

070

Outflow due to taking possession of collateral

The effect on the gross carrying amount of an instrument due to the foreclosure of any kind of collateral shall be disclosed in this row. Taking possession refers to the acquisition of non-cash collateral of which the institution or a group subsidiary has acquired ownership and which it has not yet sold to a third party. Debt asset swaps, voluntary surrenders and debt equity swaps are also to be included in this category. For the avoidance of doubt, please note that the gross carrying amount of the instrument shall be disclosed, including any potential accompanying partial write-offs. Please also note that outflows might not be equal to the sum of net cumulated recoveries and partial write-offs.

070 column b

Related net accumulated recoveries

The initial recognition in the institution’s balance sheet of the fair value of the collateral at the moment of taking possession is to be disclosed in this row. Cash recoveries or cash equivalents collected in the context of taking possession of collateral net of costs shall not be included in this row but be disclosed under Outflow due to loan repayment, partial or total.

080

Outflow due to sale of instruments

Total balance changes stemming from loans and advances sold to other institutions, excluding intragroup transactions

For the avoidance of doubt, institutions shall note that the gross carrying amount of the loans and advances sold is to be disclosed (including any potential accompanying partial write-offs) and not its valuation or price during the transaction. Institutions shall also note that outflows might not be equal to the sum of net cumulated recoveries and partial write-offs.

080 column b

Related net accumulated recoveries

Cash recoveries or cash equivalents collected in the context of the sale of loans and advances, net of selling costs, shall be included in this row.

090

Outflow due to risk transfers

The gross reduction in non-performing loans and advances due to securitisation or other risk transfers qualifying for de-recognition from the balance sheet

Institutions shall note that outflows might not be equal to the sum of net cumulated recoveries and partial write-offs.

090 column b

Related net accumulated recoveries

Cash recoveries or cash equivalents collected in the context of the outflows due to significant risk transfers are to be disclosed in this row.

100

Outflow due to write-offs

Full or partial write-offs of total loans and advances recorded during the reference period

A write-off (full or partial) constitutes a de-recognition event. Therefore, the gross carrying amount of loans and advances is reduced by the amount of the write-offs. For the avoidance of doubt, please note that this row reflects changes in the gross carrying amount of loans and advances, and any potential partial write-offs that have already been disclosed in previous rows (e.g. accompanying sale of loans and advances, collateral liquidation, taking possession of collateral or significant risk transfer) shall not be included in this row. Furthermore, debt forgiveness in the context of forbearance measures, i.e. write-offs for which the amount of debt outstanding from the borrower was cancelled (the institution forfeits the right to legally recover it), is also to be included in this category.

110

Outflow due to other situations

Any other decreases to the carrying amount of loans and advances that are not covered by the events mentioned above shall be included in this row. Those adjustments might include, for instance, FX changes, other closure actions, reclassifications between asset classes, etc. Where the amount for this category is significant, institutions are asked to provide additional information in the narrative accompanying this template.

120

Outflow due to reclassification as held for sale

Decreases to the carrying amount of non-performing loans and advances due to their reclassification as instruments held for sale

130

Final stock of non-performing loans and advances

The gross carrying amount of the stock of non-performing loans and advances at the disclosure reference date

Legal references and instructions

Column number

Explanation

a

Gross carrying amount

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

b

Related net accumulated recoveries

Please refer to the definitions for the rows in this template.

Legal references and instructions

Row number

Explanation

005

Cash balances at central banks and other demand deposits

Institutions shall disclose this information in line with the information reported in Annexes III and IV Commission Implementing Regulation (EU) 680/2014.

010

Loans and advances

See the definition in EU-CR1: Performing and non-performing exposures and related provisions.

020 - 070

Counterparty breakdown

Institutions shall apply the breakdown by counterparty as defined in paragraph 42 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The classification of exposures incurred jointly by more than one obligor shall be done based on the characteristics of the obligor that was the more relevant, or determinant, for the institution’s decision to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE code shall be driven by the characteristics of the more relevant or determinant obligor.

080

Debt securities

See the definition in EU-CR1: Performing and non-performing exposures and related provisions.

090

Loan commitments given

For loan commitments given, the nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014 shall be disclosed.

100

Total

Legal references and instructions

Column number

Explanation

a

Gross carrying amount/nominal amount of exposures with forbearance measures – of which performing forborne

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014; exposures with forbearance measures as defined in Article 47b CRR

The gross carrying amount related to the exposures subject to impairment is the net of accumulated partial and total write-off.

Depending on whether forborne exposures satisfy the required conditions set out in Articles 47a CRR, they can be identified as performing or non-performing.

b

Gross carrying amount/nominal amount of exposures with forbearance measures – of which non-performing forborne

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014

The gross carrying amount related to the exposures subject to impairment is the net of accumulated partial and total write-off.

Non-performing exposures with forbearance measures (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered non-performing and are included in the non-performing exposures category. Those non-performing forborne exposures are to include the following: (a) exposures that have become non-performing due to the application of forbearance measures; (b) exposures that were non-performing prior to the extension of forbearance measures; (c) forborne exposures that have been reclassified from the performing category, including exposures reclassified pursuant to Article 47a CRR.

c

Of which defaulted

Forborne exposures that are also classified as defaulted in accordance with Article 178 CRR

d

Of which impaired

Forborne exposures that are also impaired in accordance with the applicable accounting framework under paragraph 215 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014

e

Accumulated impairments, accumulated negative changes in fair value due to credit risk and provisions on performing forborne exposures

Exposures with forbearance measures as defined in Article 47b CRR.

Institutions shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Depending on whether forborne exposures satisfy the required conditions set out in Article 47a and 47b CRR, they can be identified as performing or non-performing.

f

Accumulated impairments, accumulated negative changes in fair value due to credit risk and provisions on non-performing forborne exposures

This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Non-performing exposures with forbearance measures (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered non-performing and are included in the non-performing exposures category. Those non-performing forborne exposures are to include the following: (a) exposures that have become non-performing due to the application of forbearance measures; (b) exposures that were non-performing prior to the extension of forbearance measures; (c) forborne exposures that have been reclassified from the performing category, including exposures reclassified pursuant to Article 47a CRR.

g

Collateral received and financial guarantees received on forborne exposures

These shall be disclosed for all exposures with forbearance measures, regardless of their performing or non-performing status. Amounts for collateral received and guarantees received shall be calculated in accordance with paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. The sum of amounts for both collateral and guarantees is to be capped at the carrying amount of the related exposure.

h

Of which collateral and financial guarantees received on non-performing exposures with forbearance measures

Amounts for collateral received and guarantees received shall be calculated in accordance with paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. The sum of amounts for both collateral and guarantees is to be capped at the carrying amount of the related exposure.

Non-performing exposures with forbearance measures (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered non-performing and are included in the non-performing exposures category. Those non-performing forborne exposures are to include the following: (a) exposures that have become non-performing due to the application of forbearance measures; (b) exposures that were non-performing prior to the extension of forbearance measures; (c) forborne exposures that have been reclassified from the performing category, including exposures reclassified pursuant to Article 47a CRR.

Legal references and instructions

Row number

Explanation

010

Loans and advances that have been forborne more than twice

Gross carrying amount of loans and advances that had been granted forbearance measures in the past and more than twice

Loans and advances for which forbearance was granted that exited the forborne category (i.e. cured forborne loans and advances) are also included here when a new forborne measure has been granted.

020

Non-performing forborne loans and advances that failed to meet the non-performing exit criteria

Gross carrying amount of non-performing forborne loans and advances that are in the category of non-performing forborne loans and advances under the cure period of 1 year and that failed to comply with the forbearance measures after the 12-month cure period and therefore did not succeed in moving towards performing forborne status but retained non-performing forborne within cure period status

Legal references and instructions

Column number

Explanation

a

Gross carrying amount of forborne exposures

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; exposures with forbearance measures as defined in Article 47b CRR

Depending on whether forborne exposures satisfy the required conditions set out in Article 47a or 47b CRR, they can be identified as performing or non-performing.

Legal references and instructions

Row number

Explanation

005

Cash balances at central banks and other demand deposits

Institutions shall disclose this information in line with the information reported in Annexes III and IV Commission Implementing Regulation (EU) 680/2014.

010

Loans and advances

See the definition in EU-CR1: Performing and non-performing exposures and related provisions.

020 – 060, 080, 100 – 140, 160 –210

Counterparty breakdown

Institutions shall apply the breakdown by counterparty as defined in paragraph 42 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The classification of exposures incurred jointly by more than one obligor shall be done based on the characteristics of the obligor that was the more relevant, or determinant, for the institution’s decision to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE code shall be driven by the characteristics of the more relevant or determinant obligor.

070

SMEs

As defined in paragraph 5(i) of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014

090

Debt securities

See the definition in EU-CR1: Performing and non-performing exposures and related provisions.

150

Off-balance-sheet exposures

See the definition in EU-CR1: Performing and non-performing exposures and related provisions.

210

Total

Legal references and instructions

Column number

Explanation

a

Gross carrying amount/nominal amount on performing exposures

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

b

Of which: Not past due or past due ≤ 30 days

Subcategory of performing exposures that are not past due or are 1–30 days past due

c

Of which: Past due > 30 days ≤ 90 days

Subcategory of performing exposures that are 31–90 days past due

In addition, exposures that are more than 90 days past due that are not material are included in this subcategory.

d

Gross carrying amount/nominal amount on non-performing exposures

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014; non-performing exposures as defined in Article 47a CRR.

e

Of which: Unlikely to pay that are not past due or are past due ≤ 90 days

Subcategory of exposures that are either not past due or are up to 90 days past due but are nevertheless identified as non-performing, pursuant to Article 47a CRR

f

Of which: Past due > 90 days ≤ 180 days

Subcategory of non-performing exposures that are past due for more than 90 days, but not more than 180 days

g

Of which: Past due > 180 days ≤ 1 year

Subcategory of non-performing exposures that are past due for more than 180 days, but not more than 1 year

h

Of which: Past due > 1 year ≤ 2 years

Subcategory of non-performing exposures that are past due for more than 1 year, but not more than 2 years

i

Of which: Past due > 2 years ≤ 5 years

Subcategory of non-performing exposures that are past due for more than 2 years, but not more than 5 years

j

Of which: Past due > 5 years ≤ 7 years

Subcategory of non-performing exposures that are past due for more than 5 years, but not more than 7 years

k

Of which: Past due > 7 years

Subcategory of non-performing exposures that are past due for more than 7 years

l

Of which defaulted

Defaulted exposures in accordance with Article 178 CRR

Legal references and instructions

Row number

Explanation

010

On-balance-sheet exposures

Total on-balance-sheet exposures

020 – 070 and 090 - 140

Country

A country in which the institution’s exposures are material in accordance with Article 432 CRR

When the materiality of countries is determined using a materiality threshold, that threshold shall be disclosed, as shall the list of immaterial countries included in the ‘Other countries’ rows.

Institutions shall allocate exposures to a significant country based on the residence of the immediate counterparty. Exposures to supranational organisations shall be assigned not to the country of residence of the institution but to ‘Other countries’.

080

Off-balance-sheet exposures

See the definition in EU-CR1: Performing and non-performing exposures and related provisions.

150

Total

Legal references and instructions

Column number

Explanation

a

Gross carrying amount/nominal amount

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014

The gross carrying amount related to the exposures subject to impairment is the net of accumulated partial and total write-off.

b

Gross carrying amount/nominal amount – of which non-performing

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014; non-performing exposures as defined in Article 47a CRR.

c

Of which defaulted

Defaulted exposures in accordance with Article 178 CRR

d

Gross carrying amount/nominal amount – of which subject to impairment

The gross carrying or nominal amount related to exposures that are subject to the impairment requirements of the applicable accounting framework

e

Accumulated impairment

This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014

f

Provisions on off-balance-sheet commitments and financial guarantees given

This row shall include the provisions off-balance-sheet commitments and financial guarantees given.

g

Accumulated negative changes in fair value due to credit risk on non-performing exposures

This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Legal references and instructions

Row number

Explanation

010 - 190

Counterparty breakdown by industry

Counterparty sector allocation includes only the sectors related to non-financial corporation counterparty.

Counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The classification of exposures incurred jointly by more than one obligor shall be done based on the characteristics of the obligor that was the more relevant, or determinant, for the institution’s decision to grant the exposure.

The rows shall be used to disclose the material industry sectors or counterparty types to which institutions have exposures. Materiality shall be assessed in accordance with Article 432 CRR, and immaterial industry sectors or counterparty types shall be aggregated in the row ‘Other services’.

200

Total

Legal references and instructions

Column number

Explanation

a

Gross carrying amount

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014

The gross carrying amount related to the exposures subject to impairment is the net of accumulated partial and total write-off.

b

Gross carrying amount – of which non-performing

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; non-performing exposures as defined in Article 47a CRR

c

Of which defaulted

Defaulted exposures in accordance with Article 178 CRR

d

Gross carrying amount – of which loans and advances subject to impairment

The gross carrying amount related to loans and advances that are subject to the impairment requirements of the applicable accounting framework

e

Accumulated impairment

This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

f

Accumulated negative changes in fair value due to credit risk on non-performing exposures

Non-performing exposures as defined in Article 47a CRR

Institutions shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Legal references and instructions

Row number

Explanation

010

Gross carrying amount

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014

020

Of which secured

Gross carrying amount, as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014, of secured and partially secured loans shall be disclosed in this row.

Unsecured loans and advances shall include exposures for which neither collateral was pledged nor financial guarantees were received; the unsecured part of a partially secured or partially guaranteed exposure shall be included in this row, in accordance with paragraph 323 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Therefore, secured loans and advances must be calculated as the difference between the gross carrying amount of all loans and advances and the gross carrying amount of unsecured loans and advances, and will include both the secured and the unsecured part of the loan.

In case of overcollateralization the gross carrying amount of the loan shall be disclosed.

030

Of which secured with immovable property

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, as defined in paragraph 86(a) of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

040

Of which instruments with LTV higher than 60 % and lower or equal to 80 %

The loan-to-value (LTV) ratio shall be calculated using the calculation method specified for ‘LTV Current’ in the Recommendation of the European Systemic Risk Board on closing real estate data gaps (ESRB/2016/14) (1). Institutions shall disclose the gross carrying amount of loans and advances having an LTV ratio higher than 60 % and lower or equal to 80 %.

050

Of which instruments with LTV higher than 80% and lower or equal to 100 %

Institutions shall disclose the gross carrying amount of loans and advances having an LTV ratio higher than 80 % and lower than or equal to 100 %.

060

Of which instruments with LTV higher than 100 %

Gross carrying amount of loans and advances having a LTV ratio higher than 100 %

070

Accumulated impairment for secured assets

For secured debt instruments, accumulated impairment shall be calculated as the cumulative amount of impairment losses, net of use and reversals that has been recognised, where appropriate for each of the impairment stages (paragraph 70 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014).

The accumulated impairment related to the unsecured part of a partially secured or partially guaranteed exposure shall be included in this row.

090

Collateral – of which value capped at the value of exposure

Amounts for collateral received shall be calculated in accordance with paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. The sum of amounts for collateral in this row shall be capped at the carrying amount of the related exposure.

100

Of which immovable property

The part of the collateral consisting of residential or commercial immovable property (point (a) of paragraph 173 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014)

The sum of amounts for collateral in this row shall be capped at the carrying amount of the related exposure.

110

Collateral – of which value above the cap

In this row, the difference between the actual value of the collateral and the capped value of the collateral (carrying amount of the related exposure) shall be disclosed (institutions shall not apply for the calculation of the actual value of the collateral paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014).

120

Of which immovable property

The difference between the actual value and the capped value of the part of the collateral consisting of residential or commercial immovable property (point (a) of paragraph 173 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014)

130

Financial guarantees received

As defined in paragraph 114 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014

140

Accumulated partial write-off

This is to include the accumulated partial amount at the reference date of principal and accrued past-due interest and fees for any debt instrument that has been de-recognised to date using either of the methods described in paragraph 74 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014, to be disclosed because the institution has no reasonable expectation of recovering the contractual cash flows. These amounts are to be disclosed until the total extinguishment of all the institution’s rights by expiry of the statute-of-limitations period, forgiveness or another cause, or until recovery. Therefore, where the written-off amounts are not recovered, they are to be disclosed while they are subject to enforcement activities.

Write-offs constitute a de-recognition event and relate to a financial asset in its entirety or (in the case of a partial write-off) to a portion of it, including where the modification of an asset leads the institution to give up its right to collect cash flows either on a portion or on the entirety of that asset.

Legal references and instructions

Column number

Explanation

a

Loans and advances

See the definition in template EU CR1: Performing and non-performing exposures and related provisions.

b

Loans and advances – of which performing

See the definition in template EU CR1: Performing and non-performing exposures and related provisions.

c

Of which past due > 30 days ≤ 90 days

Subcategory of performing loans and advances that are 31–90 days past due

d

Loans and advances – of which non-performing exposures

Non-performing exposures as defined in Article 47a CRR

See the definition in template EU CR1: Performing and non-performing exposures and related provisions.

e

Of which unlikely to pay that are not past due or are past due ≤ 90 days

Subcategory of loans and advances that are either not past due or are up to 90 days past due but are nevertheless identified as non-performing, because of the likelihood of non-full repayment pursuant to Article 47a CRR

f

Past due > 90 days

Subcategory of loans and advances that are more than 90 days past due

g

Of which past due > 90 days ≤ 180 days

Subcategory of loans and advances that are 91–180 days past due

h

Of which past due > 180 days ≤ 1 year

Subcategory of loans and advances that are 181 days to 1 year past due

i

Of which past due > 1 years ≤ 2 years

Subcategory of loans and advances that are 1–2 years past due

j

Of which past due > 2 years ≤ 5 years

Subcategory of loans and advances that are 2–5 years past due

k

Of which past due > 5 years ≤ 7 years

Subcategory of loans and advances that are 5–7 years past due

l

Of which past due > 7 years

Subcategory of loans and advances that are more than 7 years past due.

Legal references and instructions

Row number

Explanation

010

Property, plant and equipment (PP&E)

Institutions shall disclose the stock of collateral obtained by taking possession that remains recognised in the balance sheet at the reporting reference date and that is classified as PP&E.

020

Other than PP&E

The stock of collateral obtained by taking possession that remains recognised in the balance sheet at the reporting reference date and is not classified as PP&E will automatically be disclosed in this row. The total stock will be calculated taking into account the initial stock (since the end of the last financial year), and the inflows and the outflows that occurred during the disclosure period (since the end of the last financial year). Collateral obtained by taking possession (other than PP&E) is in rows by type of collateral.

030

Residential immovable property

Collateral obtained by taking possession of residential property (e.g. houses, apartments, etc.) or property with potential use in the future as such (e.g. unfinished residential property etc.)

040

Commercial immovable property

Collateral obtained by taking possession of commercial or industrial property that can be used for business and/or investment purposes, or of any immovable property that is not residential property, as described above

Land (both non-agricultural and agricultural) shall also be included in this category.

050

Movable property (auto, shipping, etc.)

Collateral obtained by taking possession of property other than immovable property shall be disclosed in this row.

060

Equity and debt instruments

Collateral obtained by taking possession of equity or debt instruments shall be disclosed in this row.

070

Other collateral

Collateral obtained by taking possession not falling into the categories of the other rows

If the amount in this row is relatively material, institutions shall provide additional information in the narrative accompanying this template.

080

Total

Legal references and instructions

Column number

Explanation

a

Collateral obtained by taking possession - Value at initial recognition

Institutions shall disclose in this column the gross carrying amount of the collateral obtained by taking possession at initial recognition in the institution’s balance sheet.

b

Collateral obtained by taking possession - Accumulated negative changes

Accumulated impairment or accumulated negative changes to the initial recognition value of the collateral obtained by taking possession, as described above

Institutions shall also include accumulated negative changes due to amortisation in the case of PP&E and investment properties, if applicable.

Legal references and instructions

Row number

Explanation

010

Property, plant and equipment (PP&E)

Institutions shall disclose the stock of collateral obtained by taking possession that remains recognised in the balance sheet at the reporting reference date and that is classified as PP&E.

020

Other than PP&E

The stock of collateral obtained by taking possession that remains recognised in the balance sheet at the reporting reference date and is not classified as PP&E will automatically be disclosed in this row. The total stock will be calculated taking into account the initial stock (since the end of the last financial year), and the inflows and the outflows that occurred during the disclosure period (since the end of the last financial year). Collateral obtained by taking possession (other than PP&E) is in rows by type of collateral.

030

Residential immovable property

Collateral obtained by taking possession of residential property (e.g. houses, apartments, etc.) or property with potential use in the future as such (e.g. unfinished residential property etc.)

040

Commercial immovable property

Collateral obtained by taking possession of commercial or industrial property that can be used for business and/or investment purposes, or of any immovable property that is not residential property, as described above

Land (both non-agricultural and agricultural) shall also be included in this category.

050

Movable property (auto, shipping, etc.)

Collateral obtained by taking possession of property other than immovable property shall be disclosed in this row.

060

Equity and debt instruments

Collateral obtained by taking possession of equity or debt instruments shall be disclosed in this row.

070

Other collateral

Collateral obtained by taking possession not falling into the categories of the other rows.

If the amount in this row is relatively material, institutions shall provide additional information in the narrative accompanying this template.

080

Total

Legal references and instructions

Column number

Explanation

a

Debt balance reduction - Gross carrying amount

The gross amount of the debt that was cancelled in exchange for the collateral obtained by taking possession, at the exact moment of the exchange, through judicial procedures or bilateral agreement

The gross amount shall be calculated as the gross reduction of the instrument balance, not taking into account any provisions. For the avoidance of doubt, balance reductions due to other reasons (e.g. cash collections) shall not be in this column.

b

Debt balance reduction - Accumulated negative changes

Accumulated impairment or accumulated negative changes to the initial recognition value of the collateral obtained by taking possession, as described above

See the definition in template CQ7, ‘Collateral obtained by taking possession and execution processes’.

Institutions shall include accumulated negative changes due to amortisation in the case of PP&E and investment properties, if applicable.

c

Total collateral obtained by taking possession - Value at initial recognition

The gross carrying amount of the collateral obtained by taking possession at initial recognition in the institution’s balance sheet shall be disclosed in this column.

d

Total collateral obtained by taking possession - Accumulated negative changes

Accumulated impairment or accumulated negative changes to the initial recognition value of the collateral obtained by taking possession, as described above

Institutions shall include accumulated negative changes due to amortisation in the case of PP&E and investment properties, if applicable.

e

Total collateral obtained by taking possession - Foreclosed ≤ 2 years – of which value at initial recognition

Value at initial recognition for collateral obtained by taking possession and recognised in the balance sheet for 2 years or less at the reporting reference date

f

Total collateral obtained by taking possession - Foreclosed ≤ 2 years – of which accumulated negative changes

Accumulated negative changes for collateral obtained by taking possession and recognised in the balance sheet for 2 years or less at the reporting reference date

g

Total collateral obtained by taking possession - Foreclosed > 2 years ≤ 5 years – of which value at initial recognition

Value at initial recognition for collateral obtained by taking possession and recognised in the balance sheet for more than 2 years and up to 5 years at the reporting reference date

h

Total collateral obtained by taking possession - Foreclosed > 2 years ≤ 5 years – of which accumulated negative changes

Accumulated negative changes for collateral obtained by taking possession and recognised in the balance sheet for more than 2 years and up to 5 years at the reporting reference date

i

Total collateral obtained by taking possession - Foreclosed > 5 years – of which value at initial recognition

Value at initial recognition for collateral obtained by taking possession and recognised in the balance sheet for more than 5 years at the reporting reference date

j

Total collateral obtained by taking possession - Foreclosed > 5 years – of which accumulated negative changes

Accumulated negative changes for collateral obtained by taking possession and recognised in the balance sheet for more than 5 years at the reporting reference date

k

Total collateral obtained by taking possession - Of which non-current assets held for sale – of which value at initial recognition

Initial value for collateral obtained by taking possession that is classified as non-current assets held for sale shall be disclosed. If this classification is not relevant in accordance with the accounting framework applicable to the institution, this information shall not be provided.

l

Total collateral obtained by taking possession - Of which non-current assets held for sale – of which accumulated negative changes

Accumulated negative changes for collateral obtained by taking possession that is classified as non-current assets held for sale shall be disclosed. If this classification is not relevant in accordance with the accounting framework applicable to the institution, this information shall not be provided.