Single Rulebook Q&A

Question ID: 2018_3794
Legal act : Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 – CRR2
Topic : Supervisory reporting
Article: 415
Paragraph: (3)
Subparagraph: b)
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph : Annex XXV, C 66.01
Type of submitter: Competent authority
Subject matter : Presentation of cash flows related to non performing exposures in the template (C 66.01.a)
Question:

It is not clear how to interpret the following instruction: “17. Past due items and items for which the institution has a reason to expect non- performance shall not be reported.”

Background on the question:

In the maturity ladder template (C_66.01.a) the cash-flow elements shall be reported according to the contractual repayment schedule. In deed the non-performing loans are kept in the portfolio at a reduced value, which corresponds to the expectation on recovery, based on the expectation of future cash flows that is lower than the contractual ones. Should the institution report the expected cash flows used for impairement calculation instead of the contractual ones for non performing exposures ? Or the above mentioned provision requires the complete omission of future cash flows related to the default portfolio in the calculation of the funding gaps?

Date of submission: 05/04/2018
Published as Final Q&A: 15/03/2019
EBA answer:

According to Part I, paragraph 17 of Annex XII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) as amended by Regulation (EU) 2017/2114: Past due items and items for which the institution has a reason to expect non- performance shall not be reported in the maturity ladder template.

Against this background, all potential future cash flows linked to those exposures shall be disregarded in the maturity ladder template.

Status: Final Q&A
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