EBA · 2018_3794 Final Q&A

Presentation of cash flows related to non performing exposures in the template (C 66.01.a)

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
415, para. (3)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Competent authority
Submitted
2018-04-05
Answered
2019-03-15
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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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

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?

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.

Original source: European Banking Authority, Q&A ID 2018_3794

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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