Application of NPE prudential backstop in connection with the new COREP templates

In accordance with Annex II (instructions) to Regulation (EU) 2021/451 (ITS on Supervisory Reporting), the NPE loss coverage templates C 35.01, C35.02 and C 35.03 contain information about non-performing exposures (NPEs) for the purposes of calculating the minimum loss coverage requirement for non-performing exposures as specified in Articles 47a, 47b and 47c of Regulation (EU) No 575/2013 (CRR). Article 469a of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/630 establishes that these Articles applies to (i) exposures, originated on and after 26 April 2019, that become non-performing, and (ii) exposures originated before 26 April 2019 when they are modified by institutions after that date in a way that increases their exposure value to the obligor), that become non-performing. Furthermore, the instructions for row 0050 of template C 35.01 determine that institutions shall report the “Exposure value” as regulated in article 47a(2) CRR, that is “For the purposes of point (m) of Article 36(1), the exposure value of a debt instrument shall be its accounting value measured without taking into account any specific credit risk adjustments, additional value adjustments in accordance with Articles 34 and 105, amounts deducted in accordance with point (m) of Article 36(1), other own funds reductions related to the exposure or partial write-offs made by the institution since the last time the exposure was classified as non-performing”. In conclusion, all exposures originated on and after 26 April 2019 and exposures originated before that date when they are modified by institutions after in a way that increases their exposure value to the obligor, that become non-performing, shall be reported, regardless of the percentage of coverage with provisions, adjustments or deductions. The relevant specific credit adjustments will be reported under row 0100.