Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance)

• 166i.‘Gains or losses on derecognition of debt instruments’ shall include the difference between the carrying amount of financial assets measured at the date of derecognition and the consideration received.

11.3.   Transfers between impairment stages (gross basis presentation) (12.2)

• 167.For financial assets included in the accounting portfolios and off-balance exposures, other than purchased or originated credit-impaired financialexposures, that are subject to the impairment requirements of IFRS 9, the gross carrying amount and the nominal amount that have been transferred between impairment stages during the reporting reference period shall be reported in template 12.2 respectively.

• 168.Only the gross carrying amount or the nominal amount of those financial assets or off-balance exposures which are in a different impairment stage at the reporting reference date than they were at the beginning of the financial year or their initial recognition shall be reported. For on-balance exposures for which the impairment reported in template 12.1 includes an off-balance sheet component (IFRS 9.5.5.20 and IFRS 7.B8E), the change in stage of the on-balance sheet and off-balance sheet component shall be considered.

• 169.For the reporting of the transfers that have taken place during the financial year, financial assets or off-balance exposures that have changed multiple times the impairment stage since the beginning of the financial year or their initial recognition shall be reported as having been transferred from their impairment stage at the opening of the financial year or initial recognition to the impairment stage in which they are included at the reporting reference date.

• 170.The gross carrying amount or the nominal amount to be reported in template 12.2 shall be the gross carrying amount or the nominal value at the reporting date, regardless of whether that amount was higher or lower at the date of the transfer.

12. COLLATERAL AND GUARANTEES RECEIVED (13)

12.1.   Breakdown of collateral and guarantees by loans and advances other than held for trading (13.1)

• 171.The collateral and guarantees backing the loans and advances included in the accounting portfolios, independently of their legal form, shall be reported by type of pledges: loans collateralised by immovable property and other collateralised loans, and by financial guarantees received. The loans and advances shall be broken down by counterparties and purpose. In the item ‘of which: non-performing’, loans and advances shall be reported as defined in paragraphs 213 to 239 or 260 of this Part.

• 172.In template 13.1, the ‘maximum amount of the collateral or guarantee that can be considered’ shall be reported. The sum of the amounts of the financial guarantee and/or collateral shown in the related columns of template 13.1 shall not exceed the carrying amount of the related loan.

• 173.For reporting loans and advances according to the type of pledge, the following definitions shall be used:

• (a) within ‘Loans collateralised by immovable property’, ‘Residential’ shall include loans secured by residential immovable property and ‘Commercial’ loans secured by pledges of immovable property other than residential, including offices and commercial premises and other types of commercial immovable property. The determination of whether immovable property collateral shall be residential or commercial shall be made in accordance with point (75) of Article 4(1) CRR;

• (b) within ‘Other collateralised loans’:
• (i) ‘Cash, deposits, (Debt securities issued)’ shall include (a) deposits in the reporting institution that have been pledged as collateral for a loan and (b) debt securities issued by the reporting institution which have been pledged as collateral for a loan;
• (ii) ‘Movable property’ shall comprise pledges of physical collateral other than immovable property and include cars, airplanes, ships, industrial and mechanical equipment (machinery, mechanical and technical equipment), inventories and commodities (merchandise, finished and semi-finished products, raw materials) and other forms of movable property;
• (iii) ‘Equities and debt securities’ shall include collateral in the form of equity instruments, including investments in subsidiaries, joint ventures and associates, as well as in the form of debt securities issued by third parties;
• (iv) ‘Rest’ shall include pledges of assets;

• (c) ‘Financial guarantees received’ shall include contracts that in accordance with paragraph 114 of this Part of this Annex require the issuer to make specified payments to reimburse the institution for a loss it incurs because a specified debtor failed to make a payment where due in accordance with the original or modified terms of a debt instrument.

• 174.For loans and advances that have simultaneously several types of collateral or guarantee, the amount of the ‘Maximum collateral/guarantee that can be considered’ shall be allocated according to its quality, starting from the one with the best quality. For loans collateralised by immovable property, immovable property collateral shall always be reported first, irrespective of its quality compared to other collateral. Where the ‘Maximum collateral/guarantee that can be considered’ exceeds the value of immovable property collateral, its remaining value shall be allocated to other collateral types and guarantees according to its quality, starting from the one with best quality.

12.2.   Collateral obtained by taking possession during the period (held at the reference date) (13.2.1)

• 175.This template shall be used to report information on collateral that has been obtained between the beginning and the end of the reference period and that remains recognised in the balance sheet at the reference date. Collateral obtained by taking possession shall include assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings. The types of collateral shall be the ones referred to in paragraph 173, with the exception of those in point (b) (i) of that paragraph.

• 175i.‘Value at initial recognition’ shall mean the gross carrying amount of the collateral obtained by taking possession at the point in time of the initial recognition in the balance sheet of the reporting institution.

• 175ii.‘Accumulated negative changes’ shall be the difference, at the level of the individual collateral item, between the value at initial recognition of the collateral and the carrying amount at the reporting reference date, where that difference is negative.

12.3.   Collateral obtained by taking possession accumulated (13.3.1)

• 176.Collateral obtained by taking possession that remains recognised in the balance sheet at the reference date, irrespective of the point in time when it was obtained, shall be reported in template 13.3.1. Both collateral obtained by taking possession classified as ‘Property, plant and equipment’ and other collateral obtained by taking possession shall be included. Collateral obtained by taking possession shall include assets that were not pledged by the debtor as collateral, but were obtained in exchange for the cancellation of debt, whether on a voluntary basis or as part of legal proceedings.

13. FAIR VALUE HIERARCHY: FINANCIAL INSTRUMENTS AT FAIR VALUE (14)

• 177.Institutions shall report the value of financial instruments measured at fair value according to the hierarchy provided by IFRS 13.72. Where national GAAP under BAD require the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this template.

• 178.‘Change in fair value for the period’ shall include gains or losses from re-measurements made in accordance with IFRS 9, IFRS 13 or national GAAP, where applicable, in the period of the instruments that continue to exist at the reporting date. Those gains and losses shall be reported as for inclusion in the statement of profit or loss, or where applicable, in the statement of comprehensive income; thus, the amounts to be reported are before taxes.

• 179.‘Accumulated change in fair value before taxes’ shall include the amount of gains or losses from re-measurements of the instruments accumulated from the initial recognition to the reference date.

14. DERECOGNITION AND FINANCIAL LIABILITIES ASSOCIATED WITH TRANSFERRED FINANCIAL ASSETS (15)

• 180.Template 15 shall include information on transferred financial assets of which part or all do not qualify for derecognition, and financial assets entirely derecognised for which the institution retains servicing rights.

• 181.The associated liabilities shall be reported according to the portfolio in which the related transferred financial assets were included in the assets side and not according to the portfolio in which they were included in the liability side.

• 182.The column ‘Amounts derecognised for capital purposes’ shall include the carrying amount of the financial assets recognised for accounting purposes but de-recognised for prudential purposes because the institution is treating them as securitisation positions for capital purposes in accordance with Articles 109, 243 and 244 CRR.

• 183.‘Repurchase agreements’ (‘repos’) shall be transactions in which the institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. Transactions involving the temporary transfer of gold against cash collateral shall also be considered ‘Repurchase agreements’ (‘repos’). Amounts received by the institution in exchange for financial assets transferred to a third party (‘temporary acquirer’) shall be classified under ‘repurchase agreements’ where there is a commitment to reverse the operation and not merely an option to do so. Repurchase agreements shall also include repo-type operations which may include:

• (a) amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral;

• (b) amounts received in exchange for securities temporarily transferred to a third party in the form of sale/buy-back agreement.

• 184.‘Repurchase agreements’ (‘repos’) and ‘reverse repurchase loans’ (‘reverse repos’) shall involve cash received or loaned out by the institution.

• 185.In a securitisation transaction, where the transferred financial assets are derecognized, institutions shall declare the gains (losses) generated by the item within the income statement corresponding to the ‘accounting portfolios’ in which the financial assets were included prior to their derecognition.

15. BREAKDOWN OF SELECTED STATEMENT OF PROFIT OR LOSS ITEMS (16)

• 186.For selected items of the income statement further breakdowns of gains (or income) and losses (or expenses) shall be reported.

15.1.   Interest income and expenses by instrument and counterparty sector (16.1)

• 187.Interest income shall be broken down in accordance with both of the following:

• (a) interest income on financial assets included in the accounting portfolios and other assets (including cash, cash balances at central banks and other demand deposits);

• (b) interest income on financial liabilities with negative effective interest rate.

• 188.Interest expenses shall be broken down in accordance with both of the following:

• (a) interest expenses on financial liabilities included in the accounting portfolios and other liabilities;

• (b) interest expenses on financial assets with negative effective interest rate.

• 189.Interest income on financial assets and on financial liabilities with a negative effective interest rate shall include interest income on derivatives held for trading, debt securities, and loans and advances, as well as on deposits, debt securities issued and other financial liabilities with a negative effective interest rate.

• 190.Interest expenses on financial liabilities and on financial assets with a negative effective interest rate shall include interest expenses on derivatives held for trading, deposits, debt securities issued and other financial liabilities, as well as on debt securities and loans and advances with a negative effective interest rate.

• 191.For the purpose of template 16.1, short positions shall be considered within other financial liabilities. All instruments in the various portfolios shall be taken into account except those included in the items ‘Derivatives – Hedge accounting’ not used to hedge interest rate risk.

• 192.‘Derivatives – Hedge accounting, interest rate risk’ shall include the interest income and expenses on hedging instruments where the hedged items generate interest.

• 193.Where the clean price is used, interest on derivatives held for trading shall include the amounts related to those derivatives held for trading which qualify as ‘economic hedges’ that are included as interest income or expenses to correct the income and expense of the hedged financial instruments from an economic but not accounting point of view. In such case, interest income on economic hedge derivatives shall be reported separately within interest income from trading derivatives. Time-apportioned fees or balancing payments in relation to credit derivatives measured at fair value and used to manage the credit risk of part or all of a financial instrument that is designated at fair value at that occasion shall also be reported within interest on derivatives held for trading.

• 194.Under IFRS, ‘Of which: interest-income on impaired financial assets’ means interest income on credit-impaired financial assets, including purchased or originated credit-impaired financial assets where the latter are considered as non-performing in accordance with paragraph 215 of this Part. Under national GAAP under BAD, it shall include interest income on assets impaired with a specific impairment allowance for credit risk.

• 194i.‘Of which: credit for consumption’ and ‘of which: lending for house purchase’ shall reflect the income and expenses on loans and advances as described in paragraph 88of this Part.

• 194ii.‘Of which: interest from leases’ shall reflect the lessor’s interest income on the lease receivable (finance leases) and the lessee’s interest expenses on the lease liability respectively.

15.2.   Gains or losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss by instrument (16.2)

• 195.Gains and losses on derecognition of financial assets and financial liabilities not measured at fair value through profit or loss shall be broken down by type of financial instrument and by accounting portfolio. For each item, the net realised gain or loss stemming from the derecognised transaction shall be reported. The net amount represents the difference between realised gains and realised losses.

• 196.Template 16.2 shall apply under IFRS to financial assets and liabilities at amortised cost, and debt instruments measured at fair value through other comprehensive income. Under national GAAP based on BAD, template 16.2 shall apply to financial assets measured at cost-based method, at fair value through equity, and in accordance with measurement methods such as the lower of cost or market. Gains and losses of financial instruments classified as trading under the relevant national GAAP based on BAD shall not be reported in this template regardless of the valuation rules applicable for those instruments.

15.3.   Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by instrument (16.3)

• 197.Gains and losses on financial assets and liabilities held for trading shall be broken down by type of instrument; each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the financial instrument.

• 198.Gains and losses from foreign currency trading on the spot market, excluding exchange of foreign notes and coins, shall be included as trading gains and losses. Gains and losses from precious metal trading or derecognition and re-measurement shall not be included in trading gains and losses but in ‘Other operating income’ or ‘Other operating expense’ in accordance with paragraph 316 of this Part.

• 199.The item ‘Of which: economic hedges with use of the fair value option’ shall include only gains and losses on credit derivatives measured at fair value through profit or loss and used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion in accordance with IFRS 9.6.7. Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the fair value through profit or loss accounting portfolio or into the held for trading portfolio (IFRS 9.5.6.2) shall be reported in ‘Of which: gains and losses due to the reclassification of assets at amortised cost’.

15.4.   Gains or losses on financial assets and liabilities held for trading and trading financial assets and trading financial liabilities by risk (16.4)

• 200.Gains and losses on financial assets and financial liabilities held for trading shall also be broken down by type of risk. Each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the underlying risk (interest rate, equity, foreign exchange, credit, commodity and other) associated with the exposure, including related derivatives. Gains and losses from exchange differences shall be included in the item in which the rest of gains and losses arising from the converted instrument are included. Gains and losses on financial assets and financial liabilities other than derivatives shall be included in the risk categories as follows:

• (a) interest rate: including trading of loans and advances, deposits and debt securities (held or issued);

• (b) equity: including trading of shares, quotas of UCITS and other equity instruments;

• (c) foreign exchange trading: including exclusively trading on foreign exchanges;

• (d) credit risk: including trading of credit link notes;

• (e) commodities: this item shall include only derivatives because gains and losses on commodities held with trading intent shall be reported under ‘Other operating income’ or ‘Other operating expense’ in accordance with paragraph 316of this Part;

• (f) other: including trading of financial instruments, which cannot be classified in other breakdowns.

15.5.   Gains or losses on non-trading financial assets mandatorily at fair value through profit or loss by instrument (16.4.1)

• 201.Gains and losses on non-trading financial assets mandatorily at fair value through profit or loss shall be broken down by type of instrument. Each item of the breakdown shall be the net realised and unrealised amount (gains minus losses) of the financial instrument.

• 202.Gains or losses due to the reclassification of financial assets out of the amortised cost accounting portfolio and into the non-trading financial assets mandatorily at fair value through profit or loss accounting portfolio (IFRS 9.5.6.2) shall be reported in ‘Of which: gains and losses due to the reclassification of assets at amortised cost’.

15.6.   Gains or losses on financial assets and liabilities designated at fair value to profit or loss by instrument (16.5)

• 203.Gains and losses on financial assets and liabilities designated at fair value through profit or loss shall be broken down by type of instrument. Institutions shall report the net realised and unrealised gains or losses and the amount of change in fair value of financial liabilities in the period due to changes in the credit risk (own credit risk of the borrower or issuer) where own credit risk is not reported within other comprehensive income.

• 204.Where a credit derivative measured at fair value is used to manage the credit risk of all or part of a financial instrument that is designated at fair value through profit or loss at that occasion, the gains or losses of the financial instrument upon that designation shall be reported in ‘Of which: gains or (-) losses upon designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net’. Subsequent fair value gains or losses on those financial instruments shall be reported in ‘Of which: gains or (-) losses after the designation of financial assets and liabilities designated at fair value through profit or loss for hedging purposes, net’.

15.7.   Gains or losses from hedge accounting (16.6)

• 205.All gains and losses from hedge accounting, except interest income or expense where the clean price is used, shall be broken down by type of hedge accounting: fair value hedge, cash flow hedge and hedge of net investments in foreign operations. Gains and losses related to fair value hedge shall be broken down between the hedging instrument and the hedged item. Gains and losses on hedging instruments shall not include gains and losses related to elements of the hedging instruments that are not designated as hedging instruments in accordance with IFRS 9.6.2.4. Those hedging instruments that are not designated shall be reported in accordance with paragraph 60of this Part. Gains and losses from hedge accounting shall also include gains and losses on hedges of a group of items with offsetting risk positions (hedges of a net position).

• 206.‘Fair value changes of the hedged item attributable to the hedged risk’ shall include gains and losses on hedged items where the items are debt instruments measured at fair value through other comprehensive income in accordance with IFRS 9.4.1.2 A (IFRS 9.6.5.8).

• 207.Under national GAAP based on BAD, the breakdown by type of hedges as provided for in this template shall be reported to the extent the breakdown is compatible with the applicable accounting requirements.

15.8.   Impairment on non-financial assets (16.7)

• 208.‘Additions’ shall be reported where, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in recognition of net expenses. ‘Reversals’ shall be reported where, for the accounting portfolio or main category of assets, the estimation of the impairment for the period results in the recognition of net income.

15.9.   Other Administrative Expenses (16.8)

• 208i.‘Information Technology expenses’ shall be the expenses made to deliver IT-enabled business processes, application services and infrastructure solutions for business outcomes, including costs related to the creation and maintenance of IT systems and excluding compensation for IT specialists on the institution’s payroll which shall be reported under staff expenses.

• 208ii.Among the Information Technology expenses, ‘IT outsourcing’ shall mean IT expenses related to the use of external service providers. It shall not include expenses related to (i) pure staff services (agency staff) to the extent that the institution just hires staff temporarily and keeps full control of the delivered services and (ii) purely standardised operational hardware/software maintenance contracts on merely purchased assets.

• 208iii.‘Taxes and duties (other)’shall include taxes and duties other than (i) taxes related to profit or loss taxes and (ii) taxes and duties from discontinued operations. This item includes taxes and duties such as taxes levied on goods and services and the duties paid by the institution.

• 208iv.‘Consulting and professional services’ shall mean expenses made to get expert or strategic advice.

• 208v.‘Advertising, marketing and communication’ shall include expenses related to marketing communications activities such as advertising, direct or online marketing, and events.

• 208vi.‘Expenses related to credit risk’ shall mean administrative expenses in the context of credit events, such as expenses incurred in respect of taking possession of collateral or legal proceedings.

• 208vii.‘Litigation expenses not covered by provisions’ shall mean litigation expenses not related to credit risk that were not covered by an associated provision.

• 208viii.‘Real estate expenses’ shall mean expenses for repairs and maintenance that do not improve the use or prolong the useful life of the real estate, as well as utility expenses (water, electricity and heating).

• 208ix.Under IFRS, ‘leasing expenses’ shall comprise expenses of the lessee due to short-term leases and leases of assets of low value as referred to IFRS 16.5 and 16.6. Under national GAAP, leasing expenses shall comprise expenses of the lessee, where the accounting standard envisages the treatment of lease payments as expenses.

• 208x.‘Other administrative expenses – Rest’ shall include all the remaining components of ‘other administrative expenses’, such as supervisory fees or bank levies, administrative and logistic services, postage and transport of documents, surveillance and security services, money counting services and transport. Cash contributions to resolution funds and deposit guarantee schemes shall not be reported in this category since they are reported in a separate row of template 2.

16. RECONCILIATION BETWEEN ACCOUNTING AND CRR SCOPE OF CONSOLIDATION (17)

• 209.‘Accounting scope of consolidation’ shall include the carrying amount of assets, liabilities and equity as well as the nominal amounts of the off-balance sheet exposures prepared using the accounting scope of consolidation, that is, including in the consolidation subsidiaries that are insurance undertakings and non-financial corporations. Institutions shall account for the subsidiaries, joint ventures and associates using the same method as in their financial statements.

• 210.In this template, the item ‘Investments in subsidiaries, joint ventures and associates’ shall not include subsidiaries as all subsidiaries are fully consolidated under the scope of accounting consolidation.

• 211.‘Assets under reinsurance and insurance contracts’ shall include assets under reinsurance ceded as well as, if any, assets related to insurance and reinsurance contracts issued.

• 212.‘Liabilities under insurance and reinsurance contracts’ shall include liabilities under insurance and reinsurance contracts issued.

17. NON-PERFORMING EXPOSURES (18)

17.1.   Information on performing and non-performing exposures (18.0)

• 213.For the purposes of template 18, non-performing exposures shall be exposures listed in Article 47a(3) CRR.

• 215.Under IFRS, for the purpose of template 18, impaired exposures shall be those that have been found credit-impaired (Stage 3). Exposures included in impairment stages other than Stage 3 and those that are purchased or originated credit-impaired shall be considered as non-performing where they meet the criteria to be considered as non-performing in accordance with Article 47a(3) CRR.

• 216.Exposures shall be categorised for their entire amount and without taking into account the existence of any collateral. With reference to the exposures referred to in point (a) of Article 47a(3) CRR, materiality shall be assessed in accordance with Article 178 CRR and the Commission Delegated Regulation (EU) 2018/171 (RTS on materiality threshold for credit obligations past due).

• 217.For the purpose of template 18, ‘exposures’ shall include all debt instruments (debt securities and loans and advances, including cash balances at central banks and other demand deposits) and off-balance sheet exposures, except those held for trading exposures.

• 218.Debt instruments shall be included in the following accounting portfolios: (a) debt instruments at cost or amortised cost; (b) debt instruments at fair value through other comprehensive income or through equity subject to impairment; and (c) debt instruments at strict LOCOM or fair value through profit or loss or through equity not subject to impairment, in accordance with the criteria of paragraph 233 of this Part. Each category shall be broken down by instrument and by counterparty.

• 219.Under IFRS and relevant national GAAP based on BAD, off-balance sheet exposures shall comprise the following revocable and irrevocable items:

• (a) loan commitments given;

• (b) financial guarantees given;

• (c) other commitments given.

• 220.Debt instruments classified as held for sale in accordance with IFRS 5 shall be reported separately.

• 221.In template 18 for debt instruments, ‘gross carrying amount’ as defined in paragraph 34of Part 1 of this Annex shall be reported. For off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Annex shall be reported.

• 222.For the purpose of template 18, an exposure is ‘past-due’ where it meets the criteria of paragraph 96 of this Part. For the purpose of classification of exposures as non-performing in accordance with point (a) of Article 47a(3) CRR, the counting of 90 days past due commences once the past due amount, being the sum of past due principal, interest and fees, breaches the materiality threshold as defined in paragraph 216 of this Part. If the past due part of exposures continues to be material for 90 consecutive days, the exposure should then be classified as non-performing.

• 223.For the purpose of template 18, ‘debtor’ shall mean an obligor within the meaning of Article 178 CRR.

• 226.Exposures classified as non-performing in accordance with paragraph 213 shall be categorised as either non-performing on an individual basis (‘transaction based’) or as non-performing for the overall exposure to a given debtor (‘debtor based’). For the categorisation of non-performing exposures on an individual basis or to a given debtor, the following categorisation approaches shall be used for the different types of non-performing exposures:

• (a) for non-performing exposures classified as defaulted in accordance with Article 178 CRR, the categorisation approach of that Article shall be applied;

• (b) for exposures that are classified as non-performing due to impairment under the applicable accounting framework, the recognition criteria for impairment under the applicable accounting framework shall be applied;

• (c) for other non-performing exposures that are neither classified as defaulted nor as impaired, the provisions of Article 178 CRR for defaulted exposures shall be applied.

• 227.Where an institution has on-balance sheet exposures to a debtor that are past due by more than 90 days and the gross carrying amount of the past due exposures represents more than 20 % of the gross carrying amount of all on-balance sheet exposures to that debtor, all on- and off-balance sheet exposures to that debtor shall be considered as non-performing. Where a debtor belongs to a group, the need to consider also exposures to other entities of the group as non-performing shall be assessed, except for exposures affected by isolated disputes that are unrelated to the solvency of the counterparty.

• 228.Exposures shall be considered to have ceased being non-performing where all of the conditions provided in Article 47a(4) CRR are met.

• 230.The classification of a non-performing exposure as non-current asset held for sale in accordance with IFRS 5 shall not discontinue their classification as non-performing exposure in accordance with Article 47a(5) CRR.

• 231.Granting forbearance measures to a non-performing exposure shall not discontinue the non-performing status of this exposure. Where exposures are non-performing with forbearance measures, as referred to in paragraph 262, those exposures shall be considered to have ceased being non-performing where all the conditions provided in Article 47a(6) CRR are met.

• 232.Where the conditions referred to in paragraph 231 of this Part of this Annex are not met at the end of the one year period specified in point (b) of Article 47a(6) CRR, the exposure shall continue to be identified as non-performing forborne exposure until all conditions are met. The conditions shall be assessed at least on a quarterly basis.

• 233.The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported as follows in template 18:

• (a) ‘Debt instruments at cost or at amortised cost’ shall encompass debt instruments included in any of the following:
• (i) ‘Financial assets at amortised cost’ (IFRS);
• (ii) ‘Non-trading non-derivative financial assets at a cost based method’, including debt instruments under moderate LOCOM (national GAAP based on BAD);
• (iii) ‘Other non-trading non-derivative financial assets’, except debt instruments measured at strict LOCOM (national GAAP based on BAD);

• (b) ‘Debt instruments at fair value through other comprehensive income or through equity subject to impairment’ shall encompass debt instruments included in any of the following:
• (i) ‘Financial assets at fair value through other comprehensive income’ (IFRS);
• (ii) ‘Non-trading non-derivative financial assets measured at fair value to equity’, where instruments in that measurement category can be subject to impairment in accordance with the applicable accounting framework under national GAAP based on BAD;

• (c) ‘Debt instruments at strict LOCOM, or at fair value through profit or loss or through equity not subject to impairment’ shall encompass debt instruments included in any of the following:
• (i) ‘Non-trading financial assets mandatorily at fair value through profit or loss’ (IFRS);
• (ii) ‘Financial assets designated at fair value through profit or loss’ (IFRS);
• (iii) ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’ (national GAAP based on BAD);
• (iv) ‘Other non-trading non-derivative financial assets’ where debt instruments are measured under strict LOCOM (national GAAP based on BAD);
• (v) ‘Non-trading non-derivative financial assets measured at fair value through equity’, where debt instruments in that measurement category are not subject to impairment in accordance with the applicable accounting framework under GAAP based on BAD.

• 234.Where IFRS or the relevant national GAAP based on BAD provide for the designation of commitments at fair value through profit and loss, the carrying amount of any asset resulting from that designation and measurement at fair value shall be reported in ‘Financial assets designated at fair value through profit or loss’ (IFRS) or ‘Non-trading non-derivative financial assets measured at fair value through profit or loss’ (national GAAP based on BAD). The carrying amount of any liability resulting from that designation shall not be reported in template 18. The notional amount of all commitments designated at fair value through profit or loss shall be reported in template 9.

• 234i.The following exposures shall be identified in separate rows:

• (a) Loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part;

• (b) Credit for consumption as defined in paragraph 88(a) of this Part.

• 235.Past due exposures shall be reported separately within the performing and non-performing categories for their entire amount as defined in paragraph 96 of this Part. Exposures past due by more than 90 days but that are not material in accordance with Article 178 CRR shall be reported within performing exposures in ‘Past due > 30 days <= 90 days’.

• 236.Non-performing exposures shall be reported broken down by past due time bands. In case of application of the debtor approach for the classification of exposures as non-performing referred to in paragraph 226 of this Part of this Annex, the exposures of the debtor shall be reported in the past-due time bands of non-performing in accordance with their individual past-due status. Exposures that are not past due or are past due by 90 days or less, but are nevertheless identified as non-performing due to the likelihood of non-full repayment, shall be reported in a dedicated column. Exposures that present both past due amounts and a likelihood of non-full repayment shall be allocated by past-due time bands consistent with the number of days that they are past due.

• 237.The following exposures shall be identified in separate columns:

• (a) exposures which are considered to be impaired in accordance with the applicable accounting framework; under IFRS, the amount of credit-impaired assets (Stage 3) which does not include purchased or originated credit impaired assets, shall be reported; under national GAAP, the amount of impaired assets shall be reported;

• (b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR;

• (c) under IFRS, assets with significant increase in credit risk since initial recognition, but not credit-impaired (Stage 2) which do not include purchased or originated credit impaired assets;

• (d) under IFRS, for performing exposures, assets without significant increase in credit risk since initial recognition (Stage 1);

• (e) exposures which are considered as purchased or originated financial assets that are credit-impaired at initial recognition in accordance with IFRS 9 Appendix A, including any off-balance sheet exposures that are deemed credit-impaired upon their initial recognition;

• (f) for performing exposures, the amount of accumulated impairment for exposures past due by more than 30 days.

• 238.Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110of this Part.

• 239.Information on collateral held and guarantees received on performing and non-performing exposures shall be reported separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount or nominal amount after deduction of provisions of the related exposure.

17.2.   Inflows and outflows of non-performing exposures – loans and advances by counterparty sector (18.1)

• 239i.Template 18.1 shall provide the inflows and outflows of loans and advances, excluding loans and advances classified as trading financial assets or held for trading, that were classified into or out of the category of non-performing exposures as defined in paragraphs 213 to 239 or 260of this Part. Inflows and outflows of non-performing loans and advances shall be broken down by counterparty sector.

• 239ii.Inflows to the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The inflow shall reflect the gross carrying amount of exposures that have become non-performing as defined in paragraphs 213 to 239 or 260 of this Part during the period, including purchased non-performing exposures. An increase in the gross carrying amount of a non-performing exposure due to accrued interest or due to an increase in the accumulated negative changes in fair value due to credit risk shall be reported as an inflow as well.

• 239iii.For an exposure that during the period has been reclassified multiple times from non-performing to performing or vice versa, the amount of inflows and outflows shall be identified based on a comparison between the status of the exposure (performing or non-performing) at the beginning of the financial year or at initial recognition and its status at the reporting reference date.

• 239iv.Outflows from the non-performing exposures category shall be reported on a cumulative basis since the beginning of the financial year. The outflow shall reflect the sum of the gross carrying amounts of exposures that cease to be non-performing during the period, and, where applicable, shall include the amount of write-offs made in the context of the partial or full derecognition of the exposure. A decrease in the gross carrying amount of a non-performing exposure due to interest paid or a decrease in the accumulated negative changes in fair value due to credit risk shall be reported as an outflow as well.

• 239v.An outflow shall be reported in the following cases:

• (a) a non-performing exposure meets the criteria for ceasing to be classified as non-performing as laid out in paragraphs 228 – 232 of this Part and is reclassified as performing not forborne or performing forborne;

• (b) a non-performing exposure is partially or totally repaid; in case of partial repayment, only the repaid amount shall be classified as outflow;

• (c) collateral is liquidated, including outflows due to other liquidation or legal procedures, such as the liquidation of assets other than collateral obtained via legal procedures, and the voluntary sale of the collateral;

• (d) the institution takes possession of the collateral as referred in paragraph 175 of this Part including cases of debt asset swaps, voluntary surrenders and debt equity swaps;

• (e) a non-performing exposure is sold;

• (f) the risk pertaining to a non-performing exposure is transferred and the exposure meets the criteria to be derecognised;

• (g) a non-performing exposure is written-off partially or totally; in case of partial write-offs, only the written-off amount shall be classified as outflow;

• (h) a non-performing exposure, or parts of a non-performing exposure, ceases to be non-performing for other reasons.

• 239vi.The reclassification of a non-performing exposure from one accounting portfolio to another shall be reported neither as inflow nor as outflow. As an exception, the reclassification of a non-performing exposure from any accounting portfolio to ‘held for sale’ shall be reported as outflow from the original accounting portfolio and inflow to ‘held for sale’.

• 239vii.The following exposures shall be identified in separate rows:

• (a) commercial real estate (CRE) loans as defined in paragraph 239ix, broken down into CRE loans to SMEs and CRE loans to non-financial corporations other than SMEs;

• (b) loans collateralised by immovable property as defined in paragraphs 86(a) and 87of this Part;

• (c) credit for consumption as defined in paragraph 88(a) of this Part.

17.3.   Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property (18.2)

• 239viii.Template 18.2 shall present information on commercial real estate loans to non-financial corporations and on loans collateralised by commercial or residential immovable property to non-financial corporations and households respectively, broken down by loan to value ratio (LTV ratio). Loans and advances classified as held for trading, trading financial assets and debt instruments held for sale shall be excluded.

• 239ix.‘Commercial real estate (CRE) loans’ shall comprise exposures as defined in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps ([^E0024]).

• 239x.The LTV ratio shall be calculated in accordance with the method for the calculation of the ‘current loan-to-value ratio’ (LTV-C) laid down in section 2, chapter 1, paragraph 1 of the ESRB Recommendation on closing real estate data gaps.

• 239xi.Information on collateral received and financial guarantees received on loans shall be reported in accordance with paragraph 239of this Part. Consequently, the sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related exposure.

18. FORBORNE EXPOSURES (19)

• 240.For the purpose of template 19, forborne exposures shall be debt contracts in respect of which forbearance measures as defined in Article 47b(1) and (2) CRR have been applied.

• 243.Forbearance measures also include the exercise of clauses which, where used at the discretion of the debtor, enable the debtor to change the terms of the contract (‘embedded forbearance clauses’) and which shall be treated as a concession where the institution approves executing those clauses and concludes that the debtor is experiencing financial difficulties.

• 244.For the purposes of Annexes III and IV as well as this Annex, ‘refinancing’ shall mean the use of debt contracts to ensure the total or partial payment of other debt contracts the terms of which the debtor is unable to comply with.

• 245.For the purpose of template 19, ‘debtor’ means an obligor within the meaning of Article 47b(4) CRR.

• 246.For the purpose of template 19, ‘debt’ shall include loans and advances (including also cash balances at central banks and other demand deposits), debt securities and revocable and irrevocable loan commitments given, including those loan commitments that are designated at fair value through profit and loss that are assets at the reporting date. ‘Debt’ shall exclude exposures held for trading.

• 247.‘Debt’ shall also include loans and advances and debt securities classified as non-current assets and disposal groups classified as held for sale in accordance with IFRS 5.

• 248.For the purposes of template 19, ‘exposure’ shall have the same meaning as ‘debt’ in paragraphs 246 and 247 of this Part.

• 249.The accounting portfolios under IFRS listed in paragraph 15 of Part 1 of this Annex and under relevant national GAAP based on BAD listed in paragraph 16 of Part 1 of this Annex shall be reported in template 19 in accordance with paragraph 233 of this Part.

• 250.For the purposes of template 19, ‘institution’ shall mean the institution, which applied the forbearance measures.

• 251.In template 19 for ‘debt’, the ‘gross carrying amount’ shall be reported in accordance with paragraph 34 of Part 1 of this Annex. For loan commitments given which are off-balance sheet exposures, the nominal amount as defined in paragraph 118 of this Part of this Annex shall be reported.

• 252.Exposures shall be regarded as forborne where a concession has been made in accordance with Article 47b(1) CRR, irrespective of whether any amount is past due or of the classification of the exposures as impaired in accordance with the applicable accounting framework or as defaulted in accordance with Article 178 CRR. Exposures shall not be treated as forborne where the debtor is not in financial difficulties. Under IFRS, modified financial assets (IFRS 9.5.4.3 and Appendix A) shall be treated as forborne where a concession as defined in Article 47b(1) CRR has been made, regardless of the incidence of the modification on the change in the credit risk of the financial asset since initial recognition.

• 254.There is a rebuttable presumption that forbearance has taken place in any of the circumstances listed in Article 47b(3) CRR.

• 255.Financial difficulties shall be assessed at debtor level as referred to in paragraph 245. Only exposures to which forbearance measures have been applied shall be identified as forborne exposures.

• 256.Forborne exposures shall be included in the non-performing exposures category or the performing exposures category in accordance with paragraphs 213 to 239 and 260 of this Part. The classification as forborne exposure shall be discontinued where all of the conditions provided in Article 47a(7) CRR are met.

• 257.Where the conditions referred to in Article 47a(7) CRR are not met at the end of the probation period, the exposure shall continue to be identified as performing forborne under probation until all the conditions are met. The conditions shall be assessed at least on a quarterly basis.

• 258.Forborne exposures, which are classified as non-current assets held for sale in accordance with IFRS 5, shall continue to be classified as forborne exposures.

• 259.A forborne exposure may be considered as performing from the date the forbearance measures were applied where both of the following conditions are met:

• (a) that extension has not led the exposure to be classified as non-performing;

• (b) the exposure was not considered to be a non-performing exposure at the date the forbearance measures were extended.

• 260.Where additional forbearance measures are applied to a performing forborne exposure under probation that has been reclassified out of non-performing category or the forborne exposure under probation reclassified out of non-performing category becomes more than 30 days past due, the exposure shall be classified as non-performing in accordance with point (c) of Article 47a(3) CRR.

• 261.‘Performing exposures with forbearance measures’ (performing forborne exposures) shall comprise forborne exposures that do not meet the criteria to be considered as non-performing and that are included in the performing exposures category. Performing forborne exposures shall be under probation until all the criteria laid down in Article 47a(7) CRR, including where paragraph 259 of this Part applies, are met. Performing forborne exposures under probation that have been reclassified out of the non-performing forborne exposures category shall be reported separately within the performing exposures with forbearance measures in the column ‘of which: Performing forborne exposures under probation reclassified from non-performing’.

• 262.‘Non-performing exposures with forbearance measures’ (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered as non-performing and that are included in the non-performing exposures category. Those non-performing forborne exposures shall include the following:

• (a) exposures which have become non-performing due to the application of forbearance measures;

• (b) exposures which were non-performing prior to the extension of forbearance measures;

• (c) forborne exposures which have been reclassified from the performing category, including exposures reclassified in application of paragraph 260.

• 263.Where forbearance measures are extended to exposures which were non-performing prior to the extension of forbearance measures, the amount of those forborne exposures shall be separately identified in the column ‘of which: forbearance of exposures non-performing prior to forbearance measures’.

• 264.The following non-performing exposures with forbearance measures shall be identified in separate columns:

• (a) exposures which are considered, in accordance with the applicable accounting framework, to be impaired. Under IFRS, the amount of credit-impaired assets (Stage 3) and the amount of purchased or originated credit-impaired financial assets where they are considered as non-performing in accordance with paragraph 215 of this Part shall be reported in this column;

• (b) exposures in respect of which a default is considered to have occurred in accordance with Article 178 CRR.

• 265.The column ‘Refinancing’ shall comprise the gross carrying amount of the new contract (‘refinancing debt’) granted as part of a refinancing transaction which qualifies as a forbearance measure, as well as the gross carrying amount of the old re-paid contract that is still outstanding.

• 266.Forborne exposures combining modifications and refinancing shall be allocated to the column ‘Instruments with modifications of the terms and conditions’ or the column ‘Refinancing’, depending on the measure that has the most impact on cash flows. Refinancing by a pool of banks shall be reported in the column ‘Refinancing’ for the total amount of refinancing debt provided by or refinanced debt still outstanding at the reporting institution. Repackaging of several debts into a new debt shall be reported as a modification, unless there is also a refinancing transaction that has a larger impact on cash flows. Where forbearance through modification of the terms and conditions of a troubled exposure leads to that exposure’s derecognition and to the recognition of a new exposure, that new exposure shall be treated as forborne debt.

• 267.Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions shall be reported in accordance with paragraphs 11, 69 to 71, 106 and 110 of this Part.

• 268.Collateral and guarantees received on exposures with forbearance measures shall be reported for all exposures with forbearance measures, regardless of their performing or non-performing status. In addition, collateral and financial guarantees received on non-performing exposures with forbearance measures shall be shown separately. Amounts reported for collateral received and guarantees received shall be calculated in accordance with paragraphs 172 and 174 of this Part. The sum of the amounts reported for both collateral and guarantees shall be capped at the carrying amount of the related on-balance sheet exposure or nominal amount after deduction of provisions of the related off-balance sheet exposure.

19. GEOGRAPHICAL BREAKDOWN (20)

• 269.Template 20 shall be reported where the institution exceeds the threshold described in point (4) of Article 5(a) of this Regulation.

19.1.   Geographical breakdown by location of activities (20.1-20.3)

• 270.The geographical breakdown by location of the activities in templates 20.1 to 20.3 distinguishes between ‘domestic activities’ and ‘non-domestic activities’. For the purposes of this Part, ‘location’ shall mean the jurisdiction of incorporation of the legal entity which has recognised the corresponding asset or liability. For branches, it shall mean the jurisdiction of its residence. ‘Domestic’ shall include the activities recognised in the Member State where the reporting institution is located.

19.2.   Geographical breakdown by residence of the counterparty (20.4-20.7)

• 271.Templates 20.4 to 20.7 contain information ‘country-by-country’ on the basis of the residence of the immediate counterparty as defined in paragraph 43of Part 1 of this Annex. The breakdown provided shall include exposures or liabilities with residents in each foreign country in which the institution has exposures. Exposures or liabilities with international organisations and multilateral development banks shall not be assigned to the country of residence of the institution but to the geographical area ‘Other countries’.

• 272.‘Derivatives’ shall include both trading derivatives, including economic hedges, and hedging derivatives under IFRS and under GAAP, reported in templates 10 and 11.

• 273.Assets held for trading under IFRS and trading assets under GAAP shall be identified separately. Financial assets subject to impairment shall have the same meaning as in paragraph 93 of this Part. For the purpose of template 20.4, cash balances at central banks and other demand deposits shall be reported together with financial assets subject to impairment. Assets measured under LOCOM that have credit risk induced value adjustments shall be considered as impaired.

• 274.In templates 20.4 and 20.7, ‘Accumulated impairment’ and ‘Accumulated negative changes in fair value due to credit risk on non-performing exposures’, as determined in accordance with paragraphs 69 to 71 of this Part shall be reported.

• 275.In template 20.4 for debt instruments, ‘gross carrying amount’, as determined in accordance with paragraph 34 of Part 1 of this Annex, shall be reported. For derivatives and equity instruments, the amount to be reported shall be the carrying amount. In column ‘Of which: Non-performing’ debt instruments, as determined in accordance with paragraphs 213 to 239 or 260of this Part shall be reported. Debt forbearance shall comprise all ‘debt’ contracts for the purpose of template 19 to which forbearance measures, as defined in paragraphs 240 to 268of this Part, are extended.

• 276.In template 20.5, ‘Provisions for commitments and guarantees given’ shall include provisions measured under IAS 37, the credit losses of financial guarantees treated as insurance contracts under IFRS 4, and the provisions on loan commitments and financial guarantees under the impairment requirements of IFRS 9 and provisions for commitments and guarantees under national GAAP based on BAD in accordance with paragraph 11 of this Part.

• 277.In template 20.7, loans and advances not held for trading, trading or held for sale shall be reported with the classification by NACE Codes on a ‘country-by-country’ basis. NACE Codes shall be reported with the first level of disaggregation (by ‘section’). Loans and advances subject to impairment shall refer to the same portfolios as referred to in paragraph 93 of this Part.

20. TANGIBLE AND INTANGIBLE ASSETS: ASSETS SUBJECT TO OPERATING LEASE (21)

• 278.For the purposes of the calculation of the threshold in Article 9(e) of this Regulation, tangible assets that have been leased by the institution (lessor) to third parties in agreements that qualify as operating leases under the relevant accounting framework shall be divided by the total of tangible assets.

• 279.Under IFRS, assets that have been leased by the institution (as lessor) to third parties in operating leases shall be broken down by measurement method.

21. ASSET MANAGEMENT, CUSTODY AND OTHER SERVICE FUNCTIONS (22)

• 280.For the purposes of the calculation of the threshold in Article 9(f) of this Regulation, the amount of ‘net fee and commission income’ shall be the absolute value of the difference between ‘fee and commission income’ and ‘fee and commission expense’. For the same purposes, the amount of ‘net interest’ shall be the absolute value of the difference between ‘interest income’ and ‘interest expenses’.

21.1.   Fee and commission income and expenses by activity (22.1)

• 281.The fee and commission income and expenses shall be reported by type of activity. Under IFRS, this template shall include fee and commission income and expenses other than both of the following:

• (a) amounts considered for the calculation of the effective interest of financial instruments (IFRS 7.20.(c));

• (b) amounts arising from financial instruments that are measured at fair value through profit or loss (IFRS 7.20.(c).(i)).

• 282.Transaction costs directly attributable to the acquisition or issue of financial instruments not measured at fair value through profit or loss shall not be included. Those transaction costs shall form part of the initial acquisition/issue value of those instruments and shall be amortised to profit or loss over their residual life using the effective interest rate (IFRS 9.5.1.1).

• 283.Under IFRS, transaction costs directly attributable to the acquisition or issue of financial instruments measured at fair value through profit or loss shall be included as a part of ‘Gains or losses on financial assets and liabilities held for trading, net’, ‘Gain or losses on non-trading financial assets mandatorily at fair value through profit or loss, net’ and ‘Gains or losses on financial assets and liabilities designated at fair value through profit or loss, net’, depending on the accounting portfolio in which those transaction costs are classified. Those transaction costs shall not be part of the initial acquisition or issuance value of those instruments and shall be immediately recognized in profit or loss.

• 284.Institutions shall report fee and commission income and expenses in accordance with the following criteria:

• (a) ‘Securities. Issuances’ shall include fees and commissions received for the involvement in the origination or issuance of securities not originated or issued by the institution;

• (b) ‘Securities. Transfer orders’ shall include fees and commissions generated by the reception, transmission and execution on behalf of customers of orders to buy or sell securities;

• (c) ‘Securities. Other fee and commission income in relation to securities’ shall include fees and commissions generated by the institution providing other services related with securities not originated or issued by the institution;

• (d) Under fee and commission expenses, ‘securities’ shall include fees and commissions charged to the institution where it is receiving services related with securities regardless of whether they are originated or issued by the institution or not;

• (e) ‘Corporate Finance. M&A advisory’ shall include fees and commissions for advisory services surrounding corporate clients’ mergers and acquisitions activities;

• (f) ‘Corporate Finance. Treasury services’ shall include fees and commissions for corporate finance services related to capital market advisory for corporate clients;

• (g) ‘Corporate Finance. Other fee and commission income in relation to corporate finance activities’ shall include all other corporate finance related fees and commissions;

• (h) ‘Fee based advice’ shall include fees and commissions charged for advisory services to clients that are not directly linked to asset management, such as private banking related fees. M&A advisory fees shall not be included here, but under ‘Corporate Finance. M&A advisory’;

• (i) ‘Clearing and settlement’ shall include fees and commission income (expenses) generated by (charged to) the institution where that institution participates in counterparty, clearing and settlement facilities;

• (j) ‘Asset management’, ‘Custody’, ‘Central administrative services for collective investment undertakings’ and ‘Fiduciary transactions’ shall include fees and commission income (expenses) generated by (charged to) the institution that provides those services;

• (k) ‘Payment services’ shall include fees and commission income (expenses) generated by (charged to) the institution that provides (receives) payment services as referred to in Annex I to Directive (EU) 2015/2366 of the European Parliament and of the Council ([^E0025]). Information on the fee and commission income shall be reported separately for current accounts, credit cards, debit cards and other card payments, transfers and other payment orders as well as other fee and commission income in relation to payment services. ‘Other fee and commissions income in relation to payment services’ shall include charges for the use of the institution’s ATM network by cards not issued by the institution. Information on fee and commission expenses on credit, debit and other cards shall be reported separately;

• (l) ‘Customer resources distributed but not managed (by type of product)’ shall comprise fee and commission income for distribution of products issued by entities outside the prudential group to its current customers. This information shall be reported by type of product;

• (m) Under fee and commission expenses, ‘Externally provided distribution of products’ shall comprise the expenses for distribution of the institution’s products and services via an external agent network/distribution arrangement with external providers such as mortgage brokers, online loan platforms or Fintech frontends;

• (n) ‘Structured finance’ shall include fees and commissions received for the involvement in the origination or issuance of financial instruments other than securities originated or issued by the institution;

• (o) Fees from ‘Loan servicing activities’ shall include, on the income side, the fee and commission income generated by the institution providing loan servicing services and on the expense side, the fee and commission expense charged to the institution by loan service providers;

• (p) ‘Loan commitments given’ and ‘Financial guarantees given’ shall include the amount, recognized as income during the period, of the amortization of the fees and commission for those activities initially recognised as ‘other liabilities’;

• (q) ‘Loan commitments received’ and ‘Financial guarantees received’ shall include the fee and commission recognised as expense by the institution during the period as a consequence of the charge made to the counterparty that has given the loan commitment or the financial guarantee that is initially recognised as ‘other assets’;

• (r) Under ‘loans granted’, fees and commissions shall be reported which are charged in the process of granting loans, but are not part of the effective interest rate calculation;

• (s) ‘Foreign exchange’ includes fee and commission income (expenses) for foreign exchange services (including exchange of foreign banknotes or coins, fees on international currency cheques, bid-ask-spread) and fee income from/expenses on international transactions. Where the income (expenses) attributable to foreign exchange transactions can be separated from the other credit/debit card related fee income, this item shall also include foreign-exchange related fees and commissions generated via credit or debit cards;

• (t) ‘Commodities’ include fee and commission income related to the commodity business, except for income related to commodity trading which shall be reported as other operating income;

• (u) ‘Other fee and commission income (expenses)’ shall include the fee and commission income (expenses) generated by (charged to) the institution that cannot be allocated to any of the other listed items.

21.2.   Assets involved in the services provided (22.2)

• 285.Business related to asset management, custody functions, and other services provided by the institution shall be reported using the following definitions:

• (a) ‘Asset management’ shall refer to assets belonging directly to the customers, for which the institution is providing management. ‘Asset management’ shall be reported by type of customer: collective investment undertakings, pension funds, customer portfolios managed on a discretionary basis, and other investment vehicles;

• (b) ‘Custody assets’ shall refer to the services of safekeeping and administration of financial instruments for the account of clients provided by the institution and services related to custodianship such as cash and collateral management. ‘Custody assets’ shall be reported by type of customers for which the institution is holding the assets distinguishing between collective investment undertakings and others. The item ‘of which: entrusted to other entities’ shall refer to the amount of assets included in custody assets for which the institution has given the effective custody to other entities;

• (c) ‘Central administrative services for collective investment’ shall refer to the administrative services provided by the institution to collective investment undertakings. It shall include, among others, the services of transfer agent, of compiling accounting documents, of preparing the prospectus, financial reports and all other documents intended for investors, of carrying out the correspondence by distributing financial reports and all other documents intended for investors, of carrying out issues and redemptions and keeping the register of investors, as well as of calculating the net asset value;

• (d) ‘Fiduciary transactions’ shall refer to the activities where the institution acts in its own name but for the account and at the risk of its customers. Frequently, in fiduciary transactions, the institution provides services, such as custody, asset management services, to a structured entity or managing portfolios on a discretionary basis. All fiduciary transactions shall be reported exclusively in this item irrespective of whether the institution provides other services;

• (e) ‘Payment services’ shall refer to the payment services listed in Annex I of Directive (EU) 2015/2366;

• (f) ‘Customer resources distributed but not managed’ shall refer to products issued by entities outside the prudential group that the institution has distributed to its current customers. This item shall be reported by type of product;

• (g) ‘Amount of the assets involved in the services provided’ shall include the amount of assets in relation to which the institution is acting, using the fair value. Other measurement bases including nominal value may be used where the fair value is not available. Where the institution provides services to entities such as collective investment undertakings or pension funds, the assets concerned may be shown at the value at which those entities report the assets in their own balance sheet. Reported amounts shall include accrued interest, where applicable.

22. INTERESTS IN UNCONSOLIDATED STRUCTURED ENTITIES (30)

• 286.For the purposes of Annexes III and IV as well as this Annex, ‘liquidity support drawn’ shall mean the sum of the carrying amount of the loan and advances granted to unconsolidated structured entities and the carrying amount of debt securities held that have been issued by unconsolidated structured entities.

• 287.‘Losses incurred by the reporting institution in the current period’ shall include losses due to impairment and any other losses which are incurred by a reporting institution during the reporting reference period and concern the reporting institution’s interests in unconsolidated structured entities.

23. RELATED PARTIES (31)

• 288.Institutions shall report amounts or transactions related to the balance sheet and the off-balance sheet exposures where the counterparty is a related party as referred to in IAS 24.

• 289.Intra-group transactions and intra-group outstanding balances of the prudential group shall be eliminated. Under ‘Subsidiaries and other entities of the same group’, institutions shall include balances and transactions with subsidiaries that have not been eliminated either because the subsidiaries are not fully consolidated within the scope of the prudential consolidation or because the subsidiaries are excluded from the scope of prudential consolidation in accordance with Article 19 CRR for being immaterial or because, for institutions that are part of a wider group, the subsidiaries are of the ultimate parent, not of the institution. Under ‘Associates and joint ventures’, institutions shall include the portions of balances and transactions with joint ventures and associates of the group to which the entity belongs that have not been eliminated where proportional consolidation is applied.