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报告摘要

EBA Consultation on Forbearance and Non-Performing Exposures Reporting

Introduction

The European Banking Authority (EBA) issued a consultation paper on supervisory reporting related to forbearance and non-performing exposures under Article 95 of the draft Capital Requirements Regulation. The purpose of the consultation is to address concerns regarding the inconsistent identification and classification of forbearance measures and non-performing exposures across EU member states.

Core Content

The consultation focuses on two key areas: forbearance and non-performing exposures. These concepts are critical for assessing the asset quality of European banks, yet they lack a unified EU-wide definition, leading to uncertainty in credit quality and asset valuation.

Forbearance

Definition: A new definition was developed by mapping existing national and international regulatory and accounting definitions.
Scope: Applies to all banking and trading book loans and debt securities (excluding derivatives) and loan commitments.
Coverage: Forbearance measures include modifications of terms and conditions and refinancing due to the financial difficulties of the debtor.
Independence from Default: Forbearance is defined independently from the concepts of default and impairment.
Exit Criteria: Includes qualitative and quantitative requirements and a probation period to ensure consistency in reporting.
Differentiation: The definition aims to clearly distinguish forbearance measures from commercial renegotiations.

Non-Performing Exposures

Definition: Built upon existing national and international definitions.
Scope: Covers both banking and trading book exposures (excluding derivatives) and off-balance sheet exposures such as loan commitments and financial guarantees.
Harmonisation: Entry and exit criteria are harmonised and apply in addition to those for default and impairment classification.
Impact: The definition is used solely for the asset quality indicator and does not affect profitability or solvency assessments.
Pulling Effect: Exposures with forbearance measures may influence the classification of non-performing exposures.
Collateral Consideration: Collateral is not considered in the definition of non-performing exposures.

Interaction Between Forbearance and Non-Performing Exposures

The extension of forbearance measures does not automatically classify the exposure as non-performing.
Stricter exit criteria are applied to exposures that were already non-performing before forbearance measures were introduced, to prevent misuse and ensure proper use of forbearance tools.

Reporting Templates

Five Reporting Templates: Two new templates were proposed for forbearance and non-performing exposures, alongside amendments to existing FINREP templates.
New Templates:
- Forbearance Exposures: Includes identification of performing and non-performing exposures with forbearance measures, value adjustments, and collateral/financial guarantees received.
- Non-Performing Exposures: Provides a breakdown of performing exposures, identification of former non-performing exposures under special monitoring, and value adjustments.
Amended Templates:
- Tables 14.4 and 14.5 for geographical breakdown of counterparties.
- Table F10 for sectoral and geographical breakdown of non-performing exposures.
Reporting Requirements: Gross carrying amount and a capped fair-value for collateral must be reported in all templates.
Integration with FINREP: The templates will be integrated into the FINREP framework but may enter into force later than the overall FINREP package.

Conclusion

The EBA proposes two new definitions to improve the harmonisation and comprehensiveness of asset quality reporting in the EU. These definitions aim to provide a clearer and more consistent view of forbearance activities and non-performing exposures. Technical choices were made to ensure consistency, and comments are requested on these choices to refine the approach.