Input Layer

This chapter describes the BIRD input layer. An interactive Entity–Relationship model (ERM) can be find here

The BIRD input layer is constructed in such a way that reflects how data is organised in banks’ internal systems, in order to make the process of populating the input layer as simple as possible.

Cubes in the input layer are classified following the main role the cubes play in the input layer. In the DB the cube hierarchy dedicated gives the information on how the cubes are a classified. The cubes are classified in ten main groups:

  • Entities and related information
  • Off-balance sheet items
  • Financial instruments
  • Derivatives
  • Protections
  • Connections
  • Master data
  • Aggregates
  • Auxiliary
  • Input parameters

The interactive representation is available here

Relationship between Off-balance sheet items / instruments and it’s involved parties

Off-balance sheet items and instruments are related to the parties involved in the underlying contract. These parties may have different roles (e.g. creditor / debtor / servicer of a loan) in such a contract and, in general, one of the involved parties is the reporting agent.

The variable Observed agent internal identifier in the instruments cubes allows identifying the component of the reporting agent (e.g. the subsidiary or foreign branch) that is involved in the contract. Consequently, by filtering the Observed agent internal identifier we are able to distinguish between the different transactions related to one specific Observed agent internal identifier.

The variable Is serviced by the observed agent allows to identify those loans that are serviced by the observed agent. If a loan is not serviced by the Observed agent internal identifier and this loan fulfils the requirements to be reporting in AnaCredit the servicer of this loan needs to be registered in the cube Transactions-counterparties.

In case of securitized / transferred assets or fiduciary instruments specific information about the involved parties needs to be provided in the BIRD input layer. For further information, please see the particular section of the technical guildelines.

Relationship between Off-balance sheet items & instruments

In the BIRD input layer the relationship between credit facilities and instruments is modelled using the cube Credit facilities-instruments allowing to establish a many-to-many relationship between credit facilities and instruments.

For the other off-balance sheet items (i.e. Commitments given other than credit facilities and Financial guarantees given) this relationship is not intended. The reason is that, in case of the activation of such an off-balance sheet item (e.g. a financial guarantee is called upon) the off-balance sheet item ceases to exist and may initiate the creation of an instrument (e.g. a commitment to provide a loan under specific conditions).

We also would like to highlight that there may exist instruments that are not related to any credit facility. Candidates are Credit card debt, Reverse repurchase loans but also loans whose credit facility has been revoked.

OFF-BALANCE SHEET INFORMATION

Off-balance sheet amount

This Variable displays the amount that best represents the institution’s maximum exposure to credit risk without taking account of any collateral held or other credit enhancements (in case of FinREP it corresponds to the “Nominal amount”, see Annex V Part II Paragraph 118). In particular,

  • For financial guarantees given, it shall be the maximum amount the entity could have to pay if the guarantee is called on.
  • for loan commitments, it shall be the undrawn amount that the institution has committed to lend.

In any case those amounts shall be the exposure values before applying conversion factors and credit risk mitigation techniques.

PROVISIONS ASSOCIATED WITH OFF-BALANCE SHEET EXPOSURES

This amount is required in the cubes of Credit Facilities , Commitments given other than credit facilities and Financial guarantees given to represent the provisions of off-balance sheet instruments that are subject to the impairment requirements of IFRS 9 (including those measured at initial cost less cumulative income recognised) and other commitments or guarantees that are within the scope of IAS 37 or IFRS 4.

AMOUNT INITIALLY RECOGNISED LESS THE CUMULATIVE AMOUNT OF INCOME RECOGNISED (SEE IFRS 9, PAR. 4.2.1 c)

This amount is required in the cube of CREDIT FACILITIES, COMMITMENTS GIVEN OTHER THAN CREDIT FACILITIES and FINANCIAL GUARANTEES GIVEN as it has to be used, in combination with the amount of the loss allowance determined (in BIRD named PROVISIONS ASSOCIATED WITH OFF-BALANCE SHEET EXPOSURES), to calculate the carrying amount of such items that has to be reported in the “provisions – commitments and guarantees given” when such items are not measured at fair value through profit or loss.

ACCUMULATED CHANGES IN FAIR VALUE DUE TO CREDIT RISK

This amount is included in the cubes Credit Facilities , Commitments given other than credit facilities and Financial guarantees given where such instruments are measured at fair value in accordance with IFRS 9. The accumulated net change in fair value due to credit risk shall be calculated by adding all negative and positive changes in fair value due to credit risk that have occurred since recognition of the instrument.

off-balance sheet items accounting classification:

Loan commitments, financial guarantees and other commitments given listed in Annex I of CRR may be instruments that are in the scope of IFRS 9 where they are measured at fair value through profit or loss, or where they are subject to the impairment requirements of IFRS 9, as well as instruments that are within the scope of IAS 37 or IFRS 4 (see Annex V, Part II, paragraph 104). This variable is required in the cubes of Credit Facilities, Commitments given other than credit facilities and Financial guarantees given to classify the off-balance sheet items in the proper category. Specific validation rules verify that the values provided are consistent with the type of item.

Where loan commitments, financial guarantees and other commitments given are measured at fair value through profit or loss, any change in the fair value, including changes due to credit risk, shall be reported as ‘other financial liabilities’ and not as provisions for ‘Commitments and guarantees given’.

Instructions for feeding commitments received in the BIRD input layer

Loan commitments and other commitments received have to be fed in the BIRD input layer using a unique cube named COMMITMENTS RECEIVED.

In some cases the commitments received are linked to instruments reported in the liability side of the asset and they need to be included in a liability template the value of the commitment directly on the instruments cube the value of the commitment directly on the instruments cube

The distinction between them is possible through the variable Type of commitment which has to be fed in the above mentioned cube with a specific subdomain which contains the following values:

The basic measure of this cube is the NOMINAL AMOUNT. For loan commitments received, it corresponds to the total undrawn amount that the counterparty has committed to lend to the institution. For other commitments received it is the total amount committed by the other party in the transaction.

Off-balance sheet items given

Credit facilities

The cube Credit facilities needs to be fed every time the reporting agent commits itself to lend or to provide other credit facilities. It has to be fed independently from the existence of related instruments whenever a contract has been signed and there is a commitment of the reporting agent, being it revocable or irrevocable.

If the credit facility backs an instrument the cube Credit facilities-instruments needs to be fed accordingly in order to represent the relationship between the Credit facility and the Instrument.

The variable Type of credit facility allows a distinction between credit facilities “to lend”, “to provide acceptance facilities” (which are considered as loan commitments in FinRep) and “to provide guarantees” (which are considered other commitments given in FinRep); see subdomain Type of credit facility for a detailed list of members.

For FinRep purposes it is also required that each credit facility has to be treated according to its classification. Therefore this classification needs to be provided by the reporting agent through the variable Off-balance sheet items accounting classification; see subdomain Accounting classification applicable to off-balance sheet items for a detailed list of members.

Please note that the measure Commitment amount at inception is the commitment amount without taking into consideration amounts already drawn through any related instruments. Please also note that the measure Off-balance sheet amount refers to the undrawn amount that the institution has committed to lend according to the signed contract.

Commitments given other than credit facilities

The cube Commitments given other than credit facilities needs to be fed every time the reporting agent commits itself to provide facilities other than credit facilities.

The variable Type of commitment allows to distinguish between “forward deposits” (which are considered loan commitments in FinRep) and other commitments (which are considered other commitments given in FinRep); see subdomain Type of commitment given for a detailed list of members.

For FinRep purposes it is also required that each commitment given other than credit facilities has to be treated according to its classification. Therefore this classification needs to be provided by the reporting agent through the variable Off-balance sheet items accounting classification; see subdomain Accounting classification applicable to off-balance sheet items for a detailed list of members.

Please note that the measure Off-balance sheet amount refers to the commitment at the reporting reference date.

Financial guarantees given

The cube Financial guarantees given needs to be fed every time the reporting agent signs a contract according to which it commits itself to make specific payments to reimburse the holder of a loss it incurs, because a specified debtor fails to make payment where due in accordance with the original or modified terms of a debt instrument, including guarantees provided to other financial guarantees. Under IFRS these contracts shall meet the definition of financial guarantee contracts in IFRS 9.2.1(e) and IFRS 4.A. The following items of Annex I of CRR shall be classified as ‘financial guarantees’:

  • Guarantees having the character of credit substitute
  • Credit derivatives that meet the definition of financial guarantee;
  • Irrevocable standby letters of credit having the character of credit.

Please note that the measure Off-balance sheet amount represents the maximum amount the entity could have to pay if the guarantee is called on.

Instruments

The financial instrument are classified in the following subgroup

  • Securities holdings
  • Securities issued
  • Loans / deposits
  • Equity instruments
  • Loans and advances
  • Deposits

The categories of “revolving loans” (as in Revolving loans and overdraft) and Credit lines other than revolving credit are identified by two specific variables, Is revolving loan and Is credit line other than revolving credit, respectively.

The cubes of instruments must normally be fed as from the moment when the loan is disbursed or the money is deposited. However for some operations, such as credit card and overdraft, they have to be fed from the moment when the credit is made available to the debtor. For some further information see the following sections dealing with specific instrument cube instructions.

In some situations, in order to fulfil AnaCredit requirements, the cubes have to be kept in the input layer beyond the natural life of the operations. In particular:

  • Written-off instruments (see AnaCredit Manual, part I, paragraph 5.2.2.2.1). The cubes must be kept until the end of the reporting period (or longer if the client is above the threshold without considering written off amounts).
  • Defaulted instruments that cease existing because of full repayment (see draft AnaCredit Manual, part II, paragraph 3.5.15.1). The cubes must be kept until the end of the reporting period.

Fair Value Hierarchy (FV_HRRCHY) and instruments

The International Financial Reporting Standard 13, Fair value measurement, requires a classification of assets and liabilities measured at fair value in three different levels.

According to Regulation 680/2014 Annex V all IFRS and national GAAP compatible with IFRS institutions shall report the hierarchy prescribed by IFRS 13.

Moreover, according to Annex V, if national GAAP under BAD also requires the allocation of assets measured at fair value between different levels of fair value, institutions under national GAAP shall also report this information.

In case the instruments are measured at amortized cost or at a cost-based method or in case the national GAAP based on BAD does not require allocation of assets according to different levels the variable Fair value hierarchy shall be reported with value 0 “not applicable”.

However, institutions that shall report a fair value hierarchy are required, once a year, corresponding to the accounting year-end of financial information reporting, to provide an evaluation at fair value for instruments measured at a cost based method or amortized cost with the corresponding hierarchy.

Cube(s) that comprise assets & liabilities

Current accounts (including Transferable deposits)

The cube Current accounts (including Transferable deposits) comprises assets and liabilities. Consequently, some specifics need to be considered when feeding particular input layer variables (especially the variables representing monetary values) with data.

The variable Is transferable deposit allows to identify transferable deposits with respect to ESA classification.

All monetary variables of this cube (e.g. Carrying amount, Accumulated impairment…) are dependent on the value of the variable Is asset. Consequently a current account representing an asset should be treated similar to other instruments representing assets (e.g. a record of the cube Other loans while a current account representing a liability should be treated similar to other instruments representing liabilities (e.g. a record of the cube Deposits (liabilities)) with respect to monetary variables. Due to the fact that this cube comprises variables only applicable to assets (e.g. Accumulated impairment) reporting agents needs to ensure the integrity of the content of this cube (e.g. for liabilities the value of the variable Accumulated impairment should be set to NULL).

Due to the fact that this cube comprises assets and liabilities concepts that apply to both sides of the balance sheet where split into two variables, e.g. Interest rate for assets and Interest rate for liabilities.

Assets

Factoring

Providing information for the cube Factoring does not require special treatment. The main difference to other instrument cubes is fact that the Counterparty representing the debtor is dependent on the concept of Recourse. For factoring with recourse the debtor is defined to be the factoring client while for factoring without recourse it’s the ultimate debtor. Therefore the content of the cube Transactions-counterparties needs to be fed accordingly, e.g. in case of factoring with recourse the variable Counterparty identifier of the cube Transactions-counterparties related to the factoring operation (via the variable Instrument unique identifier and Counterparty role in a transaction set to Debtor) needs to point to the factoring client.

In case the cash reserve (of such a factoring operation) is not considered as a protection, the cube Factoring auxiliary needs to be fed with information about the cash reserve (in order to produce such this protection for AnaCredit reporting requirements). If this cash reserve is already presented as a protection in the input layer (utilizing the cube Other financial protection there is no need to feed the cube Factoring auxiliary.

Financial leases

There is no special treatment when feeding the input with respect to the cube Financial leases but the consideration of the leasing good as a protection. If the leasing good is considered by the reporting agent as a protection and represented in the BIRD input layer accordingly there is no need for additional information when feeding the input layer. On the contrary, if the leasing good is not considered as a protection by the reporting agent and consequently no protection (representing the leasing good) is presented in the input layer the reporting agent needs to feed the cube Financial leases auxiliary in order to provide information about the leasing good such that the leasing good may be presented as a protection for AnaCredit reporting requirements.

Credit card debt

The cube Credit card debt comprises convenient and extended credit card debt. Consequently, the variables related to the interest rate (e.g. Interest rate, Interest rate reset frequency,…) only apply for extended credit card debt.

Repurchase agreements

The content of the cube Repurchase agreements comprises liabilities of the reporting agent which origin from a repurchase agreement. Via the cubes Repurchase agreement-securities and Repurchase agreement-loans the repurchase agreement can be connected to the asset(s) that were given in such a repurchase agreement, which may be required for future reporting requirements (e.g. Asset encumbrance).

Liabilities

Deposits (liabilities)

The cube Deposits (liabilities) comprises deposits with agreed maturity and deposits redeemable at notice. The distinction between those two categories is established by the variable Is redeemable at notice.

Securities

Registry table of securities

The master data for securities is included in a single cube Registry table of security, where the level of granularity is the security.

It contains registry information on securities, characteristics of the securities that are stable over time. The cube key is the internal security identifier, by which it is possible to uniquely identify the security, also in case of security without ISIN code.

The cube is linked to the owned security cube via the security ID; it is also linked with the counterparty cube via the issuer ID that is described in details in cube counterparty.

Owned securities

The data for securities characteristics is dependent on the reporting agent evaluation. The level of granularity is the owned security ID, an identifier that identifies each record in the owned security table.

The cube Owned securities contains information on the securities owned by the institution. The cube describes the ownership of the securities and the characteristics of the securities that depend on the reporting agent evaluation.

Non-current assets and instruments in disposal groups classified as held for sale (IS_HFS)

The International Financial Reporting Standard 5, Non-current Assets Held for Sale and Discontinued Operations, requires to identify and measure those assets and liabilities in disposal groups classified as held for sale.

According to Regulation 680/2014 Annex V all IFRS and national GAAP compatible with IFRS institutions shall report the “Non-current assets and disposal groups classified as held for sale” regulated by IFRS 5. In order to identify those instruments, the

variable Is held for sale shall be populated with TRUE (FALSE otherwise) and measure the carrying amount according to IFRS 5.

Held for Sale (IS_HFS), subjective information

In case of intra-group sale (a non-current asset or a disposal group sold to a member of the group) the variable Is held for sale shall be set according to the relevant Perspective identifires held for sale

Suppose that entity B is selling a branch to entity A and a set of loans of the branch sold by B is in a disposal group classified as held for sale:

Instrument unique identifier Perspective identifier Is an intra-group sale? IS_HFS
singleLoan B NO TRUE
singleLoan BCD NO TRUE
singleLoan ABCDE YES FALSE

Table 5: a loan in a disposal group reported according to three different perspectives

(Please refer to “BIRD scope with respect to Individual- & Consolidated reporting” for the perspective identifier and the group structure examples)

Securitisations and other credit transfers

Registry cube “Securitisations and other credit transfers” (SCRTSTNS_OTHR_CRDT_TRNSFRS)

Input information on securitisations and other credit transfers is based on a registry cube where all data concern each operation. In this way data redundancy is avoided and the consistency of the information produced is ensured.

This cube comprises information on securitisations, as defined in Article 4.1(61) of CRR, and other sales of assets (according to IFRS 9/nGAAP). It must be filled:

  1. when the securitisation or the credit transfer originates from the institution and the transferred assets are recognised in its balance sheet; or
  2. when the transferred assets are serviced by the institution, both in the case the securitisation or the credit transfer originates from the institution, and in the case it originates from another entity.

This entity includes the information related to securitisations and other credit transfer. The level of granularity is the credit transfer.

Table 1a: Reporting treatment for securitisations

Type of the securitisation Is tranched Derecognition Role in the securitisation Reporting treatment Links to examples
Traditional securitisations FALSE Out of scope
TRUE TRUE Servicer and originator FinRep (Table 15, Column 100)*
AnaCredit, only if the creditor is not a reporting agent)
Servicer and not originator AnaCredit, only if the creditor is not a reporting agent)
FALSE In any case AnaCredit and FinRep 15 See illustrative Example
Synthetic securitisations FALSE Out of scope
TRUE Not applicable Originator AnaCredit , and FinRep 9 for the protection

Table 1b : Reporting treatment for other asset transfers

Gave rise to credit risk in the past Derecognition Role in the transaction Creditor reporting to AnaCredit Reporting treatment Links to examples
TRUE FALSE Creditor FinRep (Table 15, Column 10) and AnaCredit
Not creditor TRUE FinRep (Table 15, Column 10)
FALSE FinRep (Table 15, Column 10) and AnaCredit
TRUE Servicer TRUE FinRep (Table 15, Column 100)* See Illustrative Example
FALSE FinRep (Table 15, Column 100) and AnaCredit See Illustrative Example
Not the servicer Out of scope
FALSE TRUE Servicer TRUE Out of scope
FALSE AnaCredit

* If the bank is the servicer and the creditor of the loans is reporting to AnaCredit, the bank can choose if it feeds the loans cube or provides the aggregates amounts for FINREP. (Here we need to link to instructions for aggregate information.)

Specific instructions for securitisations

Securitsations

Securitised assets and positions in a securitsation need to be included in the respective instrument cubes, taking care of the securitisation/transfer identifier and the variable Relationship with securitisation or credit transfer. In order to identify the cases where this information is required, please refer to the table 1a/b.

Significant risk transfer

In a securitisation where the financial assets are recognised for accounting purposes but de-recognised for prudential purposes (Annex V, 182) the following information needs to provided: The variable significant risk transfer in the securitisations and other asset transfers cube is “TRUE” and the variable “amount derecognised for prudential purposes” in the cube securitisations and other asset transfers needs to be filled.

This solution is sufficient for the generation of FINREP but should be reviewed for COREP.

Treatment of subordinated loans to the FVC

Scope

Subordinated loans provided to the FVC in order to retain the junior tranche of a securitisation (note that sometimes the junior tranche is represented by ABSs; these cases are out of the scope of AnaCredit, but in the scope of SHS).

Subordinated liquidity credit facilities, when they have to be reported to AnaCredit.

Current treatment (AnaCredit and SHS)

AnaCredit Manual (part III 6.2.4) says that these loans and credit facilities should be reported in AnaCredit, but does not provide specific guidance on how to report accounting and prudential –related attributes.

SHS Guidance notes (4.3) specify that securities Where assets, such as loans or securities, are securitised (e.g. sold to a financial vehicle corporation (FVC)), securities issued by these vehicles might be held by the originator of the securitisation (self- or retained securitisation). Such security holdings, including covered bonds and other similar asset types, have to be included in the SHSG reporting. It also specifies that the general treatment for intra-group positions should apply, which implies that accounting and prudential attributes do not apply

Accounting treatment

These positions are not recorded in the balance sheet as assets, but they modify the amount of liabilities recognised for the securitisation. Therefore, the accounting attributes related to the positions are not significant.

Proposed treatment in AnaCredit

Given that the accounting attributes for these positions is not significant, and for consistency with SHS, we propose that the accounting and risk-related attributes take the value not applicable for these variables.

Source of encumbrance

Regarding the sources of encumbrance, we consider that the assets are not per se encumbered, because the loan may be freely disposed of. Of course, this does not prevent the loan for being encumbered for other reasons.

Securitised assets/ABSs reimbursement

In a traditional securitisation where the SPV does not have a current account with the bank, the bank can report an advance if it expects future payment from the reimbursement of the ABSs that it holds as (part of) the securitised assets have already amortised. For this record the variable relationship with securitisation or credit transfer = “Credit to the vehicle deriving from the reimbursement of securitised assets”. An alternative treatment is to reduce the carrying amount of the associated liabilities by the expected payments from the ABSs.

Reporting treatment:

  • Not to be reported in AnaCredit (because it is not a loan)

Credit enhancement/liquidity support

In case the bank has a credit line with the SPV as a form of credit enhancement an expected loss in the securitised assets would result in payments to the SPV. The bank reports a provision to reflect the decline in the carrying amount of the underlying assets. Due to a withdrawal the bank reports less cash and a carrying amount of the associated liability which is lowered by the withdrawn amount.

Other forms of credit enhancement are treated the following:

  • Substitution of loans in default does not result in chances for reporting purposes.
  • A retained spread is treated as a reserve on the balance sheet of the SPV. The bank reports a carrying amount of the associated liabilities less the amount of the reserve.

In case the credit line is drawn for liquidity purposes the reporting of the securitisation remains unaffected. The liquidity support withdrawal has to be reported to AnaCredit, and therefore it is necessary to have a record in the relevant loan cube.

Traditional securitisation where the reporting institution is the originator and it entirely recognises securitised loans

Cubes of instruments

The bank includes the securitised assets (variable Relationship with securitisation or credit transfer = “securitised/transferred asset”) and securitisation positions (variable Relationship with securitisation or credit transfer = “exposure to a securitisation or to a credit transfer”), if any, and in every instance of them it provides the Securitisation/transfer identifier.

For securitised assets the variable Percentage transferred is fed.

The variable Sources of encumbrance is “deposits other than repurchase agreements” for securitised assets; it is “not applicable” for securitisation positions if they are entirely derecognised.

Cube of liabilities

In case of associated liabilities the banks provides the Securitisation/transfer identifier.

Cube Securitisations and other credit transfers

The features of the securitisation are provided. In particular:

  • the variable Type of risk transfer is “traditional securitisation”;
  • the variable Treatment of securitised/transferred assets in balance sheet is “entirely recognised”.

Cube Transactions-Counterparties

With the securitisation/transfer identifier as Transaction identifier and the Type of transaction = “Securitisation/Transfer”, the bank provides the Counterparty identifier of the following instances of the variable Counterparty role in a transaction:

  • the “Originator”, which is the bank itself;
  • the “Transferee”, which is the vehicle to which the assets have been transferred;
  • the “Servicer”, which is the servicer of the securitisation1 .

Instruments serviced by the bank and the current creditor is not reporting to AnaCredit

These instruments need to be included in the respective instruments cubes.

Here link can be provided to the instructions on instruments.

Self-securitisation

Self-securitisations are not distinguished from traditional securitisations where transferred assets are entirely recognised.

The variable Sources of encumbrance is “no encumbrance” for securitised assets if the ABS are not encumbered in other transactions.

Securitisation with two vehicles

In a securitisation where securitised assets are sold to a vehicle, which in turn sells them to another vehicle that issues ABS, the following criteria must be followed to feed the cube Transactions-Counterparties:

  • the second vehicle has the role of “transferee”
  • the original seller has the role of “originator”.

Securitisation with resale of loans and the bank is the servicer

In a securitisation where securitised assets are sold to a financial intermediary, which in turn sells them to a vehicle that issues ABS, the following criteria must be followed to feed the cube Transactions-Counterparties:

  • the vehicle has the role of “transferee”;
  • the financial intermediary has the role of “originator”.

Synthetic securitisation originated by the reporting institution

Cubes of instruments

The bank includes the securitised assets (variable Relationship with securitisation or credit transfer = “securitised/transferred asset”) and securitisation positions (variable Relationship with securitisation or credit transfer = “exposure to a securitisation or to a credit transfer”), if any, and in every instance of them it provides the Securitisation/transfer identifier.

For securitised assets the variable Percentage transferred is zero.

Cube Securitisations and other credit transfers

The features of the securitisation are provided. In particular:

  • the variable Type of risk transfer is “synthetic securitisation”;
  • the variable Treatment of securitised/transferred assets in balance sheet is “entirely recognised”.
Cube Transactions-Counterparties

With the securitisation/transfer identifier as Transaction identifier and the Type of transaction = “Securitisation/transfer”, the bank provides its own Counterparty identifier as “originator” if it follows the definition contained in Regulation (EU) No 1075/2013. If the transfer of risk is achieved by the use of an instrument that qualifies as protection, the bank has also to provide the Counterparty identifier of the “protection provider”. In this case, information concerning the protection has to be provided in the cubes pertaining to the protection received, the protection valuation and the link between protection and instruments (see section on protection).

Specific instructions for other asset transfers

Loan transfer aimed at issuing covered bonds

Jurisdictions may have different solutions for isolating assets underlying covered bonds. If underlying asset are sold the following instructions apply:

Cubes of instruments

The bank includes the sold assets (variable Relationship with securitisation or credit transfer = “securitised/transferred asset”) and in every instance of them it provides the Securitisation/transfer identifier. The variable Percentage transferred is fed.

If the bank is financing the operation, it also has to include the loan to the vehicle for the purchase of the assets (variable Relationship with securitisation or credit transfer = “exposure to a securitisation or to a credit transfer”).

The variable Sources of encumbrance is “debt securities issued – covered bonds securities” for transferred assets; it is “not applicable” for the exposures to the credit transfer if they are entirely derecognised.

Cube of liabilities

In case of associated liabilities the banks provides the Securitisation/transfer identifier.

Cube Securitisations and other credit transfers

The features of the operation are provided. In particular:

  • the variable Type of risk transfer is “other credit transfer”;
  • the variable Treatment of securitised/transferred assets in balance sheet is “entirely recognised”.

At this stage, it is not needed to distinguish the case where the bank is financing from the case where another institution is financing.

Cube Transactions-Counterparties

With the securitisation/transfer identifier as Transaction identifier and the Type of transaction = “Securitisation/Transfer”, the bank provides the Counterparty identifier of the following instances of the variable Counterparty role in a transaction:

  • the “Transferee”, which is the vehicle to which the assets have been transferred;
  • the “Servicer”, if there is a servicer of the whole operation different from the bank itself.

Derivatives

In general:

  • For a definition of a derivatives under the accounting standard see IFRS 9
  • If it is not treated as derivative for accounting purposes (own use exemption and embedded derivatives closely related, IFRS 9), not included in the derivatives cubes
  • Please note for NGAAP the elements described in this section can be different
  • At a later stage for the integration of other reporting frameworks, this treatment needs to be review

Structured contracts

Structured contracts can comprise embedded derivatives that need to be separated from the host contract. We refer to IFRS 9. In case they need to separated, the derivative needs to be included in the derivatives cubes. On the other hand, if the derivative is not separated from the host contract, they must not be included.

In any case, the carrying amount of the host instrument shall include the value of the embedded derivative if it is not separated. The carrying amount of the instrument can either be amortised costs or the fair value. If the carrying amount is the amortised costs, the value of the derivative is considered to be included in the amortised costs of the host contract. If the carrying amount is the fair value, the value of the derivative is considered to be included in the fair value of the host contract.

For the structured contracts including only derivatives, where the derivatives are not reported separately, the reporting agents will have to assign the single type of instrument and type of risk.

Credit derivatives that meet the definition of financial guarantee contracts

Credit derivatives that meet the definition of financial guarantees shall not be included in the derivatives cube. In the future, when CoRep will be dealt with, these credit derivatives will also be included in the derivatives cube, a proper flag as for structured contracts will be required.

Number of cubes

Based on the applicable information, and on the relationships, in the input layer, there will be the following cubes:

The level of granularity of the derivatives cube is given by the position. A position in a derivative instrument will be given by the combination of:

  • For OTC derivatives (including those cleared with a CCP): Each different contract
  • For exchange traded derivatives with a CCP, provided that the market and the account in the market is the same:
    • Contract (i.e. type of derivative, strike, maturity and underlying asset)
    • Prudential portfolio
    • Accounting portfolio (including hedges)
  • For structured instruments: Each different derivative that can be identified in terms of type of risk and type of derivative.

Classification of derivatives

Classifications for derivatives usually consider two dimensions: The type of risk (or asset class) and the type of instrument. The type of risk is usually taking the same values (interest rate, equity, FX, commodities, credit risk), but when it comes to the type of instrument there several different solutions, that in many cases mix different aspects.

For the SDD/BIRD classification, we intend to have clearly defined values for the classification of type of risk and type of instrument. Also, we need clear classifications that are complete and disjoint, i.e. every derivative can have a value, and only one value.

The criteria for these variables are:

  • Type of instrument: Describe the derivatives according to the kind of flows they generate at settlement. There are three categories: Swaps, forwards and options.
  • Type of risk: Describes the type of risk to which the derivative creates an exposure.

A third variable will provide the required additional details when the types of derivative mix both components (for instance, total return swap, credit default swap, cross currency swap…). This typology is less stable than the other two, and does not need to be provided for all the instruments. Partial hierarchies can be created (for instance, all credit derivatives).

Counterparties and positions

On counterparties, the reporting agent needs to use the generic role “costumer ”, because the counterparty can either be a creditor or debtor which may change during the life of the instrument. There can be situations where the derivative counterparty is unknown.

On the positions, a variable “Position in the instrument” with the values “Buyer” and “Seller” shall apply to financial options and credit derivatives.

Master netting agreements

Master netting agreements are relevant for reporting purposes in case they imply an accounting netting (FinRep) or prudential netting (CoRep). The accounting netting needs to be in accordance to IAS 32. The variable Netting applicability is set “accounting netting”. At the moment only accounting netting is in the scope of the BIRD. The reporting agent must provide information related to the single contracts including in the netting agreement and the netting agreement itself in separate cube. The variable “is main component” indicates the position that will be used for the allocation to the respective rows in the FINREP templates (F10/11).

Master netting agreements may have a credit supported annex (CSA) specifying collateral.

Hedge accounting

For the purpose of hedge accounting the derivatives cubes has two variables:

  • Type of hedge
  • Type of hedged risk

The type of hedge risk can be different from the type of risk of the derivative in cases like cross currency swaps.

Type of market

The variable TYP_MRKT type of market type of market indicates whether the transaction is OTC or organized market. See the instructions in FinRep Annex V, 136: “The allocation of a transaction as ‘OTC’ or ‘Organized market’ shall be based on the nature of the market where the transaction takes place and not on whether there is a mandatory clearing obligation for that transaction. An ‘Organised market’ is a regulated market in the meaning of article 4(92) of the CRR. Therefore, where a reporting entity enters into a derivative contract in an OTC market where central clearing is compulsory, it shall classify that derivative as ‘OTC’ and not as ‘Organised market’. “

Fair value/Carrying amount

IFRS user need to provide the fair value but not a carrying amount of the derivative. For the generation of the templates the transformation rules will set the absolute fair value equal to the carrying amount. NGAAP users should provide both the carrying amount and the fair value.

Credit quality and Protection

Default

Article 178 of Regulation (EU) No 575/2013 (Capital Requirements Regulation – CRR) specifies the definition of default that is used for the purpose of IRB Approach according to Chapter 3 of Title II in Part three of the CRR as well as for the Standardized Approach in line with Article 127 of the CRR. The definition specifies among others that a default shall be considered to have occurred when the obligor is either or both unlikely to pay or past due more than 90 days on any material credit obligation to the institution, the parent undertaking or any of its subsidiaries. The materiality threshold of such obligations past due is set by the competent authority and reflects a level of risk that the competent authority considers to be reasonable. In addition, competent authorities may replace the 90 days with 180 days for exposures secured by residential or SME commercial real estate in the retail class, as well as exposures to public sector entities.

Impaired

According to IFRS 9, a financial asset is credit-impaired when one or more events that have a detrimental impact on the estimated future cash flows of that financial asset have occurred. Evidence that a financial asset is credit-impaired includes observable data about the following events:

(a) significant financial difficulty of the issuer or the borrower;

(b) a breach of contract, such as a default or past due event;

(c) the lender(s) of the borrower, for economic or contractual reasons relating to the borrower’s financial difficulty, having granted to the borrower a concession(s) that the lender(s) would not otherwise consider;

(d) it is becoming probable that the borrower will enter bankruptcy or other financial reorganization;

(e) the disappearance of an active market for that financial asset because of financial difficulties; or

(f) the purchase or origination of a financial asset at a deep discount that reflects the incurred credit losses.

According to national GAAP the definition of impaired might deviate from the IFRS approach, depending on the country.

Non-performing

Implementing Regulation (EU) No 680/2014 (Annex V, Part 2, paragraph 213) states that non-performing exposures are those that satisfy either or both of the following criteria:

(a) material exposures which are more than 90 days past-due;

(b) the debtor is assessed as unlikely to pay its credit obligations in full without realization of collateral, regardless of the existence of any past-due amount or of the number of days past due.

This categorization shall apply notwithstanding the classification of an exposure as defaulted for regulatory purposes in accordance with Article 178 of Regulation (EU) No 575/2013 or as impaired for accounting purposes. Exposures in respect of which a default is considered to have occurred in accordance with Article 178 of Regulation (EU) No 575/2013 and exposures that have been found impaired in accordance with the applicable accounting framework shall always be considered as non-performing exposures.

Exposures may be considered to have ceased being non-performing when all of the following conditions are met:

(a) the exposure meets the exit criteria applied by the reporting institution for the discontinuation of the impairment and default classification;

(b) the situation of the debtor has improved to the extent that full repayment, according to the original or when applicable the modified conditions, is likely to be made;

(c) the debtor does not have any amount past-due by more than 90 days.

An exposure shall remain classified as non-performing while these criteria are not met, even though the exposure has already met the discontinuation criteria applied by the reporting institution for the impairment and default classification.

When forbearance measures are extended to non-performing exposures, the exposures may be considered to have ceased being non-performing only when all the following additional2 conditions are met:

(a) the extension of forbearance does not lead to the recognition of impairment or default;

(b) one year has passed between the moment when forbearance measures were applied and the moment when exposures have been classified as non-performing (EBA Q&A 2015/2145);

(c) there is not, following the forbearance measures, any past-due amount or concerns regarding the full repayment of the exposure according to the post-forbearance conditions. The absence of concerns

has to be determined after an analysis of the debtor’s financial situation. Concerns may be considered as no longer existing when the debtor has paid, via its regular payments in accordance with the post-forbearance conditions, a total equal to the amount that was previously past-due (if there were past-due amounts) or that has been written-off (if there were no past-due amounts) under the forbearance measures or the debtor has otherwise demonstrated its ability to comply with the post-forbearance conditions.

Forbearance

Forborne exposures are debt contracts in respect of which forbearance measures have been extended (Annex V of Regulation 680/2014 Annex V, Part 2, paragraph 240). Forbearance measures consist of concessions towards a debtor facing or about to face difficulties in meeting its financial commitments (“financial difficulties”).

A concession refers to either of the following actions:

(a) a modification of the previous terms and conditions of a contract that the debtor is considered unable to comply with due to its financial difficulties (“troubled debt”) to allow for sufficient debt service ability, that would not have been granted had the debtor not been in financial difficulties;

(b) a total or partial refinancing of a troubled debt contract, that would not have been granted had the debtor not been in financial difficulties.

A concession may entail a loss for the lender.

Exposures shall be treated as forborne if a concession has been made, irrespective of whether any amount is past-due or if the classification of the exposures is impaired in accordance with the applicable accounting standards or is defaulted in accordance with Article 178 of Regulation (EU) No 575/2013.

Exposures shall not be treated as forborne when the debtor is not in financial difficulties. Nevertheless the following situations shall be treated as forbearance measures:

(a) a modified contract was classified as non-performing or would in the absence of modification be classified as non-performing;

(b) the modification made to a contract involves a total or partial cancellation by write-offs of the debt;

(c) the institution approves the use of embedded forbearance clauses for a debtor who is under non-performing status or who would be considered as non-performing without the use of these clauses;

(d) simultaneously with or close in time to the concession of additional debt by the institution, the debtor made payments of principal or interest on another contract with the institution that was non-performing or would in the absence of refinancing be classified as non-performing.

The forbearance classification shall be discontinued when all the following conditions are met:

(a) the contract is considered as performing, including if it has been reclassified from the non-performing category after an analysis of the financial condition of the debtor and it no longer met the conditions to be considered as nonperforming;

(b) a minimum 2 year probation period has passed from the date the forborne exposure was considered as performing;

(c) regular payments of more than an insignificant aggregate amount of principal or interest have been made during at least half of the probation period;

(d) none of the exposures to the debtor is more than 30 days past-due at the end of the probation period.

When the conditions 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 on at least a quarterly basis.

A forborne exposure may be considered as performing from the date when forbearance measures were extended if either of the following conditions is met:

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

(b) the exposure was not under non-performing status at the date the forbearance measures were extended.

If a performing forborne contract under probation is extended additional forbearance measures or becomes more than 30 days past-due, it shall be classified as non-performing.

Credit quality and the input layer

Credit quality status

As they have relevant overlapping areas, the two definitions of “non-performing” and “default” have been managed with a single BIRD variable named Credit quality status , which is required both in the instruments’ cubes and in the counterparties’ cubes. Its domain allows to classify also those cases in which the definitions differ according to the Regulations backing them:

The accounting concept of “impaired” is identified in a different way as it corresponds to the value “STAGE 3” or, for national GAAP based on BAD, “Specific allowances (GAAP)”3 of the variable Impairment status. Such values are normally associated with one of the “defaulted” values of the variable above ( Default because unlikely to pay, Default because more than 90/180 days past due, Default because both unlikely to pay and more than 90/180 days past due) but in some particular cases it can refer to Non performing but not in default circumstances4.

Performing

Instruments which are not non-performing in accordance with Implementing Regulation (EU) No 680/2014.

Default because unlikely to pay

Even if the Guidelines on the application of the definition of default under Article 178 of Regulation (EU) No 575/2013 are not yet applicable, they contain very useful indications on how to assess an obligor for possible indications of unlikeliness to pay.

Specific credit risk adjustments (SCRA)

The guidelines provide clarification regarding the application of each indication of unlikeliness to pay as specified in Article 178(3) of the CRR. In particular, it is necessary to provide guidance on how to apply Article 178(3)(b), which specifies that where, as a result of a significant perceived decline in the credit quality of an obligation, the institution recognizes an SCRA on any exposure of an obligor, this obligor should be classified as defaulted. In this context it has been specified that all SCRA as specified in Article 1(5)(a) and (b) of Commission Delegated Regulation (EU) No 183/2014 on the calculation of specific and general credit risk adjustments, i.e. (a) losses recognised in the profit or loss account for instruments measured at fair value that represent credit risk impairment under the applicable accounting framework, and (b) losses as a result of current or past events affecting a significant individual exposure or exposures that are not individually significant which are individually or collectively assessed, should be considered to be a result of a significant perceived decline in the credit quality of an obligation and hence should be treated as an indication of unlikeliness to pay.

It is expected that by the time of implementation of these guidelines many institutions will already apply IFRS 9 instead of current accounting standards. Since these new rules are significantly different from the currently used IAS 39 and introduce the concept of expected credit losses, which is new in the accounting framework, the EBA considers it necessary to specify the treatment of provisions under IFRS 9 – despite those rules not having entered into effect. As a general rule all exposures classified as Stage 3, i.e. exposures treated as credit-impaired under IFRS 9, should be treated as defaulted.

It has to be noted that, although Stage 2 under IFRS 9 contains exposures with potentially decreased credit quality, classification to Stage 2 should not be considered an indication of default. Therefore, exposures classified as Stage 2 will in general not be considered defaulted unless there are other indications of unlikeliness to pay.

Sale of credit obligation

According to Article 178(3)(c) of the CRR a material credit-related economic loss related to the sale of credit obligations should be treated as an indication of default. Where the institution sells the credit obligations due to a decrease in their quality or the loss on that sale is otherwise related to the credit quality of the obligations, the materiality of this credit-related economic loss should be assessed (e.g. the difference between the outstanding amounts of the obligations and the agreed price). If the economic loss is higher than a certain threshold the sale of the exposure should be considered an event of default.

Distressed restructuring

According to Article 178(3)(d) of the CRR a distressed restructuring is an indication of unlikeliness to pay where this is likely to result in a diminished financial obligation caused by the material forgiveness, or postponement, of principal, interest or, where relevant fees (e.g. a comparison between the present value of expected cash flows before the changes in the terms and conditions of the contract and the present value of expected cash flows based on the new arrangement, both discounted using the original effective interest rate). In order to be consistent with the supervisory reporting framework it has been specified that distressed restructuring should be considered to have occurred when forbearance measures have been extended towards a debtor as specified in the ITS on forbearance and non-performing exposures. Therefore, those forborne exposures where the forbearance measures are likely to result in a diminished financial obligation should be classified as defaulted.

Bankruptcy

Although the concept of bankruptcy is usually clearly specified in the national legal frameworks it is not always clear how the ‘similar order’ or ‘similar protection’ referred to in points (e) and (f) of Article 178(3) of the CRR should be understood. Therefore, typical characteristics of such concepts have been specified in the guidelines in order to allow harmonised application of this concept for the purpose of default identification. It has also been specified that all types of arrangements listed in Annex A to Regulation (EU) 2015/848 have to be treated as an order or a protection similar to bankruptcy and hence as an indication of default.

Additional indications of unlikeliness to pay

As Article 178(3) of the CRR does not provide a comprehensive list of all situations that may indicate the unlikeliness to pay of an obligor, institutions should specify those other indications of unlikeliness to pay in their internal procedures on the basis of their experience. These indications may reflect specific characteristics of different types of exposures and obligors.

Default because more than 90/180 days past due

The definition of default of an obligor specified in Article 178 see section 4 of the CRR includes, inter alia, the days past due criterion for default identification: the obligor/instrument is past due more than 90 days on any material credit obligation to the institution, the parent undertaking or any of its subsidiaries. However, in the absence of specific rules on these specific aspects of the application of the definition of default various approaches have been adopted across institutions and jurisdictions. As a consequence, until the mandatory application of the Guidelines on the application of the definition of default under Article 178 of Regulation (EU) No 575/2013 it is not possible to give more detailed instructions that could be useful for all European reporting agents. Competent authorities may also replace the 90 days with 180 days for exposures secured by residential or SME commercial real estate in the retail exposure class, as well as exposures to public sector entities. The 180 days shall not apply for the purposes of Article 127 of Regulation (EU) No 575/2013.

Default because both unlikely to pay and more than 90/180 days past due

This value of the variable has to be provided when both the conditions (UNLIKELY TO PAY and PAST DUE > 90/180 DAYS) have taken place for a certain obligor/instrument.

Non-performing but not in default

As said before, as a general rule all exposures classified as Stage 3, i.e. exposures treated as credit-impaired under IFRS 9 (whose cubes can be identified through the value “STAGE 3” of the variable IMPAIRMENT STATUS), should be treated as defaulted. Only a few exceptions from that rule are possible, at least from a theoretical point of view (e.g. exposures where 180 days past due are used instead of 90 days on the basis of the discretion provided in Article 178(1)(b) of the CRR).

Where such conditions are met the value to be provided for such variable should be NON-PERFORMING BUT NOT IN DEFAULT. The value can also be used for cases in which the obligor has not met the conditions to cease being non-performing while meeting the exit criteria for the discontinuation of the default classification.

******

In the case of retail exposures, Article 178 (1) of Regulation (EU) No 575/2013 also states that institutions may apply the definition of default at the level of an individual credit facility rather than in relation to the total obligations of a borrower. When such option is exercised for all the retail exposures of a counterparty then the variable CREDIT QUALITY STATUS of that counterparty is not needed and the value “Non-applicable” must be provided in the BIRD input. However please note that a special case arises if in accordance with Article 178(1) of the CRR the option to apply the definition of default at the level of an instrument is exercised only for a subset of instruments extended to a counterparty, while this option is not exercised for other instruments extended to the same counterparty. This scenario implies that default is assessed both at instrument and counterparty level5. In such cases, the default status of the counterparty is subject to AnaCredit reporting.

Whenever there’s a change in the credit quality status of an instrument, reporting agents have to record the Date of default status and/or the {[DT_PRFRMNG_STTS: Date of performing status]} . For example, if a bank classifies a retail exposure under the transaction approach out of the Default because more than 90/180 days past due category back to the Non performing but not in default one, it has to keep track of the date in which the reclassification has occurred ( Date of default status). However the {[DT_PRFRMNG_STTS: Date of performing status]} should not be modified because it has not changed the status of being classified as “non-performing”. Changes between default status (e.g. from Default because unlikely to pay to Default because more than 90/180 days past due) do not trigger changes in the Date of default status)., i.e. that date should be the date when the instrument or obligor entered or exited the default status for the last time

For instruments performing since the origination, the inception date of the instrument must be reported as Date of performing status. For instruments that have been classified as not in default since the origination, the inception date of the instrument must be reported as Date of default status. The date refers to the latest change in the default/performing status. In case of debtor approach the {[DT_PRFRMNG_STTS: Date of performing status]} of all instruments treated under such approach of the same debtor should be the date in which the outcome of the assessment of the debtor has switched from “performing” to “non-performing” and vice versa. However in case of a debtor considered “performing” for those instruments considered “non-performing” as they are impaired the date above should be the date in which the instrument has been classified as STAGE 3.

When there’s a change in the credit quality status of a counterparty, reporting agents have to record the Date of default status. For example, if a bank classifies a counterparty out of the Default because more than 90/180 days past due category back to the NON-PERFORMING BUT NOT IN DEFAULT one, it has to keep track of the date in which the reclassification has occurred. Changes between default status (e.g. from DEFAULT Default because unlikely to pay to Default because more than 90/180 days past due) do not trigger changes in the Date of default status., i.e. that date should be the date when the obligor entered or exited the default status for the last time.

The attribute, required in the cubes of counterparties, is a date defined as dd/mm/yyyy.

The date of the status at a given reporting reference date must not be later than the reporting reference date. For counterparties not defaulted since the origination, the value “Non-applicable” must be reported as Date of the default status of the issuer

In the case of counterparties which are protection providers – for which the default status of the counterparty is subject to reporting – and which do not have any credit obligation to a given observed agent (i.e. are not debtors vis-à-vis an observed agent) and which are not classified in default in accordance with Article 178 of the CRR, the Credit quality status of the counterparty is to be provided as Performing while the Date of defaulting status of the issuer must be provided as “Not applicable”.

The attributes Date of the default status of the issuer, Date of the default status and Date of performing status, for both cubes of instruments and counterparties, are dates defined as dd/mm/yyyy.

The date of the status at a given reporting reference date must not be later than the reporting reference date.

IMPAIRMENT STATUS

This data attribute indicates the type of impairment to which the instrument is subject:

Stage 1 (IFRS)

This value is reported if the instrument is not impaired and a loss allowance at an amount equal to 12-month expected credit losses is raised against the instrument under IFRS. Only for instruments subject to impairment under IFRS 9.

Stage 2 (IFRS)

This value is reported if the instrument is not impaired and a loss allowance at an amount equal to lifetime expected credit losses is raised against the instrument under IFRS. Only for instruments subject to impairment under IFRS 9.

Stage 3 (IFRS)

This value is reported if the instrument is credit impaired in accordance with IFRS 9.

General allowances (GAAP)

This value is reported if the instrument is not impaired and no specific loss allowances are raised against the instrument. Only for instruments subject to impairment under national GAAP.

Specific allowances (GAAP)

This value is reported if the instrument is credit impaired in accordance with national GAAP. Only for instruments subject to impairment under national GAAP.

In addition, if in accordance with the accounting standard, the instrument is not subject to impairment, the value “Non-applicable” is reported. Similarly, the value “Non-applicable” is also reported in the case of instruments that are not recognised in the balance sheet.

Non applicable

If in accordance with the accounting standard, the instrument is not subject to impairment, the value “Non-applicable” has to be provided. Similarly, the value “Non-applicable” is also to be provided in the case of instruments that are not recognized in the balance sheet.

Retail exposure

This variable is needed to classify exposures as retail as defined in Article 147(5) of the CRR or in accordance with Article 153(6) of the CRR (see Guidelines on the application of the definition of default under Article 178 of Regulation (EU) No 575/2013). Institutions that use the Standardized Approach do have to use it for all exposures that meet the criteria specified in Article 123 of the CRR. The domain is Boolean:

  • FALSE
  • TRUE

Assessment approach for credit quality status

The last sentence of Article 178(1) of the CRR for calculating the own funds requirement provides institutions with the option, in the case of retail exposures, to apply the definition of default laid down in points (a) and (b) of the first subparagraph at the level of an individual credit facility rather than in relation to the total obligations of a borrower.

The level of application of the default definition for retail exposures should be based on the internal risk management practices of the institution. Where institutions decide to use different levels of application of the definition of default for different types of retail exposures it may happen that some exposures of an obligor are assessed at the individual facility level while others at obligor level. This is the reason why such input variable has to be provided at the level of instruments and not of the counterparty. The Boolean domain of this variable allows to classify each instrument according to the approach under which it is treated for credit quality (Annex V part 2 paragraph 226 of Implementing Regulation (EU) No 680/2014):

This data attribute is intended to capture all modifications of the instrument’s terms and conditions, irrespective of whether or not the modifications meet the forbearance criteria as laid down in Implementing Regulation (EU) No 680/2014 (Annex V, Part 2. 241). While the Credit quality status is a variable that can be meaningful both at counterparty level and at an instrument level, the Status of forbearance and renegotiation variable makes sense only at instrument level and so it is required only on the instrument cubes with the following domain:

FORBORNE: INSTRUMENTS WITH MODIFIED INTEREST RATE BELOW MARKET CONDITIONS

A modification of the interest rate below market conditions of a contract the debtor is considered unable to comply with due to its financial difficulties (“troubled debt”) to allow for sufficient debt service ability, that would not have been granted had the debtor not been in financial difficulties.

FORBORNE: INSTRUMENTS WITH OTHER MODIFIED TERMS AND CONDITIONS

A modification of terms and conditions, other than modification of interest rate below market conditions, of a contract the debtor is considered unable to comply with due to its financial difficulties (“troubled debt”) to allow for sufficient debt service ability, that would not have been granted had the debtor not been in financial difficulties.

FORBORNE: TOTALLY OR PARTIALLY REFINANCED DEBT

A total or partial refinancing of a troubled debt contract, that would not have been granted had the debtor not been in financial difficulties.

RENEGOTIATED INSTRUMENT WITHOUT FORBEARANCE MEASURES

An instrument for which the financial conditions have been modified and to which no forbearance measures apply in accordance with Implementing Regulation (EU) No 680/2014 . For example, if any “price” element of a revolving instrument is changed for reasons other than forbearance, then the revolving instrument must be reported as Renegotiated instrument without forbearance measures. A renegotiation of the interest rate (or spread) in response to a lower rate offered by other banks should be considered as a sufficient reason for such a qualification.

NOT FORBORNE OR RENEGOTIATED

An instrument for which neither forbearance measures nor renegotiation apply.

DATE OF THE STATUS OF FORBEARANCE AND RENEGOTIATION

The data attribute Date of forbearance and renegotiation status has to be filled in with the date on which the respective status as reported in the data attribute Status of forbearance and renegotiation is considered to have occurred. In particular, if an instrument is considered to be Forborne: instruments with other modified terms and conditions, then the date must be reported on which the terms and conditions of the instrument were thus modified.

By contrast, if an instrument is not anymore considered to be Forborne: instruments with other modified terms and conditions, then the date has to be reported on which the forbearance ceased and the instrument was considered to be Not forborne or renegotiated.

If an instrument is renegotiated without forbearance measures (e.g. the interest rate is lowered purely for commercial reasons) on date t prior to the reporting reference date, t should be reported as the date of the status of forbearance and renegotiation. However, if at a later moment t + x, the instrument is once again renegotiated without forbearance measures (e.g. the credit line is increased purely for commercial reasons), t + x should be reported as the date of the status of forbearance and renegotiation at the first reporting reference date after the second renegotiation.

Moreover, instruments which have not been considered to have been forborne or otherwise renegotiated at any moment in time since they have been originated until the reporting reference date must be reported as “Not forborne or renegotiated” and the inception date of the instrument must be reported as the Date of forbearance and renegotiation status as of the reporting reference date.

The data attribute is a date defined as dd/mm/yyyy.

Is pulling effect

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 (Annex V of Regulation (EU) No 680/2014 Annex V part 2 227). If this is the case the pulling effect applies. As a consequence the values to be fed for the variable, required uniquely in the cubes of the counterparties, are only the following two:

  • FALSE
  • TRUE

Probability of default

This information is required only for debtors and those protection providers which are at the same time the issuers of the protection (in particular, if the protection item is a financial guarantee as defined in Regulation (EU) No 680/2014). Only banks adopting IRB approaches for the calculation of capital requirements are required to report this attribute.

This data attribute captures the Probability of default of the counterparty as established in accordance with the CRR and it is a number that can range from 0 to 1.

Approach for prudential purposes

Article 107 of the CRR says that institutions shall apply either the Standardized Approach provided for in Chapter 2 or, if permitted by the competent authorities in accordance with Article 143, the Internal Ratings Based Approach provided for in Chapter 3 to calculate their risk-weighted exposure amounts for the purposes of points (a) and (f) of Article 92(3).

Banks feeding the BIRD input layer should provide in the cubes of the counterparties belonging to the portfolios treated according to such approaches one of the following values:

freezing Period in days

This variable defines the number of days (if any) for which the freezing period of the instrument has been applied. This variables has to be included in all the instrument cubes.

Legal reference:

EBA guidelines 2016/07 paragraph 18.

SPECIFIC INSTRUCTIONS FOR NATIONAL GAAP REPORTERS

For nGAAP based on BAD the “Specific allowances for credit risk” , ”General allowances for credit risk affecting carrying amount”, and “General allowances for banking risk affecting carrying amount” are important to give information on the credit quality. The concept is modelled with the combination of variables “Accumulated impairment for national GAAP 1” and “Accumulated impairment for national GAAP 2” vs. “Impairment status” as shown in the subsequent table:

Illustration of the distribution of the “Specific”- and “General” allowances using the members “Accumulated impairment” and “Impairment status”

If IMPRMNT_STTS =21 If IMPRMNT_STTS =26
ACCMLTD_IMPRMNT_GAAP1 General allowances for credit risk affecting carrying amount Specific allowances for credit risk
ACCMLTD_IMPRMNT_GAAP2 General allowances for banking risk affecting carrying amount Accumulated negative value adjustments on LOCOM assets – credit risk induced

Further, according to some nGAAPs instruments can be measured at the lower of cost or market (LOCOM).6 Under this concept instruments might be measured under a non-continuous basis (‘moderate LOCOM’) regardless of their actual measurement as of the reporting reference date or on a continuous basis (‘strict LOCOM’). Assets measured at strict LOCOM are assets for which the applicable accounting framework either provides for the initial and subsequent measurement at LOCOM, or the initial measurement at cost and the subsequent measurement at LOCOM.

LOCOM assets are identified via Accounting classification: “Non-trading non-derivative financial assets measured at a cost-based method. LOCOM” and “Other non-trading non-derivative financial assets. LOCOM”. For these instruments “Accumulated negative value adjustments on LOCOM assets – credit risk induced” may be reported using the members ACCMLTD_IMPRMNT_GAAP2 and IMPRMNT_STTS =26 (see previouse table).

General information on protection cubes

Other financial protection

The purpose of this cube is to represent financial protections which do not qualify as securities.

Maximum amount of guarantee that can be considered

It is the maximum amount the counterparty could have to pay if the guarantee is called on. Where a financial guarantee received has been issued by more than one guarantor the bank has to feed the BIRD input specifying which one is the most relevant for the mitigation of credit risk. Depending on the option chosen for the codification of joint debtors the bank has to feed the variable Is primary protection provider in the Transactions counterparties cube.

Instruments-protections.

This entity serves to link the protection received to the instruments it is protecting instruments-protections.

The cube Instruments protections provides the BIRD model with the functionality to connect instruments and protections. Therefore the dimensions of this cube are: the Instrument unique identifier Instrument Unique Identifier and the Protection Identifier, as one instrument can be secured by multiple protections, while one protection can be pledged to multiple instruments the relation between instruments and protections is of the type many-to-many. Additionally, this cube comprises variables which are connected to the instrument as well as the protection. For example the Protection allocated value Protection allocated Value and the Maximum amount of guarantee that can be considered.

Protection allocated Value

For banks this piece of information is a result of the allocation of collateral and guarantees on the instruments according to AnaCredit criteria. At this stage, the BIRD does not manage this allocation. Consequently, the protection allocated value is an input variable Protection allocated value Protection allocated Value which is required in the cube Instruments-protections.

Maximum amount of the collateral/guarantee that can be considered

For banks this piece of information is a result of the allocation of collateral and guarantees on the instruments according to FinREP criteria. It is the maximum amount of the collateral or guarantee that can be considered as credit protection for the instruments. The sum of the amounts of the financial guarantee and/or collateral for a specific instrument shall not exceed the carrying amount or the nominal amount of the instrument. For instruments that have simultaneously more than one type of collateral or guarantee, the amount of the Maximum amount of the collateral/guarantee that can be considered shall be allocated according to its quality starting from the one with the best quality. For instruments collateralised by immovable property, immovable property collateral shall always be reported first, irrespective of its quality compared to other collateral. Where the Maximum amount of the 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.

Collateral Obtained by Taking Possession

The value TRUE has to be fed for those tangible assets (Non-current assets held-for-sale, Property, plant and equipment, Investment property, Equity and debt instruments and Other assets) which are recognised in the balance sheet at the reference date and were obtained by taking possession of collateral. For the remaining assets the value to be fed should be FALSE.

Date of the collateral obtained by taking possession

The variable is needed to identify the collateral that has been obtained between the first day of the accounting year to the reference date (see EBA Q&A 2014_1094). It has to be fed only if Collateral Obtained by Taking Possession is equal to TRUE.

Is primary protection provider

The variable has to be fed in the Transactions counterparties. It identifies the most relevant guarantor for a specific collateral/guarantee.

This variable should be fed having in mind the instructions given in par. 119 of the Part II of Annex V which states “where a financial guarantee received has been issued by more than one guarantor, the guaranteed amount shall be reported only once in this template; the guaranteed amount shall be allocated to guarantor that is more relevant for the mitigation of credit risk”. This criterion for selecting the most relevant guarantor has to be reused also for representing in AnaCredit only one of the guarantors and should apply also when feeding IS MN_CNTRPRTY in the Transactions counterparties for those banks that use the alternative method for treating joint counterparties.

Commitments-protections

This cube is used to link the commitments cubes ( Financial Guarantees Given, Credit facilities, Other Commitments Given then Credit Facilities) to the protection cubes.

In case a commitment is linked to a protection, a record in this cube has to be added using the variables: Commitment Unique Identifier for the commitment and Protection Identifier for the protection. Two illustrative examples are provided and related to this cube.


  1. In case the transferred instruments are individually serviced by different servicers, this role has to be linked to the single instruments.
  2. In Q&A 2017_3369 EBA clarifies its approach that impaired assets under national GAAP based on BAD shall only include assets adjusted for specific allowances for credit risk and not assets adjusted for general allowances for credit risk.
  3. Final report of the Guidelines on the application of the definition of default under Article 178 of Regulation (EU) No 575/2013 recognizes that only few situation in which exposures treated as credit-impaired under IFRS 9 might be not defaulted and these include:exposures where 180 days past due are used instead of 90 days on the basis of the discretion provided in Article 178(1)(b) of the CRR;the application of the materiality threshold in accordance with Article 178(2)(d) of the CRR where it is not used for the purpose of classification of exposures to Stage 3;technical past due situations;exposures to central governments, local authorities and public sector entities that are under specific treatment as described above.
  4. The Guidelines on the application of the definition of default under Article 178 of Regulation (EU) No 575/2013 state that where the exposure to which the definition of default at the obligor level applies fulfils either or both of the conditions of points (a) or (b) of Article 178(1) of Regulation (EU) No 575/2013, then all exposures to that obligor should be considered defaulted, including those subject to the application of the definition of default at individual credit facility level. Where the exposure subject to the application of the definition of default at individual credit facility level meets those conditions, the other exposures to the obligor should not be automatically reclassified to default status. Institutions, however, may classify those other exposures as defaulted on the basis of other unlikeliness to pay considerations.
  5. Implementing Regulation (EU) No 680/2014 defines (Annex V, Part 1, paragraph 19 and 20)