Clarifications concerning the data attribute “default status of the instrument” in Example 34 in Part II
We have some questions concerning Example 34 in Part II which illustrates the reporting of the default status and the performing status of the instrument in the case of a “transaction-based” assessment in line with paragraph 226 of Annex V to the amended ITS when the definition of default applies at the level of the individual credit facility only for a subset of the debtor’s (retail) instruments, while for the other (non-retail) instruments the definition of default applies at the level of the counterparty. Specifically, could you please confirm that INS#2 in the sentence “…because INS#2 (a) is 90 days past due and (b) accounts for more than 20% of the gross carrying amount of all on-balance-sheet exposures to DEBT#1” should be INS#3? Secondly, it seems that the example fails to account for the provision of paragraph 90 of the EBA Guideline on the application of the definition of default under Article 178 of the CRR which stipulates that if the debtor is in default (concerning the exposures to which the definition of default at the obligor level applies), then all instruments of that debtor are considered in default, including instruments subject to the application of the definition of default at individual credit facility level. Could you please clarify this?
There is indeed a typographical error in this sentence; it should indeed refer to INS#3 in the part concerned (“…classified as “non-performing” because INS#3 (a) is more than 90 days past due and (b) accounts for more than 20% of the gross carrying amount of all on-balance-sheet exposures to DEBT#1”).
As regards the second question, this example deals with the complex situation of default and performance status in the case of counterparties that have both instruments whose default status is assessed at the counterparty level and (retail) instruments that are assessed at the instrument level. While the example focuses on the performance status, it does not fully reflect the provisions of the EBA Guideline on the application of the definition of default under the CRR.
It is important to note that the example provided in the Manual is without prejudice to the EBA Guideline on the application of the definition of default under the CRR. It should also be noted that while the values of the different data attributes of the instrument’s default and performing status follow the CRR (rather than being stipulated by the AnaCredit Regulation), the example solely aims to illustrate how these data attributes are jointly reflected in the AnaCredit datasets. Consequently, rather than elaborating on its assumptions (which are thoroughly clarified in the EBA Guideline), the example has been revised as follows, whereby the focus is on the interplay of several data attributes in AnaCredit.
Revised Example 34
: Performing status of the instrument – mixed retail and non-retail exposures under the CRR
Table 69 The performing and default status of the instruments of DEBT#1
Table 70 The default status of the counterparty of DEBT#1