Part 2, Paragraph 236 of ITS No 680/2014 (as amended) states that non-performing exposures shall be reported broken down by past due time bands. 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 to past-due time bands according to the number of days that they are past due.

In accordance with Article 178(1)(b) of Regulation (EU) No 575/2013 (CRR), a default shall be occur if the obligor more than 90 days on any material credit obligation, which is assessed against a materialty threshold as per Article 178(2) CRR and Commission Delegated Regulation (EU) 2018/171.  

Furthermore, EBA Q&A 2019_4504 clarifies that material past due are calculated based on whether the remaining amounts past due exceed the applicable materiality threshold, and are continued to be counted as of the first day when the applicable materiality threshold has been exceeded.

Further to this, Part 2, Paragraph 222 of ITS No 680/2014 (as amended) states that an exposure is “past-due” when it meets the criteria of Paragraph 96, that is where any amount of principal, interest or fee has not been paid at the date it was due. Paragraph 96 follows clarifying that past due exposures shall be reported for their entire carrying amount and broken down according to the number of days of the oldest past due amount unpaid at the reference date.

From the above it follows that there are two different assessments of past due days, i.e.:

• past due days where any amount has not been paid at the date it was due, whose count starts on the first day after the date it was due, regardless of the materiality threshold.
• material past due days, whose count starts after the relevant threshold has been breached.

Material past due days shall be used for the classification of exposures as non-performing. Once classified as non-performing, in case they are different, what shall be used for reporting in template F 18.00 ? Past due days or material past due days?

Example 1 (simplified):

The obligor had not repaid a non-material credit obligation due on December 2021 and a material credit obligation due on January 2022. Assume obligor will miss all future credit obligations and will eventually be classified as non-performing.

As at 30 June 2022 obligor will have past due days more than 180 days but not more than 1 year and material past due dates more than 90 but not more than 180.

Under which time band shall we report this obligor?

Example 2 (simplified):

An obligor has not repaid material obligations for 4 months, thus material past due days exceed 90 and is classified as non-performing. During June 2022 obligor repays 2 out of 4 credit obligations, with the outstanding credit obligations still considered to be material.

Under EBA Q&A 2019_4504, the obligor continues to be materially past due, with material past due dates more than 90 but not more than 180 but past due dates are now less than 90.

Under which time band shall we report this obligor?