ANNEX IISupplementary provisions
ANNEX II Specific statistical reporting requirements In accordance with Article 7, the statistical reporting requirements defined in Article 6 must be reduced if specific conditions apply. The following four cases describe the specific conditions for which the full dataset of credit data is not required. 1. Observed agents that are not resident in a reporting Member State Instruments for which the observed agent is a foreign branch that is not resident in a reporting Member State. 2. Observed agents not subject to capital requirements Instruments for which the observed agent: (a) is not an institution supervised under Regulation (EU) No 575/2013; or (b) is a foreign branch of an entity not supervised under Regulation (EU) No 575/2013. 3. Fully derecognised instruments being serviced Instruments that are: (a) derecognised; and (b) being serviced. 4. Instruments originating prior to 1 September 2018 Instruments with an inception date prior to 1 September 2018. Table 1 specifies the reporting requirements for each data attribute in each of the four cases, using the following classifications: (a) N : subject to individual arrangements, the relevant NCBs may decide not to collect this information from individual reporting agents. (b) X : information not required to be reported. Where no classification is provided, the information is required to be reported. Where data is covered by more than one description in Table 1, the least onerous reporting requirement applies. Table 1 Specific statistical reporting requirements 1. Observed agents that are not resident in a reporting Member State 2. Observed agents not subject to capital requirements 3. Fully derecognised instruments being serviced 4. Instruments originating prior to 1 September 2018 Project finance loan N Inception date N Interest rate type N Interest rate reset frequency N End date of interest-only period N N Reference rate N Interest rate spread/margin N Interest rate cap N N Interest rate floor N N Amortisation type N N Payment frequency N N Fair value changes due to changes in credit risk before purchase N N Next interest rate reset date N Default status of the instrument N Date of the default status of the instrument N Accrued interest N Accounting classification of instruments X Sources of encumbrance N X Accumulated write-offs X Accumulated impairment amount X Type of impairment X Impairment assessment method X Accumulated changes in fair value due to credit risk X Performing status of the instrument N Date of the performing status of the instrument N Provisions associated to off-balance-sheet exposures X Date of the forbearance and renegotiation status N Prudential portfolio X X Carrying amount X Original protection value N Date of original protection value N Probability of default N N Default status of the counterparty N N Date of the default status of the counterparty N N