Decision of the European Central Bank of 29 July 2014 on measures relating to targeted longer-term refinancing operations (ECB/2014/34) (2014/541/EU)

4. Definitions

This section provides detailed definitions of the various items to be reported in the template and the numbering used in the template is indicated in brackets.

(a) Outstanding amounts of eligible loans (1 and 4)

The data in these cells are automatically calculated on the basis of the figures reported in respect of the subsequent items, namely ‘Outstanding amounts on the balance sheet’ (1.1 and 4.1), minus ‘Outstanding amounts of loans that are securitised or otherwise transferred but not derecognised from the balance sheet’ (1.2 and 4.2), plus ‘Outstanding provisions against eligible loans’ (1.3 and 4.3). The latter sub-term is relevant only in cases where, contrary to the general BSI practice, loans are reported net of provisions.

(i) Outstanding amounts on the balance sheet (1.1 and 4.1)

This item comprises outstanding amounts of loans granted to euro area non-financial corporations and households, excluding loans for house purchase. Accrued interest, as opposed to capitalised interest, is excluded from the indicators.

These cells on the template can be completed with data compiled to meet the requirements of Part 2 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) (Block 2 of Table 1 on monthly stocks).

For a more detailed definition of the items to be included in the template, see Part 2 of Annex II to Regulation (EU) No 1071/2013 (ECB/2013/33) and Section 2.1.4 of the Manual on MFI balance sheet statistics.

(ii) Outstanding amounts of loans that are securitised or otherwise transferred but not derecognised from the balance sheet (1.2 and 4.2)

This item comprises the outstanding amounts of loans that are securitised or otherwise transferred but which have not been derecognised from the balance sheet. All securitisation activities must be reported, regardless of where the financial vehicle corporations involved are resident. Loans provided as collateral to the Eurosystem for monetary policy credit operations in the form of credit claims, which result in a transfer without derecognition from the balance sheet are excluded from this item.

Part 5 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) (Block 5.1 of Table 5a on monthly data) covers the required information on securitised loans to non-financial corporations and households that have not been derecognised, but does not require the latter to be broken down by purpose. In addition, outstanding amounts of loans which have been otherwise transferred (i.e. not through a securitisation) but are not derecognised, are not covered by Regulation (EU) No 1071/2013 (ECB/2013/33). For the purposes of the completion of the reporting template, separate data extractions from the MFIs' internal databases are thus required.

For a more detailed definition of the items to be included in the template, see Part 5 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) and Section 2.3 of the Manual on MFI balance sheet statistics.

(iii) Outstanding provisions against eligible loans (1.3 and 4.3)

These data are relevant only for those institutions that, contrary to the general BSI practice, report loans net of provisions. In the case of institutions bidding as a TLTRO group, this requirement only applies to those institutions in the group that record loans net of provisions.

This item includes individual and collective allowances for impairment and loan losses (before write-offs/write-downs take place). The data must refer to outstanding eligible loans on the balance sheet, i.e. excluding loans that are securitised or otherwise transferred which have not been derecognised from the balance sheet.

As stated above, in BSI statistics loans should be reported, as a rule, at the principal outstanding amount, with the corresponding provisions being allocated to ‘Capital and reservesf’. In such cases, no separate information on provisions should be reported. At the same time, in cases where loans are reported net of provisions, this additional information must be reported in order to gather fully comparable data across MFIs.

Where it is the practice to report outstanding amounts of loans net of provisions, NCBs have the option of making the reporting of this information non-mandatory. However, in such cases the calculations under the TLTRO framework will be based on amounts of outstanding loans on the balance sheet net of provisions(1).

For some additional details, see the reference to provisions in the definition of ‘Capital and reserves’ provided in Part 2 of Annex II to Regulation (EU) No 1071/2013 (ECB/2013/33).

(b) Eligible net lending (2)

These cells of the template record the net lending (transactions) granted during the reporting period. The data are automatically calculated on the basis of the figures reported for the sub-items, namely ‘Gross lending’ (2.1) minus ‘Repayments’ (2.2).

Loans which are renegotiated during the reporting period should be reported both as ‘Repayments’ and as ‘Gross lending’ at the time when the renegotiation takes place. Adjustment data must include effects relating to loan renegotiation.

Reversed transactions during the period (i.e. loans granted and repaid during the period) should in principle be reported both as ‘Gross lending’ and as ‘Repayments’. However, it is also permissible for bidding MFIs to exclude these operations when completing the template, to the extent that this would alleviate their reporting burden. In this case, they should provide information in the ‘Comments’ field of the template and the data on adjustments to the outstanding amounts must also exclude effects relating to these reversed operations. This exception does not apply to loans granted during the period which are securitised or otherwise transferred.

Credit card debt, revolving loans and overdrafts should also be considered. For these instruments, changes in balances owing to amounts used or withdrawn during the reporting periods should be used as proxies for net lending. Positive amounts should be reported as ‘Gross lending’ (2.1), whereas negative amounts should be reported (with the positive sign) as ‘Repayments’ (2.2).

(i) Gross lending (2.1)

This item comprises the flow of gross new loans in the reporting period, excluding any loan acquisitions. Credit granted that relates to credit card debt, revolving loans and overdrafts should also be reported, as explained above.

Amounts added during the period to customer balances due, for instance, to interest capitalisation (as opposed to interest accruals) and fees, should also be included.

(ii) Repayments (2.2)

This item comprises the flow of repayments of principal during the reporting period, excluding those relating to securitised or otherwise transferred loans which are not derecognised from the balance sheet. Repayments relating to credit card debt, revolving loans and overdrafts should also be reported, as explained above.

Interest payments relating to accrued interest not yet capitalised, loan disposals and other adjustments to the outstanding amounts (including write-offs and write-downs) should not be reported.

(c) Adjustments to the outstanding amounts

These cells of the template are for reporting changes in outstanding amounts (reductions (–) and increases (+)) occurring during the reporting period which are not related to net lending. Such changes arise from operations such as loan securitisations and other loan transfers during the reporting period, and from other adjustments related to revaluations owing to changes in exchange rates, loan write-offs/write-downs and reclassifications. The data in these cells are automatically calculated on the basis of the figures reported under the sub-items, namely ‘Loan sales and purchases and other loan transfers during the reporting period’ (3.1) plus ‘Other adjustments’ (3.2).

(i) Loan sales and purchases and other loan transfers during the reporting period (3.1)

— Net flows of securitised loans with an impact on loan stocks (3.1 A)

This item comprises the net amount of loans that are securitised during the reporting period with an impact on reported loan stocks, calculated as acquisitions minus disposals(2). All securitisation activities must be reported, regardless of where the financial vehicle corporations involved are resident. Loan transfers should be recorded at the nominal amount net of write-offs/write-downs at the time of the sale. These write-offs/write-downs should be reported, where identifiable, under item 3.2B in the template (see below). In the case of MFIs that report loans net of provisions, the transfers should be recorded at the balance sheet value (i.e. the nominal amount net of outstanding provisions)(3).

The requirements of Part 5 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) (Blocks 1.1 of Table 5a on monthly data and Table 5b on quarterly data) cover these elements.

For a more detailed definition of the items to be reported, see Part 5 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) and Section 2.3 of the Manual on MFI balance sheet statistics.

— Net flows of loans that are otherwise transferred with an impact on loan stocks (3.1B)

This item comprises the net amount of loans disposed of or acquired during the period with an impact on reported loan stocks in operations not related to securitisation activities, and is calculated as acquisitions minus disposals. The transfers should be recorded at the nominal amount net of write-offs/write-downs at the time of the sale. These write-offs/write-downs should be reported, where identifiable, under item 3.2B in the template (see below). In the case of MFIs that report loans net of provisions, the transfers should be recorded at the balance sheet value (i.e. the nominal amount net of outstanding provisions).

The requirements of Part 5 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) partly cover these elements. Blocks 1.2 of Table 5a on monthly data and Table 5b on quarterly data cover data on net flows of loans that are otherwise transferred with an impact on loan stocks, but exclude:

(1)

loans disposed of to, or acquired from, another domestic MFI, including intra-group transfers owing to corporate business restructuring (e.g. the transfer of a pool of loans by a domestic MFI subsidiary to the parent MFI)(4);

(2)

loan transfers in the context of intra-group reorganisations owing to mergers, acquisitions and divisions.

For the purposes of the completion of the TLTRO reporting template, all of these effects must be reported. For a more detailed definition of the items to be reported, see Part 5 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) and Section 2.3 of the Manual on MFI balance sheet statistics. With regard to ‘Changes in the structure of the MFI sector’, Section 1.6.3.4 of the Manual on MFI balance sheet statistics (and the related Section 5.2 of Annex 1.1) provides a detailed description of intra-group transfers, distinguishing between cases where transfers take place between separate institutional units (e.g. before one or more of the units cease to exist in a merger or acquisition) and those that take place at the moment when some units cease to exist, in which case a statistical reclassification should be carried out. For the purposes of the completion of the TLTRO reporting template, in both cases the implications are the same and the data should be reported under item 3.1C (and not under item 3.2C).

— Net flows of loans that are securitised or otherwise transferred without any impact on loan stocks (3.1C)

This item comprises the net amount of loans that are securitised or otherwise transferred during the reporting period without any impact on the reported loan stocks, and is calculated as acquisitions minus disposals. The transfers should be recorded at the nominal amount net of write-offs/write-downs at the time of the sale. These write-offs/write-downs should be reported, where identifiable, under item 3.2B in the reporting template (see below). In the case of MFIs that report loans net of provisions, the transfers should be recorded at the balance sheet value (i.e. the nominal amount net of outstanding provisions). Net flows relating to the provision of loans as collateral to the Eurosystem for monetary policy credit operations in the form of credit claims which result in a transfer without derecognition from the balance sheet are excluded from this item.

The requirements of Part 5 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) partly cover these elements. Blocks 2.1 of Table 5a on monthly data and Table 5b on quarterly data cover data on net flows of loans that are securitised or otherwise transferred without any impact on loan stocks, but loans to households for house purchase are not separately identified and should thus be extracted from the MFIs' internal databases separately. In addition, as specified above, the requirements exclude:

1.

Loans disposed of to or acquired from another domestic MFI, including intra-group transfers owing to corporate business restructuring (e.g. when a domestic MFI subsidiary transfers a pool of loans to the parent MFI);

2.

Loan transfers in the context of intra-group reorganisations owing to mergers, acquisitions and divisions.

For the purposes of the completion of the TLTRO reporting template, all of these effects must be reported.

For a more detailed definition of the items to be included, see Part 5 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) and Section 2.3 of the Manual on MFI balance sheet statistics.

(ii) Other adjustments (3.2)

Data on other adjustments must be reported for outstanding eligible loans on the balance sheet, excluding securitised or otherwise transferred loans which are not derecognised.

— Revaluations owing to changes in exchange rates (3.2 A)

Movements in exchange rates against the euro give rise to changes in the value of loans denominated in foreign currencies when they are expressed in euro. Data on these effects should be reported with a negative (positive) sign when in net terms they give rise to a reduction (increase) in outstanding amounts, and are necessary to allow a full reconciliation between net lending and changes in outstanding amounts.

These adjustments are not covered under the requirements laid down by Regulation (EU) No 1071/2013 (ECB/2013/33). For the purposes of the TLTRO reporting template, if the data (or even an approximation) are not readily available to MFIs, they can be calculated in accordance with the guidance provided in Section 4.2.2 of the Manual on MFI balance sheet statistics. The suggested estimation procedure limits the scope of the calculations to major currencies and is based on the following steps:

1.

the outstanding amounts of eligible loans at the end of the month preceding the start of the period and at the end of the period (items 1 and 4) are broken down by currency of denomination, focusing on the pools of loans denominated in GBP, USD, CHF and JPY (if these data are not readily available, data on total outstanding amounts on the balance sheet, including securitised or otherwise transferred loans which are not derecognised — items 1.1 and 4.1 — can be used);

2.

each pool of loans is treated as follows (the relevant equation numbers in the Manual on MFI balance sheet statistics are provided in brackets):

• outstanding amounts at the end of the month preceding the start of the reporting period and at the end of the period are converted into the original currency of denomination, using the corresponding nominal exchange rates(5) (equations [4.2.2] and [4.2.3]);

• the change in outstanding amounts during the reference period denominated in foreign currency is computed and converted back into euro using the average value of the daily exchange rates during the reporting period (equation [4.2.4]);

• the difference between the change in outstanding amounts converted into euro, as calculated in the previous step, and the change in outstanding amounts in euro is computed (equation [4.2.5], with the opposite sign);

3.

the final exchange rate adjustment is estimated as the sum of the adjustments for each currency.

For additional information, see Sections 1.6.3.5 and 4.2.2 of the Manual on MFI balance sheet statistics.

— Write-offs/write-downs (3.2B)

In accordance with Regulation (EU) No 1071/2013 (ECB/2013/33), ‘write-down’ means the direct reduction of the carrying amount of a loan on the (statistical) balance sheet owing to its impairment. Similarly, ‘write-off’ means a write-down of the full carrying amount of a loan leading to its removal from the balance sheet. The effects of write-downs and write-offs should be reported with a negative (positive) sign when in net terms they result in a reduction (increase) in outstanding amounts. These data are necessary to allow a full reconciliation between net lending and changes in outstanding amounts.

As regards write-offs/write-downs relating to outstanding loans on the balance sheet, data compiled to comply with the minimum requirements of Part 4 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) (Block 2 of Table 1A on revaluation adjustments) can be used. However, disentangling the impact of loan write-offs/write-downs on securitised or otherwise transferred loans which are not derecognised requires a separate data extraction from the MFIs' internal databases.

Data on outstanding amounts of eligible loans (items 1 and 4) are in principle corrected for the outstanding amounts of provisions in cases where loans are recorded net of provisions on the statistical balance sheet.

— In cases where participants report items 1.3 and 4.3, data on loan write-offs/write-downs should incorporate the cancelation of past provisions on loans that have become (partly or fully) unrecoverable and, in addition, should also include any losses in excess of the provisions, if applicable. Similarly, when a provisioned loan is securitised or otherwise transferred, a write-off/write-down needs to be recorded that is equal to the outstanding provisions, with the opposite sign, in order to match the change in the value on the balance sheet, corrected for the amounts of provisions and the value of the net flow. Provisions may change over time as a result of new allowances for impairment and loan losses (net of possible reversals, including those that take place when a loan is repaid by the borrower). Such changes should not be recorded in the TLTRO reporting template as part of write-offs/write-downs (as the template reconstructs values gross of provisions)(6).

Disentangling the impact of loan write-offs/write-downs on securitised or otherwise transferred loans which are not derecognised can be omitted if separate data on provisions cannot be extracted from the MFIs' internal databases.

— Where it is the practice that outstanding amounts of loans are reported net of provisions, but the relevant items (1.3 and 4.3) relating to provisions are not reported (see above), write-offs/write-downs must include new allowances for impairment and loan losses on the loan portfolio (net of possible reversals, including those that take place when a loan is repaid by the borrower)(7).

It is not necessary to disentangle the impact of write-offs/write-downs on securitised or otherwise transferred loans which are not derecognised if separate data on provisions cannot be extracted from the MFIs' internal databases.

In principle, these items also cover revaluations arising when loans are securitised or otherwise transferred and the transaction value differs from the nominal amount outstanding when the transfer takes place. These revaluations must be reported, where identifiable, and should be calculated as the difference between the transaction value and the nominal amount outstanding at the time of the sale.

For additional information, see Part 4 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) and Section 1.6.3.3 of the Manual on MFI balance sheet statistics.

— Reclassifications (3.2C)

Reclassifications record all other effects that are not related to net lending, as defined above, but result in changes in the outstanding amounts of loans on the balance sheet, excluding securitised or otherwise transferred loans which are not derecognised.

These effects are not covered under the requirements laid down by Regulation (EU) No 1071/2013 (ECB/2013/33) and their impact is normally estimated on an aggregated basis when compiling macroeconomic statistics. However, they are important at the level of individual institutions (or TLTRO groups) in order to reconcile net lending and changes in outstanding amounts.

The following effects must be reported, in respect of the outstanding amounts of loans on the balance sheet, excluding securitised or otherwise transferred loans which are not derecognised and the usual convention of recording effects leading to reductions (increases) in outstanding amounts with a negative (positive) sign applies.

1.

Changes in the sector classification or area of residence of borrowers that result in changes in the reported outstanding positions which are not due to net lending and thus need to be recorded(8).

2.

Changes in the classification of instruments. These may also affect the indicators if the outstanding amounts of loans increase (decrease) owing, for instance, to the reclassification of a debt security (loan) as a loan (debt security).

3.

Adjustments that result from the correction of reporting errors.

Effects relating to loan transfers that arise in the context of corporate restructuring and intra-group reorganisations owing to mergers, acquisitions and divisions must be reported under item 3.1.B. No reclassifications are required in respect of changes in the composition of TLTRO groups, as in such cases reporting templates need to be resubmitted reflecting the new TLTRO group composition.

For additional information, see Section 1.6.3.4 of the Manual on MFI balance sheet statistics; however, the conceptual differences highlighted above should be borne in mind for the purposes of deriving reclassification data at the level of individual institutions.

(1)

This exception also has implications for the reporting of data on write-offs/write-downs, as clarified below.

(2)

This sign convention (which is the opposite of the requirements of Regulation (EU) No 1071/2013 (ECB/2013/33)) is consistent with the general requirement regarding adjustment data, as specified above — namely effects leading to increases (decreases) in outstanding amounts are to be reported with a positive (negative) sign.

(3)

As discussed above, Regulation (EU) No 1071/2013 (ECB/2013/33) allows MFIs to report purchased loans at their transaction value (as long as this is a national practice applied by all MFIs resident in the country). In such cases, revaluation components that may arise must be reported in the template under item 3.2B.

(4)

In accordance with the requirements of Regulation (EC) No 25/2009 (ECB/2008/32), which are to be applied by MFIs when reporting BSI statistics until the reference month of November 2014, all transfers between euro area MFIs are excluded from the net flows, not only those between domestic MFIs.

(5)

ECB reference exchange rates should be used. See the press release of 8 July 1998 on setting up common market standards which is available on the ECB's website (http://www.ecb.europa.eu).

(6)

It should be noted that this requirement differs from the reporting requirements under Regulation (EU) No 1071/2013 (ECB/2013/33).

(7)

This requirement is the same as the information to be reported under Regulation (EU) No 1071/2013 (ECB/2013/33) by MFIs recording loans net of provisions.

(8)

The effects of the reclassification of head offices and holding corporations of non-financial corporations as financial corporations, which will take place in December 2014, should be recorded under item 3.2C.