ANNEX II

THE THIRD SERIES OF TARGETED LONGER-TERM REFINANCING OPERATIONS - GUIDELINES FOR COMPILING DATA REQUIRED BY THE REPORTING TEMPLATES

1. Introduction (1)

These guidelines provide instructions for compiling the data reports that participants in the TLTROs-III must submit in accordance with Article 6. The reporting requirements are presented in the reporting templates at the end of this Annex. These guidelines also specify the reporting requirements of lead institutions of TLTRO-III groups participating in the operations.

Section 2 and 3 provide general information relating to the compilation and transmission of the data and section 4 explains the indicators to be reported.

2. General information

The measures to be used in the calculation of the borrowing allowance relate to monetary financial institution (MFI) loans to euro area non-financial corporations and MFI loans to euro area households (2), excluding loans for house purchases, in all currencies. In accordance with Article 6, two data reports must be submitted: the first report covers data on the reference outstanding amount and data relating to the first reference period, and the second report covers data relating to the second reference period. Amounts must be reported separately for non-financial corporations and for households. Outstanding amounts of eligible loans are adjusted to account for loans which are securitised or otherwise transferred and not derecognised, however participants may exercise the option under Article 6(3) to add self-securitised eligible loans for the purpose of calculating their borrowing allowance, regardless of their recognition status on the balance sheet. Detailed information is also required on the relevant sub-components of these items, as well as on effects that result in changes to outstanding amounts of eligible loans but that are not related to eligible net lending (hereinafter ‘adjustments to the outstanding amounts’), also covering loan sales and purchases and other loan transfers.

As regards the use of the collected information, data on the reference outstanding amount will be used to determine the borrowing allowance. In addition, data on eligible net lending during the first reference period will be used for the calculation of the benchmark net lending and the benchmark outstanding amount. Meanwhile data on eligible net lending during the second reference period will be used to assess the lending developments and, consequently, the interest rates applicable. All other indicators are necessary to verify the internal consistency of the information and its consistency with the statistical data collected within the Eurosystem, as well as for in-depth monitoring of the impact of the TLTRO-III programme.

The general framework underlying the completion of the data reports is provided by the reporting requirements of euro area MFIs in the context of MFI balance sheet items (BSI) statistics, as specified in Regulation (EU) No 1071/2013 (ECB/2013/33). In particular, as regards loans, Article 8(2) of Regulation (EU) No 1071/2013 (ECB/2013/33) requires that they ‘shall be reported at their principal amount outstanding at the end of the month. Write-offs and write-downs as determined by the relevant accounting practices shall be excluded from this amount. […] loans shall not be netted against any other assets or liabilities’. However, as an exception to the rules laid down in Article 8(2), which also imply that loans are to be reported gross of provisions, Article 8(4) states that ‘NCBs may allow the reporting of provisioned loans net of provisions and the reporting of purchased loans at the price agreed at the time of their acquisition [i.e. their transaction value], provided that such reporting practices are applied by all resident reporting agents’. Self-securitised eligible loans may not be reported net of provisions if they are derecognised from the balance sheet. The implications that this deviation from the general BSI guidance has for the compilation of the data reports are reviewed in more detail below.

Regulation (EU) No 1071/2013 (ECB/2013/33) should also be used as the reference document as regards the definitions to be applied in the compilation of the data reports. See, in particular, Article 1 for general definitions, and Parts 2 and 3 of Annex II for a definition of the categories of instruments to be covered under ‘loans’ and of the sectors of participants respectively. Importantly, in the BSI framework accrued interest receivable on loans is, as a rule, subject to on-balance-sheet recording as it accrues (i.e. on an accrual basis rather when it is actually received), but should be excluded from the data on outstanding amounts of loans. However, capitalised interest should be recorded as part of the outstanding amounts.

While much of the data to be reported are already compiled by MFIs in accordance with the requirements of Regulation (EU) No 1071/2013 (ECB/2013/33), some additional information must be compiled by participants bidding in TLTRO-III. The methodological framework for BSI statistics, as laid down in the Manual on MFI balance sheet statistics (3), provides all the background information required in order to compile these additional data; further details are provided in point 4 regarding the definitions of the individual indicators.

3. General reporting instructions

(a) Structure of the reporting templates

The templates include an indication of the reference dates to which the data refer and groups the indicators into two blocks: MFI loans to euro area non-financial corporations and MFI loans to euro area households, excluding loans for house purchases. The data in all cells highlighted in yellow are calculated from the data entered in the other cells, based on the formulas provided. The templates also incorporate validation rules that verify the internal consistency of the data.

There are two reports in the TLTRO-III:

— The first report requires the completed data template A relating to the reference outstanding amount for the purpose of calculating the borrowing allowance and bid limits. Participants exercising the option pursuant to Article 6(3) must provide the supplementary items relating to self-securitised eligible loans, and the auditor's evaluation of those items, in accordance with Article 6(6)(c)(v). The first report also requires the completed template B for the ‘first reference period’, i.e. 1 April 2018 to 31 March 2019, for the purposes of calculating the eligible net lending and benchmarks.

— The second report requires the completed data template B for the ‘second reference period’, i.e. 1 April 2019 to 31 March 2021, for the purposes of calculating the eligible net lending and the comparisons against benchmarks on which the applicable interest rates are based.

In Template B, indicators relating to outstanding amounts must be reported as at the end of the month preceding the start of the reporting period and as at the end of the reporting period; therefore, for the first reference period outstanding amounts must be reported as at 31 March 2018 and 31 March 2019, and for the second reference period outstanding amounts must be reported as at 31 March 2019 and as at 31 March 2021. In turn, data on transactions and adjustments must cover all relevant effects that take place during the reporting period.

(b) Reporting in respect of TLTRO-III groups

In respect of group participation in the TLTROs-III, data should be reported, as a rule, on an aggregated basis. However, national central banks of Member States whose currency is the euro (NCBs) have the option of collecting the information on an individual institution basis, if deemed appropriate.

(c) Transmission of the data reports

The completed data reports should be transmitted to the relevant NCB as specified in Article 6 and in accordance with the indicative calendar for TLTROs-III published on the ECB's website, which also stipulates the reference periods to be covered in each transmission and which data vintages should be used for the compilation of the data.

(d) Unit of the data

Data must be reported in terms of thousands of euro.

4. Definitions

This section provides definitions of the items to be reported; the numbering used in the reporting templates is indicated in brackets.

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

The data in these cells are calculated on the basis of the figures reported in respect of the following balance sheet items: ‘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’ (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.

The underlying items of the outstanding amounts of eligible loans are as follows:

(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 are directly linked to 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 data reports, see Part 2 of Annex II to Regulation (EU) No 1071/2013 (ECB/2013/33) and Section 4.3 of the Manual on MFI balance sheet statistics.

(ii) Outstanding amounts of loans 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 compiling the data reports, separate data extractions from the MFIs' internal databases are thus required. For additional details of the items to be included in the data reports, see Part 5 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) and Section 4.3.11 of the Manual on MFI balance sheet statistics.

(iii) Outstanding provisions (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-III 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 and write-downs take place). The data must refer to ‘Outstanding amounts of loans on the balance sheet’ (1.1 and 4.1), excluding ‘Outstanding amounts of loans securitised or otherwise transferred but not derecognised from the balance sheet’ (1.2 and 4.2). As stated in the third subparagraph of point 2, in BSI statistics loans should be reported, as a rule, at the principal outstanding amount, with the corresponding provisions being allocated to ‘Capital and reserves’. 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-III framework will be based on amounts of outstanding loans on the balance sheet net of provisions (4). For 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 record the net lending (transactions) granted during the reporting period. The data are 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 compiling the data reports, to the extent that this would alleviate their reporting burden. In this case, they should inform the relevant NCB 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. Regulation (EU) No 1071/2013 (ECB/2013/33) requires debt-to-equity conversions to be treated as transactions. However for the purposes of compiling the TLTRO-III data reports, debt-to-equity conversions, whereby loans granted by a participant to non-financial corporations are replaced by equity held by that participant in these non-financial corporations, may be reported as a reclassification rather than a repayment of the loans provided that the amount of funding provided by the participant to the real economy is not thereby reduced, as determined by the relevant NCB. The participant will provide all necessary information to the NCB in order for it to decide how the conversion should be treated.

(c) Adjustments to the outstanding amounts (3)

These cells are for reporting changes in outstanding amounts of eligible loans (reductions (–) and increases (+)) occurring during the reporting period which are not related to eligible 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 and write-downs and reclassifications.

The items relating to adjustments of outstanding amounts are 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 loans that are securitised with an impact on loan stocks (3.1A) 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 (5). 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 and write-downs at the time of the sale. These write-offs and write-downs should be reported, where identifiable, under item 3.2B (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) (6). The requirements of Part 5 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) (Block 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 4.3.11 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 and write-downs at the time of the sale. These write-offs and write-downs should be reported, where identifiable, under item 3.2B. 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); (2) loan transfers in the context of intra-group reorganisations owing to mergers, acquisitions and divisions. For the purposes of compiling the data reports, all of these effects must be reported. For additional details on the items to be reported, see Part 5 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) and Section 4.3.11 of the Manual on MFI balance sheet statistics. With regard to ‘Changes in the structure of the MFI sector’, Section 5.6 of the Manual on MFI balance sheet statistics 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 compiling the data reports, 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 an 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 and write-downs at the time of the sale. These write-offs and write-downs should be reported, where identifiable, under item 3.2B. 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 compiling the data reports, all of these effects must be reported. For additional details on the items to be included, see Part 5 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) and Section 4.3.11 of the Manual on MFI balance sheet statistics.

(ii) Other adjustments (3.2) The following items relating to other adjustments must be reported for outstanding loans on the balance sheet, excluding securitised or otherwise transferred loans which are not derecognised. — Revaluations owing to changes in exchange rates (3.2A) 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 data reports, 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 7.2.2 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 – may 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 (7) (equations [7.2.2] and [7.2.3]); — 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 [7.2.4]); — 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 [7.2.5], 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 5.8 and 7.2.2 of the Manual on MFI balance sheet statistics. — Write-offs/write-downs (3.2B) In accordance with point (g) of Article 1 of 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, in accordance with point (h) Article 1 of the same Regulation ‘“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 or positive sign when in net terms they result in a reduction or increase, as applicable, in outstanding amounts. These data are necessary to allow a full reconciliation between net lending and changes in outstanding amounts. As regards write-offs and 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) Table 1A on Monthly revaluation adjustments) can be used. However, disentangling the impact of loan write-offs and 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 and write-downs should incorporate the cancellation 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 or 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 data reports as part of write-offs/write-downs (as the data reports reconstruct values gross of provisions) (8). Disentangling the impact of loan write-offs and write-downs on securitised or otherwise transferred loans which are not derecognised may 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 point 4(a), 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) (9). It is not necessary to disentangle the impact of write-offs and 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 5.4 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 in point 4(b), 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-III 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 to: (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; (2) Changes in the classification of instruments. These may also affect the indicators if the outstanding amounts of loans increase or decrease owing, for instance, to the reclassification of a debt security as a loan or a loan as a debt security; (3) Adjustments that result from the correction of reporting errors, in accordance with instructions received from the relevant NCB pursuant to point (f) of Article 7(1); (4) Adjustments relating to corporate reorganisations and changes in the composition of TLTRO-III groups for which resubmissions of the first report reflecting the new corporate structure and TLTRO-III group composition are not required, in accordance with Article 6(8). For additional information, see Section 5.6 of the Manual on MFI balance sheet statistics. However, the conceptual differences highlighted above should be taken into account for the purposes of deriving reclassification data at the level of individual institutions.

(d) Supplementary amounts relating to self-securitised eligible loans (S.1)

Participants exercising the option pursuant to Article 6(3) must also provide the following supplementary items relating to outstanding amounts of self-securitised eligible loans in template A:

(i) ‘Outstanding amounts of self-securitised eligible loans not derecognised from the balance sheet’ (S.1.1) These data refer to loans that have been self-securitised and are included in the amounts reported under item 1.2.

(ii) ‘Outstanding amounts of self-securitised eligible loans derecognised from the balance sheet’ (S.1.2) These data refer to loans that have been self-securitised and are no longer recorded on the balance sheet because they have been derecognised. In so far as the loans continue to be serviced by the participant, they will still be subject to reporting under Part 5 of Annex I to Regulation (EU) No 1071/2013 (ECB/2013/33) (Block 3.1 of Tables 5a and 5b).

(iii) ‘Outstanding amounts of provisions against self-securitised eligible loans not derecognised from the balance sheet’ (S.1.3) These data refer to loans not derecognised from the balance sheet – i.e. reported under S.1.1. These items are only to be reported in cases where, contrary to the general BSI practice, loans are reported net of provisions. However, where this is the case, participants may decide not to provide this information, in which case the relevant amounts will not be included in the calculation of the outstanding amounts of eligible loans.

TLTRO-III reporting

TLTRO-III reporting template A

Reporting period:28 February 2019 Loans to non-financial corporations and households, excluding loans to households for house purchase (EUR thousands) Main aggregates for the reference outstanding amount Loans to non-financial corporations Loans to households (including non-profit institutions serving households), excluding loans for house purchase item formula validation 1 Outstanding amounts of eligible loans … 0 0 1 1 = 1.1 – 1.2 (+ 1.3) S.1 Supplementary amounts relating to self-securitised eligible loans … 0 0 S.1 S.1 = S.1.1 + S.1.2 (+ S.1.3) Underlying items Outstanding amounts of eligible loans on the balance sheet 1.1 Outstanding amounts on the balance sheet … 1.1 1.2 Outstanding amounts of loans securitised or otherwise transferred but not derecognised from the balance sheet … 1.2 1.3 Outstanding provisions against loans reported in item 1.1 excluding 1.2 (*1)… 1.3 Supplementary items relating to self-securitised eligible loans S.1.1 Outstanding amounts of self-securitised eligible loans not derecognised from the balance sheet … S.1.1 S.1.1 <= 1.2 S.1.2 Outstanding amounts of self-securitised eligible loans derecognised from the balance sheet … S.1.2 S.1.3 Outstanding amounts of provisions against self-securitised eligible loans not derecognised from the balance sheet (*1)… S.1.3





TLTRO-III reporting template B

Reporting period:1 April 2018 to 31 March 2019 (first reference period) / 1 April 2019 to 31 March 2021 (second reference period) Loans to non-financial corporations and households, excluding loans to households for house purchase (EUR thousands) Main aggregates Loans to non-financial corporations Loans to households (including non-profit institutions serving households), excluding loans for house purchase item formula validation 1 Outstanding amounts of eligible loans at the end of the month preceding the start of the reporting period … 0 0 1 1 = 1.1 – 1.2 (+ 1.3) 2 Eligible net lending in the reporting period … 0 0 2 2 = 2.1 – 2.2 3 Adjustments to the outstanding amounts: reductions (–) and increases (+) … 0 0 3 3 = 3.1 + 3.2 4 Outstanding amounts of eligible loans at the end of the reporting period … 0 0 4 4 = 4.1 – 4.2 (+ 4.3) 4 = 1 + 2 + 3 Underlying items Outstanding amounts of eligible loans at the end of the month preceding the start of the reporting period 1.1 Outstanding amounts on the balance sheet … 1.1 1.2 Outstanding amounts of loans securitised or otherwise transferred but not derecognised from the balance sheet … 1.2 1.3 Outstanding provisions against loans reported in item 1.1 excluding 1.2 (*2)… 1.3 Eligible net lending in the reporting period 2.1 Gross lending … 2.1 2.2 Repayments … 2.2 Adjustments to the outstanding amounts: reductions (–) and increases (+) 3.1 Loan sales and purchases and other loan transfers during the reporting period … 0 0 3.1 3.1 = 3.1A + 3.1B + 3.1C 3.1A Net flows of loans that are securitised with an impact on loan stocks … 3.1A 3.1B Net flows of loans that are otherwise transferred with an impact on loan stocks … 3.1B 3.1C Net flows of loans that are securitised or otherwise transferred without an impact on loan stocks … 3.1C 3.2 Other adjustments … 0 0 3.2 3.2 = 3.2A + 3.2B + 3.2C 3.2A Revaluations owing to changes in exchange rates … 3.2A 3.2B Write-offs/write-downs … 3.2B 3.2C Reclassifications … 3.2C Outstanding amounts of eligible loans at the end of the reporting period 4.1 Outstanding amounts on the balance sheet … 4.1 4.2 Outstanding amounts of loans securitised or otherwise transferred but not derecognised from the balance sheet … 4.2 4.3 Outstanding provisions against loans reported in item 4.1 excluding 4.2 (*2)… 4.3

(1) The conceptual framework underlying the reporting requirements remains unchanged in comparison to that specified in Decisions ECB/2014/34 and (EU) 2016/810 (ECB/2016/10), with the exception of the changes relating to the inclusion of self-securitised eligible loans for the purpose of calculating the borrowing allowance.

(2) For the purposes of the data reports, ‘households’ includes non-profit institutions serving households.

(3) See the ‘Manual on MFI balance sheet statistics’, ECB, January 2019, available on the ECB's website at www.ecb.europa.eu. In particular, Section 4.3, p. 40, deals with the statistical reporting of loans.

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

(5) 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 – i.e. effects leading to increases or decreases in outstanding amounts are to be reported, respectively, with a positive or negative symbol.

(6) 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 under item 3.2B.

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

(8) This requirement differs from the reporting requirements under Regulation (EU) No 1071/2013 (ECB/2013/33).

(9) 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.

(*1) Only applicable in those cases where loans are reported net of provisions; see the reporting instructions for more details.

(*2) Only applicable in those cases where loans are reported net of provisions; see the reporting instructions for more details.