LE4, LE5: Where should an institution (in which bucket) report defaulted (or past due) parts of the exposure?

The instructions define that "for each exposure value before application of exemptions and CRM (column 210 of LE2), the expected amount maturing shall be allocated to the buckets." – that includes the defaulted parts of the exposure. However we do not see apropriate "maturity bucket" for those items.

The templates C 30.00 (LE 4) and C 31.00 (LE 5) require information on the 10 largest exposures to institutions and unregulated financial sector entities regarding their expected run-off which shall be expressed by means of maturity buckets. The maturity breakdown shall take the 'exposure value before application of exemptions and CRM' (LE2, column 210 / LE3, column 220) as basis.

In case such an exposure or a part of an exposure is to be regarded as defaulted and is reported as such in template C 28.00 (LE 2, column 050) and C 29.00 (LE 3, column 060), the expected run-off of the defaulted exposure must be allocated to the respective maturity buckets as follows:

• When the reporting entity, in spite of the default, has a clear calendar of expected repayments of the exposure, it shall allocate them into the respective buckets accordingly.
• When the reporting entity does not have a reasoned view of when defaulted amounts will be repaid (if ever), it shall allocate them into the category 'undefined maturity'.

Instructions (Annex IX of Regulation (EU) No 680/2014 13 ITS on Supervisory Reporting of institutions) will be amended at the earliest possible date to reflect this approach.