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2018 Pillar 3 Disclosures
Annex
The classification of operations based on credit risk
due to insolvency is as follows:
A) Standard risk: considers all operations that do not
comply with the requirements to be classified in
other categories.
B) Standard risk under special monitoring: this
category is composed of all operations that, without
complying with the criteria to be classified as
non-performing risk or write-offs, significant show
significant credit risk increases from the initial
recognition.
C) Non-performing risk (impaired) due to non-payment
by the holder: It comprises the amount of the debt
instruments, whatever their holder and guarantee,
that have any overdue amount of principal, interest
or contractually agreed expenses that are over 90
days old, unless they should be classified as a write-
off. This category also includes guarantees granted
when a guaranteed operation has entered into non-
payment due to the party guaranteed.
This category also includes all of a holder’s
operations when the sums that are more than 90
days overdue are higher than 20% of the amount
outstanding. Solely for the purposes of determining
the percentage outlined, the numerator is
considered the gross carrying amount of the
operations considered non-performing due to
default with the sums overdue. The denominator
is considered the gross carrying amount for the
total of all debt instruments granted to the
holder. If this percentage exceeds 20% both the
debt instruments and the off-balance exposures
involving credit risk will be transferred to non-
performing due to default.
D) Non-performing risk other than due to non-
performing loans of the holder in question:
a. This comprises debt instruments, whether
subject to late payment or not, although the
circumstances for them to be considered write-
offs or non-performing due to late payment of
the holder have not occurred, in which there
are reasonable doubts about whether they will
be fully repaid (principal and interest) within
the contractually agreed period; as well as
off-balance exposures not classified as non-
performing due to holder default where it is
probable that they will be paid by the bank and
doubtful that this will be recovered.
b. This category will include, among others,
operations whose full recovery is doubtful and
which do not have any amounts overdue for more
than ninety days.
c. In addition, if any of the following factors used
for automatic classification are observed they will
be necessarily included in this category:
i. Operations with reclaimed balances or those
which it has been decided will be repaid
through legal means by the bank, although
they are guaranteed, as well as operations
on which the debtor has raised a dispute, the
resolution of which depends on its payment.
ii. Transactions in which the collateral execution
process has begun, including financial lease
operations and operations with a purchase
with subsequent lease in which the seller-
lessee has the control of the leased asset for
which the bank has decided to terminate the
contract to recover possession of the asset.
iii. Operations of holders who have sought,
or have signalled that they wish to seek
bankruptcy proceedings without any
settlement request.
iv. The guarantees granted to guarantors declared
bankrupt at a creditors’ meeting who have
declared or are going to declare themselves in
the winding-up stages, or suffer a noticeable
impairment in their solvency which is unlikely
to recover, although the beneficiary of the
guarantee has not reclaimed their payment.
v. Refinancing or restructuring which is
refinanced or restructured during the test
period, or where overdue amounts are more
than 30 days late.
Definitions of Default and “Impaired
Positions” and Criteria Applied to
establish the amount of Impairment
Losses
A |
A.II