Template number

Template code

Name of the template /group of templates

Short name

32,1

F 32.01

ASSETS OF THE REPORTING INSTITUTION

AE-ASS

32,2

F 32.02

COLLATERAL RECEIVED

AE-COL

32,3

F 32.03

OWN COVERED BONDS AND ABSs ISSUED AND NOT YET PLEDGED

AE-NPL

32,4

F 32.04

SOURCES OF ENCUMBRANCE

AE-SOU

33

F 33.00

MATURITY DATA

AE-MAT

34

F 34.00

CONTINGENT ENCUMBRANCE

AE-CONT

35

F 35.00

COVERED BONDS ISSUANCE

AE-CB

36,1

F 36.01

ADVANCED DATA. PART I

AE-ADV1

36,2

F 36.02

ADVANCED DATA. PART II

AE-ADV2

Carrying amount of encumbered assets

Fair value of encumbered assets

Carrying amount of non-encumbered assets

Fair value of non-encumbered assets

of which: issued by other entities of the group

of which: central bank's eligible

of which: central bank's eligible

of which: issued by other entities of the group

of which: central bank's eligible

of which: central bank's eligible

010

020

030

040

050

060

070

080

090

100

010

Assets of the reporting institution

020

Loans on demand

030

Equity instruments

040

Debt securities

050

of which: covered bonds

060

of which: asset-backed securities

070

of which: issued by general governments

080

of which: issued by financial corporations

090

of which: issued by non-financial corporations

100

Loans and advances other than loans on demand

110

of which: mortgage loans

120

Other assets

Fair value of encumbered collateral received or own debt securities issued

Non-encumbered

Fair value of collateral received or own debt securities issued available for encumbrance

Nominal of collateral received or own debt securities issued non available for encumbrance

of which: issued by other entities of the group

of which: central bank's eligible

of which: issued by other entities of the group

of which: central bank's eligible

010

020

030

040

050

060

070

130

Collateral received by the reporting institution

140

Loans on demand

150

Equity instruments

160

Debt securities

170

of which: covered bonds

180

of which: asset-backed securities

190

of which: issued by general governments

200

of which: issued by financial corporations

210

of which: issued by non-financial corporations

220

Loans and advances other than loans on demand

230

Other collateral received

240

Own debt securities issued other than own covered bonds or ABSs

250

TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED

Non-encumbered

Carrying amount of the underlying pool of assets

Fair value of debt securities issued available for encumbrance

Nominal of own debt securities issued non available for encumbrance

of which: central bank's eligible

010

020

030

040

010

Own covered bonds and asset-backed securities issued and not yet pledged

020

Retained covered bonds issued

030

Retained asset-backed securities issued

040

Senior

050

Mezzanine

060

First Loss

Matching liabilities, contingent liabilities or securities lent

Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered

of which: from other entities of the group

of which: collateral received re-used

of which: own debt securities encumbered

010

020

030

040

050

010

Carrying amount of selected financial liabilities

020

Derivatives

030

of which: Over-The-Counter

040

Deposits

050

Repurchase agreements

060

of which: central banks

070

Collateralised deposits other than repurchase agreements

080

of which: central banks

090

Debt securities issued

100

of which: covered bonds issued

110

of which: asset-backed securities issued

120

Other sources of encumbrance

130

Nominal of loan commitments received

140

Nominal of financial guarantees received

150

Fair value of securities borrowed with non cash-collateral

160

Other

170

TOTAL SOURCES OF ENCUMBRANCE

Not to be filled on a consolidated basis template

Not to be filled in any case

Open maturity

Overnight

>1 day <=1 wk

>1 wk <=2 wks

>2 wks <=1 mth

>1 mth <=3 mths

>3 mths <=6 mths

>6 mths <=1 yr

>1 yr <=2 yrs

>2 yrs <=3 yrs

3 yrs <=5 yrs

5 yrs <=10 yrs

>10 yrs

Residual maturity of liabilities

010

020

030

040

050

060

070

080

090

100

110

120

130

010

Encumbered assets

020

Collateral received re-used (receiving leg)

030

Collateral received re-used (re-using leg)

Matching liabilities, contingent liabilities or securities lent

Contingent Encumbrance

A. Decrease by 30 % of the fair value of encumbered assets

B. Net effect of a 10 % depreciation of significant currencies

Additional amount of encumbered assets

Additional amount of encumbered assets

Significant currency 1

Significant currency 2

…

Significant currency n

010

020

030

040

050

010

Carrying amount of selected financial liabilities

020

Derivatives

030

of which: over-the-counter

040

Deposits

050

Repurchase agreements

060

of which: central banks

070

Collateralised deposits other than repurchase agreements

080

of which: central banks

090

Debt securities issued

100

of which: covered bonds issued

110

of which: asset-backed securities issued

120

Other sources of encumbrance

170

TOTAL SOURCES OF ENCUMBRANCE

Compliance with Art. 129 CRR?

Covered bond liabilities

Cover pool

Reporting date

+ 6 months

+ 12 months

+ 2 years

+ 5 years

+ 10 years

Cover pool derivative positions with net negative market value

External credit rating on covered bond

Reporting date

+ 6 months

+ 12 months

+ 2 years

+ 5 years

+ 10 years

Cover pool derivative positions with net positive market value

Cover pool amount in excess of minimum coverage requirements

[YES/NO]

If YES, indicate primary asset class of cover pool

as per the relevant statutory covered bond regime

as per credit rating agencies' methodology to maintain current external credit rating of covered bond

Reporting date

Credit rating agency 1

Credit rating 1

Credit rating agency 2

Credit rating 2

Credit rating agency 3

Credit rating 3

Reporting date

Credit rating agency 1

Credit rating agency 2

Credit rating agency 3

010

012

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

200

210

220

230

240

250

010

Nominal amount

020

Present value (swap)/Market value

030

Asset-specific value

040

Carrying amount

Sources of encumbrance

Assets/Liabilities

Collateral type — Classification by asset type

Total

Loans on demand

Equity instruments

Debt securities

Loans and advances other than loans on demand

Other assets

Total

of which: covered bonds

of which: asset-backed securities

of which: issued by general governments

of which: issued by financial corporations

of which: issued by non-financial corporations

Central banks and general governments

Financial corporations

Non financial Corporations

Households

of which: issued by other entities of the group

of which: issued by other entities of the group

of which: mortgage loans

of which: mortgage loans

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

010

Central bank funding (of all types, including e.g. repos)

Encumbered assets

020

Matching liabilities

030

Exchange traded derivatives

Encumbered assets

040

Matching liabilities

050

Over-the-counter derivatives

Encumbered assets

060

Matching liabilities

070

Repurchase agreements

Encumbered assets

080

Matching liabilities

090

Collateralised deposits other than repurchase agreements

Encumbered assets

100

Matching liabilities

110

Covered bonds securities issued

Encumbered assets

120

Matching liabilities

130

Asset-backed securities issued

Encumbered assets

140

Matching liabilities

150

Debt securities issued other than covered bonds and ABSs

Encumbered assets

160

Matching liabilities

170

Other sources of encumbrance

Encumbered assets

180

Contingent liabilities or securities lent

190

Total encumbered assets

200

of which central bank eligible

210

Total non-encumbered assets

220

of which central bank eligible

230

Encumbered + non-encumbered assets

Sources of encumbrance

Assets/Liabilities

Collateral type — Classification by asset type

Total

Loans on demand

Equity instruments

Debt securities

Loans and advances other than loans on demand

Other collateral received

Own debt securities issued other than own covered bonds or ABSs

Total

of which: covered bonds

of which: asset-backed securities

of which: issued by general governments

of which: issued by financial corporations

of which: issued by non-financial corporations

Central banks and general governments

Financial corporations

Non-financial corporations

Households

of which: issued by other entities of the group

of which: issued by other entities of the group

of which: mortgage loans

of which: mortgage loans

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

170

180

190

010

Central bank funding (of all types, including e.g. repos)

Encumbered collateral received

020

Matching liabilities

030

Exchange traded derivatives

Encumbered collateral received

040

Matching liabilities

050

Over-the-counter derivatives

Encumbered collateral received

060

Matching liabilities

070

Repurchase agreements

Encumbered collateral received

080

Matching liabilities

090

Collateralised deposits other than repurchase agreements

Encumbered collateral received

100

Matching liabilities

110

Covered bonds securities issued

Encumbered collateral received

120

Matching liabilities

130

Asset-backed securities issued

Encumbered collateral received

140

Matching liabilities

150

Debt securities issued other than covered bonds and ABSs

Encumbered collateral received

160

Matching liabilities

170

Other sources of encumbrance

Encumbered collateral received

180

Contingent liabilities or securities lent

190

Total encumbered collateral received

200

of which central bank eligible

210

Total non-encumbered collateral received

220

of which central bank eligible

230

Encumbered + non-encumbered collateral received’

Rows

Legal references and instructions

010

Assets of the reporting institution

IAS 1.9 (a), Implementation Guidance (IG) 6

Total assets of the reporting institution registered in its balance sheet.

020

Loans on demand

IAS 1.54 (i)

It includes the balances receivable on demand at central banks and other institutions. Cash on hand, that is, the holding of national and foreign banknotes and coins in circulation that are commonly used to make payments are included in the row “other assets”.

030

Equity instruments

Equity instruments held by the reporting institution as defined in IAS 32.1.

040

Debt securities

Annex V, Part 1, paragraph 26.

Debt instruments held by the reporting institution issued as securities that are not loans in accordance with the ECB BSI Regulation.

050

of which: covered bonds

Debt securities held by the reporting institution that are bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC.

060

of which: securitisations

Debt securities held by the reporting institution that are securitisations as defined in Article 4(61) of Regulation (EU) No 575/2013.

070

of which: issued by general governments

Debt securities held by the reporting institution which are issued by general governments.

080

of which: issued by financial corporations

Debt securities held by the reporting institution issued by financial corporations as defined in Annex V, Part I, paragraph 35, points (c) and (d).

090

of which: issued by non-financial corporations

Debt securities held by the reporting institution issued by non-financial corporations as defined in Annex V, Part I, paragraph 35, point (e).

100

Loans and advances other than loans on demand

Loans and advances, that is, debt instruments held by the reporting institutions that are not securities, other than balances receivable on demand.

110

of which: mortgage loans

Loans and advances other than loans on demand that are mortgage loans according to Annex V, part 2, paragraph 41(h).

120

Other assets

Other assets of the reporting institution registered in the balance sheet other than those mentioned in the above rows and different from own debt securities and own debt equity instruments that may not be derecognised from the balance sheet by a non-IFRS institution. In this case, own debt instruments shall be included in row 240 of the AE-COL template and own equity instruments excluded from the asset encumbrance reporting.

Columns

Legal references and instructions

010

Carrying amount of encumbered assets

Carrying amount of the assets held by the reporting institution that are encumbered according to the definition provided of asset encumbrance. Carrying amount means the amount reported in the asset side of the balance sheet.

020

of which: issued by other entities of the group

Carrying amount of encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation.

030

of which: central bank eligible

Carrying amount of encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

040

Fair value of encumbered assets

IFRS 13 and Article 8 of Directive 2013/34/EU of the European Parliament and of the Council (1) for non-IFRS institutions.

Fair value of the debt securities held by the reporting institution that are encumbered according to the definition provided of asset encumbrance. Fair value of a financial instrument, is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. (See IFRS 13 Fair Value Measurement.)

050

of which: central bank eligible

Fair value of the encumbered debt securities held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

060

Carrying amount of non-encumbered assets

Carrying amount of the assets held by the reporting institution that are non-encumbered according to the definition provided of asset encumbrance. Carrying amount means the amount reported in the asset side of the balance sheet.

070

of which: issued by other entities of the group

Carrying amount of non-encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation.

080

of which: central bank eligible

Carrying amount of non-encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

090

Fair value of non-encumbered assets

IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions.

Fair value of the debt securities held by the reporting institution that are non-encumbered according to the definition provided of asset encumbrance. Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. (See IFRS 13 Fair Value Measurement.)

100

of which: central bank eligible

Fair value of the non-encumbered debt securities held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

Rows

Legal references and instructions

130

Collateral received by the reporting institution

All classes of collateral received by the reporting institution.

140

Loans on demand

Collateral received by the reporting institution that comprises loans on demand. (See legal references and instructions regarding row 020 of the AE-ASS template.)

150

Equity instruments

Collateral received by the reporting institution that comprises equity instruments. (See legal references and instructions regarding row 030 of the AE-ASS template.)

160

Debt securities

Collateral received by the reporting institution that comprises debt securities. (See legal references and instructions regarding row 040 of the AE-ASS template.)

170

of which: covered bonds

Collateral received by the reporting institution that comprises covered bonds. (See legal references and instructions regarding row 050 of the AE-ASS template.)

180

of which: securitisations

Collateral received by the reporting institution that comprises securitisations. (See legal references and instructions regarding row 060 of the AE-ASS template.)

190

of which: issued by general governments

Collateral received by the reporting institution that comprises debt securities issued by general governments. (See legal references and instructions regarding row 070 of the AE-ASS template.)

200

of which: issued by financial corporations

Collateral received by the reporting institution that comprises debt securities issued by financial corporations. (See legal references and instructions regarding row 080 of the AE-ASS template.)

210

of which: issued by non-financial corporations

Collateral received by the reporting institution that comprises debt securities issued by non-financial corporations. (See legal references and instructions regarding row 090 of the AE-ASS template.)

220

Loans and advances other than loans on demand

Collateral received by the reporting institution that comprises loans and advances other than loans on demand. (See legal references and instructions regarding row 100 of the AE-ASS template.)

230

Other collateral received

Collateral received by the reporting institution that comprises other assets. (See legal references and instructions regarding row 120 of the AE-ASS template.)

240

Own debt securities issued other than own covered bonds or ABSs

Own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued. As the retained or repurchased own debt securities issued, according to IAS 39.42, decrease the relating financial liabilities, these securities are not included in the category of assets of the reporting institution (row 010 of the AE-ASS template). Own debt securities that may not be derecognised from the balance sheet by a non-IFRS institution shall be included in this row.

Own covered bonds issued or own securitisations issued are not reported in this category since different rules apply to those cases to avoid double counting:

250

TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED

All assets of the reporting institution registered in its balance sheet, all classes of collateral received by the reporting institution and own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued.

Columns

Legal references and instructions

010

Fair value of encumbered collateral received or own debt securities issued

Fair value of the collateral received or own debt securities issued held/retained by the reporting institution that are encumbered according to the definition provided of asset encumbrance.

Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. (See IFRS 13 Fair Value Measurement.)

020

of which: issued by other entities of the group

Fair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution that are issued by any entity within the prudential scope of consolidation.

030

of which: central bank eligible

Fair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

040

Fair value of collateral received or own debt securities issued available for encumbrance

Fair value of the collateral received by the reporting institution that are non-encumbered but are available for encumbrance since the reporting institution is permitted to sell or re-pledge it in absence of default by the owner of the collateral. It also includes the fair value of own debt securities issued, other than own covered bonds or securitisations that are non-encumbered but available for encumbrance.

050

of which: issued by other entities of the group

Fair value of collateral received or own debt securities issued other than own covered bonds or asset-backed securities available for encumbrance that are issued by any entity within the prudential scope of consolidation.

060

of which: central bank eligible

Fair value of collateral received or own debt securities issued other than own covered bonds or securitisations available for encumbrance which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

070

Nominal of collateral received or own debt securities issued non available for encumbrance

Nominal amount of the collateral received held by the reporting institution that are non-encumbered and non-available for encumbrance. It also includes the nominal amount of the own debt securities issued other than own covered bonds or securitisations retained by the reporting institution that are non-encumbered and also non-available for encumbrance.

Rows

Legal references and instructions

010

Own covered bonds and ABSs issued and not yet pledged

Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered.

020

Retained covered bonds issued

Own covered bonds issued that are retained by the reporting institution and not encumbered.

030

Retained securitisations issued

Own securitisations issued that are retained by the reporting institution and not encumbered.

040

Senior

Senior tranches of the own securitisations issued that are retained by the reporting institution and not encumbered. See Article 4(67) of Regulation (EU) No 575/2013.

050

Mezzanine

Mezzanine tranches of the own securitisations issued that are retained by the reporting institution and not encumbered. All tranches that are not senior tranches, i.e. the last to absorb the loss or first loss tranches, shall be considered mezzanine tranches. See Article 4(67) of Regulation (EU) No 575/2013.

060

First loss

First loss tranches of the own securitisations issued that are retained by the reporting institution and not encumbered. See Article 4(67) of Regulation (EU) No 575/2013.

Columns

Legal references and instructions

010

Carrying amount of the underlying pool of assets

Carrying amount of the cover pool/underlying assets that back the own covered bonds and own securitisations retained and are not yet pledged.

020

Fair value of debt securities issued available for encumbrance

Fair value of the own covered bonds and own securitisations retained that are non-encumbered but available for encumbrance.

030

Of which: central bank eligible

Fair value of the own covered bonds and own securitisations retained that meet each of the following conditions:

Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.

040

Nominal of own debt securities issued non-available for encumbrance

Nominal amount of the own covered bonds and own securitisations retained that are non-encumbered and also non-available for encumbrance.

Rows

Legal references and instructions

010

Carrying amount of selected financial liabilities

Carrying amount of selected collateralised financial liabilities of the reporting institution insofar as these liabilities entail asset encumbrance for that institution.

020

Derivatives

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, that is, with a negative fair value, insofar as these derivatives entail asset encumbrance for that institution.

030

of which: over-the-counter

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities which are traded over-the-counter, insofar as these derivatives entail asset encumbrance.

040

Deposits

Carrying amount of the collateralised deposits of the reporting institution insofar as these deposits entail asset encumbrance for that institution.

050

Repurchase agreements

Carrying amount of the repurchase agreements of the reporting institution insofar as these transactions entail asset encumbrance for that institution.

Repurchase agreements (repos) are transactions in which the reporting institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. The following variants of repo-type operations are all required to be reported as repurchase agreements: — amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral and — amounts received in exchange for securities temporarily transferred to a third party in the form of a sale/buy-back agreement.

060

of which: central banks

Carrying amount of the repurchase agreements of the reporting institution with central banks insofar as these transactions entail asset encumbrance.

070

Collateralised deposits other than repurchased agreements

Carrying amount of the of the collateralised deposits other than repurchase agreements of the reporting institution insofar as these deposits entail asset encumbrance for that institution.

080

of which: central banks

Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution with central banks insofar as these deposits entail asset encumbrance for that institution.

090

Debt securities issued

Carrying amount of the debt securities issued by the reporting institution insofar as these securities issued entail asset encumbrance for that institution.

The retained part of any issuance shall follow the specific treatment set out in point (vi) of paragraph 15 of Part A so that only the percentage of debt securities placed outside the entities of the group are to be included under this category.

100

of which: covered bonds issued

Carrying amount of covered bonds the assets of which are originated by the reporting institution insofar as these securities issued entail asset encumbrance for that institution.

110

of which: securitisations issued

Carrying amount of the securitisations issued by the reporting institution insofar as these securities issued entail asset encumbrance for that institution.

120

Other sources of encumbrance

Amount of collateralised transactions of the reporting institution other than financial liabilities, insofar as these transactions entail asset encumbrance for that institution.

130

Nominal of loan commitments received

Nominal amount of the loan commitments received by the reporting institution, insofar as these commitments received entail asset encumbrance for that institution.

140

Nominal of financial guarantees received