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Document 32015R0079

Commission Implementing Regulation (EU) 2015/79 of 18 December 2014 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council as regards asset encumbrance, single data point model and validation rules Text with EEA relevance

OJ L 14, 21.1.2015, p. 1–44 (BG, ES, CS, DA, DE, ET, EL, EN, FR, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

In force

ELI: http://data.europa.eu/eli/reg_impl/2015/79/oj

21.1.2015   

EN

Official Journal of the European Union

L 14/1


COMMISSION IMPLEMENTING REGULATION (EU) 2015/79

of 18 December 2014

amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council as regards asset encumbrance, single data point model and validation rules

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1), and in particular the first and fourth subparagraph of Article 99(5)thereof,

Whereas:

(1)

The reporting of consistent, accurate and comparable information on asset encumbrance pursuant to Commission Implementing Regulation (EU) No 680/2014 (2) is an an essential element to obtain insight in the funding position of institutions.

(2)

Reporting on asset encumbrance should be based on existing reporting concepts from prudential and accounting reporting on balance sheet items to the extent possible in order to minimise the implementation and reporting burden for institutions.

(3)

In accordance with the principle of proportionality, smaller institutions which do not have material levels of asset encumbrance should not be subject to the detailed reporting requirements applied to larger institutions.

(4)

The reporting requirements should measure all forms of asset encumbrance including contingent encumbrance, since this is of vital importance as a material risk to the liquidity and solvency profiles of institutions, especially for institutions with material levels of asset encumbrance.

(5)

Institutions issuing covered bonds as referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council (3) should report information concerning encumbrance of those assets.

(6)

In order to ensure that supervisory reporting on own funds and own funds requirements, financial information, losses stemming from lending collateralised by immovable property, large exposures, the leverage ratio, liquidity and asset encumbrance is carried out uniformly, and to ensure common supervisory data of high quality and precision, the data items set out in the mandatory reporting tables provided in Annexes I, III, IV, VI, VIII, X, XII and XVI to Implementing Regulation (EU) No. 680/2014 should be transformed into a single data point model.

(7)

The single data point model should consist of a structured representation of the data items, and identify all relevant business concepts for the purpose of uniform supervisory reporting and should contain all of the relevant technical specifications necessary for further developing uniform IT reporting solutions.

(8)

In order to safeguard the quality, consistency and accuracy of data items reported by institutions to the competent authorities on own funds and own funds requirements, financial information, losses stemming from lending collateralised by immovable property, large exposures, the leverage ratio, liquidity and asset encumbrance, the data items should be subject to common validation rules.

(9)

Due to their very nature, validation rules and data point definitions are updated regularly in order to ensure they comply, at all times, with applicable regulatory, analytical and information technology requirements. However, the time presently required to adopt and publish the detailed single data point model and validation rules means that it is not possible to carry out modifications in a sufficiently rapid and timely manner that would ensure permanent uniform supervisory reporting in the Union. Therefore, the detailed data point model laid down in Annex XIV to Implementing Regulation (EU) No 680/2014 and the detailed validation rules laid down in Annex XV to that Regulation should be replaced by stringent qualitative criteria for the single data point model and validation rules which will be published electronically by the European Banking Authority on its website.

(10)

This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority to the Commission.

(11)

The European Banking Authority has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (4).

(12)

To provide institutions and competent authorities with adequate time to implement the requirements of this Regulation in a manner that will produce data of high quality, the first reporting reference date should be 31 December 2014 for all institutions.

(13)

Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly,

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) No 680/2014 is amended as follows:

1.

in Article 1, the following point (f) is added:

‘(f)

asset encumbrance according to Article 100 of Regulation (EU) No 575/2013.’

;

2.

the following Chapter 7a is inserted:

‘CHAPTER 7a

FORMAT AND FREQUENCY OF REPORTING ON ASSET ENCUMBRANCE ON AN INDIVIDUAL AND A CONSOLIDATED BASIS

Article 16a

Format and frequency of reporting on asset encumbrance on an individual and a consolidated basis

1.   In order to report information on asset encumbrance in accordance with Article 100 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XVI to this Regulation according to the instructions set out in Annex XVII to this Regulation.

2.   The information referred to in paragraph 1 shall be submitted according to the following specifications:

(a)

the information specified in Parts A, B and D of Annex XVI with a quarterly frequency;

(b)

the information specified in Part C of Annex XVI with an annual frequency;

(c)

the information specified in Part E of Annex XVI with a semi-annual frequency.

3.   Institutions shall not be required to report the information in Parts B, C or E of Annex XVI where all of the following conditions are met:

(a)

the institution has total assets, as calculated in accordance with paragraph 10 of point 1.6 of Annex XVII, of less than EUR 30 billion;

(b)

the asset encumbrance level of the institution, as calculated in accordance with paragraph 9 of point 1.6 of Annex XVII, is below 15 %.

4.   Institutions shall only be required to report the information in Part D of Annex XVI where they issue the bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council (5).

;

3.

in Article 17, paragraph 1 is replaced by the following:

‘1.   Institutions shall submit the information referred to in this Regulation in the data exchange formats and representations specified by competent authorities, respecting the data point definitions included in the single data point model referred to in Annex XIV and the validation rules referred to in Annex XV as well as the following specifications:

(a)

information not required or not applicable shall not be included in a data submission;

(b)

numeric values shall be submitted as facts according to the following:

(i)

data points with the data type “Monetary” shall be reported using a minimum precision equivalent to thousands of units;

(ii)

data points with the data type “Percentage” shall be expressed as per unit with a minimum precision equivalent to four decimals;

(iii)

data points with the data type “Integer” shall be reported using no decimals and a precision equivalent to units.’

;

4.

in Article 18, the following fourth paragraph is added:

‘In respect of information to be reported pursuant to Article 16a, the first reporting reference date shall be 31 December 2014.’

;

5.

in Article 19, the following fifth paragraph is added:

‘Article 16a shall apply from 1 December 2014.’

;

6.

Annexes XIV and XVare replaced by the text in Annex I to this Regulation.

7.

Annexes XVI and XVII are added as set out respectively in Annexes II and III to this Regulation.

Article 2

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 18 December 2014.

For the Commission

The President

Jean-Claude JUNCKER


(1)  OJ L 176, 27.6.2013, p. 1.

(2)  Commission Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 (OJ L 191, 28.6.2014, p. 1).

(3)  Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).

(4)  Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).

(5)  Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).’


ANNEX I

ANNEX XIV

Single Data Point Model

All data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI shall be transformed into a single data point model which is the basis for uniform IT systems of institutions and competent authorities.

The single data point model shall meet the following criteria:

(a)

provide a structured representation of all data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI;

(b)

identify all the business concepts set out in Annexes I to XIII, XVI and XVII;

(c)

provide a data dictionary identifying table labels, ordinate labels, axis labels, domain labels, dimension labels and member labels;

(d)

provide metrics which define the property or amount of data points;

(e)

provide data point definitions that are expressed as a composition of characteristics that univocally identify the financial concept;

(f)

contain all the relevant technical specifications necessary for developing IT reporting solutions producing uniform supervisory data.

ANNEX XV

Validation Rules

The data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI shall be subject to validation rules ensuring data quality and consistency.

The validation rules shall meet the following criteria:

(a)

define the logical relationships between relevant data points;

(b)

include filters and preconditions that define a set of data to which a validation rule applies;

(c)

check the consistency of the reported data;

(d)

check the accuracy of the reported data;

(e)

set default values which shall be applied where the relevant information has not been reported.


ANNEX II

‘ANNEX XVI

REPORTING TEMPLATES ON ASSET ENCUMBRANCE

ASSET ENCUMBRANCE TEMPLATES

Template number

Template code

Name of the template /group of templates

Short name

PART A — ENCUMBRANCE OVERVIEW

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

PART B — MATURITY DATA

33

F 33.00

MATURITY DATA

AE-MAT

PART C — CONTINGENT ENCUMBRANCE

34

F 34.00

CONTINGENT ENCUMBRANCE

AE-CONT

PART D — COVERED BONDS

35

F 35.00

COVERED BONDS ISSUANCE

AE-CB

PART E — ADVANCED DATA

36,1

F 36.01

ADVANCED DATA. PART I

AE-ADV1

36,2

F 36.02

ADVANCED DATA. PART II

AE-ADV2


F 32.01 — ASSETS OF THE REPORTING INSTITUTION (AE-ASS)

 

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

 

 

 

 

 

 

 

 

 

 


F 32.02 — COLLATERAL RECEIVED (AE-COL)

 

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

 

 

 

 

 

 

 


F 32.03 — OWN COVERED BONDS AND ABSs ISSUED AND NOT YET PLEDGED (AE-NPL)

 

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

 

 

 

 


F 32.04 — SOURCES OF ENCUMBRANCE (AE-SOU)

 

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


F 33.00 — MATURITY DATA (AE-MAT)

 

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)

 

 

 

 

 

 

 

 

 

 

 

 

 


F 34.00 — CONTINGENT ENCUMBRANCE (AE-CONT)

 

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

 

 

 

 

 

 


F 35.00 — COVERED BONDS ISSUANCE (AE-CB)

z-axis

Cover pool identifier (open)

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


F 36.01 — ADVANCED DATA. PART I (AE-ADV-1)

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


F 36.02 — ADVANCE DATA. PART II (AE-ADV-2)

 

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’

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


ANNEX III

‘ANNEX XVII

REPORTING ON ASSET ENCUMBRANCE

Table of Contents

GENERAL INSTRUCTIONS 19

1.

STRUCTURE AND CONVENTIONS 19

1.1.

STRUCTURE 19

1.2.

ACCOUNTING STANDARD 20

1.3.

NUMBERING CONVENTION 20

1.4.

SIGN CONVENTION 20

1.5.

LEVEL OF APPLICATION 20

1.6.

PROPORTIONALITY 20

1.7.

DEFINITION OF ENCUMBRANCE 20
TEMPLATE-RELATED INSTRUCTIONS 21

2.

PART A: ENCUMBRANCE OVERVIEW 21

2.1.

TEMPLATE: AE-ASS. ASSETS OF THE REPORTING INSTITUTION 21

2.1.1.

GENERAL REMARKS 21

2.1.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS 24

2.1.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 25

2.2.

TEMPLATE: AE-COL. COLLATERAL RECEIVED BY THE REPORTING INSTITUTION 26

2.2.1.

GENERAL REMARKS 26

2.2.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS 27

2.2.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 28

2.3.

TEMPLATE AE-NPL. OWN COVERED BONDS AND ABSS ISSUED AND NOT YET PLEDGED 29

2.3.1.

GENERAL REMARKS 29

2.3.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS 29

2.3.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 30

2.4.

TEMPLATE AE-SOU. SOURCES OF ENCUMBRANCE 30

2.4.1.

GENERAL REMARKS 30

2.4.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS 31

2.4.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 32

3.

PART B: MATURITY DATA 33

3.1.

GENERAL REMARKS 33

3.2.

TEMPLATE: AE-MAT. MATURITY DATA 33

3.2.1.

INSTRUCTIONS CONCERNING SPECIFIC ROWS 33

3.2.2.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 34

4.

PART C: CONTINGENT ENCUMBRANCE 35

4.1.

GENERAL REMARKS 35

4.1.1.

SCENARIO A: DECREASE OF 30 % OF ENCUMBERED ASSETS 35

4.1.2.

SCENARIO B: DEPRECIATION OF 10 % IN SIGNIFICANT CURRENCIES 35

4.2.

TEMPLATE: AE-CONT. CONTINGENT ENCUMBRANCE 36

4.2.1.

INSTRUCTIONS CONCERNING SPECIFIC ROWS 36

4.2.2.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 36

5.

PART D: COVERED BONDS 36

5.1.

GENERAL REMARKS 36

5.2.

TEMPLATE: AE-CB. COVERED BONDS ISSUANCE 37

5.2.1.

INSTRUCTIONS CONCERNING Z-AXIS 37

5.2.2.

INSTRUCTIONS CONCERNING SPECIFIC ROWS 37

5.2.3.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 38

6.

PART E: ADVANCED DATA 40

6.1.

GENERAL REMARKS 40

6.2.

TEMPLATE: AE-ADV1. ADVANCED TEMPLATE FOR ASSETS OF THE REPORTING INSTITUTION 40

6.2.1.

INSTRUCTIONS CONCERNING SPECIFIC ROWS 40

6.2.2.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 42

6.3.

TEMPLATE: AE-ADV2. ADVANCED TEMPLATE FOR COLLATERAL RECEIVED BY THE REPORTING INSTITUTION 43

6.3.1.

INSTRUCTIONS CONCERNING SPECIFIC ROWS 43

6.3.2.

INSTRUCTIONS CONCERNING SPECIFIC COLUMNS 43

GENERAL INSTRUCTIONS

1.   STRUCTURE AND CONVENTIONS

1.1.   Structure

1.

The framework consists of five sets of templates which comprise a total of nine templates according to the following scheme:

(a)

Part A: Encumbrance overview:

AE-ASS template. Assets of the reporting institution

AE-COL template. Collateral received by the reporting institution

AE-NPL. Own covered bonds and asset-backed securities (hereinafter “ABS”) issued and not yet pledged

AE-SOU. Sources of encumbrance

(b)

Part B: Maturity data:

AE-MAT template. Maturity data

(c)

Part C: Contingent encumbrance

AE-CONT template. Contingent encumbrance

(d)

Part D: Covered bonds

AE-CB template. Covered bonds issuance

(e)

Part E: Advanced data:

AE-ADV-1 template. Advanced template for assets of the reporting institution

AE-ADV-2 template. Advanced template for collateral received by the reporting institution

2.

For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.

1.2.   Accounting standard

3.

Institutions shall report carrying amounts under the accounting framework they use for the reporting of financial information in accordance with Articles 9 to 11. Institutions that are not required to report financial information shall use their respective accounting framework.

4.

For the purposes of this Annex, “IAS” and “IFRS” refer to the international accounting standards as defined in Article 2 of Regulation (EC) No 1606/2002. For institutions which report under IFRS standards, references have been inserted to the relevant IFRS standards.

1.3.   Numbering convention

5.

The following general notation is used in these instructions to refer to the columns, rows and cells of a template: {Template; Row; Column}. An asterisk sign is used to indicate that the validation is applied to the whole row or column. For example {AE-ASS; *; 2} refers to the data point of any row for column 2 of the AE-ASS template.

6.

In the case of validations within a template the following notation is used to refer to data points from that template: {Row; Column}.

1.4.   Sign convention

7.

Templates in Annex XVI shall follow the sign convention described in paragraphs 9 and 10 of Part I of Annex V.

1.5.   Level of application

8.

The level of application of the reporting on asset encumbrance follows that of the reporting requirements on own funds under the first subparagraph of Article 99(1) of Regulation (EU) No 575/2013. Consequently, institutions that are not subject to prudential requirements in accordance with Article 7 of Regulation (EU) No 575/2013 are not required to report information on asset encumbrance.

1.6.   Proportionality

9.

For the purpose of Article 16a(2)(b), the asset encumbrance level shall be calculated as follows:

Carrying amount of encumbered assets and collateral = {AE-ASS;010;010} + {AE-COL;130;010}.

Total assets and collateral = {AE-ASS;010;010} + {AE-ASS;010;060} + {AE-COL;130;010} + {AE-COL;130;040}.

Asset encumbrance ratio = (Carrying amount of encumbered assets and collateral)/(Total assets and collateral)

10.

For the purpose of Article 16a(2)(a), the sum of total assets shall be calculated as follows:

Total assets = {AE-ASS;010;010} + {AE-ASS;010;060}

1.7.   Definition of encumbrance

11.

For the purpose of this Annex and Annex XVI, an asset shall be treated as encumbered if it has been pledged or if it is subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which it cannot be freely withdrawn.

It is important to note, that assets pledged that are subject to any restrictions in withdrawal, such as for instance assets that require prior approval before withdrawal or replacement by other assets, should be considered encumbered. The definition is not based on an explicit legal definition, such as title transfer, but rather on economic principles, as the legal frameworks may differ in this respect across countries. The definition is however closely linked to contractual conditions. The EBA sees the following types of contracts being well covered by the definition (this is a non-exhaustive list):

secured financing transactions, including repurchase contracts and agreements, securities lending and other forms of secured lending;

various collateral agreements, for instance collateral placed for the market value of derivatives transactions;

financial guarantees that are collateralised. It should be noted, that if there is no impediment to withdrawal of collateral, such as prior approval, for the unused part of guarantee, then only the used amount should be allocated (on a pro-rata allocation);

collateral placed at clearing systems, CCPs and other infrastructure institutions as a condition for access to service. This includes default funds and initial margins;

central bank facilities. Pre-positioned assets should not be considered encumbered, unless the central bank does not allow withdrawal of any assets placed without prior approval. As for unused financial guarantees, the unused part, i.e. above the minimum amount required by the central bank, should be allocated on a pro-rata basis among the assets placed at the central bank;

underlying assets from securitisation structures, where the financial assets have not been de-recognised from the institution's financial assets. The assets that are underlying retained securities do not count as encumbered, unless these securities are pledged or provided as collateral in any way to secure a transaction;

assets in cover pools used for covered bond issuance. The assets that are underlying covered bonds count as encumbered, except in certain situations where the institution holds the corresponding covered bonds (“own-issued bonds”);

as a general principle, assets which are being placed at facilities that are not used and can be freely withdrawn should not be considered encumbered.

TEMPLATE-RELATED INSTRUCTIONS

2.   PART A: ENCUMBRANCE OVERVIEW

12.

The encumbrance overview templates differentiate assets which are used to support funding or collateral needs at the balance sheet date (“point-in time encumbrance”) from those assets which are available for potential funding needs.

13.

The overview template shows the amount of encumbered and non-encumbered assets of the reporting institution in a tabular format by products. The same breakdown also applies to collateral received and own debt securities issued other than covered bonds and securitisations.

2.1.   Template: AE-ASS. Assets of the reporting institution

2.1.1.   General remarks

14.

This paragraph sets out instructions that apply to the main types of transaction that are relevant when completing the AE templates:

All transactions that increase the level of encumbrance of an institution have two aspects that shall be reported independently throughout the AE templates. Such transactions shall be reported both as a source of encumbrance and as an encumbered asset or collateral.

The following examples describe how to report a type of transaction of this Part but the same rules apply to the other AE templates.

(a)   Collateralised deposit

A collateralised deposit is reported as follows:

(i)

the carrying amount of the deposit is registered as a source of encumbrance in {AE-SOU; r070; c010};

(ii)

where the collateral is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r070; c030}; its fair value is reported in {AE-ASS; *; c040};

(iii)

where the collateral has been received by the reporting institution, its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r070; c030} and {AE-SOU; r070; c040}.

(b)   Repo/matching repos

A repurchase agreement (hereinafter “repo”) is reported as follows:

(i)

the carrying amount of the repo is reported as a source of encumbrance in {AE-SOU; r050; c010};

(ii)

the collateral of the repo should be shown:

(iii)

where the collateral is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r050; c030}; its fair value is reported in {AE-ASS; *; c040};

(iv)

where the collateral has been received by the reporting institution through a previous reverse repurchase agreement (matching repo), its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r050; c030} and in {AE-SOU; r050; c040}.

(c)   Central bank funding

As collateralised central bank funding is only a specific case of a collateralised deposit or a repo transaction in which the counterparty is a central bank, the rules in i) and ii) above apply.

For operations where it is not possible to identify the specific collateral to each operation, as collateral is pooled together, the collateral breakdown must be done on a proportional basis, based on the composition of the pool of collateral.

Assets that have been pre-positioned with central banks are not encumbered assets unless the central bank does not allow withdrawal of any assets placed without prior approval. For unused financial guarantees, the unused part, i.e. the amount above the minimum required by the central bank, is allocated on a pro-rata basis among the assets placed at the central bank.

(d)   Securities lending

For securities lending with cash collateral the rules for repos/matching repos apply.

Securities lending without cash collateral is reported as follows:

(i)

the fair value of the securities borrowed is reported as a source of encumbrance in {AE-SOU; r150; c010}. When the lender does not receive any securities in return for the securities lent but receives a fee instead, {AE-SOU; r150; c010} is reported as zero;

(ii)

where the securities lent as collateral are an asset of the reporting institution: their carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r150; c030}; their fair value is reported in {AE-ASS; *; c040};

(iii)

where the securities lent as collateral are received by the reporting institution, their fair value is reported in {AE-COL; *; c010}, {AE-SOU; r150; c030} and {AE-SOU; r150; c040}.

(e)   Derivatives (liabilities)

Collateralised derivatives with a negative fair value are reported as follows:

(i)

the carrying amount of the derivative is reported as a source of encumbrance in {AE-SOU; r020; c010};

(ii)

the collateral (initial margins required to open the position and any collateral placed for the market value of derivatives transactions) are reported as follows:

(i)

where it is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r020; c030}; its fair value is reported in {AE-ASS; *; c040};

(ii)

where it is collateral received by the reporting institution, its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r020; c030} and {AE-SOU; r020; c040}.

(f)   Covered bonds

Covered bonds for the entire asset encumbrance reporting are instruments referred to in the first subparagraph of Article 52(4) of the Directive 2009/65/EU, irrespective of whether these instruments take the legal form of a security or not.

No specific rules apply to covered bonds where there is no retention of part of the securities issued by the reporting institution.

In case of retention of part of the issuance and in order to avoid double counting, the proposed treatment below shall apply:

(i)

where the own covered bonds are not pledged, the amount of the cover pool that is backing those securities retained and not yet pledged is reported in the AE-ASS templates as non-encumbered assets. Additional information about the retained covered bonds not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) is reported in the AE-NPL template;

(ii)

where the own covered bonds are pledged, then the amount of the cover pool that is backing those securities retained and pledged is included in the AE-ASS template as encumbered assets.

The following table sets out how to report covered bond issuance of EUR 100 of which 15 % is retained and not pledged and 10 % is retained and pledged as collateral in a EUR 11 repo transaction with a central bank, where the cover pool comprises unsecured loans and the carrying amount of the loans is EUR 150.

SOURCES OF ENCUMBRANCE

Type

Amount

Cells

Loans encumbered

Cells

Covered bonds

75 % (100) = 75

{AE-Sources, r110, c010}

75 % (150) = 112,5

{AE-Assets, r100, c10}

{AE-Sources, r110, c030}

Central bank funding

11

{AE-Sources, r060, c010}

10 % (150) = 15

{AE-Assets, r100, c10}

{AE-Sources, r060, c030}

NON ENCUMBRANCE

Type

Amount

Cells

Non-encumbered loans

Cells

Own covered bonds retained

15 % 100 = 15

{AE-Not pledged, r010, c040}

15 % (150) = 22,5

{AE-Assets, r100, c60}

{AE-Not pledged, r020, c010}

(g)   Securitisations

Securitisations mean debt securities held by the reporting institution originated in a securitisation transaction as defined in Article 4(61) of Regulation (EU) No 575/2013.

For securitisations that remain in the balance sheet (non-derecognised), the rules for covered bonds apply.

For derecognised securitisations, there is no encumbrance where the institution holds some securities. Those securities will appear in the trading book or in the banking book of the reporting institutions as any other security issued by a third party.

2.1.2.   Instructions concerning specific rows

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.

2.1.3.   Instructions concerning specific columns

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.

2.2.   Template: AE-COL. Collateral received by the reporting institution

2.2.1.   General remarks

15.

For the collateral received by the reporting institution and the own debt securities issued other than own covered bonds or ABSs, the category of “non-encumbered” assets is split between those “available for encumbrance” or potentially eligible to be encumbered and those “non-available for encumbrance”.

16.

Assets are “non-available for encumbrance” when they have been received as collateral and the reporting institution is not permitted to sell or re-pledge the collateral, except in the case of a default by the owner of the collateral. Own debt securities issued other than own covered bonds or securitisations are non-available for encumbrance when there is any restriction in the terms of the issuance to sell or re-pledge the securities held.

17.

For the purpose of the asset encumbrance reporting, securities borrowed in exchange for a fee without providing cash-collateral or non-cash collateral are reported as collateral received.

2.2.2.   Instructions concerning specific rows

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:

(a)

where the own debt securities are pledged, the amount of the cover pool/underlying assets that are backing those securities retained and pledged is reported in the AE-ASS template as encumbered assets;

(b)

where the own debt securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities retained and not yet pledged is reported in the AE-ASS templates as non-encumbered assets. Additional information about this second type of own debt securities not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) is reported in the AE-NPL template.

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.

2.2.3.   Instructions concerning specific columns

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.

2.3.   Template: AE-NPL. Own covered bonds and ABSs issued and not yet pledged

2.3.1.   General remarks

18.

To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution:

(a)

where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be reported in the AE-ASS template as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations;

(b)

where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be reported in the AE-ASS template as non-encumbered assets.

2.3.2.   Instructions concerning specific rows

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.

2.3.3.   Instructions concerning specific columns.

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:

(i)

they are non-encumbered;

(ii)

they are available for encumbrance;

(iii)

they 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

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.

2.4.   Template: AE-SOU. Sources of encumbrance

2.4.1.   General remarks

19.

This template provides information on the importance for the reporting institution of the different sources of encumbrance, including those with no associated funding as loans commitments or financial guarantees received and securities lending with non-cash collateral.

20.

The total amounts of assets and collateral received in the AE-ASS and the AE-COL templates meet the following validation rule: {AE-SOU; r170; c030} = {AE-ASS; r010; c010} + {AE-COL; r130; c010} + {AE-COL; r240; c010}.

2.4.2.   Instructions concerning specific rows

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

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

150

Fair value of securities borrowed with non-cash collateral

Fair value of the securities borrowed by the reporting institution without cash collateral, insofar as these transactions entail asset encumbrance for that institution.

160

Other

Amount of collateralised transactions of the reporting institution other than financial liabilities, not covered by the above items, insofar as these transactions entail asset encumbrance for that institution.

170

TOTAL SOURCES OF ENCUMBRANCE

Amount of all collateralised transactions of the reporting institution insofar as these transactions entail asset encumbrance for that institution.

2.4.3.   Instructions concerning specific columns

Columns

Legal references and instructions

010

Matching liabilities, contingent liabilities or securities lent

Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as these transactions entail asset encumbrance for that institution.

Financial liabilities are reported at their carrying amount; contingent liabilities are reported at their nominal value; and securities lent with non-cash collateral are reported at their fair value.

020

of which: from other entities of the group

Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as the counterparty is any other entity within the prudential scope of consolidation and the transaction entail for the reporting institution asset encumbrance.

For rules applying to amount types, see instructions for column 010.

030

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

Amount of the assets, collateral received and own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows.

To ensure consistency with the criteria in the templates AE-ASS and AE-COL, assets of the reporting institution registered in the balance sheet are reported at their carrying amount, re-used collateral received and encumbered own securities issued other than covered bonds and securitisations are reported at their fair value.

040

of which: collateral received re-used

Fair value of the collateral received that are re-used/encumbered as a result of the different type of transactions specified in the rows.

050

Of which: own debt securities encumbered

Fair value of the own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows.

3.   PART B: MATURITY DATA

3.1.   General remarks

21.

The template included in Part B shows a general overview of the amount of encumbered assets and collateral received re-used that fall under the defined intervals of the matching liabilities' residual maturity.

3.2.   Template: AE-MAT. Maturity data

3.2.1.   Instructions concerning specific rows

Rows

Legal references and instructions

010

Encumbered assets

For the purpose of this template, encumbered assets include all of the following:

(a)

the assets of the reporting institution (see instruction for row 010 of the AE-ASS template), which are reported at their carrying amount;

(b)

own debt securities issued other than covered bonds or securitisations (see instruction for row 240 of the AE-COL template), which are reported at fair value.

These amounts are distributed among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (matching liability, contingent liability or securities lending transaction).

020

Collateral received re-used (receiving leg)

See instructions for row 130 of the AE-COL template and column 040 of the AE-SOU template.

The amounts are reported at fair value and distributed among the set of residual maturity buckets specified in the columns according to the residual maturity of the transaction that generated for the entity the reception of the collateral that is being re-used (receiving leg).

030

Collateral received re-used (re-using leg)

See instructions for row 130 of the AE-COL template and column 040 of the AE-SOU template.

The amounts are reported at fair value and distributed among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (re-using leg): matching liability, contingent liability or securities lending transaction.

3.2.2.   Instructions concerning specific columns

Columns

Legal references and instructions

010

Open maturity

On demand, without a specific maturity date

020

Overnight

Due date earlier or equal to 1 day

030

>1 day <=1 wk

Due date later than 1 day and earlier than or equal to 1 week

040

>1 wk <=2 wks

Due date later than 1 week and earlier than or equal to 2 weeks

050

>2 wks <=1 mth

Due date later than 2 weeks and earlier than or equal to 1 month

060

>1 mth <=3 mths

Due date later than 1 month and earlier than or equal to 3 months

070

>3 mths <=6 mths

Due date later than 3 months and earlier than or equal to 6 months

080

>6mths <=1 yr

Due date later than 6 months and earlier than or equal to 1 year

090

>1 yr <=2 yrs

Due date later than 1 year and earlier than or equal to 2 years

100

>2 yrs <=3 yrs

Due date later than 2 years and earlier than or equal to 3 years

110

>3 yrs <=5 yrs

Due date later than 3 years and earlier than or equal to 5 years

120

>5 yrs <=10 yrs

Due date later than 5 years and earlier than or equal to 10 years

130

>10 yrs

Due date later than 10 years

4.   PART C: CONTINGENT ENCUMBRANCE

4.1.   General remarks

22.

This template requires institutions to calculate the level of asset encumbrance in a number of stressed scenarios.

23.

Contingent encumbrance refers to the additional assets which may need to be encumbered when the reporting institutions faces adverse developments triggered by an external event over which the reporting institution has no control (including a downgrade, decrease of the fair value of the encumbered assets or a general loss of confidence). In these cases, the reporting institution will need to encumber additional assets as a consequence of already existing transactions. The additional amount of encumbered assets shall be net of the impact of the institution's hedge transactions against the events described under the aforementioned stressed scenarios.

24.

This template includes the following two scenarios for reporting contingent encumbrance which are set out in more detail in points 4.1.1. and 4.1.2. The information reported shall be the institution's reasonable estimate based on the best available information.

(a)

Decrease of the fair value of the encumbered assets by 30 %. This scenario only covers a change in the underlying fair value of the assets, and not any other change which may affect its carrying amount such as foreign exchange gains or losses or potential impairment. The reporting institution may then be forced to post more collateral in order to keep the value of the collateral constant.

(b)

A 10 % depreciation in each currency in which the institution has aggregate liabilities amounting to or exceeding 5 % of the institution's total liabilities.

25.

The scenarios shall be reported independently of each other, and significant currency depreciations shall also be reported independently of depreciations of other significant currencies. Consequently institutions shall not take correlations between the scenarios into account.

4.1.1.   Scenario A: Decrease of 30 % of encumbered assets

26.

It shall be assumed that all encumbered assets decrease 30 % in value. The need of additional collateral arising from such a decrease shall take into account existing levels of over-collateralisation, such that only the minimum collateralisation level is maintained. The need of additional collateral shall also take into account the contractual requirements of the contracts and agreements impacted, including threshold triggers.

27.

Only contracts and agreements, where there is a legal obligation to supply additional collateral shall be included. This includes covered bond issues where there is a legal requirement to uphold minimum levels of over collateralisation but no requirement to maintain existing rating levels on the covered bond.

4.1.2.   Scenario B: Depreciation of 10 % in significant currencies

28.

A currency is a significant currency if the reporting institution has aggregate liabilities in that currency amounting to or exceeding 5 % of the institution's total liabilities

29.

The calculation of a 10 % depreciation shall take into account both changes on the asset and liability side, i.e. focus the asset-liability mismatches. For instance a repo transactions in USD based on USD assets does not cause additional encumbrance, whereas a repo transaction in USD based on a EUR asset causes additional encumbrance.

30.

All transactions which have a cross-currency element shall be covered by this calculation.

4.2.   Template: AE-CONT. Contingent encumbrance

4.2.1.   Instructions concerning specific rows

31.

See instructions concerning specific columns of the AE-SOU template in point 1.5.1. The content of the columns in AE-CONT template does not differ from the AE-SOU template.

4.2.2.   Instructions concerning specific columns

Columns

Legal references and instructions

010

Matching liabilities, contingent liabilities or securities lent

Same instructions and data as for column 010 of the AE-SOU template.

Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non–cash collateral, insofar as these transactions entail asset encumbrance for that institution.

As referred for each row in the template, financial liabilities are reported at their carrying amount, contingent liabilities at their nominal and securities lent with non-cash collateral at their fair value.

020

A.   Additional amount of encumbered assets

Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of occurrence of scenario A.

Following the instructions laid down in Part A of this Annex, these amounts are reported at their carrying amount if the amount is related to assets of the reporting institution or at their fair value if related to collateral received. Amounts exceeding the non-encumbered assets and collateral of the institution are reported at fair value.

030

B.   Additional amount of encumbered assets. Significant currency 1

Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 1 in scenario B.

See rules for amount types in row 020.

040

B.   Additional amount of encumbered assets. Significant currency 2

Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 2 in scenario B.

See rules for amount types in row 020.

5.   PART D: COVERED BONDS

5.1.   General remarks

32.

The information in this template is reported for all UCITS-compliant covered bonds issued by the reporting institution. UCITS-compliant covered bonds are the bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC. These are covered bonds issued by the reporting institution if the reporting institution is in relation to the covered bond subject by law to special public supervision designed to protect bond-holders and if for such covered bond it is required that sums deriving from the issue of those bonds shall be invested in accordance with the law in assets which, during the whole period of validity of the bonds, are capable of covering claims attaching to the bonds and which, in the event of failure of the issuer, would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest.

33.

Covered bonds issued by or on behalf of the reporting institution that are not UCITS-compliant covered bonds shall not be reported within the AE-CB templates.

34.

The reporting shall be based on the statutory covered bond regime, i.e. the legal framework which applies the to the covered bond programme.

5.2.   Template: AE-CB. Covered bonds issuance

5.2.1.   Instructions concerning z-axis

z-axis

Legal references and instructions

010

Cover pool identifier (open)

The cover pool identifier consists of the name or unambiguous abbreviation of the cover pool issuing entity and the designation of the cover pool that individually is subject to the relevant covered bond protective measures.

5.2.2.   Instructions concerning specific rows

Columns

Legal references and instructions

010

Nominal amount

Nominal amount is the sum of claims to payment of principal, determined in accordance with the respective statutory covered bond regime's rules that apply for determining sufficient coverage.

020

Present value (swap)

Present value (swap) is the sum of claims to payment of principal and interest, as discounted by a foreign exchange-specific risk-free yield curve, determined in accordance with the relevant statutory covered bond regime's rules that apply for determining sufficient coverage.

For columns 080 and 210 referring to cover pool derivative positions, the amount to be reported is its market value.

030

Asset-specific value

The asset-specific value is the economic value of the cover pool assets, as may be described by a fair value according to IFRS 13, a market value observable from executed transactions in liquid markets, or a present value that would discount future cash flows of an asset by an asset-specific interest rate curve.

040

Carrying amount

Carrying amount of a covered bond liability or a cover pool asset is the accounting value at the covered bond issuer.

5.2.3.   Instructions concerning specific columns

010

Compliance with Article 129 of Regulation (EU) No 575/2013? [YES/NO]

Institutions shall specify whether the cover pool meets the requirements set out in Article 129 of Regulation (EU) No 575/2013 in order to be eligible for the preferential treatment set out in Article 129(4) and (5) of that Regulation.

012

If YES, indicate primary asset class of the cover pool

If the cover pool is eligible for the preferential treatment set out in Article 129(4) and (5) of Regulation (EU) No 575/2013 (answer YES in column 011), the primary asset class of the cover pool shall be indicated in this cell. The classification in Article 129(1) of that Regulation shall be used for this purpose and codes “a”, “b”, “c”, “d”, “e”, “f” and “g” shall be indicated accordingly. Code “h” will be applied when the primary asset class of the cover pool does not fall under any of the previous categories.

020-140

Covered bond liabilities

Covered bond liabilities are the liabilities of the issuing entity incurred by issuing covered bonds and extends to all positions as defined by the respective statutory covered bond regime that are subject to the relevant covered bond protective measures (this may, for instance, include securities in circulation as well as the position of counterparts of the covered bond issuer in derivative positions with, from the perspective of the covered bond issuer, a negative market value attributed to the cover pool and treated as covered bond liabilities in accordance with the relevant statutory covered bond regime).

020

Reporting date

Amounts of covered bond liabilities, excluding cover pool derivative positions, according to the different future date ranges.

030

+ 6 months

The date “+ 6 months” is the point in time 6 months after the reporting reference date. Amounts shall be provided assuming no change in covered bond liabilities compared to the reporting reference date except for amortization. In the absence of a fixed payment schedule, for amounts outstanding at future dates the expected maturity is to be used in a consistent manner.

040-070

+ 12 months - + 10 years

As for “+ 6 months” (column 030) for the respective point in time from the reporting reference date.

080

Cover pool derivative positions with net negative market value

The net negative market value of cover pool derivative positions which from the perspective of the covered bond issuer have a net negative market value. Cover pool derivative positions are such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a negative market value require coverage by eligible cover pool assets.

The net negative market value is to be reported for the reporting reference date only.

090-140

External credit rating on covered bond

Information on external credit ratings on the respective covered bond, as existing on the reporting date, is to be provided.

090

Credit rating agency 1

If a credit rating of at least one credit rating agency exists as of the reporting date, the name of one of these credit rating agencies shall be provided here. If credit ratings by more than three credit rating agencies exist as of the reporting date, the three credit rating agencies to whom information is provided shall be selected based on their respective market prevalence.

100

Credit rating 1

The credit rating issued by the credit rating agency reported in column 090 on the covered bond as of the reporting reference date. If long- and short-term credit ratings by the same credit rating agency exist, the long-term credit rating is to be reported. The credit rating to be reported shall include any modifiers.

110, 130

Credit rating agency 2 and credit rating agency 3

As for credit rating agency 1 (column 090) for further credit rating agencies that have issued credit ratings on the covered bond as of the reporting reference date.

120, 140

Credit rating 2 and credit rating 3

As for credit rating 1 (column 100) for further credit ratings issued by credit rating agencies 2 and 3 on the covered bond existing as of the reporting reference date.

150-250

Cover pool

The cover pool consist of all positions, including cover pool derivative positions, from the perspective of the covered bond issuer, with a net positive market value, that are subject to the respective covered bond protective measures.

150

Reporting date

Amounts of assets in the cover pool, excluding cover pool derivative positions. This amount includes minimum over-collateralisation requirements plus any additional over-collateralisation in excess of the minimum, to the extent subject to the respective covered bond protective measures.

160

+ 6 months

The reporting date “+ 6 months” is the point in time 6 months after the reporting reference date. Amounts shall be provided assuming no change in cover pool compared to the reporting date except for amortization. In the absence of a fixed payment schedule, for amounts outstanding at future dates expected maturity is to be used in a consistent manner.

170-200

+ 12 months - + 10 years

As for “+ 6 months” (column 160) for the respective point in time from the reporting reference date.

210

Cover pool derivative positions with net positive market value

The net positive market value of cover pool derivative positions which, from the perspective of the covered bond issuer, have a net positive market value. Cover pool derivative positions are such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a positive market value would not form part of the covered bond issuer's general insolvency estate.

The net positive market value is to be reported for the reporting date only.

220-250

Cover pool amounts in excess of minimum coverage requirements

Amounts of cover pool, including cover pool derivative positions with net positive market values, in excess of requirements of minimum coverage (over-collateralisation).

220

As per the relevant statutory covered bond regime

Amounts of over-collateralisation compared with the minimum coverage required by the relevant statutory covered bond regime.

230-250

As per credit rating agencies' methodology to maintain current external credit rating on covered bond

Amounts of over-collateralisation compared with the level that, according to information on the respective credit rating agency's methodology available to the covered bond issuer, would at a minimum be required to support the existing credit rating issued by the respective credit rating agency.

230

Credit rating agency 1

Amounts of over-collateralisation compared with the level that, according to information on the methodology of credit rating agency 1 (column 090) available to the covered bond issuer, would at a minimum be required to support credit rating 1 (column 100).

240-250

Credit rating agency 2 and credit rating agency 3

The instructions for credit rating agency 1 (column 230) also apply to credit rating agency 2 (column 110) and credit rating agency 3 (column 130).

6.   PART E: ADVANCED DATA

6.1.   General remarks

35.

Part E follows the same structure as in the encumbrance overview templates in Part A with different templates for the encumbrance of the assets of the reporting institution and for the collateral received: AE-ADV1 and AE-ADV2 respectively. Consequently, matching liabilities correspond to the liabilities that are secured by the encumbered assets and no one-to-one relation has to exist.

6.2.   Template: AE-ADV1. Advanced template for assets of the reporting institution

6.2.1.   Instructions concerning specific rows

Rows

Legal references and instructions

010-020

Central bank funding (of all types, including repos)

All types of liabilities of the reporting institution in which the counterparty of the transaction is a central bank.

Assets that have been pre-positioned with central banks shall not be treated as encumbered assets unless the central bank does not allow withdrawal of any asset placed without prior approval. For unused financial guarantees, the unused part, i.e., the amount above the minimum required by the central bank, shall be allocated on a pro-rata basis among the assets placed at the central bank.

030-040

Exchanged traded derivatives

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as these derivatives are listed or traded on a recognised or designated investment exchange and they entail asset encumbrance for that institution.

050-060

Over-the counter derivatives

Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as these derivatives are traded over-the-counter and they entail asset encumbrance for that institution. (Same instruction in row 030 of the AE-SOU template)

070-080

Repurchase agreements

Carrying amount of the repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as these transactions entail asset encumbrance for that institution. For tri-party repurchase agreements, the same treatment should be followed as for the repurchase agreements insofar as these transactions entail asset encumbrance for the reporting institution.

090-100

Collateralised deposits other than repurchase agreements

Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as these deposits entail asset encumbrance for that institution.

110-120

Covered bonds securities issued

See instructions in row 100 of the AE-SOU template.

130-140

Securitisations issued

See instructions in row 110 of the AE-SOU template.

150-160

Debt securities issued other than covered bonds and ABSs

Carrying amount of the debt securities issued by the reporting institution other than covered bonds and securitisations insofar as these securities issued entail asset encumbrance for that institution.

In the event that the reporting institution had retained some of the debt securities issued, either from the issuance date or thereafter as a result of a repurchase, these retained securities should not be included under this item. Additionally, the collateral assigned to them should be classified as non-encumbered for the purpose of this template.

170-180

Other sources of encumbrance

See instructions in row 120 of the AE-SOU template.

190

Total encumbered assets

For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are encumbered.

200

of which: central bank eligible

For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are encumbered and 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.

210

Total non-encumbered assets

For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are non-encumbered. Carrying amount means the amount reported in the asset side of the balance sheet.

220

of which: central bank eligible

For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are non-encumbered and 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.

230

Encumbered + non-encumbered assets

For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution.

6.2.2.   Instructions concerning specific columns

Columns

Legal references and instructions

010

Loans on demand

See instructions for row 020 of the AE-ASS template.

020

Equity instruments

See instructions for row 030 of the AE-ASS template.

030

Total

See instructions for row 040 of the AE-ASS template.

040

of which: covered bonds

See description instructions for row 050 of the AE-ASS template.

050

of which: issued by other entities of the group

Covered bonds as described in the instructions for row 050 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation.

060

of which: securitisations

See instructions for row 060 of the AE-ASS template.

070

of which: issued by other entities of the group

Securitisations as described in the instructions for row 060 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation.

080

of which: issued by general governments

See instructions for row 070 of the AE-ASS template.

090

of which: issued by financial corporations

See instructions for row 080 of the AE-ASS template.

100

of which: issued by non-financial corporations

See instructions for row 090 of the AE-ASS template.

110

Central banks and general governments

Loans and advances other than loans on demand to a central bank or a general government.

120

Financial corporations

Loans and advances other than loans on demand to financial corporations.

130

Non-financial corporations

Loans and advances other than loans on demand to non-financial corporations.

140

of which: mortgages loans

Loans and advances other than loans on demand guaranteed with a mortgage given to non-financial corporations.

150

Households

Loans and advances other than loans on demand given to households.

160

of which: mortgage loans

Loans and advances other than loans on demand guaranteed with a mortgage given to households.

170

Other assets

See instruction for row 120 of the AE-ASS template.

180

Total

See instruction for row 010 of the AE-ASS template.

6.3.   Template: AE-ADV2. Advanced template for collateral received by the reporting institution

6.3.1.   Instructions concerning specific rows

36.

See point 6.2.1 as instructions are similar for both templates.

6.3.2.   Instructions concerning specific columns

Columns

Legal references and instructions

010

Loans on demand

See instructions for row 140 of the AE-COL template.

020

Equity instruments

See instructions for row 150 of the AE-COL template.

030

Total

See instructions for row 160 of the AE-COL template.

040

of which: covered bonds

See instructions in row 170 of the AE-COL template.

050

of which: issued by other entities of the group

Collateral received by the reporting institution that are covered bonds issued by any entity within the prudential scope of consolidation.

060

of which: securitisations

See instructions for row 180 of the AE-COL template.

070

of which: issued by other entities of the group

Collateral received by the reporting institution that are securitisations issued by any entity within the prudential scope of consolidation.

080

of which: issued by general governments

See instructions for row 190 of the AE-COL template.

090

of which: issued by financial corporations

See instructions for row 200 of the AE-COL template.

100

of which: issued by non-financial corporations

See instructions for row 210 of the AE-COL template.

110

Central banks and general governments.

Collateral received by the reporting institution that are loans and advances other than loans on demand to a central bank or a general government.

120

Financial corporations

Collateral received by the reporting institution that are loans and advances other than loans on demand to financial corporations.

130

Non-financial corporations

Collateral received by the reporting institution that are loans and advances other than loans on demand to non-financial corporations.

140

of which: mortgages loans

Collateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a mortgage given to non-financial corporations.

150

Households

Collateral received by the reporting institution that are loans and advances other than loans on demand given to households.

160

of which: mortgage loans

Collateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a mortgage given to households.

170

Other assets

See instructions for row 230 of the AE-COL template.

180

Own debt securities issued other than own covered bonds or ABSs

See instructions for row 240 of the AE-COL template.

190

Total

See instructions for rows 130 and 140 of the AE-COL template.’


(1)  Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19).


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