No longer in force since 27/06/2021

Version from: 01/06/2020
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ANNEX XVI

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

>1day <=1wk

>1wk <=2wks

>2wks <=1mth

>1mth <=3mths

>3mths <=6mths

>6mths <=1yr

>1yr <=2yrs

>2yrs <=3yrs

3yrs <=5yrs

5yrs <=10yrs

>10yrs

 

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 - ADVANCE 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