ANNEX XVII
INSTRUCTION FOR REPORTING ON ASSET ENCUMBRANCE
|
Table of Contents |
|
|
GENERAL INSTRUCTIONS |
|
|
1. |
STRUCTURE AND CONVENTIONS |
|
1.1. |
STRUCTURE |
|
1.2. |
ACCOUNTING STANDARD |
|
1.3. |
NUMBERING CONVENTION |
|
1.4. |
SIGN CONVENTION |
|
1.5. |
LEVEL OF APPLICATION |
|
1.6. |
PROPORTIONALITY |
|
1.7. |
DEFINITION OF ENCUMBRANCE |
|
TEMPLATE-RELATED INSTRUCTIONS |
|
|
2. |
PART A: ENCUMBRANCE OVERVIEW |
|
2.1. |
TEMPLATE AE-ASS. ASSETS OF THE REPORTING INSTITUTION |
|
2.1.1. |
GENERAL REMARKS |
|
2.1.2. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
|
2.1.3. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
|
2.2. |
TEMPLATE: AE-COL. COLLATERAL RECEIVED BY THE REPORTING INSTITUTION |
|
2.2.1. |
GENERAL REMARKS |
|
2.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
|
2.2.3. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
|
2.3. |
TEMPLATE: AE-NPL. OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED |
|
2.3.1. |
GENERAL REMARKS |
|
2.3.2. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
|
2.3.3. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
|
2.4. |
TEMPLATE: AE-SOU. SOURCES OF ENCUMBRANCE |
|
2.4.1. |
GENERAL REMARKS |
|
2.4.2. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
|
2.4.3. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
|
3. |
PART B: MATURITY DATA |
|
3.1. |
GENERAL REMARKS |
|
3.2. |
TEMPLATE: AE-MAT. MATURITY DATA |
|
3.2.1. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
|
3.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
|
4. |
PART C: CONTINGENT ENCUMBRANCE |
|
4.1. |
GENERAL REMARKS |
|
4.1.1. |
SCENARIO A: DECREASE OF 30 % OF ENCUMBERED ASSETS |
|
4.1.2. |
SCENARIO B: DEPRECIATION OF 10 % IN SIGNIFICANT CURRENCIES |
|
4.2. |
TEMPLATE: AE-CONT. CONTINGENT ENCUMBRANCE |
|
4.2.1. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
|
4.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
|
5. |
PART D: COVERED BONDS |
|
5.1. |
GENERAL REMARKS |
|
5.2. |
TEMPLATE: AE-CB. COVERED BONDS ISSUANCE |
|
5.2.1. |
INSTRUCTIONS CONCERNING Z-AXIS |
|
5.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
|
5.2.3. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
|
6. |
PART E: ADVANCED DATA |
|
6.1. |
GENERAL REMARKS |
|
6.2. |
TEMPLATE: AE-ADV1. ADVANCED TEMPLATE FOR ASSETS OF THE REPORTING INSTITUTION |
|
6.2.1. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
|
6.2.2. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
|
6.3. |
TEMPLATE: AE-ADV2. ADVANCED TEMPLATE FOR COLLATERAL RECEIVED BY THE REPORTING INSTITUTION |
|
6.3.1. |
INSTRUCTIONS CONCERNING SPECIFIC ROWS |
|
6.3.2. |
INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
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:
Part A: Encumbrance overview:
Part B: Maturity data:
Part C: Contingent encumbrance:
Part D: Covered bonds:
Part E: Advanced data:
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 11 and 12. Institutions that are not required to report financial information shall use their respective accounting framework. In AE-SOU, institutions shall generally report carrying amounts gross of accounting netting, if any, in line with the reporting on a gross basis of encumbrance of assets and collateral.
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 Annex V, Part 1, points 9 and 10.
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 Article 430(1), first subparagraph, point (a), of Regulation (EU) No 575/2013. Consequently, institutions that are not subject to prudential requirements in accordance with Article 7 of that Regulation are not required to report information on asset encumbrance.
1.6. Proportionality
9. For the purposes of Article 19(3), point (c), of this Regulation, the asset encumbrance level shall be calculated as follows:
10. [Deleted]
1.7. Definition of encumbrance
11. For the purposes 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 assets that require prior approval before withdrawal or replacement by other assets, shall 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):
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 point 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 shall be reported as follows:
the carrying amount of the deposit is registered as a source of encumbrance in {AE-SOU; r0070; c0010};
where the collateral is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; *; c0010} and {AE-SOU; r0070; c0030}; its fair value shall be reported in {AE-ASS; *; c0040};
where the collateral has been received by the reporting institution, its fair value shall reported in {AE-COL; *; c0010}, {AE-SOU; r0070; c0030} and {AE-SOU; r0070; c0040}.
(b) Repo/matching repos
A repurchase agreement (hereinafter ‘repo’) shall be reported as follows:
the gross carrying amount of the repo shall be reported as a source of encumbrance in {AE-SOU; r0050; c0010};
the collateral of the repo shall be reported as follows:
(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 this point 14(a) and (b) apply.
For operations where it is not possible to identify the specific collateral to each operation, as collateral is pooled together, the collateral breakdown shall 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 shall be reported as follows:
the fair value of the securities borrowed shall be reported as a source of encumbrance in {AE-SOU; r0150; c0010}. When the lender does not receive any securities in return for the securities lent but receives a fee instead, {AE-SOU; r0150; c0010} shall reported as zero;
where the securities lent as collateral are an asset of the reporting institution: their carrying amount shall be reported in {AE-ASS; *; c0010} and {AE-SOU; r0150; c0030}; their fair value shall reported in {AE-ASS; *; c0040};
where the securities lent as collateral are received by the reporting institution, their fair value shall be reported in {AE-COL; *; c0010}, {AE-SOU; r0150; c0030} and {AE-SOU; r0150; c0040}.
(e) Derivatives (liabilities)
Collateralised derivatives with a negative fair value shall be reported as follows:
the carrying amount of the derivative shall be reported as a source of encumbrance in {AE-SOU; r0020; c0010};
the collateral (initial margins required to open the position and any collateral placed for the market value of derivatives transactions) shall be reported as follows:
(f) Covered bonds
Covered bonds for the entire asset encumbrance reporting are instruments referred to in Article 52(4), first subparagraph, of Directive 2009/65/EU, irrespective of whether those 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 following treatment shall apply:
where the own covered bonds are not pledged, the amount of the cover pool that is backing those securities retained and not yet pledged shall be 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) shall be reported in the AE-NPL template;
where the own covered bonds are pledged, then the amount of the cover pool that is backing those securities retained and pledged shall be 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, c010} {AE-Sources, r110, c030} |
|
Central bank funding |
11 |
{AE-Sources, r060, c010} |
10 % (150) = 15 |
{AE-Assets, r100, c010} {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, c060} {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(1), point (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 |
|
0010 |
Assets of the reporting institution IAS 1.9 (a), Implementation Guidance (IG) 6; total assets of the reporting institution registered in its balance sheet. |
|
0015 |
Of which: qualifying fiduciary assets Fiduciary assets which meet all the following conditions: (a) they are recognised on the institution’s balance sheet by national generally accepted accounting principles, in accordance with Article 10 of Directive 86/635/EEC; (b) they meet the criteria for non-recognition set out in International Financial Reporting Standard (IFRS) 9, as applied in accordance with Regulation (EC) No 1606/2002; (c) they meet the criteria for non-consolidation set out in IFRS 10, as applied in accordance with Regulation (EC) No 1606/2002, where applicable. |
|
0020 |
Loans on demand IAS 1.54 (i) Institutions shall report 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 shall be included in the row ‘other assets’. |
|
0030 |
Equity instruments Equity instruments held by the reporting institution as defined in IAS 32.1. |
|
0040 |
Debt securities Annex V, Part 1, point 31 Institutions shall report debt instruments held by the reporting institution issued as securities that are not loans in accordance with Regulation (EU) 2021/379 (1). |
|
0050 |
of which: covered bonds Debt securities held by the reporting institution that are bonds referred to in Article 52(4), first subparagraph, of Directive 2009/65/EC. |
|
0060 |
of which: securitisations Debt securities held by the reporting institution that are securitisations as defined in Article 4(1), point (61), of Regulation (EU) No 575/2013. |
|
0070 |
of which: issued by general governments Debt securities held by the reporting institution which are issued by general governments. |
|
0080 |
of which: issued by financial corporations Debt securities held by the reporting institution issued by financial corporations as defined in Annex V, Part 1, point 42, points (c) and d). |
|
0090 |
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 1, point 42, point (e). |
|
0100 |
Loans and advances other than loans on demand Loans and advances that are debt instruments other than securities held by the reporting institutions; other than balances receivable on demand. |
|
0110 |
of which: Loans collateralised with immovable property Loans and advances other than loans on demand that are collateralised with immovable property according to Annex V, part 2, point 86. |
|
0120 |
Other assets Assets of the reporting institution registered in the balance sheet other than those reported in rows 0020 to 0040 and 0100 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 0240 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 |
|
0010 |
Carrying amount of encumbered assets Institutions shall report the carrying amount of its assets that are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. The carrying amount shall mean the amount reported in the asset side of the balance sheet. |
|
0020 |
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. |
|
0030 |
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. |
|
0035 |
of which notionally eligible EHQLA and HQLA The carrying amount of encumbered assets which are notionally eligible to the qualification of assets of extremely high liquidity and credit quality (EHQLA) and assets of high liquidity and credit quality (HQLA). For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the assets that are listed in Articles 10 to13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The carrying amount of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of that Delegated Regulation. |
|
0040 |
Fair value of encumbered assets IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions Institutions shall report the fair value of its debt securities that are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. 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). |
|
0050 |
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. |
|
0055 |
of which notionally eligible EHQLA and HQLA Fair value of encumbered assets that are notionally eligible to the qualification of EHQLA and HQLA For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the assets that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of that Delegated Regulation. |
|
0060 |
Carrying amount of non-encumbered assets Institutions shall report the carrying amount of its assets that are non-encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. Carrying amount shall mean the amount reported in the asset side of the balance sheet. |
|
0070 |
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. |
|
0080 |
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. |
|
0085 |
of which EHQLA and HQLA Carrying amount of unencumbered EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation. The carrying amount of EHQLA and HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61. |
|
0090 |
Fair value of non-encumbered assets IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions Institutions shall report the fair value of its debt securities that are non-encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. Fair value of a financial instrument shall be 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). |
|
0100 |
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. |
|
0105 |
of which EHQLA and HQLA Fair value of unencumbered EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation. The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61. |
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 securitisations, 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 purposes of the asset encumbrance reporting, securities borrowed in exchange for a fee without providing cash-collateral or non-cash collateral shall be reported as collateral received.
2.2.2. Instructions concerning specific rows
|
Rows |
Legal references and instructions |
|
0130 |
Collateral received by the reporting institution All classes of collateral received by the reporting institution |
|
0140 |
Loans on demand Collateral received by the reporting institution that comprises loans on demand See legal references and instructions regarding row 0020 of the AE-ASS template. |
|
0150 |
Equity instruments Collateral received by the reporting institution that comprises equity instruments See legal references and instructions regarding row 0030 of the AE-ASS template. |
|
0160 |
Debt securities Collateral received by the reporting institution that comprises debt securities See legal references and instructions regarding row 0040 of the AE-ASS template. |
|
0170 |
of which: covered bonds Collateral received by the reporting institution that comprises covered bonds See legal references and instructions regarding row 0050 of the AE-ASS template. |
|
0180 |
of which: securitisations Collateral received by the reporting institution that comprises securitisations See legal references and instructions regarding row 0060 of the AE-ASS template. |
|
0190 |
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 0070 of the AE-ASS template. |
|
0200 |
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 0080 of the AE-ASS template. |
|
0210 |
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 0090 of the AE-ASS template. |
|
0220 |
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 0100 of the AE-ASS template. |
|
0230 |
Other collateral received Collateral received by the reporting institution that comprises other assets See legal references and instructions regarding row 0120 of the AE-ASS template. |
|
0240 |
Own debt securities issued other than own covered bonds or securitisations 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, those securities shall not be included in the category of assets of the reporting institution (row 0010 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 shall not be 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 shall be 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 shall be reported in the AE-ASS templates as non-encumbered assets. Additional information about that 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) shall be reported in the AE-NPL template. |
|
0245 |
Own covered bonds and securitisation issued and not yet pledged Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered 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 Template AE-ASS (F 32.01) 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 Template AE-ASS (F 32.01) as non-encumbered assets. |
|
0250 |
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 |
|
0010 |
Fair value of encumbered collateral received or own debt securities issued Institutions shall report the fair value of the collateral received or own debt securities they hold/retain, which are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. The fair value of a financial instrument shall be 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). |
|
0020 |
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. |
|
0030 |
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. |
|
0035 |
of which notionally eligible EHQLA and HQLA Fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA. For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the items of collateral received or own debt securities issued held/retained by the institution that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex. Notionally eligible encumbered EHQLA and encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61. |
|
0040 |
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. |
|
0050 |
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 securitisations available for encumbrance that are issued by any entity within the prudential scope of consolidation. |
|
0060 |
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. |
|
0065 |
of which EHQLA and HQLA Fair value of the unencumbered collateral received or own debt securities issued held/retained by the institution other than own covered bonds or securitisation positions available for encumbrance which qualify as EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation. The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61. |
|
0070 |
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 shall include 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 securitisations 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:
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;
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 |
|
0010 |
Own covered bonds and securitisations issued and not yet pledged Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered. |
|
0020 |
Retained covered bonds issued Own covered bonds issued that are retained by the reporting institution and not encumbered. |
|
0030 |
Retained securitisations issued Own securitisations issued that are retained by the reporting institution and not encumbered. |
|
0040 |
Senior Senior tranches of the own securitisations issued that are retained by the reporting institution and not encumbered See Article 4(1), point (67), of Regulation (EU) No 575/2013. |
|
0050 |
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(1), point (67), of Regulation (EU) No 575/2013. |
|
0060 |
First loss First loss tranches of the own securitisations issued that are retained by the reporting institution and are not encumbered. See Article 4(1), point (67), of Regulation (EU) No 575/2013. |
2.3.3. Instructions concerning specific columns
|
Columns |
Legal references and instructions |
|
0010 |
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. |
|
0020 |
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. |
|
0030 |
Of which: central bank eligible Fair value of the own covered bonds and own securitisations retained that meet each of the following conditions: (a) they are non-encumbered; (b) they are available for encumbrance; (c) 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. |
|
0035 |
of which notionally eligible EHQLA and HQLA Fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA. For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the items of collateral received or own debt securities issued held/retained by the institution that are listed in Articles 10 to13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex XVII. Notionally eligible encumbered EHQLA and encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61. |
|
0040 |
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; r0170; c0030} = {AE-ASS; r0010; c0010} + {AE-COL; r0130; c0010} + {AE-COL; r0240; c0010}.
2.4.2. Instructions concerning specific rows
|
Rows |
Legal references and instructions |
|
0010 |
Carrying amount of selected financial liabilities Carrying amount of selected collateralised financial liabilities of the reporting institution insofar as those liabilities entail asset encumbrance for that institution |
|
0020 |
Derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, that is, with a negative fair value, insofar as those derivatives entail asset encumbrance for that institution |
|
0030 |
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 those derivatives entail asset encumbrance. |
|
0040 |
Deposits Carrying amount of the collateralised deposits of the reporting institution insofar as those deposits entail asset encumbrance for that institution. |
|
0050 |
Repurchase agreements Gross carrying amount (without any netting allowed in the accounting framework) of the repurchase agreements of the reporting institution insofar as those transactions entail asset encumbrance for that institution. Repurchase agreements (repos) shall be the 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: (a) amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral; and (b) amounts received in exchange for securities temporarily transferred to a third party in the form of a sale/buy-back agreement. |
|
0060 |
of which: central banks Carrying amount of the repurchase agreements of the reporting institution with central banks insofar as those transactions entail asset encumbrance. |
|
0070 |
Collateralised deposits other than repurchase agreements Carrying amount of the of the collateralised deposits other than repurchase agreements of the reporting institution insofar as those deposits entail asset encumbrance for that institution. |
|
0080 |
of which: central banks Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution with central banks insofar as those deposits entail asset encumbrance for that institution. |
|
0090 |
Debt securities issued Carrying amount of the debt securities issued by the reporting institution insofar as those securities issued entail asset encumbrance for that institution. The retained part of any issuance shall follow the specific treatment set out in Part A, point 15, point (vi), so that only the percentage of debt securities placed outside the entities of the group are to be included under this category. |
|
0100 |
of which: covered bonds issued Carrying amount of covered bonds the assets of which are originated by the reporting institution insofar as those securities issued entail asset encumbrance for that institution. |
|
0110 |
of which: securitisations issued Carrying amount of the securitisations issued by the reporting institution insofar as those securities issued entail asset encumbrance for that institution. |
|
0120 |
Other sources of encumbrance Amount of collateralised transactions of the reporting institution other than financial liabilities, insofar as those transactions entail asset encumbrance for that institution. |
|
0130 |
Nominal of loan commitments received Nominal amount of the loan commitments received by the reporting institution, insofar as those commitments received entail asset encumbrance for that institution. |
|
0140 |
Nominal of financial guarantees received Nominal amount of the financial guarantees received by the reporting institution, insofar as those guarantees received entail asset encumbrance for that institution. |
|
0150 |
Fair value of securities borrowed with non-cash collateral Fair value of the securities borrowed by the reporting institution without cash collateral, insofar as those transactions entail asset encumbrance for that institution. |
|
0160 |
Other Amount of collateralised transactions of the reporting institution other than financial liabilities, not covered by the items listed in rows 0130 to 0150, insofar as those transactions entail asset encumbrance for that institution. |
|
0170 |
TOTAL SOURCES OF ENCUMBRANCE Amount of all collateralised transactions of the reporting institution insofar as those transactions entail asset encumbrance for that institution. |
2.4.3. Instructions concerning specific columns
|
Columns |
Legal references and instructions |
|
0010 |
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 those transactions entail asset encumbrance for that institution. Financial liabilities shall be reported at their carrying amount; contingent liabilities shall be reported at their nominal value; and securities lent with non-cash collateral shall be reported at their fair value. |
|
0020 |
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 0010. |
|
0030 |
Assets, collateral received and own securities issued other than covered bonds and securitisations 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 shall be reported at their carrying amount, re-used collateral received and encumbered own securities issued other than covered bonds and securitisations shall be reported at their fair value. |
|
0040 |
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 |
|
0010 |
Encumbered assets For the purposes of this template, encumbered assets shall include all of the following: (a) the assets of the reporting institution (see instruction for row 0010 of the AE-ASS template), which shall be 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 shall be reported at fair value. Those amounts shall be 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). |
|
0020 |
Collateral received re-used (receiving leg) See instructions for row 130 of the AE-COL template and column 0040 of the AE-SOU template. Institutions shall report the amounts at fair value and distribute 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). |
|
0030 |
Collateral received re-used (re-using leg) See instructions for row 130 of the AE-COL template and column 0040 of the AE-SOU template. Institutions shall report the amounts at fair value and distribute 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 |
|
0010 |
Open maturity On demand, without a specific maturity date |
|
0020 |
Overnight Due date earlier or equal to 1 day |
|
0030 |
> 1 day <=1wk Due date later than 1 day and earlier than or equal to 1 week |
|
0040 |
> 1 wk <=2wks Due date later than 1 week and earlier than or equal to 2 weeks |
|
0050 |
> 2wks <=1mth Due date later than 2 weeks and earlier than or equal to 1 month |
|
0060 |
> 1mth <=3mths Due date later than 1 month and earlier than or equal to 3 months |
|
0070 |
> 3mths <=6mths Due date later than 3 months and earlier than or equal to 6 months |
|
0080 |
> 6mths <=1yr Due date later than 6 months and earlier than or equal to 1 year |
|
0090 |
> 1yr <=2yrs Due date later than 1 year and earlier than or equal to 2 years |
|
0100 |
> 2yrs <=3yrs Due date later than 2 years and earlier than or equal to 3 years |
|
0110 |
> 3yrs <=5yrs Due date later than 3 years and earlier than or equal to 5 years |
|
0120 |
> 5yrs <=10yrs Due date later than 5 years and earlier than or equal to 10 years |
|
0130 |
> 10yrs Due date later than 10 years |
4. PART C: CONTINGENT ENCUMBRANCE
4.1. General remarks
22. Institutions shall present in this template the level of asset encumbrance that results 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 those 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 sections 4.1.1. and 4.1.2. The information reported shall be the institution’s reasonable estimate based on the best available information.
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.
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 shall include 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 shall be 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 rows of the AE-SOU template in section 2.4.2. The content of the rows in AE-CONT template does not differ from the AE-SOU template.
4.2.2. Instructions concerning specific columns
|
Columns |
Legal references and instructions |
|
0010 |
Matching liabilities, contingent liabilities or securities lent Same instructions and data as for column 0010 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 those transactions entail asset encumbrance for that institution As referred for each row in the template, institutions shall report financial liabilities at their carrying amount, contingent liabilities at their nominal and securities lent with non-cash collateral at their fair value. |
|
0020 |
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, institutions shall report those amounts 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 shall be reported at fair value. |
|
0030 |
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 0020. |
|
0040 |
C. 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 0020. |
5. PART D: COVERED BONDS
5.1. General remarks
32. The information in this template shall be reported for all UCITS-compliant covered bonds issued by the reporting institution. UCITS-compliant covered bonds are the bonds referred to in Article 52(4), first subparagraph, of Directive 2009/65/EC. Those are covered bonds issued by the reporting institution if the reporting institution is in relation to the covered bond subject by the applicable 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 |
|
0010 |
Cover pool identifier (open) The cover pool identifier shall consist 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
|
Rows |
Legal references and instructions |
|
0010 |
Nominal amount Nominal amount shall be 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. |
|
0020 |
Present value (swap)/Market value Present value (swap) shall be 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 0080 and 0210 referring to cover pool derivative positions, the market value shall be reported. |
|
0030 |
Asset-specific value The asset-specific value shall be the economic value of the cover pool assets, as may be described by a fair value in accordance with 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. |
|
0040 |
Carrying amount Carrying amount of a covered bond liability or a cover pool asset shall be the accounting value at the covered bond issuer. |
5.2.3. Instructions concerning specific columns
|
Columns |
Legal references and instructions |
|
0010 |
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. |
|
0012 |
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 0011), 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 that 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. |
|
0020-0140 |
Covered bond liabilities Covered bond liabilities shall be 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). |
|
0020 |
Reporting date Amounts of covered bond liabilities, excluding cover pool derivative positions, according to the different future date ranges. |
|
0030 |
+ 6 months The date ‘+ 6 months’ shall be 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 amortisation. In the absence of a fixed payment schedule, for amounts outstanding at future dates the expected maturity shall be used in a consistent manner. |
|
0040-0070 |
+ 12 months – + 10 years As for ‘+ 6 months’ (column 0030) for the respective point in time from the reporting reference date |
|
0080 |
Cover pool derivative positions with net negative market value Net negative market value of cover pool derivative positions which from the perspective of the covered bond issuer have a net negative market value The cover pool derivative positions shall be 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 shall be reported for the reporting reference date only. |
|
0090-0140 |
External credit rating on covered bond Institutions shall provide information on external credit ratings on the respective covered bond, as existing on the reporting date. |
|
0090 |
Credit rating agency 1 If a credit rating of at least one credit rating agency exists as of the reporting date, institutions shall provide the name of one of those credit rating agencies. 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. |
|
0100 |
Credit rating 1 The credit rating issued by the credit rating agency reported in column 0090 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 shall be reported. The credit rating to be reported shall include any modifiers. |
|
0110, 130 |
Credit rating agency 2 and credit rating agency 3 As for credit rating agency 1 (column 0090) for further credit rating agencies that have issued credit ratings on the covered bond as of the reporting reference date |
|
0120, 0140 |
Credit rating 2 and credit rating 3 As for credit rating 1 (column 0100) for further credit ratings issued by credit rating agencies 2 and 3 on the covered bond existing as of the reporting reference date |
|
0150-0250 |
Cover pool The cover pool shall 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. |
|
0150 |
Reporting date Amounts of assets in the cover pool, excluding cover pool derivative positions This amount shall include 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. |
|
0160 |
+ 6 months The reporting date ‘+ 6 months’ shall be the point in time 6 months after the reporting reference date. Institutions shall report the amounts assuming no change in cover pool compared to the reporting date except for amortisation. In the absence of a fixed payment schedule, for amounts outstanding at future dates expected maturity shall be used in a consistent manner. |
|
0170-0200 |
+ 12 months – + 10 years As for ‘+ 6 months’ (column 0160) for the respective point in time from the reporting reference date |
|
0210 |
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 The cover pool derivative positions shall be 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 shall be reported for the reporting date only. |
|
0220-0250 |
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) |
|
0220 |
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 |
|
0230-0250 |
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 |
|
0230 |
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 0090) available to the covered bond issuer, would at a minimum be required to support credit rating 1 (column 0100). |
|
0240-0250 |
Credit rating agency 2 and credit rating agency 3 The instructions for credit rating agency 1 (column 0230) shall also apply to credit rating agency 2 (column 0110) and credit rating agency 3 (column 0130). |
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 |
|
0010-0020 |
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. |
|
0030-0040 |
Exchanged traded derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as those derivatives are listed or traded on a recognised or designated investment exchange and they entail asset encumbrance for that institution. |
|
0050-0060 |
Over-the counter derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as those derivatives are traded over-the-counter and they entail asset encumbrance for that institution; same instruction in row 030 of the AE-SOU template. |
|
0070-0080 |
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 those transactions entail asset encumbrance for that institution. For tri-party repurchase agreements, the same treatment shall be followed as for the repurchase agreements insofar as those transactions entail asset encumbrance for the reporting institution. |
|
0090-0100 |
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 those deposits entail asset encumbrance for that institution. |
|
0110-0120 |
Covered bonds securities issued See instructions in row 0100 of the AE-SOU template. |
|
0130-0140 |
Securitisations issued See instructions in row 0110 of the AE-SOU template. |
|
0150-0160 |
Debt securities issued other than covered bonds and securitisations Carrying amount of the debt securities issued by the reporting institution other than covered bonds and securitisations insofar as those 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, those retained securities shall not be included under this item. Additionally, the collateral assigned to them shall be classified as non-encumbered for the purposes of this template. |
|
0170-0180 |
Other sources of encumbrance See instructions in row 0120 of the AE-SOU template. |
|
0190 |
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 |
|
0200 |
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. |
|
0210 |
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. The carrying amount shall mean the amount reported in the asset side of the balance sheet. |
|
0220 |
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. |
|
0230 |
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 |
|
0010 |
Loans on demand See instructions for row 0020 of the AE-ASS template. |
|
0020 |
Equity instruments See instructions for row 0030 of the AE-ASS template. |
|
0030 |
Total See instructions for row 0040 of the AE-ASS template. |
|
0040 |
of which: covered bonds See description instructions for row 0050 of the AE-ASS template. |
|
0050 |
of which: issued by other entities of the group Covered bonds as described in the instructions for row 0050 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation |
|
0060 |
of which: securitisations See instructions for row 0060 of the AE-ASS template. |
|
0070 |
of which: issued by other entities of the group Securitisations as described in the instructions for row 0060 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation. |
|
0080 |
of which: issued by general governments See instructions for row 0070 of the AE-ASS template. |
|
0090 |
of which: issued by financial corporations See instructions for row 0080 of the AE-ASS template. |
|
0100 |
of which: issued by non-financial corporations See instructions for row 0090 of the AE-ASS template. |
|
0110 |
Central banks and general governments Loans and advances other than loans on demand to a central bank or a general government |
|
0120 |
Financial corporations Loans and advances other than loans on demand to financial corporations |
|
0130 |
Non-financial corporations Loans and advances other than loans on demand to non-financial corporations |
|
0140 |
of which: Loans collateralised with immovable property Loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to non-financial corporations |
|
0150 |
Households Loans and advances other than loans on demand given to households |
|
0160 |
of which: Loans collateralised with immovable property Loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to households |
|
0170 |
Other assets See instruction for row 120 of the AE-ASS template. |
|
0180 |
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 section 6.2.1 as instructions are similar for both templates.
6.3.2. Instructions concerning specific columns
|
Columns |
Legal references and instructions |
|
0010 |
Loans on demand See instructions for row 0140 of the AE-COL template. |
|
0020 |
Equity instruments See instructions for row 0150 of the AE-COL template. |
|
0030 |
Total See instructions for row 0160 of the AE-COL template. |
|
0040 |
of which: covered bonds See instructions in row 0170 of the AE-COL template. |
|
0050 |
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 |
|
0060 |
of which: securitisations See instructions for row 0180 of the AE-COL template. |
|
0070 |
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 |
|
0080 |
of which: issued by general governments See instructions for row 0190 of the AE-COL template. |
|
0090 |
of which: issued by financial corporations See instructions for row 0200 of the AE-COL template. |
|
0100 |
of which: issued by non-financial corporations See instructions for row 0210 of the AE-COL template. |
|
0110 |
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 |
|
0120 |
Financial corporations Collateral received by the reporting institution that are loans and advances other than loans on demand to financial corporations |
|
0130 |
Non-financial corporations Collateral received by the reporting institution that are loans and advances other than loans on demand to non-financial corporations |
|
0140 |
of which: Loans collateralised with immovable property Collateral received by the reporting institution that are loans and advances collateralised with immovable property given to non-financial corporations, excluding loans on demand |
|
0150 |
Households Collateral received by the reporting institution that are loans and advances other than loans on demand given to households |
|
0160 |
of which: Loans collateralised with immovable property Collateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to households |
|
0170 |
Other assets See instructions for row 0230 of the AE-COL template. |
|
0180 |
Own debt securities issued other than own covered bonds or securitisations See instructions for row 0240 of the AE-COL template. |
|
0190 |
Total See instructions for rows 0130 and 0140 of the AE-COL template. |