+ANNEX XVI

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 SECURITISATIONS 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 notionally eligible EHQLA and HQLA

 

of which: central bank's eligible

of which notionally eligible EHQLA and HQLA

 

of which: issued by other entities of the group

of which: central bank's eligible

of which EHQLA and HQLA

 

of which: central bank's eligible

of which EHQLA and HQLA

0010

0020

0030

0035

0040

0050

0055

0060

0070

0080

0085

0090

0100

0105

0010

Assets of the reporting institution

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0015

of which: qualifying fiduciary assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Loans on demand

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Equity instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Debt securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

of which: covered bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

of which: securitisations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

of which: issued by general governments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

of which: issued by financial corporations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

of which: issued by non-financial corporations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Loans and advances other than loans on demand

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

of which: Loans collateralised with Immovable Property

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

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 notionally eligible EHQLA and HQLA

 

of which: issued by other entities of the group

of which: central bank's eligible

of which EHQLA and HQLA

0010

0020

0030

0035

0040

0050

0060

0065

0070

0130

Collateral received by the reporting institution

 

 

 

 

 

 

 

 

 

0140

Loans on demand

 

 

 

 

 

 

 

 

 

0150

Equity instruments

 

 

 

 

 

 

 

 

 

0160

Debt securities

 

 

 

 

 

 

 

 

 

0170

of which: covered bonds

 

 

 

 

 

 

 

 

 

0180

of which: securitisations

 

 

 

 

 

 

 

 

 

0190

of which: issued by general governments

 

 

 

 

 

 

 

 

 

0200

of which: issued by financial corporations

 

 

 

 

 

 

 

 

 

0210

of which: issued by non-financial corporations

 

 

 

 

 

 

 

 

 

0220

Loans and advances other than loans on demand

 

 

 

 

 

 

 

 

 

0230

Other collateral received

 

 

 

 

 

 

 

 

 

0240

Own debt securities issued other than own covered bonds or securitisations

 

 

 

 

 

 

 

 

 

0245

Own covered bonds and securitisation issued and not yet pledged

 

 

 

 

 

 

 

 

 

0250

TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED

 

 

 

 

 

 

 

 

 



F 32.03 - OWN COVERED BONDS AND SECURITISATIONS 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

of which notionally eligible EHQLA and HQLA

0010

0020

0030

0035

0040

0010

Own covered bonds and securitisations issued and not yet pledged

 

 

 

 

 

0020

Retained covered bonds issued

 

 

 

 

 

0030

Retained securitisations issued

 

 

 

 

 

0040

Senior

 

 

 

 

 

0050

Mezzanine

 

 

 

 

 

0060

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 securitisations encumbered

 

of which: from other entities of the group

 

of which: collateral received re-used

of which: own debt securities encumbered

0010

0020

0030

0040

0050

0010

Carrying amount of selected financial liabilities

 

 

 

 

 

0020

Derivatives

 

 

 

 

 

0030

of which: Over-The-Counter

 

 

 

 

 

0040

Deposits

 

 

 

 

 

0050

Repurchase agreements

 

 

 

 

 

0060

of which: central banks

 

 

 

 

 

0070

Collateralised deposits other than repurchase agreements

 

 

 

 

 

0080

of which: central banks

 

 

 

 

 

0090

Debt securities issued

 

 

 

 

 

0100

of which: covered bonds issued

 

 

 

 

 

0110

of which:securitisations issued

 

 

 

 

 

0120

Other sources of encumbrance

 

 

 

 

 

0130

Nominal of loan commitments received

 

 

 

 

 

0140

Nominal of financial guarantees received

 

 

 

 

 

0150

Fair value of securities borrowed with non cash-collateral

 

 

 

 

 

0160

Other

 

 

 

 

 

0170

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)

 

Residual maturity of liabilities

Open maturity

Overnight

> 1 day <= 1 wk

> 1 wk <= 2 wks

> 2 wks <= 1 mth

> 1 mth <= 3 mths

> 3 mths <= 6 mths

> 6 mths <= 1 yr

> 1 yr <= 2 yrs

> 2 yrs <= 3 yrs

3 yrs <= 5 yrs

5 yrs <= 10 yrs

> 10 yrs

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0010

Encumbered assets

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Collateral received re-used (receiving leg)

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

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

0010

0020

0030

0040

…

…

0010

Carrying amount of selected financial liabilities

 

 

 

 

 

 

0020

Derivatives

 

 

 

 

 

 

0030

of which: Over-The-Counter

 

 

 

 

 

 

0040

Deposits

 

 

 

 

 

 

0050

Repurchase agreements

 

 

 

 

 

 

0060

of which: central banks

 

 

 

 

 

 

0070

Collateralised deposits other than repurchase agreements

 

 

 

 

 

 

0080

of which: central banks

 

 

 

 

 

 

0090

Debt securities issued

 

 

 

 

 

 

0100

of which: covered bonds issued

 

 

 

 

 

 

0110

of which: securitisations issued

 

 

 

 

 

 

0120

Other sources of encumbrance

 

 

 

 

 

 

0170

TOTAL SOURCES OF ENCUMBRANCE

 

 

 

 

 

 



F 35.00 - COVERED BONDS ISSUANCE (AE-CB)

z-axis

Cover pool identifier (open)

 

Compliance with Art. 129 of Regulation (EU) No 575/2013

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

0010

0012

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0200

0210

0220

0230

0240

0250

0010

Nominal amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Present value (swap) / Market value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Asset-specific value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Carrying amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



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

 

Sources of encumbrance

Assets/Liabilities

Collateral Type - Classification by Asset type

Total

Loans on demand

Equity instruments

Debt Securities

Loans and advances other than loans on demand

Other assets

Total

of which: covered bonds

of which: securitisations

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: Loans collateralised with immovable property

 

of which: Loans collateralised with immovable property

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0010

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

Encumbered assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Exchange traded derivatives

Encumbered assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Over-the-counter derivatives

Encumbered assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Repurchase agreements

Encumbered assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Collateralised deposits other than repurchase agreements

Encumbered assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Covered bonds securities issued

Encumbered assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Securitisations issued

Encumbered assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Debt securities issued other than covered bonds and securitisations

Encumbered assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

Other sources of encumbrance

Encumbered assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

Contingent liabilities or securities lent

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

Total encumbered assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

of which central bank eligible

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

Total non-encumbered Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

of which central bank eligible

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

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 securitisations

Total

of which: covered bonds

of which: securitisations

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: Loans collateralised with immovable property

 

of which: Loans collateralised with immovable property

0010

0020

0030

0040

0050

0060

0070

0080

0090

0100

0110

0120

0130

0140

0150

0160

0170

0180

0190

0010

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

Encumbered collateral received

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0020

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0030

Exchange traded Derivatives

Encumbered collateral received

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0040

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0050

Over-the-counter derivatives

Encumbered collateral received

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0060

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0070

Repurchase agreements

Encumbered collateral received

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0080

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0090

Collateralised deposits other than repurchase agreements

Encumbered collateral received

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0100

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0110

Covered bonds securities issued

Encumbered collateral received

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0120

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0130

Securitisations issued

Encumbered collateral received

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0140

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0150

Debt securities issued other than Covered bonds and securitisations

Encumbered collateral received

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0160

Matching liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0170

Other sources of encumbrance

Encumbered collateral received

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0180

Contingent liabilities or securities lent

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0190

Total encumbered collateral received

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0200

of which central bank eligible

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0210

Total non-encumbered collateral received

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0220

of which central bank eligible

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0230

Encumbered + Non-encumbered collateral received

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Not to be filled on a consolidated basis template

 

Not to be filled in any case

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards