- Y Diweddaraf sydd Ar Gael (Diwygiedig)
- Gwreiddiol (Fel y’i mabwysiadwyd gan yr UE)
Commission Implementing Regulation (EU) 2015/79 of 18 December 2014 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council as regards asset encumbrance, single data point model and validation rules (Text with EEA relevance)
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THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012(1), and in particular the first and fourth subparagraph of Article 99(5)thereof,
Whereas:
(1) The reporting of consistent, accurate and comparable information on asset encumbrance pursuant to Commission Implementing Regulation (EU) No 680/2014(2) is an an essential element to obtain insight in the funding position of institutions.
(2) Reporting on asset encumbrance should be based on existing reporting concepts from prudential and accounting reporting on balance sheet items to the extent possible in order to minimise the implementation and reporting burden for institutions.
(3) In accordance with the principle of proportionality, smaller institutions which do not have material levels of asset encumbrance should not be subject to the detailed reporting requirements applied to larger institutions.
(4) The reporting requirements should measure all forms of asset encumbrance including contingent encumbrance, since this is of vital importance as a material risk to the liquidity and solvency profiles of institutions, especially for institutions with material levels of asset encumbrance.
(5) Institutions issuing covered bonds as referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council(3) should report information concerning encumbrance of those assets.
(6) In order to ensure that supervisory reporting on own funds and own funds requirements, financial information, losses stemming from lending collateralised by immovable property, large exposures, the leverage ratio, liquidity and asset encumbrance is carried out uniformly, and to ensure common supervisory data of high quality and precision, the data items set out in the mandatory reporting tables provided in Annexes I, III, IV, VI, VIII, X, XII and XVI to Implementing Regulation (EU) No. 680/2014 should be transformed into a single data point model.
(7) The single data point model should consist of a structured representation of the data items, and identify all relevant business concepts for the purpose of uniform supervisory reporting and should contain all of the relevant technical specifications necessary for further developing uniform IT reporting solutions.
(8) In order to safeguard the quality, consistency and accuracy of data items reported by institutions to the competent authorities on own funds and own funds requirements, financial information, losses stemming from lending collateralised by immovable property, large exposures, the leverage ratio, liquidity and asset encumbrance, the data items should be subject to common validation rules.
(9) Due to their very nature, validation rules and data point definitions are updated regularly in order to ensure they comply, at all times, with applicable regulatory, analytical and information technology requirements. However, the time presently required to adopt and publish the detailed single data point model and validation rules means that it is not possible to carry out modifications in a sufficiently rapid and timely manner that would ensure permanent uniform supervisory reporting in the Union. Therefore, the detailed data point model laid down in Annex XIV to Implementing Regulation (EU) No 680/2014 and the detailed validation rules laid down in Annex XV to that Regulation should be replaced by stringent qualitative criteria for the single data point model and validation rules which will be published electronically by the European Banking Authority on its website.
(10) This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority to the Commission.
(11) The European Banking Authority has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council(4).
(12) To provide institutions and competent authorities with adequate time to implement the requirements of this Regulation in a manner that will produce data of high quality, the first reporting reference date should be 31 December 2014 for all institutions.
(13) Implementing Regulation (EU) No 680/2014 should therefore be amended accordingly,
HAS ADOPTED THIS REGULATION:
Modifications etc. (not altering text)
C1Regulation: power to modify conferred (11.7.2023) by Financial Services and Markets Act 2023 (c. 29), ss. 3, 86(3), Sch. 1 Pts. 1, 3; S.I. 2023/779, reg. 2(d)
Implementing Regulation (EU) No 680/2014 is amended as follows:
in Article 1, the following point (f) is added:
the following Chapter 7a is inserted:
1.In order to report information on asset encumbrance in accordance with Article 100 of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information specified in Annex XVI to this Regulation according to the instructions set out in Annex XVII to this Regulation.
2.The information referred to in paragraph 1 shall be submitted according to the following specifications:
(a)the information specified in Parts A, B and D of Annex XVI with a quarterly frequency;
(b)the information specified in Part C of Annex XVI with an annual frequency;
(c)the information specified in Part E of Annex XVI with a semi-annual frequency.
3.Institutions shall not be required to report the information in Parts B, C or E of Annex XVI where all of the following conditions are met:
(a)the institution has total assets, as calculated in accordance with paragraph 10 of point 1.6 of Annex XVII, of less than EUR 30 billion;
(b)the asset encumbrance level of the institution, as calculated in accordance with paragraph 9 of point 1.6 of Annex XVII, is below 15 %.
4.Institutions shall only be required to report the information in Part D of Annex XVI where they issue the bonds referred to in the first subparagraph of Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council(5).’;
in Article 17, paragraph 1 is replaced by the following:
‘1.Institutions shall submit the information referred to in this Regulation in the data exchange formats and representations specified by competent authorities, respecting the data point definitions included in the single data point model referred to in Annex XIV and the validation rules referred to in Annex XV as well as the following specifications:
(a)information not required or not applicable shall not be included in a data submission;
(b)numeric values shall be submitted as facts according to the following:
data points with the data type “Monetary” shall be reported using a minimum precision equivalent to thousands of units;
data points with the data type “Percentage” shall be expressed as per unit with a minimum precision equivalent to four decimals;
data points with the data type “Integer” shall be reported using no decimals and a precision equivalent to units.’;
in Article 18, the following fourth paragraph is added:
‘In respect of information to be reported pursuant to Article 16a, the first reporting reference date shall be 31 December 2014.’;
in Article 19, the following fifth paragraph is added:
‘Article 16a shall apply from 1 December 2014.’;
Annexes XIV and XVare replaced by the text in Annex I to this Regulation.
Annexes XVI and XVII are added as set out respectively in Annexes II and III to this Regulation.
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 18 December 2014.
For the Commission
The President
Jean-Claude Juncker
All data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI shall be transformed into a single data point model which is the basis for uniform IT systems of institutions and competent authorities.
The single data point model shall meet the following criteria:
provide a structured representation of all data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI;
identify all the business concepts set out in Annexes I to XIII, XVI and XVII;
provide a data dictionary identifying table labels, ordinate labels, axis labels, domain labels, dimension labels and member labels;
provide metrics which define the property or amount of data points;
provide data point definitions that are expressed as a composition of characteristics that univocally identify the financial concept;
contain all the relevant technical specifications necessary for developing IT reporting solutions producing uniform supervisory data.
The data items set out in Annexes I, III, IV, VI, VIII, X, XII and XVI shall be subject to validation rules ensuring data quality and consistency.
The validation rules shall meet the following criteria:
define the logical relationships between relevant data points;
include filters and preconditions that define a set of data to which a validation rule applies;
check the consistency of the reported data;
check the accuracy of the reported data;
set default values which shall be applied where the relevant information has not been reported.”
Template number | Template code | Name of the template /group of templates | Short name |
---|---|---|---|
PART A — ENCUMBRANCE OVERVIEW | |||
32,1 | F 32.01 | ASSETS OF THE REPORTING INSTITUTION | AE-ASS |
32,2 | F 32.02 | COLLATERAL RECEIVED | AE-COL |
32,3 | F 32.03 | OWN COVERED BONDS AND ABSs ISSUED AND NOT YET PLEDGED | AE-NPL |
32,4 | F 32.04 | SOURCES OF ENCUMBRANCE | AE-SOU |
PART B — MATURITY DATA | |||
33 | F 33.00 | MATURITY DATA | AE-MAT |
PART C — CONTINGENT ENCUMBRANCE | |||
34 | F 34.00 | CONTINGENT ENCUMBRANCE | AE-CONT |
PART D — COVERED BONDS | |||
35 | F 35.00 | COVERED BONDS ISSUANCE | AE-CB |
PART E — ADVANCED DATA | |||
36,1 | F 36.01 | ADVANCED DATA. PART I | AE-ADV1 |
36,2 | F 36.02 | ADVANCED DATA. PART II | AE-ADV2 |
Carrying amount of encumbered assets | Fair value of encumbered assets | Carrying amount of non-encumbered assets | Fair value of non-encumbered assets | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
of which: issued by other entities of the group | of which: central bank's eligible | of which: central bank's eligible | of which: issued by other entities of the group | of which: central bank's eligible | of which: central bank's eligible | ||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | ||
010 | Assets of the reporting institution | ||||||||||
020 | Loans on demand | ||||||||||
030 | Equity instruments | ||||||||||
040 | Debt securities | ||||||||||
050 | of which: covered bonds | ||||||||||
060 | of which: asset-backed securities | ||||||||||
070 | of which: issued by general governments | ||||||||||
080 | of which: issued by financial corporations | ||||||||||
090 | of which: issued by non-financial corporations | ||||||||||
100 | Loans and advances other than loans on demand | ||||||||||
110 | of which: mortgage loans | ||||||||||
120 | Other assets |
Fair value of encumbered collateral received or own debt securities issued | Non-encumbered | |||||||
---|---|---|---|---|---|---|---|---|
Fair value of collateral received or own debt securities issued available for encumbrance | Nominal of collateral received or own debt securities issued non available for encumbrance | |||||||
of which: issued by other entities of the group | of which: central bank's eligible | of which: issued by other entities of the group | of which: central bank's eligible | |||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | ||
130 | Collateral received by the reporting institution | |||||||
140 | Loans on demand | |||||||
150 | Equity instruments | |||||||
160 | Debt securities | |||||||
170 | of which: covered bonds | |||||||
180 | of which: asset-backed securities | |||||||
190 | of which: issued by general governments | |||||||
200 | of which: issued by financial corporations | |||||||
210 | of which: issued by non-financial corporations | |||||||
220 | Loans and advances other than loans on demand | |||||||
230 | Other collateral received | |||||||
240 | Own debt securities issued other than own covered bonds or ABSs | |||||||
250 | TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED |
Non-encumbered | |||||
---|---|---|---|---|---|
Carrying amount of the underlying pool of assets | Fair value of debt securities issued available for encumbrance | Nominal of own debt securities issued non available for encumbrance | |||
of which: central bank's eligible | |||||
010 | 020 | 030 | 040 | ||
010 | Own covered bonds and asset-backed securities issued and not yet pledged | ||||
020 | Retained covered bonds issued | ||||
030 | Retained asset-backed securities issued | ||||
040 | Senior | ||||
050 | Mezzanine | ||||
060 | First Loss |
Matching liabilities, contingent liabilities or securities lent | Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered | |||||
---|---|---|---|---|---|---|
of which: from other entities of the group | of which: collateral received re-used | of which: own debt securities encumbered | ||||
010 | 020 | 030 | 040 | 050 | ||
010 | Carrying amount of selected financial liabilities | |||||
020 | Derivatives | |||||
030 | of which: Over-The-Counter | |||||
040 | Deposits | |||||
050 | Repurchase agreements | |||||
060 | of which: central banks | |||||
070 | Collateralised deposits other than repurchase agreements | |||||
080 | of which: central banks | |||||
090 | Debt securities issued | |||||
100 | of which: covered bonds issued | |||||
110 | of which: asset-backed securities issued | |||||
120 | Other sources of encumbrance | |||||
130 | Nominal of loan commitments received | |||||
140 | Nominal of financial guarantees received | |||||
150 | Fair value of securities borrowed with non cash-collateral | |||||
160 | Other | |||||
170 | TOTAL SOURCES OF ENCUMBRANCE | |||||
Not to be filled on a consolidated basis template | ||||||
Not to be filled in any case |
Open maturity | Overnight | >1 day <=1 wk | >1 wk <=2 wks | >2 wks <=1 mth | >1 mth <=3 mths | >3 mths <=6 mths | >6 mths <=1 yr | >1 yr <=2 yrs | >2 yrs <=3 yrs | 3 yrs <=5 yrs | 5 yrs <=10 yrs | >10 yrs | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Residual maturity of liabilities | 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | |
010 | Encumbered assets | |||||||||||||
020 | Collateral received re-used (receiving leg) | |||||||||||||
030 | Collateral received re-used (re-using leg) |
Matching liabilities, contingent liabilities or securities lent | Contingent Encumbrance | ||||||
---|---|---|---|---|---|---|---|
A. Decrease by 30 % of the fair value of encumbered assets | B. Net effect of a 10 % depreciation of significant currencies | ||||||
Additional amount of encumbered assets | |||||||
Additional amount of encumbered assets | Significant currency 1 | Significant currency 2 | … | Significant currency n | |||
010 | 020 | 030 | 040 | 050 | |||
010 | Carrying amount of selected financial liabilities | ||||||
020 | Derivatives | ||||||
030 | of which: over-the-counter | ||||||
040 | Deposits | ||||||
050 | Repurchase agreements | ||||||
060 | of which: central banks | ||||||
070 | Collateralised deposits other than repurchase agreements | ||||||
080 | of which: central banks | ||||||
090 | Debt securities issued | ||||||
100 | of which: covered bonds issued | ||||||
110 | of which: asset-backed securities issued | ||||||
120 | Other sources of encumbrance | ||||||
170 | TOTAL SOURCES OF ENCUMBRANCE |
z-axisCover pool identifier (open)
Compliance with Art. 129 CRR? | Covered bond liabilities | Cover pool | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Reporting date | + 6 months | + 12 months | + 2 years | + 5 years | + 10 years | Cover pool derivative positions with net negative market value | External credit rating on covered bond | Reporting date | + 6 months | + 12 months | + 2 years | + 5 years | + 10 years | Cover pool derivative positions with net positive market value | Cover pool amount in excess of minimum coverage requirements | ||||||||||||
[YES/NO] | If YES, indicate primary asset class of cover pool | as per the relevant statutory covered bond regime | as per credit rating agencies' methodology to maintain current external credit rating of covered bond | ||||||||||||||||||||||||
Reporting date | Credit rating agency 1 | Credit rating 1 | Credit rating agency 2 | Credit rating 2 | Credit rating agency 3 | Credit rating 3 | Reporting date | Credit rating agency 1 | Credit rating agency 2 | Credit rating agency 3 | |||||||||||||||||
010 | 012 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 | 250 | ||
010 | Nominal amount | ||||||||||||||||||||||||||
020 | Present value (swap)/Market value | ||||||||||||||||||||||||||
030 | Asset-specific value | ||||||||||||||||||||||||||
040 | Carrying amount |
Sources of encumbrance | Assets/Liabilities | Collateral type — Classification by asset type | Total | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Loans on demand | Equity instruments | Debt securities | Loans and advances other than loans on demand | Other assets | ||||||||||||||||
Total | of which: covered bonds | of which: asset-backed securities | of which: issued by general governments | of which: issued by financial corporations | of which: issued by non-financial corporations | Central banks and general governments | Financial corporations | Non financial Corporations | Households | |||||||||||
of which: issued by other entities of the group | of which: issued by other entities of the group | of which: mortgage loans | of which: mortgage loans | |||||||||||||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | |||
010 | Central bank funding (of all types, including e.g. repos) | Encumbered assets | ||||||||||||||||||
020 | Matching liabilities | |||||||||||||||||||
030 | Exchange traded derivatives | Encumbered assets | ||||||||||||||||||
040 | Matching liabilities | |||||||||||||||||||
050 | Over-the-counter derivatives | Encumbered assets | ||||||||||||||||||
060 | Matching liabilities | |||||||||||||||||||
070 | Repurchase agreements | Encumbered assets | ||||||||||||||||||
080 | Matching liabilities | |||||||||||||||||||
090 | Collateralised deposits other than repurchase agreements | Encumbered assets | ||||||||||||||||||
100 | Matching liabilities | |||||||||||||||||||
110 | Covered bonds securities issued | Encumbered assets | ||||||||||||||||||
120 | Matching liabilities | |||||||||||||||||||
130 | Asset-backed securities issued | Encumbered assets | ||||||||||||||||||
140 | Matching liabilities | |||||||||||||||||||
150 | Debt securities issued other than covered bonds and ABSs | Encumbered assets | ||||||||||||||||||
160 | Matching liabilities | |||||||||||||||||||
170 | Other sources of encumbrance | Encumbered assets | ||||||||||||||||||
180 | Contingent liabilities or securities lent | |||||||||||||||||||
190 | Total encumbered assets | |||||||||||||||||||
200 | of which central bank eligible | |||||||||||||||||||
210 | Total non-encumbered assets | |||||||||||||||||||
220 | of which central bank eligible | |||||||||||||||||||
230 | Encumbered + non-encumbered assets |
Sources of encumbrance | Assets/Liabilities | Collateral type — Classification by asset type | Total | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Loans on demand | Equity instruments | Debt securities | Loans and advances other than loans on demand | Other collateral received | Own debt securities issued other than own covered bonds or ABSs | ||||||||||||||||
Total | of which: covered bonds | of which: asset-backed securities | of which: issued by general governments | of which: issued by financial corporations | of which: issued by non-financial corporations | Central banks and general governments | Financial corporations | Non-financial corporations | Households | ||||||||||||
of which: issued by other entities of the group | of which: issued by other entities of the group | of which: mortgage loans | of which: mortgage loans | ||||||||||||||||||
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | |||
010 | Central bank funding (of all types, including e.g. repos) | Encumbered collateral received | |||||||||||||||||||
020 | Matching liabilities | ||||||||||||||||||||
030 | Exchange traded derivatives | Encumbered collateral received | |||||||||||||||||||
040 | Matching liabilities | ||||||||||||||||||||
050 | Over-the-counter derivatives | Encumbered collateral received | |||||||||||||||||||
060 | Matching liabilities | ||||||||||||||||||||
070 | Repurchase agreements | Encumbered collateral received | |||||||||||||||||||
080 | Matching liabilities | ||||||||||||||||||||
090 | Collateralised deposits other than repurchase agreements | Encumbered collateral received | |||||||||||||||||||
100 | Matching liabilities | ||||||||||||||||||||
110 | Covered bonds securities issued | Encumbered collateral received | |||||||||||||||||||
120 | Matching liabilities | ||||||||||||||||||||
130 | Asset-backed securities issued | Encumbered collateral received | |||||||||||||||||||
140 | Matching liabilities | ||||||||||||||||||||
150 | Debt securities issued other than covered bonds and ABSs | Encumbered collateral received | |||||||||||||||||||
160 | Matching liabilities | ||||||||||||||||||||
170 | Other sources of encumbrance | Encumbered collateral received | |||||||||||||||||||
180 | Contingent liabilities or securities lent | ||||||||||||||||||||
190 | Total encumbered collateral received | ||||||||||||||||||||
200 | of which central bank eligible | ||||||||||||||||||||
210 | Total non-encumbered collateral received | ||||||||||||||||||||
220 | of which central bank eligible | ||||||||||||||||||||
230 | Encumbered + non-encumbered collateral received” |
Part A: Encumbrance overview:
AE-ASS template. Assets of the reporting institution
AE-COL template. Collateral received by the reporting institution
AE-NPL. Own covered bonds and asset-backed securities (hereinafter “ABS”) issued and not yet pledged
AE-SOU. Sources of encumbrance
Part B: Maturity data:
AE-MAT template. Maturity data
Part C: Contingent encumbrance
AE-CONT template. Contingent encumbrance
Part D: Covered bonds
AE-CB template. Covered bonds issuance
Part E: Advanced data:
AE-ADV-1 template. Advanced template for assets of the reporting institution
AE-ADV-2 template. Advanced template for collateral received by the reporting institution
Carrying amount of encumbered assets and collateral = {AE-ASS;010;010} + {AE-COL;130;010}.
Total assets and collateral = {AE-ASS;010;010} + {AE-ASS;010;060} + {AE-COL;130;010} + {AE-COL;130;040}.
Asset encumbrance ratio = (Carrying amount of encumbered assets and collateral)/(Total assets and collateral)
Total assets = {AE-ASS;010;010} + {AE-ASS;010;060}
It is important to note, that assets pledged that are subject to any restrictions in withdrawal, such as for instance assets that require prior approval before withdrawal or replacement by other assets, should be considered encumbered. The definition is not based on an explicit legal definition, such as title transfer, but rather on economic principles, as the legal frameworks may differ in this respect across countries. The definition is however closely linked to contractual conditions. The EBA sees the following types of contracts being well covered by the definition (this is a non-exhaustive list):
secured financing transactions, including repurchase contracts and agreements, securities lending and other forms of secured lending;
various collateral agreements, for instance collateral placed for the market value of derivatives transactions;
financial guarantees that are collateralised. It should be noted, that if there is no impediment to withdrawal of collateral, such as prior approval, for the unused part of guarantee, then only the used amount should be allocated (on a pro-rata allocation);
collateral placed at clearing systems, CCPs and other infrastructure institutions as a condition for access to service. This includes default funds and initial margins;
central bank facilities. Pre-positioned assets should not be considered encumbered, unless the central bank does not allow withdrawal of any assets placed without prior approval. As for unused financial guarantees, the unused part, i.e. above the minimum amount required by the central bank, should be allocated on a pro-rata basis among the assets placed at the central bank;
underlying assets from securitisation structures, where the financial assets have not been de-recognised from the institution's financial assets. The assets that are underlying retained securities do not count as encumbered, unless these securities are pledged or provided as collateral in any way to secure a transaction;
assets in cover pools used for covered bond issuance. The assets that are underlying covered bonds count as encumbered, except in certain situations where the institution holds the corresponding covered bonds (“own-issued bonds”);
as a general principle, assets which are being placed at facilities that are not used and can be freely withdrawn should not be considered encumbered.
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 is reported as follows:
the carrying amount of the deposit is registered as a source of encumbrance in {AE-SOU; r070; c010};
where the collateral is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r070; c030}; its fair value is reported in {AE-ASS; *; c040};
where the collateral has been received by the reporting institution, its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r070; c030} and {AE-SOU; r070; c040}.
A repurchase agreement (hereinafter “repo”) is reported as follows:
the carrying amount of the repo is reported as a source of encumbrance in {AE-SOU; r050; c010};
the collateral of the repo should be shown:
where the collateral is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r050; c030}; its fair value is reported in {AE-ASS; *; c040};
where the collateral has been received by the reporting institution through a previous reverse repurchase agreement (matching repo), its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r050; c030} and in {AE-SOU; r050; c040}.
As collateralised central bank funding is only a specific case of a collateralised deposit or a repo transaction in which the counterparty is a central bank, the rules in i) and ii) above apply.
For operations where it is not possible to identify the specific collateral to each operation, as collateral is pooled together, the collateral breakdown must be done on a proportional basis, based on the composition of the pool of collateral.
Assets that have been pre-positioned with central banks are not encumbered assets unless the central bank does not allow withdrawal of any assets placed without prior approval. For unused financial guarantees, the unused part, i.e. the amount above the minimum required by the central bank, is allocated on a pro-rata basis among the assets placed at the central bank.
For securities lending with cash collateral the rules for repos/matching repos apply.
Securities lending without cash collateral is reported as follows:
the fair value of the securities borrowed is reported as a source of encumbrance in {AE-SOU; r150; c010}. When the lender does not receive any securities in return for the securities lent but receives a fee instead, {AE-SOU; r150; c010} is reported as zero;
where the securities lent as collateral are an asset of the reporting institution: their carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r150; c030}; their fair value is reported in {AE-ASS; *; c040};
where the securities lent as collateral are received by the reporting institution, their fair value is reported in {AE-COL; *; c010}, {AE-SOU; r150; c030} and {AE-SOU; r150; c040}.
Collateralised derivatives with a negative fair value are reported as follows:
the carrying amount of the derivative is reported as a source of encumbrance in {AE-SOU; r020; c010};
the collateral (initial margins required to open the position and any collateral placed for the market value of derivatives transactions) are reported as follows:
where it is an asset of the reporting institution: its carrying amount is reported in {AE-ASS; *; c010} and {AE-SOU; r020; c030}; its fair value is reported in {AE-ASS; *; c040};
where it is collateral received by the reporting institution, its fair value is reported in {AE-COL; *; c010}, {AE-SOU; r020; c030} and {AE-SOU; r020; c040}.
Covered bonds for the entire asset encumbrance reporting are instruments referred to in the first subparagraph of Article 52(4) of the Directive 2009/65/EU, irrespective of whether these instruments take the legal form of a security or not.
No specific rules apply to covered bonds where there is no retention of part of the securities issued by the reporting institution.
In case of retention of part of the issuance and in order to avoid double counting, the proposed treatment below shall apply:
where the own covered bonds are not pledged, the amount of the cover pool that is backing those securities retained and not yet pledged is reported in the AE-ASS templates as non-encumbered assets. Additional information about the retained covered bonds not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) is reported in the AE-NPL template;
where the own covered bonds are pledged, then the amount of the cover pool that is backing those securities retained and pledged is included in the AE-ASS template as encumbered assets.
The following table sets out how to report covered bond issuance of EUR 100 of which 15 % is retained and not pledged and 10 % is retained and pledged as collateral in a EUR 11 repo transaction with a central bank, where the cover pool comprises unsecured loans and the carrying amount of the loans is EUR 150.
SOURCES OF ENCUMBRANCE | ||||
---|---|---|---|---|
Type | Amount | Cells | Loans encumbered | Cells |
Covered bonds | 75 % (100) = 75 | {AE-Sources, r110, c010} | 75 % (150) = 112,5 | {AE-Assets, r100, c10} {AE-Sources, r110, c030} |
Central bank funding | 11 | {AE-Sources, r060, c010} | 10 % (150) = 15 | {AE-Assets, r100, c10} {AE-Sources, r060, c030} |
NON ENCUMBRANCE | ||||
Type | Amount | Cells | Non-encumbered loans | Cells |
Own covered bonds retained | 15 % 100 = 15 | {AE-Not pledged, r010, c040} | 15 % (150) = 22,5 | {AE-Assets, r100, c60} {AE-Not pledged, r020, c010} |
Securitisations mean debt securities held by the reporting institution originated in a securitisation transaction as defined in Article 4(61) of Regulation (EU) No 575/2013.
For securitisations that remain in the balance sheet (non-derecognised), the rules for covered bonds apply.
For derecognised securitisations, there is no encumbrance where the institution holds some securities. Those securities will appear in the trading book or in the banking book of the reporting institutions as any other security issued by a third party.
a Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19). | |
Columns | Legal references and instructions |
---|---|
010 | Carrying amount of encumbered assetsCarrying amount of the assets held by the reporting institution that are encumbered according to the definition provided of asset encumbrance. Carrying amount means the amount reported in the asset side of the balance sheet. |
020 | of which: issued by other entities of the group Carrying amount of encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation. |
030 | of which: central bank eligible Carrying amount of encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. |
040 | Fair value of encumbered assetsIFRS 13 and Article 8 of Directive 2013/34/EU of the European Parliament and of the Councila for non-IFRS institutions. Fair value of the debt securities held by the reporting institution that are encumbered according to the definition provided of asset encumbrance. Fair value of a financial instrument, is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. (See IFRS 13 Fair Value Measurement.) |
050 | of which: central bank eligible Fair value of the encumbered debt securities held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. |
060 | Carrying amount of non-encumbered assetsCarrying amount of the assets held by the reporting institution that are non-encumbered according to the definition provided of asset encumbrance. Carrying amount means the amount reported in the asset side of the balance sheet. |
070 | of which: issued by other entities of the group Carrying amount of non-encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation. |
080 | of which: central bank eligible Carrying amount of non-encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. |
090 | Fair value of non-encumbered assetsIFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions. Fair value of the debt securities held by the reporting institution that are non-encumbered according to the definition provided of asset encumbrance. Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. (See IFRS 13 Fair Value Measurement.) |
100 | of which: central bank eligible Fair value of the non-encumbered debt securities held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank. |
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.
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.
Commission Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 (OJ L 191, 28.6.2014, p. 1).
Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).
Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).
Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).’
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