Commission Implementing Regulation (EU) 2015/79Dangos y teitl llawn

ANNEX II U.K.

“ANNEX XVI REPORTING TEMPLATES ON ASSET ENCUMBRANCE

ASSET ENCUMBRANCE TEMPLATES

Template number	Template code	Name of the template /group of templates	Short name
PART A — ENCUMBRANCE OVERVIEW
32,1	F 32.01	ASSETS OF THE REPORTING INSTITUTION	AE-ASS
32,2	F 32.02	COLLATERAL RECEIVED	AE-COL
32,3	F 32.03	OWN COVERED BONDS AND ABSs ISSUED AND NOT YET PLEDGED	AE-NPL
32,4	F 32.04	SOURCES OF ENCUMBRANCE	AE-SOU
PART B — MATURITY DATA
33	F 33.00	MATURITY DATA	AE-MAT
PART C — CONTINGENT ENCUMBRANCE
34	F 34.00	CONTINGENT ENCUMBRANCE	AE-CONT
PART D — COVERED BONDS
35	F 35.00	COVERED BONDS ISSUANCE	AE-CB
PART E — ADVANCED DATA
36,1	F 36.01	ADVANCED DATA. PART I	AE-ADV1
36,2	F 36.02	ADVANCED DATA. PART II	AE-ADV2

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

		Carrying amount of encumbered assets			Fair value of encumbered assets		Carrying amount of non-encumbered assets			Fair value of non-encumbered assets
			of which: issued by other entities of the group	of which: central bank's eligible		of which: central bank's eligible		of which: issued by other entities of the group	of which: central bank's eligible		of which: central bank's eligible
		010	020	030	040	050	060	070	080	090	100
010	Assets of the reporting institution
020	Loans on demand
030	Equity instruments
040	Debt securities
050	of which: covered bonds
060	of which: asset-backed securities
070	of which: issued by general governments
080	of which: issued by financial corporations
090	of which: issued by non-financial corporations
100	Loans and advances other than loans on demand
110	of which: mortgage loans
120	Other assets

F 32.02 — COLLATERAL RECEIVED (AE-COL)

		Fair value of encumbered collateral received or own debt securities issued			Non-encumbered
					Fair value of collateral received or own debt securities issued available for encumbrance			Nominal of collateral received or own debt securities issued non available for encumbrance
			of which: issued by other entities of the group	of which: central bank's eligible		of which: issued by other entities of the group	of which: central bank's eligible
		010	020	030	040	050	060	070
130	Collateral received by the reporting institution
140	Loans on demand
150	Equity instruments
160	Debt securities
170	of which: covered bonds
180	of which: asset-backed securities
190	of which: issued by general governments
200	of which: issued by financial corporations
210	of which: issued by non-financial corporations
220	Loans and advances other than loans on demand
230	Other collateral received
240	Own debt securities issued other than own covered bonds or ABSs
250	TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED

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

		Non-encumbered
		Carrying amount of the underlying pool of assets	Fair value of debt securities issued available for encumbrance		Nominal of own debt securities issued non available for encumbrance
				of which: central bank's eligible
		010	020	030	040
010	Own covered bonds and asset-backed securities issued and not yet pledged
020	Retained covered bonds issued
030	Retained asset-backed securities issued
040	Senior
050	Mezzanine
060	First Loss

F 32.04 — SOURCES OF ENCUMBRANCE (AE-SOU)

		Matching liabilities, contingent liabilities or securities lent		Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered
			of which: from other entities of the group		of which: collateral received re-used	of which: own debt securities encumbered
		010	020	030	040	050
010	Carrying amount of selected financial liabilities
020	Derivatives
030	of which: Over-The-Counter
040	Deposits
050	Repurchase agreements
060	of which: central banks
070	Collateralised deposits other than repurchase agreements
080	of which: central banks
090	Debt securities issued
100	of which: covered bonds issued
110	of which: asset-backed securities issued
120	Other sources of encumbrance
130	Nominal of loan commitments received
140	Nominal of financial guarantees received
150	Fair value of securities borrowed with non cash-collateral
160	Other
170	TOTAL SOURCES OF ENCUMBRANCE
			Not to be filled on a consolidated basis template
			Not to be filled in any case

F 33.00 — MATURITY DATA (AE-MAT)

		Open maturity	Overnight	>1 day <=1 wk	>1 wk <=2 wks	>2 wks <=1 mth	>1 mth <=3 mths	>3 mths <=6 mths	>6 mths <=1 yr	>1 yr <=2 yrs	>2 yrs <=3 yrs	3 yrs <=5 yrs	5 yrs <=10 yrs	>10 yrs
	Residual maturity of liabilities	010	020	030	040	050	060	070	080	090	100	110	120	130
010	Encumbered assets
020	Collateral received re-used (receiving leg)
030	Collateral received re-used (re-using leg)

F 34.00 — CONTINGENT ENCUMBRANCE (AE-CONT)

		Matching liabilities, contingent liabilities or securities lent	Contingent Encumbrance
			A. Decrease by 30 % of the fair value of encumbered assets	B. Net effect of a 10 % depreciation of significant currencies
				Additional amount of encumbered assets
			Additional amount of encumbered assets	Significant currency 1	Significant currency 2	…	Significant currency n
		010	020	030	040	050
010	Carrying amount of selected financial liabilities
020	Derivatives
030	of which: over-the-counter
040	Deposits
050	Repurchase agreements
060	of which: central banks
070	Collateralised deposits other than repurchase agreements
080	of which: central banks
090	Debt securities issued
100	of which: covered bonds issued
110	of which: asset-backed securities issued
120	Other sources of encumbrance
170	TOTAL SOURCES OF ENCUMBRANCE

F 35.00 — COVERED BONDS ISSUANCE (AE-CB)

z-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

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

	Sources of encumbrance	Assets/Liabilities	Collateral type — Classification by asset type																	Total
			Loans on demand	Equity instruments	Debt securities								Loans and advances other than loans on demand						Other assets
					Total	of which: covered bonds		of which: asset-backed securities		of which: issued by general governments	of which: issued by financial corporations	of which: issued by non-financial corporations	Central banks and general governments	Financial corporations	Non financial Corporations		Households
							of which: issued by other entities of the group		of which: issued by other entities of the group							of which: mortgage loans		of which: mortgage loans
			010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180
010	Central bank funding (of all types, including e.g. repos)	Encumbered assets
020		Matching liabilities
030	Exchange traded derivatives	Encumbered assets
040		Matching liabilities
050	Over-the-counter derivatives	Encumbered assets
060		Matching liabilities
070	Repurchase agreements	Encumbered assets
080		Matching liabilities
090	Collateralised deposits other than repurchase agreements	Encumbered assets
100		Matching liabilities
110	Covered bonds securities issued	Encumbered assets
120		Matching liabilities
130	Asset-backed securities issued	Encumbered assets
140		Matching liabilities
150	Debt securities issued other than covered bonds and ABSs	Encumbered assets
160		Matching liabilities
170	Other sources of encumbrance	Encumbered assets
180		Contingent liabilities or securities lent
190	Total encumbered assets
200		of which central bank eligible
210	Total non-encumbered assets
220		of which central bank eligible
230	Encumbered + non-encumbered assets

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

	Sources of encumbrance	Assets/Liabilities	Collateral type — Classification by asset type																		Total
			Loans on demand	Equity instruments	Debt securities								Loans and advances other than loans on demand						Other collateral received	Own debt securities issued other than own covered bonds or ABSs
					Total	of which: covered bonds		of which: asset-backed securities		of which: issued by general governments	of which: issued by financial corporations	of which: issued by non-financial corporations	Central banks and general governments	Financial corporations	Non-financial corporations		Households
							of which: issued by other entities of the group		of which: issued by other entities of the group							of which: mortgage loans		of which: mortgage loans
			010	020	030	040	050	060	070	080	090	100	110	120	130	140	150	160	170	180	190
010	Central bank funding (of all types, including e.g. repos)	Encumbered collateral received
020		Matching liabilities
030	Exchange traded derivatives	Encumbered collateral received
040		Matching liabilities
050	Over-the-counter derivatives	Encumbered collateral received
060		Matching liabilities
070	Repurchase agreements	Encumbered collateral received
080		Matching liabilities
090	Collateralised deposits other than repurchase agreements	Encumbered collateral received
100		Matching liabilities
110	Covered bonds securities issued	Encumbered collateral received
120		Matching liabilities
130	Asset-backed securities issued	Encumbered collateral received
140		Matching liabilities
150	Debt securities issued other than covered bonds and ABSs	Encumbered collateral received
160		Matching liabilities
170	Other sources of encumbrance	Encumbered collateral received
180		Contingent liabilities or securities lent
190	Total encumbered collateral received
200		of which central bank eligible
210	Total non-encumbered collateral received
220		of which central bank eligible
230	Encumbered + non-encumbered collateral received”