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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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Commission Implementing Regulation (EU) 2015/79, ANNEX II is up to date with all changes known to be in force on or before 26 August 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
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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” |
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