Textual Amendments
F1 Substituted by Commission Implementing Regulation (EU) 2015/1278 of 9 July 2015 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions as regards instructions, templates and definitions (Text with EEA relevance).
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.]