IR2021-451 Annex XVI · Banking Rule Book

Amendment details· last amended 11 Jul 2023

Versions of this provision:19 Mar 202111 Jul 2023

Last amended 11 Jul 2023 by Commission Implementing Regulation (EU) 2022/1994 of 21 November 2022.

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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
		Carrying amount of the underlying pool of assets		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
		Compliance with Art. 129 of Regulation (EU) No 575/2013		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								External credit rating on covered bond													as per the relevant statutory covered bond regime	as per credit rating agencies' methodology to maintain current external credit rating of covered bond
		[YES/NO]	If YES, indicate primary asset class of cover pool							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	as per the relevant statutory covered bond regime	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
					Total		of which: issued by other entities of the group		of which: issued by other entities of the group	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		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	Exchange traded derivatives	Matching liabilities
0050	Over-the-counter derivatives	Encumbered assets
0060	Over-the-counter derivatives	Matching liabilities
0070	Repurchase agreements	Encumbered assets
0080	Repurchase agreements	Matching liabilities
0090	Collateralised deposits other than repurchase agreements	Encumbered assets
0100		Matching liabilities
0110	Covered bonds securities issued	Encumbered assets
0120	Covered bonds securities issued	Matching liabilities
0130	Securitisations issued	Encumbered assets
0140	Securitisations issued	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	Other sources of encumbrance	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
					Total		of which: issued by other entities of the group		of which: issued by other entities of the group	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		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	Exchange traded Derivatives	Matching liabilities
0050	Over-the-counter derivatives	Encumbered collateral received
0060	Over-the-counter derivatives	Matching liabilities
0070	Repurchase agreements	Encumbered collateral received
0080	Repurchase agreements	Matching liabilities
0090	Collateralised deposits other than repurchase agreements	Encumbered collateral received
0100		Matching liabilities
0110	Covered bonds securities issued	Encumbered collateral received
0120	Covered bonds securities issued	Matching liabilities
0130	Securitisations issued	Encumbered collateral received
0140	Securitisations issued	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	Other sources of encumbrance	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

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