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 |
36,136.1 | F 36.01 | ADVANCED DATA. PART I | AE-ADV1
36,236.2 | 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 %30% of the fair value of encumbered assets | B. Net effect of a 10 %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-counterOver-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-axis
z-axis Cover 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(swap) / Market value | | | | | | | | | | | | | | | | | | | | | | | | | |
030 | Asset-specific value | | | | | | | | | | | | | | | | | | | | | | | | | |
040 | Carrying amount | | | | | | | | | | | | | | | | | | | | | | | | | |
F 36.01 —- ADVANCEDADVANCE DATA. PART I (AE-ADV-1)
| Sources of encumbrance | Assets/Liabilities | Collateral typeType —- Classification by assetAsset type | Total
Loans on demand | Equity instruments | Debt securitiesSecurities | 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-financialnon 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 assetsAssets | | | | | | | | | | | | | | | | | |
220 | | of which central bank eligible | | | | | | | | | | | | | | | | | |
230 | Encumbered + non-encumberedNon-encumbered assetsAssets | | | | | | | | | | | | | | | | | |
F 36.02 —- ADVANCE DATA. PART II (AE-ADV-2)
| Sources of encumbrance | Assets/Liabilities | Collateral typeType —- Classification by assetAsset type | Total
Loans on demand | Equity instruments | Debt securitiesSecurities | 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-financialnon financial corporations | Central banks and general governments | Financial corporations | Non-financialNon corporationsfinancial 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 derivativesDerivatives | 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 coveredCovered 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-encumberedNon-encumbered collateral received | | | | | | | | | | | | | | | | | | |