Annex III

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

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

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

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

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

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

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)

Matching liabilities, contingent liabilities or securities lent

Contingent Encumbrance

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

Compliance with Art. 129 of Regulation (EU) No 575/2013

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

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

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

of which: issued by other entities of the group

of which: issued by other entities of the group

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

Matching liabilities

0050

Over-the-counter derivatives

Encumbered assets

0060

Matching liabilities

0070

Repurchase agreements

Encumbered assets

0080

Matching liabilities

0090

Collateralised deposits other than repurchase agreements

Encumbered assets

0100

Matching liabilities

0110

Covered bonds securities issued

Encumbered assets

0120

Matching liabilities

0130

Securitisations issued

Encumbered assets

0140

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

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

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

of which: issued by other entities of the group

of which: issued by other entities of the group

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

Matching liabilities

0050

Over-the-counter derivatives

Encumbered collateral received

0060

Matching liabilities

0070

Repurchase agreements

Encumbered collateral received

0080

Matching liabilities

0090

Collateralised deposits other than repurchase agreements

Encumbered collateral received

0100

Matching liabilities

0110

Covered bonds securities issued

Encumbered collateral received

0120

Matching liabilities

0130

Securitisations issued

Encumbered collateral received

0140

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

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’