LegalizeCommission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance)
| Row | Legal references and instructions |
|---|---|
| 0010 | 1 REQUIRED STABLE FUNDING Institutions shall report here items subject to the required stable funding in accordance with Chapter 7 of Title IV of Part Six CRR. |
| 0020 | 1.1 RSF from central bank assets Points (b) and (c) of Article 428as(1) and point (d) of Article 428ad CRR Institutions shall report here central bank assets. A reduced RSF factor may apply in accordance with Article 428aq(7) CRR. |
| 0030 | 1.1.1 cash, reserves and HQLA exposures to central banks Institutions shall report here cash and reserves at central banks, including excess reserves. Institutions shall also report here any other exposures to central banks that are considered as liquid assets pursuant to Delegated Regulation (EU) 2015/61 regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. Minimum reserves that are not considered as liquid assets pursuant to Delegated Regulation (EU) 2015/61 shall be reported in the relevant non-HQLA column. |
| 0040 | 1.1.2 other non-HQLA central bank exposures Institutions shall report here any other claims on central banks other than those reported under item 1.1.1. |
| 0050 | 1.2 RSF from liquid assets Articles 428ar to 428av and Article 428ax CRR Institutions shall report here liquid assets pursuant to Delegated Regulation (EU) 2015/61 regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation. |
| 0060 | 1.2.1 level 1 assets eligible for 0 % LCR haircut Institutions shall report here assets that are eligible as level 1 liquid assets pursuant to Article 10 of Delegated Regulation (EU) 2015/61. |
| 0070 | 1.2.1.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months. |
| 0080 | 1.2.1.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year. |
| 0090 | 1.2.1.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.1 that is related to assets that are encumbered for a residual maturity of one year or more. |
| 0100 | 1.2.2 level 1 assets eligible for 7 % LCR haircut Institutions shall report here level 1 assets that are eligible for a 7 % haircut pursuant to Delegated Regulation (EU) 2015/61 as well as shares or units in CIUs that are eligible for a 5 % haircut pursuant to Delegated Regulation (EU) 2015/61. |
| 0110 | 1.2.2.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.2 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months. |
| 0120 | 1.2.2.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year. |
| 0130 | 1.2.2.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.2 that is related to assets that are encumbered for a residual maturity of one year or more. |
| 0140 | 1.2.3 level 2A assets eligible for 15 % LCR haircut and shares or units in CIUs eligible for 0-20 % LCR haircuts Institutions shall report here assets that are eligible as Level 2A assets pursuant to Delegated Regulation (EU) 2015/61 and shares or units in CIUs eligible for 0-20 % LCR haircuts pursuant to Delegated Regulation (EU) 2015/61. |
| 0150 | 1.2.3.1 unencumbered or encumbered for a residual maturity of less than six months The amount reported under 1.2.5 that is related to assets that are unencumbered or encumbered for a residual maturity of less than six months |
| 0160 | 1.2.3.2 encumbered for a residual maturity of at least six months but less than one year The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of at least six months but less than one year |
| 0170 | 1.2.3.3 encumbered for a residual maturity of one year or more The amount reported under 1.2.5 that is related to assets that are encumbered for a residual maturity of one year or more |
| 0180 | 1.2.4 level 2B assets eligible for 25 % LCR haircut and shares or units in CIUs eligible for 30-55 % haircuts Institutions shall report here level 2B assets that are eligible for a haircut of 25 % pursuant to Delegated Regulation (EU) 2015/61 and shares or units in CIUs eligible for 30-55 % haircuts pursuant to Delegated Regulation (EU) 2015/61. |
| 0190 | 1.2.4.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.2.4 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year |
| 0200 | 1.2.4.2 encumbered for a residual maturity of one year or more The amount reported under 1.2.4 that is related to assets that are encumbered for a residual maturity of one year or more |
| 0210 | 1.3 RSF from securities other than liquid assets Point (b) of Article 428aw, point (d) of Article 428ay and point (b) of Article 428az(1) CRR Institutions shall report here securities that are not in default in accordance with Article 178 CRR and that are not liquid assets pursuant to Delegated Regulation (EU) 2015/61 regardless if they comply with the operational requirements laid down therein. |
| 0220 | 1.3.1 unencumbered or encumbered for a residual maturity of less than one year The amount reported under 1.3 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year |
| 0230 | 1.3.2 encumbered for a residual maturity of one year or more The amount reported under 1.3 that is related to assets that are encumbered for a residual maturity of one year or more |
| 0240 | 1.4 RSF from loans Institutions shall report here monies due from loans that are not in default in accordance with Article 178 CRR. As specified under Article 428ar(4) CRR, for amortizing loans with a residual contractual maturity of one year or more, any portion that matures in less than six months and any portion that matures between six months and less than one year shall be treated as having a residual maturity of less than six months and between six months and less than one year respectively. |
| 0250 | 1.4.1 loans to non-financials The amount reported under 1.4 that is related to loans to non-financial customers |
| 0260 | 1.4.1.1 unencumbered or encumbered for a residual maturity of less than one year Point (a) of Article 428aw and point (b) of Article 428ay CRR; the amount reported under 1.4.1 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year. |
| 0270 | 1.4.1.2 encumbered for a residual maturity of one year or more Point (b) of Article 428az(1) CRR; the amount reported under 1.4.1 that is related to assets that are encumbered for a residual maturity of one year or more |
| 0280 | 1.4.2 loans to financials The amount reported under 1.4 that is related to loans to financial customers |
| 0290 | 1.4.2.1 unencumbered or encumbered for a residual maturity of less than one year Point (a) of Articles 428aw and point (b) of Article 428az(1) CRR; the amount reported under 1.4.2 that is related to assets that are unencumbered or encumbered for a residual maturity of less than one year |
| 0300 | 1.4.2.2 encumbered for a residual maturity of one year or more Point (b) of Article 428az(1) CRR; the amount reported under 1.4.2 that is related to assets that are encumbered for a residual maturity of one year or more |
| 0310 | 1.4.3 trade finance on-balance sheet products Point (b) of Article 428aw and point (c) of Article 428ay CRR; the amount reported under 1.4 arising from trade finance on-balance sheet products |
| 0320 | 1.5 RSF from interdependent assets Article 428f and point (f) of Article 428r(1) CRR; institutions shall report here assets that are interdependent with liabilities in accordance with Article 428f CRR |
| 0330 | 1.6 RSF from assets within a group or an IPS if subject to preferential treatment Institutions shall report here assets for which the competent authority has granted the preferential treatment referred to in Article 428h CRR. |
| 0340 | 1.7 RSF from derivatives Article 428d, Article 428at(2), point (a) of Article 428ay and Article 428az(2) CRR Institutions shall report here the amount of required stable funding arising from derivatives. |
| 0350 | 1.7.1 required stable funding for derivative liabilities Article 428at(2) CRR; the amount reported under 1.7 which is the absolute fair value of netting sets with a negative fair value calculated in accordance with Article 428at(2) CRR. |
| 0360 | 1.7.2 NSFR derivative assets Articles 428d; the amount reported under 1.7 which is the positive difference between netting sets calculated in accordance with Article 428az(2) CRR |
| 0370 | 1.7.3 initial margin posted Point (a) of Article 428ay CRR; the amount reported under 1.7 that is related to initial margin for derivative contracts |
| 0380 | 1.8 RSF from contributions to CCP default fund Point (a) of Article 428ay CRR Institutions shall report here items posted as contribution to the default fund of a CCP. |
| 0390 | 1.9 RSF from other assets Institutions shall report here any asset not referred to in items 1.1 to 1.8. |
| 0400 | 1.10 RSF from OBS items Institutions shall report here the amount of off-balance sheet items not referred to in items 1.1 to 1.8 that are subject to the required stable funding requirements. |
| 0410 | 1.10.1 committed facilities within a group or an IPS if subject to preferential treatment The amount reported in 1.10 that is related to committed facilities for which the competent authority has granted the preferential treatment referred to in Article 428h CRR |
| 0420 | 1.10.2 committed facilities Article 428at(1) CRR; the amount reported under 1.10 that is committed facilities in accordance with Delegated Regulation (EU) 2015/61 that are not considered under item 1.10.1. |
| 0430 | 1.10.3 trade finance off-balance sheet items Point (b) of Article 428au CRR; the amount reported under 1.10 that is trade finance off-balance sheet related product as referred to in Annex I CRR |
| 0440 | 1.10.4 non-performing off-balance sheet items The amount reported under 1.10 that is related to non-performing exposures |
| 0450 | 1.10.5 other off-balance sheet exposures determined by competent authorities The amount reported under 1.10 that is off-balance sheet exposures for which the competent authority has determined RSF factors in accordance with Article 428aq(10) CRR |
PART V: SIMPLIFIED AVAILABLE STABLE FUNDING
1. Specific remarks
- 33.All liabilities and own funds shall be reported with a breakdown by their residual contractual maturity in accordance with Article 428ak CRR. The maturity buckets of the amounts, standard available stable funding (ASF) factors and applicable ASF factors are the following:
- i. Residual maturity of less than one year or without stated maturity;
- ii. Residual maturity of one year or more.
- 34.All liabilities with a residual maturity of one year or more shall be subject to a 100 % ASF factor, unless otherwise specified in Articles 428al to 428ao CRR, in accordance with Article 428ap CRR.
- 35.All sight deposits shall be reported in the bucket referring to liabilities with a residual maturity of less than one year.
- 36.According to Article 428ak(2) CRR institutions shall take into account existing options to determine the residual maturity of a liability or of own funds. They shall do so on the assumption that the counterparty will redeem call options at the earliest possible date. For options exercisable at the discretion of the institution, the institution and the competent authorities shall take into account reputational factors that may limit an institution’s ability not to exercise the option, in particular market expectations that institutions should redeem certain liabilities before their maturity.
- 37.Furthermore, as established in Article 428ap CRR, additional Tier 1 items, Tier 2 items and any other capital instruments with explicit or embedded options that, if exercised (even if they are not exercised yet on the reporting reference date), would reduce the effective residual maturity at the reporting reference date to less than one year shall not receive a 100 % ASF factor.
- 38.According to Article 428ak(3) CRR, institutions shall treat deposits with fixed notice periods in accordance with their notice period, and shall treat term deposits in accordance with their residual maturity. By way of derogation from paragraph 36, institutions shall not take into account options for early withdrawals, where the depositor has to pay a material penalty for early withdrawals which occur in less than one year, such penalty as laid down in Article 25(4) of Delegated Regulation (EU) 2015/61, to determine the residual maturity of term retail deposits.
- 39.The decision tree for reporting template C 83.00 is part of the instructions to specify prioritization assessment criteria for the assignment of each reported item in order to secure homogenous and comparable reporting. Going through the decision tree alone is not sufficient, i.e., institutions shall always comply with the rest of the instructions. For the sake of simplicity the decision tree ignores totals and subtotals; this however does not mean that they shall not be reported as well.
| # | Item | Decision | Action |
|---|---|---|---|
| 1 | Common Equity Tier 1capital? | Yes | ID 2.1 |
| 1 | Common Equity Tier 1capital? | No | # 2 |
| 2 | Additional Tier 1 capital? | Yes | ID 2.1 |
| 2 | Additional Tier 1 capital? | No | # 3 |
| 3 | Tier 2 capital? | Yes | ID 2.1 |
| 3 | Tier 2 capital? | No | # 4 |
| 4 | Other capital instruments? | Yes | ID 2.1 |
| 4 | Other capital instruments? | No | # 5 |
| 5 | A liability associated with collateral received as variation margin for derivatives? | Yes | Do not report. |
| 5 | A liability associated with collateral received as variation margin for derivatives? | No | # 6 |
| 6 | Trade date payables? | Yes | ID 2.9 |
| 6 | Trade date payables? | No | # 7 |
| 7 | Interdependent liability? | Yes | ID 2.8 |
| 7 | Interdependent liability? | No | # 8 |
| 8 | Liabilities and committed facilities within a group or an IPS for which the competent authority has granted the preferential treatment? | Yes | ID 2.5 |
| 8 | Liabilities and committed facilities within a group or an IPS for which the competent authority has granted the preferential treatment? | No | # 9 |
| 9 | NSFR derivative liabilities? | Yes | ID 2.9 |
| 9 | NSFR derivative liabilities? | No | # 10 |
| 10 | Deferred tax liabilities? | Yes | ID 2.9 |
| 10 | Deferred tax liabilities? | No | # 11 |
| 11 | Minority interest? | Yes | ID 2.9 |
| 11 | Minority interest? | No | # 12 |
| 12 | Stable retail deposits? | Yes | ID 2.2.1 |
| 12 | Stable retail deposits? | No | # 13 |
| 13 | Other retail deposits? | Yes | ID 2.2.2 |
| 13 | Other retail deposits? | No | # 14 |
| 14 | Operational deposits provided by financial or non-financial customers? | Yes | ID 2.4 |
| 14 | Operational deposits provided by financial or non-financial customers? | No | # 15 |
| 15 | Liabilities where the counterparty cannot be determined? | Yes | ID 2.7 |
| 15 | Liabilities where the counterparty cannot be determined? | No | # 16 |
| 16 | Liabilities provided by central banks? | Yes | ID 2.6 |
| 16 | Liabilities provided by central banks? | No | # 17 |
| 17 | Liabilities provided by financial customers? | Yes | ID 2.6 |
| 17 | Liabilities provided by financial customers? | No | # 18 |
| 18 | Liabilities from non-financial customers other than central banks? | Yes | ID 2.3 |
| 18 | Liabilities from non-financial customers other than central banks? | No | # 19 |
| 19 | Any other liabilities not considered in the above categories? | Yes | ID 2.9 |
| 19 | Any other liabilities not considered in the above categories? | No | Do not report. |
2. Instructions concerning specific columns
| Column | Legal references and instructions |
|---|---|
| 0010-0020 | Amount Institutions shall report in columns 0010-0020 the amount of liabilities and own funds allocated to the applicable residual maturity bucket. |
| 0030-0040 | Standard ASF factor Section 2 of Chapter 6 of Title IV of Part Six CRR The standard factors in columns 0030-0040 shall be those specified in Chapter 8 of Title IV of Part Six CRR by default that would determine the part of the amount of the liabilities and own funds that is available stable funding. They shall provided for information only and are not meant to be filled in by institutions. |
| 0050-0060 | Applicable ASF factor Chapter 2 and Chapter 6 of Title IV of Part Six CRR Institutions shall report in columns 0050-0060 the applicable ASF factors in Chapter 6 of Title IV Part Six CRR as weights that, multiplied by the amount of the liabilities or own funds, would determine the amount of the relevant available stable funding. Applicable factors shall be reported in decimal terms (i.e. 1.00 for an applicable weight of 100 per cent, or 0.50 for an applicable weight of 50 per cent). Applicable factors may reflect, but are not limited to, firm-specific and national discretions. |
| 0070 | Available Stable Funding Institutions shall report in column 0070 the value of the available stable funding in accordance with the definition set out in Article 428aj CRR. This shall be calculated using the following formula: c0070 = SUM{(c0010 * c 0050), (c0020 * c 0060)}. |
3. Instructions concerning specific rows
| Row | Legal references and instructions |
|---|---|
| 0010 | 2. AVAILABLE STABLE FUNDING Chapter 6 of Title IV of Part Six CRR |
| 0020 | 2.1 ASF from capital items and instruments Common Equity Tier 1 Point (a) of Article 428ap CRR; Common Equity Tier 1 items before the application of prudential filters, deductions and exemption or alternatives stipulated in Articles 32 to 36, 48, 49 and 79 CRR Additional Tier 1 Point (b) of Article 428ap CRR; additional Tier 1 items before the application of the deductions and exemptions stipulated in Articles 56 and 79 CRR Tier 2 Point (c) of Article 428ap CRR; Tier 2 items before the application of the deductions and exemptions stipulated in Articles 66 and 79 CRR Other capital instruments Point (d) of Article 428ap and point (d) of Article 428al(3) CRR; other capital instruments not referred to in any of the abovementioned categories |
| 0030 | 2.2 ASF from retail deposits Institutions shall reporting the following: — bonds and other debt securities issued which are sold exclusively in the retail market and held in a retail account. These retail bonds shall be reported also within the corresponding category of retail deposits as ‘stable retail deposits’ or ‘other retail deposits’ under items 2.2.1 and 2.2.2 respectively; see Article 428aj(2); — retail deposits maturing not before one year that can be early withdrawn before one year upon the payment of a penalty that has been assessed as material within the corresponding category of retail deposits as ‘stable retail deposits’ or ‘other retail deposits’ under items 2.2.1 and 2.2.2 respectively, in line with Article 25(4) of Delegated Regulation (EU) 2015/61; see Article 428ak(3) CRR. This item shall include both unsecured and secured liabilities |
| 0040 | 2.2.1 Stable retail deposits Article 428ao CRR Institutions shall report the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24(2) and (3) of the Commission delegated Regulation (EU) 2015/61 respectively and where: — these deposits do not fulfill the criteria for a higher outflow rate in accordance with Article 25 paragraphs 2, 3, or 5 of Delegated Regulation (EU) 2015/61 in which case they shall be reported as ‘other retail deposits’; or — these deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Delegated Regulation (EU) 2015/61 in which case they shall be reported as ‘other retail deposits’. |
| 0050 | 2.2.2 Other retail deposits Article 428an CRR Institutions shall report the amount of other retail deposits than those that are ‘stable retail deposits’ under item 2.2.1. |
| 0060 | 2.3 ASF from other non-financial customers (except central banks) Institutions shall report liabilities provided by wholesale non-financial customers (except central banks) that include: — liabilities provided by the central government of a Member State or a third country; see point (b)(i) of Article 428am CRR; — liabilities provided by regional governments or local authorities of a Member State or a third country; see point (b)(ii) of Article 428am CRR; — liabilities provided by public sector entities of a Member State or a third country; see point (b)(iii) of Article 428am CRR; — liabilities provided by multilateral development banks and international organisations; see point (b)(iv) of Article 428am CRR; — liabilities provided by non-financial corporate customers; see point (b)(v) of Article 428am CRR; — liabilities provided by credit unions, personal investment companies and deposit brokers; see point (b)(vi) of Article 428am CRR. |
| 0070 | 2.4 ASF from operational deposits Point (a) of Article 428am CRR; deposits received for the provision of operational services that fulfil the criteria for operational deposits set out in Article 27 of Delegated Regulation (EU) 2015/61. |
| 0080 | 2.5 ASF from liabilities and committed facilities within a group or an IPS if subject to preferential treatment Institutions shall report here liabilities and committed facilities for which the competent authority has granted the preferential treatment referred to in Article 428h CRR. |
| 0090 | 2.6 ASF from financial customers and central banks Institutions shall report the following liabilities: — liabilities provided by the ECB or the central bank of a Member State (see point (c) of Article 428al(3)):— (i) liabilities provided by the ECB or the central bank of a Member State irrespective of whether or not they are securities financing transactions; see point (c)(i) of Article 428al(3) CRR; (ii) liabilities provided by the central bank of a third country; liabilities provided by the central bank of a third country irrespective of whether or not they are securities financing transactions; see point (c)(ii) of Article 428al(3) CRR; (iii) liabilities provided by financial customers; liabilities provided by financial customers irrespective of whether or not they are securities financing transactions; see point (c)(iii) of Article 428al(3) CRR; — liabilities provided by financial customers and central banks with a residual maturity of one year or more; see point (e) of Article 428ap CRR. |
| 0100 | 2.7 ASF from liabilities provided where the counterparty cannot be determined Point (d) of Article 428al(3) and point (e) of Article 428ap CRR Institutions shall report here liabilities where the counterparty cannot be determined, including securities issued where the holder cannot be identified. |
| 0110 | 2.8 ASF from interdependent liabilities Institutions shall report the following liabilities: — liabilities that are interdependent with assets in accordance with Article 428f CRR; see also point (b) of Article 428al(3) CRR — liabilities linked to centralized regulated savings to be treated as interdependent with assets in accordance with point (a) of Article 428f(2) CRR; — liabilities linked to promotional loans and credit and liquidity facilities to be treated as interdependent with assets in accordance with point (b) of Article 428f(2) CRR. — liabilities linked to covered bonds to be treated as interdependent with assets in accordance with point (c) of Article 428f(2) CRR; — liabilities linked to derivatives client clearing activities to be treated as interdependent with assets in accordance with point (d) of Article 428f(2) CRR; — liabilities that fulfil all the conditions set out in Article 428f(1) CRR and are interdependent with assets in accordance with Article 428f(1) CRR. |
| 0120 | 2.9 ASF from other liabilities Institutions shall report the following: — trade date payables arising from purchases of financial instruments, foreign currencies and commodities that are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transactions or that have failed to, but are still expected to settle; see point (a) of Article 428al(3) CRR; — deferred tax liabilities; the nearest possible date on which their amount can be realised as residual maturity shall be used; see point (a) of Article 428al(1) CRR; — minority interests; the term of the instrument shall be used as residual maturity; see point (b) of Article 428al(1) CRR; — other liabilities without a stated maturity, including short positions and open maturity positions unless otherwise specified in this Section; see article 428al(1) CRR; — the negative difference between netting sets calculated in accordance with Article 428al(4) CRR; all derivative liabilities shall be reported as if having a residual maturity of less than one year; — any other liabilities not referred to in Articles 428al to 428ap CRR; all capital items shall be reported under item 2.1 regardless of their residual maturity; see also point (d) of Article 428al(3) CRR. |
PART VI: SUMMARY NSFR
1. Specific remarks
- 40.The purpose of this template is to provide information on the net stable funding ratio, both for institutions reporting the fully-fledged NSFR (reporting templates C 80.00 and C 81.00) and for institutions reporting the simplified NSFR (reporting templates C 82.00 and C 83.00).
- 41.In accordance with Article 428b(1) CRR, the net stable funding requirement laid down in Article 413(1) CRR shall be equal to the ratio of the institution’s available stable funding as referred to in Chapter 3 and 6 to the institution’s required stable funding as referred to in Chapter 4 and 7, and shall be expressed as a percentage. The rules for the calculation of the ratio are laid down in Chapter 2.
- 42.The items in rows 0010 to 0210 shall be the same as the equivalent ones reported in reporting templates C 80.00 to C 83.00.
2. Instructions concerning specific columns
| Column | Legal references and instructions |
|---|---|
| 0010 | Amount Institutions shall report in column 0010 the amount of assets, off-balance sheet items, liabilities and own funds allocated to the sum of all applicable residual maturity and HQLA buckets. The amounts to be reported shall be those before application of the relevant ASF and RSF factors. |
| 0020 | Required Stable Funding Institutions shall report in column 0020 the required stable funding calculated in accordance with Chapters 4 and 7 of Title IV of Part Six CRR. |
| 0030 | Available Stable Funding Institutions shall report in column 0030 the available stable funding calculated in accordance with Chapters 3 and 6 of Title IV of Part Six CRR. |
| 0040 | Ratio Institutions shall report in column 0040 the NSFR ratio in accordance to Article 428b(1) CRR. |
3. Instructions concerning specific rows
| Row | Legal references and instructions |
|---|---|
| 0010 | 1. REQUIRED STABLE FUNDING Item 1 of reporting templates C 80.00 and C 82.00 |
| 0020 | 1.1 RSF from central bank assets Item 1.1 of reporting templates C 80.00 and C 82.00 |
| 0030 | 1.2 RSF from liquid assets Item 1.2 of reporting templates C 80.00 and C 82.00 |
| 0040 | 1.3 RSF from securities other than liquid assets Item 1.3 of reporting templates C 80.00 and C 82.00 |
| 0050 | 1.4 RSF from loans Item 1.4 of reporting templates C 80.00 and C 82.00 |
| 0060 | 1.5 RSF from interdependent assets Item 1.5 of reporting templates C 80.00 and C 82.00 |
| 0070 | 1.6 RSF from assets within a group or an IPS if subject to preferential treatment Item 1.6 of reporting templates C 80.00 and C 82.00 |
| 0080 | 1.7 RSF from derivatives Item 1.7 of reporting templates C 80.00 and C 82.00 |
| 0090 | 1.8 RSF from contributions to CCP default fund Item 1.8 of reporting templates C 80.00 and C 82.00 |
| 0100 | 1.9 RSF from other assets Item 1.9 of reporting templates C 80.00 and C 82.00 |
| 0110 | 1.10 RSF from OBS items Item 1.10 of reporting templates C 80.00 and C 82.00 |
| 0120 | 2. AVAILABLE STABLE FUNDING Item 2 of reporting templates C 81.00 and C 83.00 |
| 0130 | 2.1 ASF from capital items and instruments Item 2.1 of reporting templates C 81.00 and C 83.00 |
| 0140 | 2.2 ASF from retail deposits Item 2.2 of reporting templates C 81.00 and C 83.00 |
| 0150 | 2.3 ASF from other non-financial customers (except central banks) Item 2.3 (except 2.3.0.2) of reporting template C 81.00 and reporting template C 83.00 |
| 0160 | 2.4 ASF from operational deposits Items 2.3.0.2 and 2.5.3.1 of reporting template C 81.00 and 2.4 of reporting template C 83.00 |
| 0170 | 2.5 ASF from liabilities within a group or an IPS if subject to preferential treatment Item 2.4 of reporting template C 81.00 and 2.5 of reporting template C 83.00 |
| 0180 | 2.6 ASF from financial customers and central banks Item 2.5 (except 2.5.3.1) of reporting template C 81.00 and 2.6 of reporting template C 83.00 |
| 0190 | 2.7 ASF from liabilities provided where the counterparty cannot be determined Item 2.6 of reporting template C 81.00 and 2.7 of reporting template C 83.00 |
| 0200 | 2.8 ASF from interdependent liabilities Item 2.8 of reporting template C 81.00 and reporting template C 83.00 |
| 0210 | 2.9 ASF from other liabilities Item 2.7 and 2.9 of reporting template C 81.00 and 2.9 of reporting template C 83.00 |
| 0220 | 3. NSFR NSFR calculated in accordance with Article 428b(1) CRR |
ANNEX XIV
Single Data Point Model
All data items set out in the Annexes to this Regulation shall be transformed into a single data point model which is the basis for uniform IT systems of institutions and competent authorities.
The single data point model shall meet the following criteria:
- (a) provide a structured representation of all data items set out in the Annexes to this Regulation;
- (b) identify all the business concepts set out in the Annexes to this Regulation;
- (c) provide a data dictionary identifying table labels, ordinate labels, axis labels, domain labels, dimension labels and member labels;
- (d) provide metrics which define the property or amount of data points;
- (e) provide data point definitions that are expressed as a composition of characteristics that univocally identify the financial concept;
- (f) contain all the relevant technical specifications necessary for developing IT reporting solutions producing uniform supervisory data.
ANNEX XV
Validation Rules
The data items set out in the Annexes to this Regulation shall be subject to validation rules ensuring data quality and consistency.
The validation rules shall meet the following criteria:
- (a) define the logical relationships between relevant data points;
- (b) include filters and preconditions that define a set of data to which a validation rule applies;
- (c) check the consistency of the reported data;
- (d) check the accuracy of the reported data;
- (e) set default values which shall be applied where the relevant information has not been reported.
ANNEX XVI
REPORTING TEMPLATES ON ASSET ENCUMBRANCE
| ASSET ENCUMBRANCE TEMPLATES | ASSET ENCUMBRANCE TEMPLATES | ASSET ENCUMBRANCE TEMPLATES | 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 | Carrying amount of encumbered assets | Carrying amount of encumbered assets | Carrying amount of encumbered assets | Fair value of encumbered assets | Fair value of encumbered assets | Fair value of encumbered assets | Carrying amount of non-encumbered assets | Carrying amount of non-encumbered assets | Carrying amount of non-encumbered assets | Carrying amount of non-encumbered assets | Fair value of non-encumbered assets | Fair value 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 | Fair value of encumbered collateral received or own debt securities issued | Fair value of encumbered collateral received or own debt securities issued | Fair value of encumbered collateral received or own debt securities issued | Non-encumbered | Non-encumbered | Non-encumbered | Non-encumbered | Non-encumbered | ||
|---|---|---|---|---|---|---|---|---|---|---|
| Fair value of encumbered collateral received or own debt securities issued | Fair value of encumbered collateral received or own debt securities issued | Fair value of encumbered collateral received or own debt securities issued | Fair value of encumbered collateral received or own debt securities issued | Fair value of collateral received or own debt securities issued available for encumbrance | Fair value of collateral received or own debt securities issued available for encumbrance | Fair value of collateral received or own debt securities issued available for encumbrance | 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 | Nominal of collateral received or own debt securities issued non available for encumbrance | ||||
| 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 | Non-encumbered | Non-encumbered | Non-encumbered | Non-encumbered | ||
|---|---|---|---|---|---|---|
| Carrying amount of the underlying pool of assets | Fair value of debt securities issued available for encumbrance | Fair value of debt securities issued available for encumbrance | 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 | Nominal of own debt securities issued non available for encumbrance | |||
| 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 | Matching liabilities, contingent liabilities or securities lent | Assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered | Assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered | 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 on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | |||
| Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case |
F 33.00 - MATURITY DATA (AE-MAT)
| Residual maturity of liabilities | Residual maturity of liabilities | Residual maturity of liabilities | Residual maturity of liabilities | Residual maturity of liabilities | Residual maturity of liabilities | Residual maturity of liabilities | Residual maturity of liabilities | Residual maturity of liabilities | Residual maturity of liabilities | Residual maturity of liabilities | Residual maturity of liabilities | 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 | Contingent Encumbrance | Contingent Encumbrance | Contingent Encumbrance | Contingent Encumbrance | ||
|---|---|---|---|---|---|---|---|
| Matching liabilities, contingent liabilities or securities lent | A. Decrease by 30 % of the fair value of encumbered assets**** | B. Net effect of a 10 % depreciation of significant currencies**** | B. Net effect of a 10 % depreciation of significant currencies**** | B. Net effect of a 10 % depreciation of significant currencies**** | B. Net effect of a 10 % depreciation of significant currencies**** | ||
| Matching liabilities, contingent liabilities or securities lent | A. Decrease by 30 % of the fair value of encumbered assets**** | Additional amount of encumbered assets | Additional amount of encumbered assets | Additional amount of encumbered assets | Additional amount of encumbered assets | ||
| Matching liabilities, contingent liabilities or securities lent | 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 | Compliance with Art. 129 of Regulation (EU) No 575/2013 | Covered bond liabilities | Covered bond liabilities | Covered bond liabilities | Covered bond liabilities | Covered bond liabilities | Covered bond liabilities | Covered bond liabilities | Covered bond liabilities | Covered bond liabilities | Covered bond liabilities | Covered bond liabilities | Covered bond liabilities | Covered bond liabilities | Cover pool | Cover pool | Cover pool | Cover pool | Cover pool | Cover pool | Cover pool | Cover pool | Cover pool | Cover pool | Cover pool | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Compliance with Art. 129 of Regulation (EU) No 575/2013 | 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 | External credit rating on covered bond | External credit rating on covered bond | External credit rating on covered bond | External credit rating on covered bond | 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 | Cover pool amount in excess of minimum coverage requirements | Cover pool amount in excess of minimum coverage requirements | Cover pool amount in excess of minimum coverage requirements | ||
| [YES/NO] | If YES, indicate primary asset class of 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 | External credit rating on covered bond | External credit rating on covered bond | External credit rating on covered bond | External credit rating on covered bond | 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 | as per the relevant statutory covered bond regime | as per credit rating agencies' methodology to maintain current external credit rating of covered bond | as per credit rating agencies' methodology to maintain current external credit rating of covered bond | 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 | + 6 months | +12 months | + 2 years | +5 years | + 10 years | 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 | + 6 months | + 12 months | + 2 years | + 5 years | + 10 years | 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 | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Sources of encumbrance | Assets/Liabilities | Loans on demand | Equity instruments | Debt Securities | Debt Securities | Debt Securities | Debt Securities | Debt Securities | Debt Securities | Debt Securities | Debt Securities | Loans and advances other than loans on demand | Loans and advances other than loans on demand | Loans and advances other than loans on demand | Loans and advances other than loans on demand | Loans and advances other than loans on demand | Loans and advances other than loans on demand | Other assets | Total | |
| Sources of encumbrance | Assets/Liabilities | Loans on demand | Equity instruments | Total | of which: covered bonds | of which: covered bonds | of which: securitisations | 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 | Non financial Corporations | Households | Households | Other assets | Total | |
| Sources of encumbrance | Assets/Liabilities | Loans on demand | Equity instruments | 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 | Other assets | Total | |||||
| Sources of encumbrance | Assets/Liabilities | 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 | Central bank funding (of all types, including e.g. repos) | 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 | Collateralised deposits other than repurchase agreements | 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 | Debt securities issued other than covered bonds and securitisations | Matching liabilities | ||||||||||||||||||
| 0170 | Other sources of encumbrance | Encumbered assets | ||||||||||||||||||
| 0180 | Other sources of encumbrance | Contingent liabilities or securities lent | ||||||||||||||||||
| 0190 | Total encumbered assets | Total encumbered assets | ||||||||||||||||||
| 0200 | of which central bank eligible | of which central bank eligible | ||||||||||||||||||
| 0210 | Total non-encumbered Assets | Total non-encumbered Assets | ||||||||||||||||||
| 0220 | of which central bank eligible | of which central bank eligible | ||||||||||||||||||
| 0230 | Encumbered + Non-encumbered Assets | 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 | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Collateral Type - Classification by Asset type | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Sources of encumbrance | Assets/Liabilities | Loans on demand | Equity instruments | Debt Securities | Debt Securities | Debt Securities | Debt Securities | Debt Securities | Debt Securities | Debt Securities | Debt Securities | Loans and advances other than loans on demand | Loans and advances other than loans on demand | Loans and advances other than loans on demand | Loans and advances other than loans on demand | Loans and advances other than loans on demand | Loans and advances other than loans on demand | Other collateral received | Own debt securities issued other than own covered bonds or securitisations | Total | |
| Sources of encumbrance | Assets/Liabilities | Loans on demand | Equity instruments | Total | of which: covered bonds | of which: covered bonds | of which: securitisations | 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 | Non financial Corporations | Households | Households | Other collateral received | Own debt securities issued other than own covered bonds or securitisations | Total | |
| Sources of encumbrance | Assets/Liabilities | Loans on demand | Equity instruments | 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 | Other collateral received | Own debt securities issued other than own covered bonds or securitisations | Total | |||||
| Sources of encumbrance | Assets/Liabilities | 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 | Central bank funding (of all types, including e.g. repos) | 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 | Collateralised deposits other than repurchase agreements | 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 | Debt securities issued other than Covered bonds and securitisations | 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 | Total encumbered collateral received | |||||||||||||||||||
| 0200 | of which central bank eligible | of which central bank eligible | |||||||||||||||||||
| 0210 | Total non-encumbered collateral received | Total non-encumbered collateral received | |||||||||||||||||||
| 0220 | of which central bank eligible | of which central bank eligible | |||||||||||||||||||
| 0230 | Encumbered + Non-encumbered collateral received | Encumbered + Non-encumbered collateral received | |||||||||||||||||||
| Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | Not to be filled on a consolidated basis template | |
| Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case | Not to be filled in any case |
ANNEX XVII
INSTRUCTION FOR REPORTING ON ASSET ENCUMBRANCE
| Table of Contents | Table of Contents |
| GENERAL INSTRUCTIONS | |
| 1. | STRUCTURE AND CONVENTIONS |
| 1.1. | STRUCTURE |
| 1.2. | ACCOUNTING STANDARD |
| 1.3. | NUMBERING CONVENTION |
| 1.4. | SIGN CONVENTION |
| 1.5. | LEVEL OF APPLICATION |
| 1.6. | PROPORTIONALITY |
| 1.7. | DEFINITION OF ENCUMBRANCE |
| TEMPLATE-RELATED INSTRUCTIONS | |
| 2. | PART A: ENCUMBRANCE OVERVIEW |
| 2.1. | TEMPLATE AE-ASS. ASSETS OF THE REPORTING INSTITUTION |
| 2.1.1. | GENERAL REMARKS |
| 2.1.2. | INSTRUCTIONS CONCERNING SPECIFIC ROWS |
| 2.1.3. | INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
| 2.2. | TEMPLATE: AE-COL. COLLATERAL RECEIVED BY THE REPORTING INSTITUTION |
| 2.2.1. | GENERAL REMARKS |
| 2.2.2. | INSTRUCTIONS CONCERNING SPECIFIC ROWS |
| 2.2.3. | INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
| 2.3. | TEMPLATE: AE-NPL. OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED |
| 2.3.1. | GENERAL REMARKS |
| 2.3.2. | INSTRUCTIONS CONCERNING SPECIFIC ROWS |
| 2.3.3. | INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
| 2.4. | TEMPLATE: AE-SOU. SOURCES OF ENCUMBRANCE |
| 2.4.1. | GENERAL REMARKS |
| 2.4.2. | INSTRUCTIONS CONCERNING SPECIFIC ROWS |
| 2.4.3. | INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
| 3. | PART B: MATURITY DATA |
| 3.1. | GENERAL REMARKS |
| 3.2. | TEMPLATE: AE-MAT. MATURITY DATA |
| 3.2.1. | INSTRUCTIONS CONCERNING SPECIFIC ROWS |
| 3.2.2. | INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
| 4. | PART C: CONTINGENT ENCUMBRANCE |
| 4.1. | GENERAL REMARKS |
| 4.1.1. | SCENARIO A: DECREASE OF 30 % OF ENCUMBERED ASSETS |
| 4.1.2. | SCENARIO B: DEPRECIATION OF 10 % IN SIGNIFICANT CURRENCIES |
| 4.2. | TEMPLATE: AE-CONT. CONTINGENT ENCUMBRANCE |
| 4.2.1. | INSTRUCTIONS CONCERNING SPECIFIC ROWS |
| 4.2.2. | INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
| 5. | PART D: COVERED BONDS |
| 5.1. | GENERAL REMARKS |
| 5.2. | TEMPLATE: AE-CB. COVERED BONDS ISSUANCE |
| 5.2.1. | INSTRUCTIONS CONCERNING Z-AXIS |
| 5.2.2. | INSTRUCTIONS CONCERNING SPECIFIC ROWS |
| 5.2.3. | INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
| 6. | PART E: ADVANCED DATA |
| 6.1. | GENERAL REMARKS |
| 6.2. | TEMPLATE: AE-ADV1. ADVANCED TEMPLATE FOR ASSETS OF THE REPORTING INSTITUTION |
| 6.2.1. | INSTRUCTIONS CONCERNING SPECIFIC ROWS |
| 6.2.2. | INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
| 6.3. | TEMPLATE: AE-ADV2. ADVANCED TEMPLATE FOR COLLATERAL RECEIVED BY THE REPORTING INSTITUTION |
| 6.3.1. | INSTRUCTIONS CONCERNING SPECIFIC ROWS |
| 6.3.2. | INSTRUCTIONS CONCERNING SPECIFIC COLUMNS |
GENERAL INSTRUCTIONS
1. STRUCTURE AND CONVENTIONS
1.1. Structure
- 1.The framework consists of five sets of templates which comprise a total of nine templates according to the following scheme:
- (a) Part A: Encumbrance overview:
- — AE-ASS template. Assets of the reporting institution;
- — AE-COL template. Collateral received by the reporting institution;
- — AE-NPL template. Own covered bonds and securitisations issued and not yet pledged;
- — AE-SOU template. Sources of encumbrance;
- (b) Part B: Maturity data:
- — AE-MAT template. Maturity data;
- (c) Part C: Contingent encumbrance:
- — AE-CONT template. Contingent encumbrance;
- (d) Part D: Covered bonds:
- — AE-CB template. Covered bonds issuance;
- (e) 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.
- 2.For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.
1.2. Accounting standard
- 3.Institutions shall report carrying amounts under the accounting framework they use for the reporting of financial information in accordance with Articles 11 and 12. Institutions that are not required to report financial information shall use their respective accounting framework. In AE-SOU, institutions shall generally report carrying amounts gross of accounting netting, if any, in line with the reporting on a gross basis of encumbrance of assets and collateral.
- 4.For the purposes of this Annex, ‘IAS’ and ‘IFRS’ refer to the international accounting standards as defined in Article 2 of Regulation (EC) No 1606/2002. For institutions which report under IFRS standards, references have been inserted to the relevant IFRS standards.
1.3. Numbering convention
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