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Commission Implementing Regulation (EU) 2022/1994 of 21 November 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards own funds, asset encumbrance, liquidity and reporting for the purposes of identifying global systemically important institutions (Text with EEA relevance)

Type Implementing Regulation
Publication 2022-12-22
State In force
Text As published
Department European Commission, FISMA
Source EUR-Lex
articles 2

This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.

Reform history JSON API
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 IV

‘ANNEX XVII

INSTRUCTION FOR REPORTING ON ASSET ENCUMBRANCE

Table of Contents
GENERAL INSTRUCTIONS 533
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1. STRUCTURE AND CONVENTIONS
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1.1. STRUCTURE
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1.2. ACCOUNTING STANDARD
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1.3. NUMBERING CONVENTION
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1.4. SIGN CONVENTION
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1.5. LEVEL OF APPLICATION
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1.6. PROPORTIONALITY
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1.7. DEFINITION OF ENCUMBRANCE
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TEMPLATE-RELATED INSTRUCTIONS 535
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2. PART A: ENCUMBRANCE OVERVIEW
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2.1. TEMPLATE AE-ASS. ASSETS OF THE REPORTING INSTITUTION
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2.1.1. GENERAL REMARKS
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2.1.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS
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2.1.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
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2.2. TEMPLATE: AE-COL. COLLATERAL RECEIVED BY THE REPORTING INSTITUTION
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2.2.1. GENERAL REMARKS
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2.2.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS
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2.2.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
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2.3. TEMPLATE: AE-NPL. OWN COVERED BONDS AND SECURITISATIONS ISSUED AND NOT YET PLEDGED
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2.3.1. GENERAL REMARKS
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2.3.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS
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2.3.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
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2.4. TEMPLATE: AE-SOU. SOURCES OF ENCUMBRANCE
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2.4.1. GENERAL REMARKS
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2.4.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS
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2.4.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
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3. PART B: MATURITY DATA
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3.1. GENERAL REMARKS
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3.2. TEMPLATE: AE-MAT. MATURITY DATA
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3.2.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS
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3.2.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
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4. PART C: CONTINGENT ENCUMBRANCE
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4.1. GENERAL REMARKS
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4.1.1. SCENARIO A: DECREASE OF 30 % OF ENCUMBERED ASSETS
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4.1.2. SCENARIO B: DEPRECIATION OF 10 % IN SIGNIFICANT CURRENCIES
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4.2. TEMPLATE: AE-CONT. CONTINGENT ENCUMBRANCE
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4.2.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS
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4.2.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
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5. PART D: COVERED BONDS
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5.1. GENERAL REMARKS
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5.2. TEMPLATE: AE-CB. COVERED BONDS ISSUANCE
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5.2.1. INSTRUCTIONS CONCERNING Z-AXIS
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5.2.2. INSTRUCTIONS CONCERNING SPECIFIC ROWS
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5.2.3. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
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6. PART E: ADVANCED DATA
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6.1. GENERAL REMARKS
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6.2. TEMPLATE: AE-ADV1. ADVANCED TEMPLATE FOR ASSETS OF THE REPORTING INSTITUTION
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6.2.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS
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6.2.2. INSTRUCTIONS CONCERNING SPECIFIC COLUMNS
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6.3. TEMPLATE: AE-ADV2. ADVANCED TEMPLATE FOR COLLATERAL RECEIVED BY THE REPORTING INSTITUTION
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6.3.1. INSTRUCTIONS CONCERNING SPECIFIC ROWS
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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.
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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.
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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
5. The following general notation is used in these instructions to refer to the columns, rows and cells of a template: {Template; Row; Column}. An asterisk sign is used to indicate that the validation is applied to the whole row or column. For example {AE-ASS; *; 2} refers to the data point of any row for column 2 of the AE-ASS template.
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6. In the case of validations within a template the following notation is used to refer to data points from that template: {Row; Column}.

1.4.   Sign convention
7. Templates in Annex XVI shall follow the sign convention described in Annex V, Part 1, points 9 and 10.

1.5.   Level of application
8. The level of application of the reporting on asset encumbrance follows that of the reporting requirements on own funds under Article 430(1), first subparagraph, point (a), of Regulation (EU) No 575/2013. Consequently, institutions that are not subject to prudential requirements in accordance with Article 7 of that Regulation are not required to report information on asset encumbrance.

1.6.   Proportionality
9. For the purposes of Article 19(3), point (c), of this Regulation, the asset encumbrance level shall be calculated as follows: — Carrying amount of encumbered assets and collateral = {AE-ASS;0010;0010}– {AE-ASS;0015;0010} + {AE-COL;0130;0010}; — Total assets and collateral = {AE-ASS;0010;0010} + {AE-ASS;0010;0060}– {AE-ASS;0015;0010} + {AE-COL;0130;0010}+{AE-COL;0130;0040}; — Asset encumbrance ratio = (Carrying amount of encumbered assets and collateral)/(Total assets and collateral).
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10. [Deleted]

1.7.   Definition of encumbrance
11. For the purposes of this Annex and Annex XVI, an asset shall be treated as encumbered if it has been pledged or if it is subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which it cannot be freely withdrawn. It is important to note, that assets pledged that are subject to any restrictions in withdrawal, such as assets that require prior approval before withdrawal or replacement by other assets, shall be considered encumbered. The definition is not based on an explicit legal definition, such as title transfer, but rather on economic principles, as the legal frameworks may differ in this respect across countries. The definition is however closely linked to contractual conditions. The EBA sees the following types of contracts being well covered by the definition (this is a non-exhaustive list): — secured financing transactions, including repurchase contracts and agreements, securities lending and other forms of secured lending; — various collateral agreements, for instance collateral placed for the market value of derivatives transactions; — financial guarantees that are collateralised. If there is no impediment to withdrawal of collateral, such as prior approval, for the unused part of guarantee, then only the used amount shall be allocated (on a pro-rata allocation); — collateral placed at clearing systems, CCPs and other infrastructure institutions as a condition for access to service. This includes default funds and initial margins; — central bank facilities. Pre-positioned assets shall not be considered encumbered, unless the central bank does not allow withdrawal of any assets placed without prior approval. As for unused financial guarantees, the unused part, i.e. above the minimum amount required by the central bank, shall be allocated on a pro-rata basis among the assets placed at the central bank; — underlying assets from securitisation structures, where the financial assets have not been de-recognised from the institution’s financial assets. The assets that are underlying retained securities do not count as encumbered, unless those securities are pledged or provided as collateral in any way to secure a transaction; — assets in cover pools used for covered bond issuance. The assets that are underlying covered bonds count as encumbered, except in certain situations where the institution holds the corresponding covered bonds (“own-issued bonds”); — as a general principle, assets which are being placed at facilities that are not used and can be freely withdrawn shall not be considered encumbered.

2. PART A: ENCUMBRANCE OVERVIEW
12. The encumbrance overview templates differentiate assets which are used to support funding or collateral needs at the balance sheet date (“point-in time encumbrance”) from those assets which are available for potential funding needs.
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13. The overview template shows the amount of encumbered and non-encumbered assets of the reporting institution in a tabular format by products. The same breakdown also applies to collateral received and own debt securities issued other than covered bonds and securitisations.

2.1.   Template AE-ASS. Assets of the reporting institution

2.1.1.   General remarks
14. This point sets out instructions that apply to the main types of transaction that are relevant when completing the AE templates: All transactions that increase the level of encumbrance of an institution have two aspects that shall be reported independently throughout the AE templates. Such transactions shall be reported both as a source of encumbrance and as an encumbered asset or collateral. The following examples describe how to report a type of transaction of this Part but the same rules apply to the other AE templates. (a) Collateralised deposit A collateralised deposit shall be reported as follows: (i) the carrying amount of the deposit is registered as a source of encumbrance in {AE-SOU; r0070; c0010}; (ii) where the collateral is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; ; c0010} and {AE-SOU; r0070; c0030}; its fair value shall be reported in {AE-ASS; ; c0040}; (iii) where the collateral has been received by the reporting institution, its fair value shall reported in {AE-COL; ; c0010}, {AE-SOU; r0070; c0030} and {AE-SOU; r0070; c0040}. (b) Repo/matching repos A repurchase agreement (hereinafter “repo”) shall be reported as follows: (i) the gross carrying amount of the repo shall be reported as a source of encumbrance in {AE-SOU; r0050; c0010}; (ii) the collateral of the repo shall be reported as follows: — where the collateral is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; ; c0010} and {AE-SOU; r0050; c0030}; its fair value shall be reported in {AE-ASS; ; c0040}; — where the collateral has been received by the reporting institution through a previous reverse repurchase agreement (matching repo), its fair value shall be reported in {AE-COL; ; c0010}, {AE-SOU; r0050; c0030} and in {AE-SOU; r0050; c0040}. (c) Central bank funding As collateralised central bank funding is only a specific case of a collateralised deposit or a repo transaction in which the counterparty is a central bank, the rules in this point 14(a) and (b) apply. For operations where it is not possible to identify the specific collateral to each operation, as collateral is pooled together, the collateral breakdown shall be done on a proportional basis, based on the composition of the pool of collateral. Assets that have been pre-positioned with central banks are not encumbered assets unless the central bank does not allow withdrawal of any assets placed without prior approval. For unused financial guarantees, the unused part, i.e. the amount above the minimum required by the central bank, is allocated on a pro-rata basis among the assets placed at the central bank. (d) Securities lending For securities lending with cash collateral the rules for repos/matching repos apply. Securities lending without cash collateral shall be reported as follows: (i) the fair value of the securities borrowed shall be reported as a source of encumbrance in {AE-SOU; r0150; c0010}. When the lender does not receive any securities in return for the securities lent but receives a fee instead, {AE-SOU; r0150; c0010} shall reported as zero; (ii) where the securities lent as collateral are an asset of the reporting institution: their carrying amount shall be reported in {AE-ASS; ; c0010} and {AE-SOU; r0150; c0030}; their fair value shall reported in {AE-ASS; ; c0040}; (iii) where the securities lent as collateral are received by the reporting institution, their fair value shall be reported in {AE-COL; ; c0010}, {AE-SOU; r0150; c0030} and {AE-SOU; r0150; c0040}. (e) Derivatives (liabilities) Collateralised derivatives with a negative fair value shall be reported as follows: (i) the carrying amount of the derivative shall be reported as a source of encumbrance in {AE-SOU; r0020; c0010}; (ii) the collateral (initial margins required to open the position and any collateral placed for the market value of derivatives transactions) shall be reported as follows: — where it is an asset of the reporting institution: its carrying amount shall be reported in {AE-ASS; ; c0010} and {AE-SOU; r0020; c0030}; its fair value shall be reported in {AE-ASS; ; c0040}; — where it is collateral received by the reporting institution, its fair value shall be reported in {AE-COL; ; c0010}, {AE-SOU; r0020; c0030} and {AE-SOU; r0020; c0040}. (f) Covered bonds Covered bonds for the entire asset encumbrance reporting are instruments referred to in Article 52(4), first subparagraph, of Directive 2009/65/EU, irrespective of whether those instruments take the legal form of a security or not. No specific rules apply to covered bonds where there is no retention of part of the securities issued by the reporting institution. In case of retention of part of the issuance and in order to avoid double counting, the following treatment shall apply: (i) where the own covered bonds are not pledged, the amount of the cover pool that is backing those securities retained and not yet pledged shall be reported in the AE-ASS templates as non-encumbered assets. Additional information about the retained covered bonds not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) shall be reported in the AE-NPL template; (ii) where the own covered bonds are pledged, then the amount of the cover pool that is backing those securities retained and pledged shall be included in the AE-ASS template as encumbered assets. The following table sets out how to report covered bond issuance of EUR 100 of which 15 % is retained and not pledged and 10 % is retained and pledged as collateral in a EUR 11 repo transaction with a central bank, where the cover pool comprises unsecured loans and the carrying amount of the loans is EUR 150. SOURCES OF ENCUMBRANCE Type Amount Cells Loans encumbered Cells Covered bonds 75 % (100) = 75 {AE-Sources, r110, c010} 75 % (150) = 112.5 {AE-Assets, r100, c010} {AE-Sources, r110, c030} Central bank funding 11 {AE-Sources, r060, c010} 10 % (150) = 15 {AE-Assets, r100, c010} {AE-Sources, r060, c030} NON ENCUMBRANCE Type Amount Cells Non-encumbered loans Cells Own covered bonds retained 15 % (100) = 15 {AE-Not pledged, r010, c040} 15 % (150) = 22.5 {AE-Assets, r100, c060} {AE-Not pledged, r020, c010} (g) Securitisations Securitisations mean debt securities held by the reporting institution originated in a securitisation transaction as defined in Article 4(1), point (61), of Regulation (EU) No 575/2013. For securitisations that remain in the balance sheet (non-derecognised), the rules for covered bonds apply. For derecognised securitisations, there is no encumbrance where the institution holds some securities. Those securities will appear in the trading book or in the banking book of the reporting institutions as any other security issued by a third party.
2.1.2.   Instructions concerning specific rows
Rows Legal references and instructions
0010 Assets of the reporting institution IAS 1.9 (a), Implementation Guidance (IG) 6; total assets of the reporting institution registered in its balance sheet.
0015 Of which: qualifying fiduciary assets Fiduciary assets which meet all the following conditions: (a) they are recognised on the institution’s balance sheet by national generally accepted accounting principles, in accordance with Article 10 of Directive 86/635/EEC; (b) they meet the criteria for non-recognition set out in International Financial Reporting Standard (IFRS) 9, as applied in accordance with Regulation (EC) No 1606/2002; (c) they meet the criteria for non-consolidation set out in IFRS 10, as applied in accordance with Regulation (EC) No 1606/2002, where applicable.
0020 Loans on demand IAS 1.54 (i) Institutions shall report the balances receivable on demand at central banks and other institutions. Cash on hand, that is, the holding of national and foreign banknotes and coins in circulation that are commonly used to make payments shall be included in the row “other assets”.
0030 Equity instruments Equity instruments held by the reporting institution as defined in IAS 32.1.
0040 Debt securities Annex V, Part 1, point 31 Institutions shall report debt instruments held by the reporting institution issued as securities that are not loans in accordance with Regulation (EU) 2021/37922.
0050 of which: covered bonds Debt securities held by the reporting institution that are bonds referred to in Article 52(4), first subparagraph, of Directive 2009/65/EC.
0060 of which: securitisations Debt securities held by the reporting institution that are securitisations as defined in Article 4(1), point (61), of Regulation (EU) No 575/2013.
0070 of which: issued by general governments Debt securities held by the reporting institution which are issued by general governments.
0080 of which: issued by financial corporations Debt securities held by the reporting institution issued by financial corporations as defined in Annex V, Part 1, point 42, points (c) and d).
0090 of which: issued by non-financial corporations Debt securities held by the reporting institution issued by non-financial corporations as defined in Annex V, Part 1, point 42, point (e).
0100 Loans and advances other than loans on demand Loans and advances that are debt instruments other than securities held by the reporting institutions; other than balances receivable on demand.
0110 of which: Loans collateralised with immovable property Loans and advances other than loans on demand that are collateralised with immovable property according to Annex V, part 2, point 86.
0120 Other assets Assets of the reporting institution registered in the balance sheet other than those reported in rows 0020 to 0040 and 0100 and different from own debt securities and own debt equity instruments that may not be derecognised from the balance sheet by a non-IFRS institution. In this case, own debt instruments shall be included in row 0240 of the AE-COL template and own equity instruments excluded from the asset encumbrance reporting.
2.1.3.   Instructions concerning specific columns
Columns Legal references and instructions
0010 Carrying amount of encumbered assets Institutions shall report the carrying amount of its assets that are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. The carrying amount shall mean the amount reported in the asset side of the balance sheet.
0020 of which: issued by other entities of the group Carrying amount of encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation.
0030 of which: central bank eligible Carrying amount of encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
0035 of which notionally eligible EHQLA and HQLA The carrying amount of encumbered assets which are notionally eligible to the qualification of assets of extremely high liquidity and credit quality (EHQLA) and assets of high liquidity and credit quality (HQLA). For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the assets that are listed in Articles 10 to13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The carrying amount of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of that Delegated Regulation.
0040 Fair value of encumbered assets IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions Institutions shall report the fair value of its debt securities that are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement).
0050 of which: central bank eligible Fair value of the encumbered debt securities held by the reporting institution, which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
0055 of which notionally eligible EHQLA and HQLA Fair value of encumbered assets that are notionally eligible to the qualification of EHQLA and HQLA For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the assets that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of that Delegated Regulation.
0060 Carrying amount of non-encumbered assets Institutions shall report the carrying amount of its assets that are non-encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. Carrying amount shall mean the amount reported in the asset side of the balance sheet.
0070 of which: issued by other entities of the group Carrying amount of non-encumbered assets held by the reporting institution that are issued by any entity within the prudential scope of consolidation.
0080 of which: central bank eligible Carrying amount of non-encumbered assets held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
0085 of which EHQLA and HQLA Carrying amount of unencumbered EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation. The carrying amount of EHQLA and HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.
0090 Fair value of non-encumbered assets IFRS 13 and Article 8 of Directive 2013/34/EU for non-IFRS institutions Institutions shall report the fair value of its debt securities that are non-encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. Fair value of a financial instrument shall be the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement).
0100 of which: central bank eligible Fair value of the non-encumbered debt securities held by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
0105 of which EHQLA and HQLA Fair value of unencumbered EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation. The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.

2.2.   Template: AE-COL. Collateral received by the reporting institution

2.2.1.   General remarks
15. For the collateral received by the reporting institution and the own debt securities issued other than own covered bonds or securitisations, the category of “non-encumbered” assets is split between those “available for encumbrance” or potentially eligible to be encumbered and those “non-available for encumbrance”.
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16. Assets are “non-available for encumbrance” when they have been received as collateral and the reporting institution is not permitted to sell or re-pledge the collateral, except in the case of a default by the owner of the collateral. Own debt securities issued other than own covered bonds or securitisations are non-available for encumbrance when there is any restriction in the terms of the issuance to sell or re-pledge the securities held.
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17. For the purposes of the asset encumbrance reporting, securities borrowed in exchange for a fee without providing cash-collateral or non-cash collateral shall be reported as collateral received.
2.2.2.   Instructions concerning specific rows
Rows Legal references and instructions
0130 Collateral received by the reporting institution All classes of collateral received by the reporting institution
0140 Loans on demand Collateral received by the reporting institution that comprises loans on demand See legal references and instructions regarding row 0020 of the AE-ASS template.
0150 Equity instruments Collateral received by the reporting institution that comprises equity instruments See legal references and instructions regarding row 0030 of the AE-ASS template.
0160 Debt securities Collateral received by the reporting institution that comprises debt securities See legal references and instructions regarding row 0040 of the AE-ASS template.
0170 of which: covered bonds Collateral received by the reporting institution that comprises covered bonds See legal references and instructions regarding row 0050 of the AE-ASS template.
0180 of which: securitisations Collateral received by the reporting institution that comprises securitisations See legal references and instructions regarding row 0060 of the AE-ASS template.
0190 of which: issued by general governments Collateral received by the reporting institution that comprises debt securities issued by general governments See legal references and instructions regarding row 0070 of the AE-ASS template.
0200 of which: issued by financial corporations Collateral received by the reporting institution that comprises debt securities issued by financial corporations See legal references and instructions regarding row 0080 of the AE-ASS template.
0210 of which: issued by non-financial corporations Collateral received by the reporting institution that comprises debt securities issued by non-financial corporations See legal references and instructions regarding row 0090 of the AE-ASS template.
0220 Loans and advances other than loans on demand Collateral received by the reporting institution that comprises loans and advances other than loans on demand See legal references and instructions regarding row 0100 of the AE-ASS template.
0230 Other collateral received Collateral received by the reporting institution that comprises other assets See legal references and instructions regarding row 0120 of the AE-ASS template.
0240 Own debt securities issued other than own covered bonds or securitisations Own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued. As the retained or repurchased own debt securities issued, according to IAS 39.42, decrease the relating financial liabilities, those securities shall not be included in the category of assets of the reporting institution (row 0010 of the AE-ASS template). Own debt securities that may not be derecognised from the balance sheet by a non-IFRS institution shall be included in this row. Own covered bonds issued or own securitisations issued shall not be reported in this category since different rules apply to those cases to avoid double counting: (a) where the own debt securities are pledged, the amount of the cover pool/underlying assets that are backing those securities retained and pledged shall be reported in the AE-ASS template as encumbered assets; (b) where the own debt securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities retained and not yet pledged shall be reported in the AE-ASS templates as non-encumbered assets. Additional information about that second type of own debt securities not yet pledged (underlying assets, fair value and eligibility of those available for encumbrance and nominal of those non-available for encumbrance) shall be reported in the AE-NPL template.
0245 Own covered bonds and securitisation issued and not yet pledged Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution: (a) where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be reported in Template AE-ASS (F 32.01) as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations; (b) where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be reported in Template AE-ASS (F 32.01) as non-encumbered assets.
0250 TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED All assets of the reporting institution registered in its balance sheet, all classes of collateral received by the reporting institution and own debt securities issued retained by the reporting institution that are not own covered bonds issued or own securitisations issued.
2.2.3.   Instructions concerning specific columns
Columns Legal references and instructions
0010 Fair value of encumbered collateral received or own debt securities issued Institutions shall report the fair value of the collateral received or own debt securities they hold/retain, which are encumbered in accordance with the definition of asset encumbrance referred to in point 11 of this Annex. The fair value of a financial instrument shall be the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement).
0020 of which: issued by other entities of the group Fair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution that are issued by any entity within the prudential scope of consolidation.
0030 of which: central bank eligible Fair value of the encumbered collateral received or own debt securities issued held/retained by the reporting institution which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
0035 of which notionally eligible EHQLA and HQLA Fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA. For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the items of collateral received or own debt securities issued held/retained by the institution that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex. Notionally eligible encumbered EHQLA and encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.
0040 Fair value of collateral received or own debt securities issued available for encumbrance Fair value of the collateral received by the reporting institution that are non-encumbered but are available for encumbrance since the reporting institution is permitted to sell or re-pledge it in absence of default by the owner of the collateral. It also includes the fair value of own debt securities issued, other than own covered bonds or securitisations that are non-encumbered but available for encumbrance.
0050 of which: issued by other entities of the group Fair value of collateral received or own debt securities issued other than own covered bonds or securitisations available for encumbrance that are issued by any entity within the prudential scope of consolidation.
0060 of which: central bank eligible Fair value of collateral received or own debt securities issued other than own covered bonds or securitisations available for encumbrance, which are eligible for operations with those central banks to which the reporting institution has access. Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
0065 of which EHQLA and HQLA Fair value of the unencumbered collateral received or own debt securities issued held/retained by the institution other than own covered bonds or securitisation positions available for encumbrance which qualify as EHQLA and HQLA that are listed in Articles 10 to 13 of Delegated Regulation (EU) 2015/61 and comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of that Delegated Regulation. The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.
0070 Nominal of collateral received or own debt securities issued non available for encumbrance Nominal amount of the collateral received held by the reporting institution that are non-encumbered and non-available for encumbrance. It shall include the nominal amount of the own debt securities issued other than own covered bonds or securitisations retained by the reporting institution that are non-encumbered and also non-available for encumbrance.

2.3.   Template: AE-NPL. Own covered bonds and securitisations issued and not yet pledged

2.3.1.   General remarks
18. To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the reporting institution: (a) where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be reported in the AE-ASS template as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations; (b) where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be reported in the AE-ASS template as non-encumbered assets.
2.3.2.   Instructions concerning specific rows
Rows Legal references and instructions
0010 Own covered bonds and securitisations issued and not yet pledged Own covered bonds and securitisations issued that are retained by the reporting institution and not encumbered.
0020 Retained covered bonds issued Own covered bonds issued that are retained by the reporting institution and not encumbered.
0030 Retained securitisations issued Own securitisations issued that are retained by the reporting institution and not encumbered.
0040 Senior Senior tranches of the own securitisations issued that are retained by the reporting institution and not encumbered See Article 4(1), point (67), of Regulation (EU) No 575/2013.
0050 Mezzanine Mezzanine tranches of the own securitisations issued that are retained by the reporting institution and not encumbered All tranches that are not senior tranches, i.e. the last to absorb the loss or first loss tranches, shall be considered mezzanine tranches. See Article 4(1), point (67), of Regulation (EU) No 575/2013.
0060 First loss First loss tranches of the own securitisations issued that are retained by the reporting institution and are not encumbered. See Article 4(1), point (67), of Regulation (EU) No 575/2013.
2.3.3.   Instructions concerning specific columns
Columns Legal references and instructions
0010 Carrying amount of the underlying pool of assets Carrying amount of the cover pool/underlying assets that back the own covered bonds and own securitisations retained and are not yet pledged.
0020 Fair value of debt securities issued available for encumbrance Fair value of the own covered bonds and own securitisations retained that are non-encumbered but available for encumbrance.
0030 Of which: central bank eligible Fair value of the own covered bonds and own securitisations retained that meet each of the following conditions: (a) they are non-encumbered; (b) they are available for encumbrance; (c) they are eligible for operations with those central banks to which the reporting institution has access Reporting institutions that cannot positively establish central bank eligibility for an item, for instance jurisdictions that operate without a clear definition of central bank repo eligible assets or do not have access to continuously functioning central bank repo market, may abstain from reporting the associated amount for that item, i.e. leave the reporting field blank.
0035 of which notionally eligible EHQLA and HQLA Fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA. For the purposes of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the items of collateral received or own debt securities issued held/retained by the institution that are listed in Articles 10 to13 of Delegated Regulation (EU) 2015/61 and would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with this Annex XVII. Notionally eligible encumbered EHQLA and encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and Articles 35 to 37 of Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61.
0040 Nominal of own debt securities issued non-available for encumbrance Nominal amount of the own covered bonds and own securitisations retained that are non-encumbered and also non-available for encumbrance.

2.4.   Template: AE-SOU. Sources of encumbrance

2.4.1.   General remarks
19. This template provides information on the importance for the reporting institution of the different sources of encumbrance, including those with no associated funding as loans commitments or financial guarantees received and securities lending with non-cash collateral.
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20. The total amounts of assets and collateral received in the AE-ASS and the AE-COL templates meet the following validation rule: {AE-SOU; r0170; c0030} = {AE-ASS; r0010; c0010} + {AE-COL; r0130; c0010} + {AE-COL; r0240; c0010}.
2.4.2.   Instructions concerning specific rows

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