LegalizeCommission 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)
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.
| Rows | Legal references and instructions |
|---|---|
| 0010 | Carrying amount of selected financial liabilities Carrying amount of selected collateralised financial liabilities of the reporting institution insofar as those liabilities entail asset encumbrance for that institution |
| 0020 | Derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, that is, with a negative fair value, insofar as those derivatives entail asset encumbrance for that institution |
| 0030 | of which: over-the-counter Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities which are traded over-the-counter, insofar as those derivatives entail asset encumbrance. |
| 0040 | Deposits Carrying amount of the collateralised deposits of the reporting institution insofar as those deposits entail asset encumbrance for that institution. |
| 0050 | Repurchase agreements Gross carrying amount (without any netting allowed in the accounting framework) of the repurchase agreements of the reporting institution insofar as those transactions entail asset encumbrance for that institution. Repurchase agreements (repos) shall be the transactions in which the reporting institution receives cash in exchange for financial assets sold at a given price under a commitment to repurchase the same (or identical) assets at a fixed price on a specified future date. The following variants of repo-type operations are all required to be reported as repurchase agreements: (a) amounts received in exchange for securities temporarily transferred to a third party in the form of securities lending against cash collateral; and (b) amounts received in exchange for securities temporarily transferred to a third party in the form of a sale/buy-back agreement. |
| 0060 | of which: central banks Carrying amount of the repurchase agreements of the reporting institution with central banks insofar as those transactions entail asset encumbrance. |
| 0070 | Collateralised deposits other than repurchase agreements Carrying amount of the of the collateralised deposits other than repurchase agreements of the reporting institution insofar as those deposits entail asset encumbrance for that institution. |
| 0080 | of which: central banks Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution with central banks insofar as those deposits entail asset encumbrance for that institution. |
| 0090 | Debt securities issued Carrying amount of the debt securities issued by the reporting institution insofar as those securities issued entail asset encumbrance for that institution. The retained part of any issuance shall follow the specific treatment set out in Part A, point 15, point (vi), so that only the percentage of debt securities placed outside the entities of the group are to be included under this category. |
| 0100 | of which: covered bonds issued Carrying amount of covered bonds the assets of which are originated by the reporting institution insofar as those securities issued entail asset encumbrance for that institution. |
| 0110 | of which: securitisations issued Carrying amount of the securitisations issued by the reporting institution insofar as those securities issued entail asset encumbrance for that institution. |
| 0120 | Other sources of encumbrance Amount of collateralised transactions of the reporting institution other than financial liabilities, insofar as those transactions entail asset encumbrance for that institution. |
| 0130 | Nominal of loan commitments received Nominal amount of the loan commitments received by the reporting institution, insofar as those commitments received entail asset encumbrance for that institution. |
| 0140 | Nominal of financial guarantees received Nominal amount of the financial guarantees received by the reporting institution, insofar as those guarantees received entail asset encumbrance for that institution. |
| 0150 | Fair value of securities borrowed with non-cash collateral Fair value of the securities borrowed by the reporting institution without cash collateral, insofar as those transactions entail asset encumbrance for that institution. |
| 0160 | Other Amount of collateralised transactions of the reporting institution other than financial liabilities, not covered by the items listed in rows 0130 to 0150, insofar as those transactions entail asset encumbrance for that institution. |
| 0170 | TOTAL SOURCES OF ENCUMBRANCE Amount of all collateralised transactions of the reporting institution insofar as those transactions entail asset encumbrance for that institution. |
2.4.3. Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 0010 | Matching liabilities, contingent liabilities or securities lent Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as those transactions entail asset encumbrance for that institution. Financial liabilities shall be reported at their carrying amount; contingent liabilities shall be reported at their nominal value; and securities lent with non-cash collateral shall be reported at their fair value. |
| 0020 | of which: from other entities of the group Amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non-cash collateral, insofar as the counterparty is any other entity within the prudential scope of consolidation and the transaction entail for the reporting institution asset encumbrance. For rules applying to amount types, see instructions for column 0010. |
| 0030 | Assets, collateral received and own securities issued other than covered bonds and securitisations encumbered Amount of the assets, collateral received and own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows. To ensure consistency with the criteria in the templates AE-ASS and AE-COL, assets of the reporting institution registered in the balance sheet shall be reported at their carrying amount, re-used collateral received and encumbered own securities issued other than covered bonds and securitisations shall be reported at their fair value. |
| 0040 | of which: collateral received re-used Fair value of the collateral received that are re-used/encumbered as a result of the different type of transactions specified in the rows. |
| 050 | Of which: own debt securities encumbered Fair value of the own securities issued other than covered bonds and securitisations that are encumbered as a result of the different type of transactions specified in the rows. |
3. PART B: MATURITY DATA
3.1. General remarks
| 21. | The template included in Part B shows a general overview of the amount of encumbered assets and collateral received re-used that fall under the defined intervals of the matching liabilities’ residual maturity. |
3.2. Template: AE-MAT. Maturity data
3.2.1. Instructions concerning specific rows
| Rows | Legal references and instructions |
|---|---|
| 0010 | Encumbered assets For the purposes of this template, encumbered assets shall include all of the following: (a) the assets of the reporting institution (see instruction for row 0010 of the AE-ASS template), which shall be reported at their carrying amount; (b) own debt securities issued other than covered bonds or securitisations (see instruction for row 240 of the AE-COL template), which shall be reported at fair value. Those amounts shall be distributed among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (matching liability, contingent liability or securities lending transaction). |
| 0020 | Collateral received re-used (receiving leg) See instructions for row 130 of the AE-COL template and column 0040 of the AE-SOU template. Institutions shall report the amounts at fair value and distribute among the set of residual maturity buckets specified in the columns according to the residual maturity of the transaction that generated for the entity the reception of the collateral that is being re-used (receiving leg). |
| 0030 | Collateral received re-used (re-using leg) See instructions for row 130 of the AE-COL template and column 0040 of the AE-SOU template. Institutions shall report the amounts at fair value and distribute among the set of residual maturity buckets specified in the columns according to the residual maturity of the source of its encumbrance (re-using leg): matching liability, contingent liability or securities lending transaction. |
3.2.2. Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 0010 | Open maturity On demand, without a specific maturity date |
| 0020 | Overnight Due date earlier or equal to 1 day |
| 0030 | > 1 day <=1wk Due date later than 1 day and earlier than or equal to 1 week |
| 0040 | > 1 wk <=2wks Due date later than 1 week and earlier than or equal to 2 weeks |
| 0050 | > 2wks <=1mth Due date later than 2 weeks and earlier than or equal to 1 month |
| 0060 | > 1mth <=3mths Due date later than 1 month and earlier than or equal to 3 months |
| 0070 | > 3mths <=6mths Due date later than 3 months and earlier than or equal to 6 months |
| 0080 | > 6mths <=1yr Due date later than 6 months and earlier than or equal to 1 year |
| 0090 | > 1yr <=2yrs Due date later than 1 year and earlier than or equal to 2 years |
| 0100 | > 2yrs <=3yrs Due date later than 2 years and earlier than or equal to 3 years |
| 0110 | > 3yrs <=5yrs Due date later than 3 years and earlier than or equal to 5 years |
| 0120 | > 5yrs <=10yrs Due date later than 5 years and earlier than or equal to 10 years |
| 0130 | > 10yrs Due date later than 10 years |
4. PART C: CONTINGENT ENCUMBRANCE
4.1. General remarks
| 22. | Institutions shall present in this template the level of asset encumbrance that results in a number of stressed scenarios. | |
| --- | --- | --- |
| 23. | Contingent encumbrance refers to the additional assets which may need to be encumbered when the reporting institutions faces adverse developments triggered by an external event over which the reporting institution has no control (including a downgrade, decrease of the fair value of the encumbered assets or a general loss of confidence). In those cases, the reporting institution will need to encumber additional assets as a consequence of already existing transactions. The additional amount of encumbered assets shall be net of the impact of the institution’s hedge transactions against the events described under the aforementioned stressed scenarios. | |
| --- | --- | --- |
| 24. | This template includes the following two scenarios for reporting contingent encumbrance which are set out in more detail in sections 4.1.1. and 4.1.2. The information reported shall be the institution’s reasonable estimate based on the best available information. (a) Decrease of the fair value of the encumbered assets by 30 %. This scenario only covers a change in the underlying fair value of the assets, and not any other change which may affect its carrying amount such as foreign exchange gains or losses or potential impairment. The reporting institution may then be forced to post more collateral in order to keep the value of the collateral constant. (b) A 10 % depreciation in each currency in which the institution has aggregate liabilities amounting to or exceeding 5 % of the institution’s total liabilities. | |
| --- | --- | --- |
| 25. | The scenarios shall be reported independently of each other, and significant currency depreciations shall also be reported independently of depreciations of other significant currencies. Consequently, institutions shall not take correlations between the scenarios into account. |
4.1.1. Scenario A: Decrease of 30 % of encumbered assets
| 26. | It shall be assumed that all encumbered assets decrease 30 % in value. The need of additional collateral arising from such a decrease shall take into account existing levels of over-collateralisation, such that only the minimum collateralisation level is maintained. The need of additional collateral shall also take into account the contractual requirements of the contracts and agreements impacted, including threshold triggers. | |
| --- | --- | --- |
| 27. | Only contracts and agreements, where there is a legal obligation to supply additional collateral shall be included. This shall include covered bond issues where there is a legal requirement to uphold minimum levels of over collateralisation but no requirement to maintain existing rating levels on the covered bond. |
4.1.2. Scenario B: Depreciation of 10 % in significant currencies
| 28. | A currency shall be a significant currency if the reporting institution has aggregate liabilities in that currency amounting to or exceeding 5 % of the institution’s total liabilities. | |
| --- | --- | --- |
| 29. | The calculation of a 10 % depreciation shall take into account both changes on the asset and liability side, i.e. focus the asset-liability mismatches. For instance a repo transactions in USD based on USD assets does not cause additional encumbrance, whereas a repo transaction in USD based on a EUR asset causes additional encumbrance. | |
| --- | --- | --- |
| 30. | All transactions which have a cross-currency element shall be covered by this calculation. |
4.2. Template: AE-CONT. Contingent encumbrance
4.2.1. Instructions concerning specific rows
| 31. | See instructions concerning specific rows of the AE-SOU template in section 2.4.2. The content of the rows in AE-CONT template does not differ from the AE-SOU template. |
4.2.2. Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 0010 | Matching liabilities, contingent liabilities or securities lent Same instructions and data as for column 0010 of the AE-SOU template; amount of the matching financial liabilities, contingent liabilities (loan commitments received and financial guarantees received) and of the securities lent with non–cash collateral, insofar as those transactions entail asset encumbrance for that institution As referred for each row in the template, institutions shall report financial liabilities at their carrying amount, contingent liabilities at their nominal and securities lent with non-cash collateral at their fair value. |
| 0020 | A. Additional amount of encumbered assets Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of occurrence of scenario A. Following the instructions laid down in Part A, institutions shall report those amounts at their carrying amount if the amount is related to assets of the reporting institution or at their fair value if related to collateral received. Amounts exceeding the non-encumbered assets and collateral of the institution shall be reported at fair value. |
| 0030 | B. Additional amount of encumbered assets. Significant currency 1 Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 1 in scenario B. See rules for amount types in row 0020. |
| 0040 | C. Additional amount of encumbered assets. Significant currency 2 Additional amount of assets that would become encumbered due to a legal, regulatory or contractual provision that could be triggered in the event of a depreciation of significant currency number 2 in scenario B. See rules for amount types in row 0020. |
5. PART D: COVERED BONDS
5.1. General remarks
| 32. | The information in this template shall be reported for all UCITS-compliant covered bonds issued by the reporting institution. UCITS-compliant covered bonds are the bonds referred to in Article 52(4), first subparagraph, of Directive 2009/65/EC. Those are covered bonds issued by the reporting institution if the reporting institution is in relation to the covered bond subject by the applicable law to special public supervision designed to protect bond-holders and if for such covered bond it is required that sums deriving from the issue of those bonds shall be invested in accordance with the law in assets which, during the whole period of validity of the bonds, are capable of covering claims attaching to the bonds and which, in the event of failure of the issuer, would be used on a priority basis for the reimbursement of the principal and payment of the accrued interest. | |
| --- | --- | --- |
| 33. | Covered bonds issued by or on behalf of the reporting institution that are not UCITS-compliant covered bonds shall not be reported within the AE-CB templates. | |
| --- | --- | --- |
| 34. | The reporting shall be based on the statutory covered bond regime, i.e. the legal framework which applies the to the covered bond programme. |
5.2. Template: AE-CB. Covered bonds issuance
5.2.1. Instructions concerning z-axis
| z-axis | Legal references and instructions |
|---|---|
| 0010 | Cover pool identifier (open) The cover pool identifier shall consist of the name or unambiguous abbreviation of the cover pool issuing entity and the designation of the cover pool that individually is subject to the relevant covered bond protective measures. |
5.2.2. Instructions concerning specific rows
| Rows | Legal references and instructions |
|---|---|
| 0010 | Nominal amount Nominal amount shall be the sum of claims to payment of principal, determined in accordance with the respective statutory covered bond regime’s rules that apply for determining sufficient coverage. |
| 0020 | Present value (swap)/Market value Present value (swap) shall be the sum of claims to payment of principal and interest, as discounted by a foreign exchange-specific risk-free yield curve, determined in accordance with the relevant statutory covered bond regime’s rules that apply for determining sufficient coverage. For columns 0080 and 0210 referring to cover pool derivative positions, the market value shall be reported. |
| 0030 | Asset-specific value The asset-specific value shall be the economic value of the cover pool assets, as may be described by a fair value in accordance with IFRS 13, a market value observable from executed transactions in liquid markets, or a present value that would discount future cash flows of an asset by an asset-specific interest rate curve. |
| 0040 | Carrying amount Carrying amount of a covered bond liability or a cover pool asset shall be the accounting value at the covered bond issuer. |
5.2.3. Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 0010 | Compliance with Article 129 of Regulation (EU) No 575/2013? [YES/NO] Institutions shall specify whether the cover pool meets the requirements set out in Article 129 of Regulation (EU) No 575/2013 in order to be eligible for the preferential treatment set out in Article 129(4) and (5) of that Regulation. |
| 0012 | If YES, indicate primary asset class of the cover pool If the cover pool is eligible for the preferential treatment set out in Article 129(4) and (5) of Regulation (EU) No 575/2013 (answer YES in column 0011), the primary asset class of the cover pool shall be indicated in this cell. The classification in Article 129(1) of that Regulation shall be used for that purpose and codes “a”, “b”, “c”, “d”, “e”, “f” and “g” shall be indicated accordingly. Code “h” will be applied when the primary asset class of the cover pool does not fall under any of the previous categories. |
| 0020-0140 | Covered bond liabilities Covered bond liabilities shall be the liabilities of the issuing entity incurred by issuing covered bonds and extends to all positions as defined by the respective statutory covered bond regime that are subject to the relevant covered bond protective measures (this may, for instance, include securities in circulation as well as the position of counterparts of the covered bond issuer in derivative positions with, from the perspective of the covered bond issuer, a negative market value attributed to the cover pool and treated as covered bond liabilities in accordance with the relevant statutory covered bond regime). |
| 0020 | Reporting date Amounts of covered bond liabilities, excluding cover pool derivative positions, according to the different future date ranges. |
| 0030 | + 6 months The date “+ 6 months” shall be the point in time 6 months after the reporting reference date. Amounts shall be provided assuming no change in covered bond liabilities compared to the reporting reference date except for amortisation. In the absence of a fixed payment schedule, for amounts outstanding at future dates the expected maturity shall be used in a consistent manner. |
| 0040-0070 | + 12 months – + 10 years As for “+ 6 months” (column 0030) for the respective point in time from the reporting reference date |
| 0080 | Cover pool derivative positions with net negative market value Net negative market value of cover pool derivative positions which from the perspective of the covered bond issuer have a net negative market value The cover pool derivative positions shall be such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a negative market value require coverage by eligible cover pool assets. The net negative market value shall be reported for the reporting reference date only. |
| 0090-0140 | External credit rating on covered bond Institutions shall provide information on external credit ratings on the respective covered bond, as existing on the reporting date. |
| 0090 | Credit rating agency 1 If a credit rating of at least one credit rating agency exists as of the reporting date, institutions shall provide the name of one of those credit rating agencies. If credit ratings by more than three credit rating agencies exist as of the reporting date, the three credit rating agencies to whom information is provided shall be selected based on their respective market prevalence. |
| 0100 | Credit rating 1 The credit rating issued by the credit rating agency reported in column 0090 on the covered bond as of the reporting reference date If long- and short-term credit ratings by the same credit rating agency exist, the long-term credit rating shall be reported. The credit rating to be reported shall include any modifiers. |
| 0110, 130 | Credit rating agency 2 and credit rating agency 3 As for credit rating agency 1 (column 0090) for further credit rating agencies that have issued credit ratings on the covered bond as of the reporting reference date |
| 0120, 0140 | Credit rating 2 and credit rating 3 As for credit rating 1 (column 0100) for further credit ratings issued by credit rating agencies 2 and 3 on the covered bond existing as of the reporting reference date |
| 0150-0250 | Cover pool The cover pool shall consist of all positions, including cover pool derivative positions, from the perspective of the covered bond issuer, with a net positive market value, that are subject to the respective covered bond protective measures. |
| 0150 | Reporting date Amounts of assets in the cover pool, excluding cover pool derivative positions This amount shall include minimum over-collateralisation requirements plus any additional over-collateralisation in excess of the minimum, to the extent subject to the respective covered bond protective measures. |
| 0160 | + 6 months The reporting date “+ 6 months” shall be the point in time 6 months after the reporting reference date. Institutions shall report the amounts assuming no change in cover pool compared to the reporting date except for amortisation. In the absence of a fixed payment schedule, for amounts outstanding at future dates expected maturity shall be used in a consistent manner. |
| 0170-0200 | + 12 months – + 10 years As for “+ 6 months” (column 0160) for the respective point in time from the reporting reference date |
| 0210 | Cover pool derivative positions with net positive market value The net positive market value of cover pool derivative positions which, from the perspective of the covered bond issuer, have a net positive market value The cover pool derivative positions shall be such net derivative positions that in accordance with the relevant statutory covered bond regime have been included in the cover pool and are subject to the respective covered bond protective measures in that such derivative positions with a positive market value would not form part of the covered bond issuer’s general insolvency estate. The net positive market value shall be reported for the reporting date only. |
| 0220-0250 | Cover pool amounts in excess of minimum coverage requirements Amounts of cover pool, including cover pool derivative positions with net positive market values, in excess of requirements of minimum coverage (over-collateralisation) |
| 0220 | As per the relevant statutory covered bond regime Amounts of over-collateralisation compared with the minimum coverage required by the relevant statutory covered bond regime |
| 0230-0250 | As per credit rating agencies’ methodology to maintain current external credit rating on covered bond Amounts of over-collateralisation compared with the level that, according to information on the respective credit rating agency’s methodology available to the covered bond issuer, would at a minimum be required to support the existing credit rating issued by the respective credit rating agency |
| 0230 | Credit rating agency 1 Amounts of over-collateralisation compared with the level that, according to information on the methodology of credit rating agency 1 (column 0090) available to the covered bond issuer, would at a minimum be required to support credit rating 1 (column 0100). |
| 0240-0250 | Credit rating agency 2 and credit rating agency 3 The instructions for credit rating agency 1 (column 0230) shall also apply to credit rating agency 2 (column 0110) and credit rating agency 3 (column 0130). |
6. PART E: ADVANCED DATA
6.1. General remarks
| 35. | Part E follows the same structure as in the encumbrance overview templates in Part A with different templates for the encumbrance of the assets of the reporting institution and for the collateral received: AE-ADV1 and AE-ADV2 respectively. Consequently, matching liabilities correspond to the liabilities that are secured by the encumbered assets and no one-to-one relation has to exist. |
6.2. Template: AE-ADV1. Advanced template for assets of the reporting institution
6.2.1. Instructions concerning specific rows
| Rows | Legal references and instructions |
|---|---|
| 0010-0020 | Central bank funding (of all types, including repos) All types of liabilities of the reporting institution in which the counterparty of the transaction is a central bank. Assets that have been pre-positioned with central banks shall not be treated as encumbered assets unless the central bank does not allow withdrawal of any asset placed without prior approval. For unused financial guarantees, the unused part, i.e., the amount above the minimum required by the central bank, shall be allocated on a pro-rata basis among the assets placed at the central bank. |
| 0030-0040 | Exchanged traded derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as those derivatives are listed or traded on a recognised or designated investment exchange and they entail asset encumbrance for that institution. |
| 0050-0060 | Over-the counter derivatives Carrying amount of the collateralised derivatives of the reporting institution that are financial liabilities, insofar as those derivatives are traded over-the-counter and they entail asset encumbrance for that institution; same instruction in row 030 of the AE-SOU template. |
| 0070-0080 | Repurchase agreements Carrying amount of the repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as those transactions entail asset encumbrance for that institution. For tri-party repurchase agreements, the same treatment shall be followed as for the repurchase agreements insofar as those transactions entail asset encumbrance for the reporting institution. |
| 0090-0100 | Collateralised deposits other than repurchase agreements Carrying amount of the collateralised deposits other than repurchase agreements of the reporting institution in which the counterparty of the transaction is not a central bank, insofar as those deposits entail asset encumbrance for that institution. |
| 0110-0120 | Covered bonds securities issued See instructions in row 0100 of the AE-SOU template. |
| 0130-0140 | Securitisations issued See instructions in row 0110 of the AE-SOU template. |
| 0150-0160 | Debt securities issued other than covered bonds and securitisations Carrying amount of the debt securities issued by the reporting institution other than covered bonds and securitisations insofar as those securities issued entail asset encumbrance for that institution In the event that the reporting institution had retained some of the debt securities issued, either from the issuance date or thereafter as a result of a repurchase, those retained securities shall not be included under this item. Additionally, the collateral assigned to them shall be classified as non-encumbered for the purposes of this template. |
| 0170-0180 | Other sources of encumbrance See instructions in row 0120 of the AE-SOU template. |
| 0190 | Total encumbered assets For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are encumbered |
| 0200 | of which: central bank eligible For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are encumbered and 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. |
| 0210 | Total non-encumbered assets For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution that are non-encumbered. The carrying amount shall mean the amount reported in the asset side of the balance sheet. |
| 0220 | of which: central bank eligible For each type of asset specified in the rows of the AE-ADV1 template, carrying amount of the assets held by the reporting institution that are non-encumbered and 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. |
| 0230 | Encumbered + non-encumbered assets For each type of asset specified in the rows of the AE-ADV1 template, the carrying amount of the assets held by the reporting institution. |
6.2.2. Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 0010 | Loans on demand See instructions for row 0020 of the AE-ASS template. |
| 0020 | Equity instruments See instructions for row 0030 of the AE-ASS template. |
| 0030 | Total See instructions for row 0040 of the AE-ASS template. |
| 0040 | of which: covered bonds See description instructions for row 0050 of the AE-ASS template. |
| 0050 | of which: issued by other entities of the group Covered bonds as described in the instructions for row 0050 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation |
| 0060 | of which: securitisations See instructions for row 0060 of the AE-ASS template. |
| 0070 | of which: issued by other entities of the group Securitisations as described in the instructions for row 0060 of the AE-ASS template that are issued by any entity within the prudential scope of consolidation. |
| 0080 | of which: issued by general governments See instructions for row 0070 of the AE-ASS template. |
| 0090 | of which: issued by financial corporations See instructions for row 0080 of the AE-ASS template. |
| 0100 | of which: issued by non-financial corporations See instructions for row 0090 of the AE-ASS template. |
| 0110 | Central banks and general governments Loans and advances other than loans on demand to a central bank or a general government |
| 0120 | Financial corporations Loans and advances other than loans on demand to financial corporations |
| 0130 | Non-financial corporations Loans and advances other than loans on demand to non-financial corporations |
| 0140 | of which: Loans collateralised with immovable property Loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to non-financial corporations |
| 0150 | Households Loans and advances other than loans on demand given to households |
| 0160 | of which: Loans collateralised with immovable property Loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to households |
| 0170 | Other assets See instruction for row 120 of the AE-ASS template. |
| 0180 | Total See instruction for row 010 of the AE-ASS template. |
6.3. Template: AE-ADV2. Advanced template for collateral received by the reporting institution
6.3.1. Instructions concerning specific rows
| 36. | See section 6.2.1 as instructions are similar for both templates. |
6.3.2. Instructions concerning specific columns
| Columns | Legal references and instructions |
|---|---|
| 0010 | Loans on demand See instructions for row 0140 of the AE-COL template. |
| 0020 | Equity instruments See instructions for row 0150 of the AE-COL template. |
| 0030 | Total See instructions for row 0160 of the AE-COL template. |
| 0040 | of which: covered bonds See instructions in row 0170 of the AE-COL template. |
| 0050 | of which: issued by other entities of the group Collateral received by the reporting institution that are covered bonds issued by any entity within the prudential scope of consolidation |
| 0060 | of which: securitisations See instructions for row 0180 of the AE-COL template. |
| 0070 | of which: issued by other entities of the group Collateral received by the reporting institution that are securitisations issued by any entity within the prudential scope of consolidation |
| 0080 | of which: issued by general governments See instructions for row 0190 of the AE-COL template. |
| 0090 | of which: issued by financial corporations See instructions for row 0200 of the AE-COL template. |
| 0100 | of which: issued by non-financial corporations See instructions for row 0210 of the AE-COL template. |
| 0110 | Central banks and general governments Collateral received by the reporting institution that are loans and advances other than loans on demand to a central bank or a general government |
| 0120 | Financial corporations Collateral received by the reporting institution that are loans and advances other than loans on demand to financial corporations |
| 0130 | Non-financial corporations Collateral received by the reporting institution that are loans and advances other than loans on demand to non-financial corporations |
| 0140 | of which: Loans collateralised with immovable property Collateral received by the reporting institution that are loans and advances collateralised with immovable property given to non-financial corporations, excluding loans on demand |
| 0150 | Households Collateral received by the reporting institution that are loans and advances other than loans on demand given to households |
| 0160 | of which: Loans collateralised with immovable property Collateral received by the reporting institution that are loans and advances other than loans on demand guaranteed with a loan collateralised with immovable property given to households |
| 0170 | Other assets See instructions for row 0230 of the AE-COL template. |
| 0180 | Own debt securities issued other than own covered bonds or securitisations See instructions for row 0240 of the AE-COL template. |
| 0190 | Total See instructions for rows 0130 and 0140 of the AE-COL template.’ |
22
Regulation (EU) 2021/379 of the European Central Bank of 22 January 2021 on the balance sheet items of credit institutions and of the monetary financial institutions sector (recast) (ECB/2021/2) (OJ L 73, 3.3.2021, p. 16–85)
ANNEX V
‘ANNEX XVIII
AMM TEMPLATES AMM TEMPLATES AMM TEMPLATES Template number Template code Name of the template /group of templates ADDITIONAL MONITORING TOOLS TEMPLATES 67 C 67.00 CONCENTRATION OF FUNDING BY COUNTERPARTY 68 C 68.00 CONCENTRATION OF FUNDING BY PRODUCT TYPE 69 C 69.00 PRICES FOR VARIOUS LENGTHS OF FUNDING 70 C 70.00 ROLL-OVER OF FUNDING
C 67.00 - CONCENTRATION OF FUNDING BY COUNTERPARTY
Total and significant currencies
| Concentration of funding by counterparty | Concentration of funding by counterparty | Concentration of funding by counterparty | Concentration of funding by counterparty | Concentration of funding by counterparty | Concentration of funding by counterparty | Concentration of funding by counterparty | Concentration of funding by counterparty | Concentration of funding by counterparty | Concentration of funding by counterparty | Concentration of funding by counterparty | Concentration of funding by counterparty |
| Counterparty Name | Code | Type of code | National code | Counterparty Sector | Residence of Counterparty | Product Type | Amount Received | Weighted average original maturity | Weighted average residual maturity | ||
| Row | ID | 0010 | 0015 | 0016 | 0017 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 |
| 0010 | 1. TOP TEN COUNTERPARTIES EACH GREATER THAN 1 % OF TOTAL LIABILITIES | ||||||||||
| 0020 | 1.01 | ||||||||||
| 0030 | 1.02 | ||||||||||
| 0040 | 1.03 | ||||||||||
| 0050 | 1.04 | ||||||||||
| 0060 | 1.05 | ||||||||||
| 0070 | 1.06 | ||||||||||
| 0080 | 1.07 | ||||||||||
| 0090 | 1.08 | ||||||||||
| 0100 | 1.09 | ||||||||||
| 0110 | 1.10 | ||||||||||
| 0120 | 2. ALL OTHER FUNDING |
C 68.00 - CONCENTRATION OF FUNDING BY PRODUCT TYPE
Total and significant currencies
| Concentration of funding by product type | Concentration of funding by product type | Concentration of funding by product type | Concentration of funding by product type | Concentration of funding by product type | Concentration of funding by product type | Concentration of funding by product type | Concentration of funding by product type |
| Row | ID | Product Name | Carrying amount received | Amount covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country | Amount not covered by a Deposit Guarantee Scheme in accordance with Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country | Weighted average original maturity | Weighted average residual maturity |
| 0010 | 0020 | 0030 | 0040 | 0050 | |||
| 0010 | 1 | RETAIL FUNDING | |||||
| 0020 | 1.1 | of which sight deposits | |||||
| 0031 | 1.2 | of which term deposits not withdrawable within the following 30 days | |||||
| 0041 | 1.3 | of which term deposits withdrawable within the following 30 days | |||||
| 0070 | 1.4 | Savings accounts | |||||
| 0080 | 1.4.1 | with a notice period for withdrawal greater than 30 days | |||||
| 0090 | 1.4.2 | without a notice period for withdrawal greater than 30 days | |||||
| 0100 | 2 | WHOLESALE FUNDING | |||||
| 0110 | 2.1 | Unsecured wholesale funding | |||||
| 0120 | 2.1.1 | of which loans and deposits from financial customers | |||||
| 0130 | 2.1.2 | of which loans and deposits from non financial customers | |||||
| 0140 | 2.1.3 | of which loans and deposits from intra-group entities | |||||
| 0150 | 2.2 | Secured wholesale funding | |||||
| 0160 | 2.2.1 | of which SFTs | |||||
| 0170 | 2.2.2 | of which covered bond issuance | |||||
| 0180 | 2.2.3 | of which asset backed security issuance | |||||
| 0190 | 2.2.4 | of which financial liabilities other than derivatives and short positions from intra-group entities |
C 69.00 - PRICES FOR VARIOUS LENGTHS OF FUNDING
Total and significant currencies
| Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | Prices for various lengths of funding | |||
| Overnight | Overnight | 1 week | 1 week | 1 month | 1 month | 3 months | 3 months | 6 months | 6 months | 1 year | 1 year | 2 years | 2 years | 5 years | 5 years | 10 years | 10 years | |||
| Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | Spread | Volume | |||
| Row | ID | Item | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 |
| 0010 | 1 | Total Funding | ||||||||||||||||||
| 0020 | 1.1 | Retail funding | ||||||||||||||||||
| 0030 | 1.2 | Unsecured wholesale funding | ||||||||||||||||||
| 0035 | 1.2.1 | of which: Senior unsecured securities | ||||||||||||||||||
| 0045 | 1.3 | Secured funding (non-Central Bank) | ||||||||||||||||||
| 0065 | 1.3.1 | of which: Covered bonds | ||||||||||||||||||
| 0075 | 1.3.2 | of which: Asset backed securities including ABCP | ||||||||||||||||||
| 0080 | 1.4 | Other funding |
C 70.00 - ROLL-OVER OF FUNDING
Total and significant currencies
| Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | Roll-over of funding | ||||
| Overnight | Overnight | Overnight | Overnight | > 1 day ≤ 7 days | > 1 day ≤ 7 days | > 1 day ≤ 7 days | > 1 day ≤ 7 days | > 7 days ≤ 14 days | > 7 days ≤ 14 days | > 7 days ≤ 14 days | > 7 days ≤ 14 days | > 14 days ≤ 1 month | > 14 days ≤ 1 month | > 14 days ≤ 1 month | > 14 days ≤ 1 month | > 1 Month ≤ 3 Months | > 1 Month ≤ 3 Months | > 1 Month ≤ 3 Months | > 1 Month ≤ 3 Months | > 3 Months ≤ 6 Months | > 3 Months ≤ 6 Months | > 3 Months ≤ 6 Months | > 3 Months ≤ 6 Months | > 6 Months | > 6 Months | > 6 Months | > 6 Months | Total net cashflows | Average Term (days) | Average Term (days) | Average Term (days) | ||||
| Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Maturing | Roll over | New Funds | Net | Total net cashflows | Maturing Funds Term | Roll-over Funds Term | New Funds Term | ||||
| Row | ID | Day | Item | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 | 0200 | 0210 | 0220 | 0230 | 0240 | 0250 | 0260 | 0270 | 0280 | 0290 | 0300 | 0310 | 0320 |
| 0010 | 1.1 | 1 | Total funding | ||||||||||||||||||||||||||||||||
| 0020 | 1.1.1 | 1 | Retail funding | ||||||||||||||||||||||||||||||||
| 0030 | 1.1.2 | 1 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0040 | 1.1.3 | 1 | Secured funding | ||||||||||||||||||||||||||||||||
| 0050 | 1.2 | 2 | Total funding | ||||||||||||||||||||||||||||||||
| 0060 | 1.2.1 | 2 | Retail funding | ||||||||||||||||||||||||||||||||
| 0070 | 1.2.2 | 2 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0080 | 1.2.3 | 2 | Secured funding | ||||||||||||||||||||||||||||||||
| 0090 | 1.3 | 3 | Total funding | ||||||||||||||||||||||||||||||||
| 0100 | 1.3.1 | 3 | Retail funding | ||||||||||||||||||||||||||||||||
| 0110 | 1.3.2 | 3 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0120 | 1.3.3 | 3 | Secured funding | ||||||||||||||||||||||||||||||||
| 0130 | 1.4 | 4 | Total funding | ||||||||||||||||||||||||||||||||
| 0140 | 1.4.1 | 4 | Retail funding | ||||||||||||||||||||||||||||||||
| 0150 | 1.4.2 | 4 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0160 | 1.4.3 | 4 | Secured funding | ||||||||||||||||||||||||||||||||
| 0170 | 1.5 | 5 | Total funding | ||||||||||||||||||||||||||||||||
| 0180 | 1.5.1 | 5 | Retail funding | ||||||||||||||||||||||||||||||||
| 0190 | 1.5.2 | 5 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0200 | 1.5.3 | 5 | Secured funding | ||||||||||||||||||||||||||||||||
| 0210 | 1.6 | 6 | Total funding | ||||||||||||||||||||||||||||||||
| 0220 | 1.6.1 | 6 | Retail funding | ||||||||||||||||||||||||||||||||
| 0230 | 1.6.2 | 6 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0240 | 1.6.3 | 6 | Secured funding | ||||||||||||||||||||||||||||||||
| 0250 | 1.7 | 7 | Total funding | ||||||||||||||||||||||||||||||||
| 0260 | 1.7.1 | 7 | Retail funding | ||||||||||||||||||||||||||||||||
| 0270 | 1.7.2 | 7 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0280 | 1.7.3 | 7 | Secured funding | ||||||||||||||||||||||||||||||||
| 0290 | 1.8 | 8 | Total funding | ||||||||||||||||||||||||||||||||
| 0300 | 1.8.1 | 8 | Retail funding | ||||||||||||||||||||||||||||||||
| 0310 | 1.8.2 | 8 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0320 | 1.8.3 | 8 | Secured funding | ||||||||||||||||||||||||||||||||
| 0330 | 1.9 | 9 | Total funding | ||||||||||||||||||||||||||||||||
| 0340 | 1.9.1 | 9 | Retail funding | ||||||||||||||||||||||||||||||||
| 0350 | 1.9.2 | 9 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0360 | 1.9.3 | 9 | Secured funding | ||||||||||||||||||||||||||||||||
| 0370 | 1.10 | 10 | Total funding | ||||||||||||||||||||||||||||||||
| 0380 | 1.10.1 | 10 | Retail funding | ||||||||||||||||||||||||||||||||
| 0390 | 1.10.2 | 10 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0400 | 1.10.3 | 10 | Secured funding | ||||||||||||||||||||||||||||||||
| 0410 | 1.11 | 11 | Total funding | ||||||||||||||||||||||||||||||||
| 0420 | 1.11.1 | 11 | Retail funding | ||||||||||||||||||||||||||||||||
| 0430 | 1.11.2 | 11 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0440 | 1.11.3 | 11 | Secured funding | ||||||||||||||||||||||||||||||||
| 0450 | 1.12 | 12 | Total funding | ||||||||||||||||||||||||||||||||
| 0460 | 1.12.1 | 12 | Retail funding | ||||||||||||||||||||||||||||||||
| 0470 | 1.12.2 | 12 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0480 | 1.12.3 | 12 | Secured funding | ||||||||||||||||||||||||||||||||
| 0490 | 1.13 | 13 | Total funding | ||||||||||||||||||||||||||||||||
| 0500 | 1.13.1 | 13 | Retail funding | ||||||||||||||||||||||||||||||||
| 0510 | 1.13.2 | 13 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0520 | 1.13.3 | 13 | Secured funding | ||||||||||||||||||||||||||||||||
| 0530 | 1.14 | 14 | Total funding | ||||||||||||||||||||||||||||||||
| 0540 | 1.14.1 | 14 | Retail funding | ||||||||||||||||||||||||||||||||
| 0550 | 1.14.2 | 14 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0560 | 1.14.3 | 14 | Secured funding | ||||||||||||||||||||||||||||||||
| 0570 | 1.15 | 15 | Total funding | ||||||||||||||||||||||||||||||||
| 0580 | 1.15.1 | 15 | Retail funding | ||||||||||||||||||||||||||||||||
| 0590 | 1.15.2 | 15 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0600 | 1.15.3 | 15 | Secured funding | ||||||||||||||||||||||||||||||||
| 0610 | 1.16 | 16 | Total funding | ||||||||||||||||||||||||||||||||
| 0620 | 1.16.1 | 16 | Retail funding | ||||||||||||||||||||||||||||||||
| 0630 | 1.16.2 | 16 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0640 | 1.16.3 | 16 | Secured funding | ||||||||||||||||||||||||||||||||
| 0650 | 1.17 | 17 | Total funding | ||||||||||||||||||||||||||||||||
| 0660 | 1.17.1 | 17 | Retail funding | ||||||||||||||||||||||||||||||||
| 0670 | 1.17.2 | 17 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0680 | 1.17.3 | 17 | Secured funding | ||||||||||||||||||||||||||||||||
| 0690 | 1.18 | 18 | Total funding | ||||||||||||||||||||||||||||||||
| 0700 | 1.18.1 | 18 | Retail funding | ||||||||||||||||||||||||||||||||
| 0710 | 1.18.2 | 18 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0720 | 1.18.3 | 18 | Secured funding | ||||||||||||||||||||||||||||||||
| 0730 | 1.19 | 19 | Total funding | ||||||||||||||||||||||||||||||||
| 0740 | 1.19.1 | 19 | Retail funding | ||||||||||||||||||||||||||||||||
| 0750 | 1.19.2 | 19 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0760 | 1.19.3 | 19 | Secured funding | ||||||||||||||||||||||||||||||||
| 0770 | 1.20 | 20 | Total funding | ||||||||||||||||||||||||||||||||
| 0780 | 1.20.1 | 20 | Retail funding | ||||||||||||||||||||||||||||||||
| 0790 | 1.20.2 | 20 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0800 | 1.20.3 | 20 | Secured funding | ||||||||||||||||||||||||||||||||
| 0810 | 1.21 | 21 | Total funding | ||||||||||||||||||||||||||||||||
| 0820 | 1.21.1 | 21 | Retail funding | ||||||||||||||||||||||||||||||||
| 0830 | 1.21.2 | 21 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0840 | 1.21.3 | 21 | Secured funding | ||||||||||||||||||||||||||||||||
| 0850 | 1.22 | 22 | Total funding | ||||||||||||||||||||||||||||||||
| 0860 | 1.22.1 | 22 | Retail funding | ||||||||||||||||||||||||||||||||
| 0870 | 1.22.2 | 22 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0880 | 1.22.3 | 22 | Secured funding | ||||||||||||||||||||||||||||||||
| 0890 | 1.23 | 23 | Total funding | ||||||||||||||||||||||||||||||||
| 0900 | 1.23.1 | 23 | Retail funding | ||||||||||||||||||||||||||||||||
| 0910 | 1.23.2 | 23 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0920 | 1.23.3 | 23 | Secured funding | ||||||||||||||||||||||||||||||||
| 0930 | 1.24 | 24 | Total funding | ||||||||||||||||||||||||||||||||
| 0940 | 1.24.1 | 24 | Retail funding | ||||||||||||||||||||||||||||||||
| 0950 | 1.24.2 | 24 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 0960 | 1.24.3 | 24 | Secured funding | ||||||||||||||||||||||||||||||||
| 0970 | 1.25 | 25 | Total funding | ||||||||||||||||||||||||||||||||
| 0980 | 1.25.1 | 25 | Retail funding | ||||||||||||||||||||||||||||||||
| 0990 | 1.25.2 | 25 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 1000 | 1.25.3 | 25 | Secured funding | ||||||||||||||||||||||||||||||||
| 1010 | 1.26 | 26 | Total funding | ||||||||||||||||||||||||||||||||
| 1020 | 1.26.1 | 26 | Retail funding | ||||||||||||||||||||||||||||||||
| 1030 | 1.26.2 | 26 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 1040 | 1.26.3 | 26 | Secured funding | ||||||||||||||||||||||||||||||||
| 1050 | 1.27 | 27 | Total funding | ||||||||||||||||||||||||||||||||
| 1060 | 1.27.1 | 27 | Retail funding | ||||||||||||||||||||||||||||||||
| 1070 | 1.27.2 | 27 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 1080 | 1.27.3 | 27 | Secured funding | ||||||||||||||||||||||||||||||||
| 1090 | 1.28 | 28 | Total funding | ||||||||||||||||||||||||||||||||
| 1100 | 1.28.1 | 28 | Retail funding | ||||||||||||||||||||||||||||||||
| 1110 | 1.28.2 | 28 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 1120 | 1.28.3 | 28 | Secured funding | ||||||||||||||||||||||||||||||||
| 1130 | 1.29 | 29 | Total funding | ||||||||||||||||||||||||||||||||
| 1140 | 1.29.1 | 29 | Retail funding | ||||||||||||||||||||||||||||||||
| 1150 | 1.29.2 | 29 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 1160 | 1.29.3 | 29 | Secured funding | ||||||||||||||||||||||||||||||||
| 1170 | 1.30 | 30 | Total funding | ||||||||||||||||||||||||||||||||
| 1180 | 1.30.1 | 30 | Retail funding | ||||||||||||||||||||||||||||||||
| 1190 | 1.30.2 | 30 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 1200 | 1.30.3 | 30 | Secured funding | ||||||||||||||||||||||||||||||||
| 1210 | 1.31 | 31 | Total funding | ||||||||||||||||||||||||||||||||
| 1220 | 1.31.1 | 31 | Retail funding | ||||||||||||||||||||||||||||||||
| 1230 | 1.31.2 | 31 | Unsecured wholesale funding | ||||||||||||||||||||||||||||||||
| 1240 | 1.31.3 | 31 | Secured funding | ’ |
ANNEX VI
‘ANNEX XIX
INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII
1. Additional Monitoring Tools
1.1. General
| 1. | [empty] | |
| --- | --- | --- |
| 2. | Total funding shall be all financial liabilities other than derivatives and short positions; | |
| --- | --- | --- |
| 3. | Funding of any type with open maturity including on sight deposits shall be considered as maturing overnight. | |
| --- | --- | --- |
| 4. | Original maturity shall represent the time between the date of origination and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with point 12 of Annex XXIII. This means that in case of optionality such as in the case of point 12 of Annex XXIII, the original maturity of a funding item can be shorter than the time elapsed since its origination. | |
| --- | --- | --- |
| 5. | Residual maturity shall represent the time between the end of the reporting period and the date of maturity of funding. The date of the maturity of the funding shall be determined in accordance with point 12 of Annex XXIII. | |
| --- | --- | --- |
| 6. | For the purposes of calculating the original or residual weighted average maturity, deposits maturing overnight or funding of any type with open maturity shall be considered to have a one day maturity. | |
| --- | --- | --- |
| 7. | For the purposes of calculating the original and residual maturity, where there is funding with a notice period or a cancellation or early withdrawal clause for the institution’s counterparty, a withdrawal at the first possible date shall be assumed. | |
| --- | --- | --- |
| 8. | For perpetual liabilities, except where subject to optionality as referred to in point12 of Annex XXIII, a fixed 20 years original and residual maturity shall be assumed. | |
| --- | --- | --- |
| 9. | For calculating the percentage threshold referred to in templates C 67.00 by significant currency, institutions shall use a threshold of 1 % of total liabilities in all currencies. |
1.2. Concentration of funding by counterparty (C 67.00)
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