Division 5.2.3 Instructions concerning specific columnsF1

Institutions shall specify whether the cover pool meets the requirements set out in Article 129 of CRR in order to be eligible for the preferential treatment set out in Article 129(4) and (5) of that Regulation.

If the cover pool is eligible for the preferential treatment set out in Article 129(4) and (5) of CRR (answer YES in column 011), 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 this 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.

Covered bond liabilities are 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).

Amounts of covered bond liabilities, excluding cover pool derivative positions, according to the different future date ranges.

The date ‘ + 6 months ’ is 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 amortization. In the absence of a fixed payment schedule, for amounts outstanding at future dates the expected maturity is to be used in a consistent manner.

As for ‘ + 6 months ’ (column 030) for the respective point in time from the reporting reference date.

The net negative market value of cover pool derivative positions which from the perspective of the covered bond issuer have a net negative market value. Cover pool derivative positions are 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 is to be reported for the reporting reference date only.

Information on external credit ratings on the respective covered bond, as existing on the reporting date, is to be provided.

If a credit rating of at least one credit rating agency exists as of the reporting date, the name of one of these credit rating agencies shall be provided here. 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.

The credit rating issued by the credit rating agency reported in column 090 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 is to be reported. The credit rating to be reported shall include any modifiers.

As for credit rating agency 1 (column 090) for further credit rating agencies that have issued credit ratings on the covered bond as of the reporting reference date.

As for credit rating 1 (column 100) for further credit ratings issued by credit rating agencies 2 and 3 on the covered bond existing as of the reporting reference date.

The cover pool 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.

Amounts of assets in the cover pool, excluding cover pool derivative positions. This amount includes 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.

The reporting date ‘ + 6 months ’ is the point in time 6 months after the reporting reference date. Amounts shall be provided assuming no change in cover pool compared to the reporting date except for amortization. In the absence of a fixed payment schedule, for amounts outstanding at future dates expected maturity is to be used in a consistent manner.

As for ‘ + 6 months ’ (column 160) for the respective point in time from the reporting reference date.

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. Cover pool derivative positions are 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 is to be reported for the reporting date only.

Amounts of cover pool, including cover pool derivative positions with net positive market values, in excess of requirements of minimum coverage (over-collateralisation).

Amounts of over-collateralisation compared with the minimum coverage required by the relevant statutory covered bond regime.

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.

Amounts of over-collateralisation compared with the level that, according to information on the methodology of credit rating agency 1 (column 090) available to the covered bond issuer, would at a minimum be required to support credit rating 1 (column 100).

The instructions for credit rating agency 1 (column 230) also apply to credit rating agency 2 (column 110) and credit rating agency 3 (column 130).