# Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance), Division 5.2.3: Instructions concerning specific columns

Extent: E+W+S+N.I.

Columns
Legal references and instructions
010
Compliance with Article 129 of CRR? [YES/NO]
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.
012
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 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.
020-140
Covered bond liabilities
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).
020
Reporting date
Amounts of covered bond liabilities, excluding cover pool derivative positions, according to the different future date ranges.
030
+ 6 months
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.
040-070
+ 12 months — + 10 years
As for ‘ + 6 months ’ (column 030) for the respective point in time from the reporting reference date.
080
Cover pool derivative positions with net negative market value
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.
090-140
External credit rating on covered bond
Information on external credit ratings on the respective covered bond, as existing on the reporting date, is to be provided.
090
Credit rating agency 1
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.
100
Credit rating 1
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.
110, 130
Credit rating agency 2 and credit rating agency 3
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.
120, 140
Credit rating 2 and credit rating 3
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.
150-250
Cover pool
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.
150
Reporting date
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.
160
+ 6 months
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.
170-200
+ 12 months — + 10 years
As for ‘ + 6 months ’ (column 160) for the respective point in time from the reporting reference date.
210
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. 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.
220-250
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).
220
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.
230-250
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.
230
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 090) available to the covered bond issuer, would at a minimum be required to support credit rating 1 (column 100).
240-250
Credit rating agency 2 and credit rating agency 3
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).

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Source: https://www.legislation.gov.uk/eur/2014/680/annex/XVII/division/2/division/5/division/5.2/division/5.2.3 (the official version)
Page: https://openlegislation.uk/eu-regulation-2014-680/annex-XVII/division-2/division-5/division-5.2/division-5.2.3
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.