Annex II
United Kingdom
ANNEX XVI
REPORTING TEMPLATES ON ASSET ENCUMBRANCE
ASSET ENCUMBRANCE TEMPLATES
Template number Template code Name of the template /group of templates Short name PART A — ENCUMBRANCE OVERVIEW 32,1 F 32.01 ASSETS OF THE REPORTING INSTITUTION AE-ASS 32,2 F 32.02 COLLATERAL RECEIVED AE-COL 32,3 F 32.03 OWN COVERED BONDS AND ABSs ISSUED AND NOT YET PLEDGED AE-NPL 32,4 F 32.04 SOURCES OF ENCUMBRANCE AE-SOU PART B — MATURITY DATA 33 F 33.00 MATURITY DATA AE-MAT PART C — CONTINGENT ENCUMBRANCE 34 F 34.00 CONTINGENT ENCUMBRANCE AE-CONT PART D — COVERED BONDS 35 F 35.00 COVERED BONDS ISSUANCE AE-CB PART E — ADVANCED DATA 36,1 F 36.01 ADVANCED DATA. PART I AE-ADV1 36,2 F 36.02 ADVANCED DATA. PART II AE-ADV2 F 32.01 — ASSETS OF THE REPORTING INSTITUTION (AE-ASS)
Carrying amount of encumbered assets Fair value of encumbered assets Carrying amount of non-encumbered assets Fair value of non-encumbered assets of which: issued by other entities of the group of which: central bank's eligible of which: central bank's eligible of which: issued by other entities of the group of which: central bank's eligible of which: central bank's eligible 010 020 030 040 050 060 070 080 090 100 010 Assets of the reporting institution 020 Loans on demand 030 Equity instruments 040 Debt securities 050 of which: covered bonds 060 of which: asset-backed securities 070 of which: issued by general governments 080 of which: issued by financial corporations 090 of which: issued by non-financial corporations 100 Loans and advances other than loans on demand 110 of which: mortgage loans 120 Other assets F 32.02 — COLLATERAL RECEIVED (AE-COL)
Fair value of encumbered collateral received or own debt securities issued Non-encumbered Fair value of collateral received or own debt securities issued available for encumbrance Nominal of collateral received or own debt securities issued non available for encumbrance of which: issued by other entities of the group of which: central bank's eligible of which: issued by other entities of the group of which: central bank's eligible 010 020 030 040 050 060 070 130 Collateral received by the reporting institution 140 Loans on demand 150 Equity instruments 160 Debt securities 170 of which: covered bonds 180 of which: asset-backed securities 190 of which: issued by general governments 200 of which: issued by financial corporations 210 of which: issued by non-financial corporations 220 Loans and advances other than loans on demand 230 Other collateral received 240 Own debt securities issued other than own covered bonds or ABSs 250 TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED F 32.03 — OWN COVERED BONDS AND ABSs ISSUED AND NOT YET PLEDGED (AE-NPL)
Non-encumbered Carrying amount of the underlying pool of assets Fair value of debt securities issued available for encumbrance Nominal of own debt securities issued non available for encumbrance of which: central bank's eligible 010 020 030 040 010 Own covered bonds and asset-backed securities issued and not yet pledged 020 Retained covered bonds issued 030 Retained asset-backed securities issued 040 Senior 050 Mezzanine 060 First Loss F 32.04 — SOURCES OF ENCUMBRANCE (AE-SOU)
Matching liabilities, contingent liabilities or securities lent Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered of which: from other entities of the group of which: collateral received re-used of which: own debt securities encumbered 010 020 030 040 050 010 Carrying amount of selected financial liabilities 020 Derivatives 030 of which: Over-The-Counter 040 Deposits 050 Repurchase agreements 060 of which: central banks 070 Collateralised deposits other than repurchase agreements 080 of which: central banks 090 Debt securities issued 100 of which: covered bonds issued 110 of which: asset-backed securities issued 120 Other sources of encumbrance 130 Nominal of loan commitments received 140 Nominal of financial guarantees received 150 Fair value of securities borrowed with non cash-collateral 160 Other 170 TOTAL SOURCES OF ENCUMBRANCE Not to be filled on a consolidated basis template Not to be filled in any case F 33.00 — MATURITY DATA (AE-MAT)
Open maturity Overnight >1 day <=1 wk >1 wk <=2 wks >2 wks <=1 mth >1 mth <=3 mths >3 mths <=6 mths >6 mths <=1 yr >1 yr <=2 yrs >2 yrs <=3 yrs 3 yrs <=5 yrs 5 yrs <=10 yrs >10 yrs Residual maturity of liabilities 010 020 030 040 050 060 070 080 090 100 110 120 130 010 Encumbered assets 020 Collateral received re-used (receiving leg) 030 Collateral received re-used (re-using leg) F 34.00 — CONTINGENT ENCUMBRANCE (AE-CONT)
Matching liabilities, contingent liabilities or securities lent Contingent Encumbrance A. Decrease by 30 % of the fair value of encumbered assets B. Net effect of a 10 % depreciation of significant currencies Additional amount of encumbered assets Additional amount of encumbered assets Significant currency 1 Significant currency 2 … Significant currency n 010 020 030 040 050 010 Carrying amount of selected financial liabilities 020 Derivatives 030 of which: over-the-counter 040 Deposits 050 Repurchase agreements 060 of which: central banks 070 Collateralised deposits other than repurchase agreements 080 of which: central banks 090 Debt securities issued 100 of which: covered bonds issued 110 of which: asset-backed securities issued 120 Other sources of encumbrance 170 TOTAL SOURCES OF ENCUMBRANCE F 35.00 — COVERED BONDS ISSUANCE (AE-CB)
z-axisCover pool identifier (open)
Compliance with Art. 129 CRR? Covered bond liabilities 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 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 [YES/NO] If YES, indicate primary asset class of cover pool as per the relevant statutory covered bond regime as per credit rating agencies' methodology to maintain current external credit rating of covered bond 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 Credit rating agency 1 Credit rating agency 2 Credit rating agency 3 010 012 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 010 Nominal amount 020 Present value (swap)/Market value 030 Asset-specific value 040 Carrying amount F 36.01 — ADVANCED DATA. PART I (AE-ADV-1)
Sources of encumbrance Assets/Liabilities Collateral type — Classification by asset type Total Loans on demand Equity instruments Debt securities Loans and advances other than loans on demand Other assets Total of which: covered bonds of which: asset-backed securities 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 Households of which: issued by other entities of the group of which: issued by other entities of the group of which: mortgage loans of which: mortgage loans 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 010 Central bank funding (of all types, including e.g. repos) Encumbered assets 020 Matching liabilities 030 Exchange traded derivatives Encumbered assets 040 Matching liabilities 050 Over-the-counter derivatives Encumbered assets 060 Matching liabilities 070 Repurchase agreements Encumbered assets 080 Matching liabilities 090 Collateralised deposits other than repurchase agreements Encumbered assets 100 Matching liabilities 110 Covered bonds securities issued Encumbered assets 120 Matching liabilities 130 Asset-backed securities issued Encumbered assets 140 Matching liabilities 150 Debt securities issued other than covered bonds and ABSs Encumbered assets 160 Matching liabilities 170 Other sources of encumbrance Encumbered assets 180 Contingent liabilities or securities lent 190 Total encumbered assets 200 of which central bank eligible 210 Total non-encumbered assets 220 of which central bank eligible 230 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 Total Loans on demand Equity instruments Debt securities Loans and advances other than loans on demand Other collateral received Own debt securities issued other than own covered bonds or ABSs Total of which: covered bonds of which: asset-backed securities 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 Households of which: issued by other entities of the group of which: issued by other entities of the group of which: mortgage loans of which: mortgage loans 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 010 Central bank funding (of all types, including e.g. repos) Encumbered collateral received 020 Matching liabilities 030 Exchange traded derivatives Encumbered collateral received 040 Matching liabilities 050 Over-the-counter derivatives Encumbered collateral received 060 Matching liabilities 070 Repurchase agreements Encumbered collateral received 080 Matching liabilities 090 Collateralised deposits other than repurchase agreements Encumbered collateral received 100 Matching liabilities 110 Covered bonds securities issued Encumbered collateral received 120 Matching liabilities 130 Asset-backed securities issued Encumbered collateral received 140 Matching liabilities 150 Debt securities issued other than covered bonds and ABSs Encumbered collateral received 160 Matching liabilities 170 Other sources of encumbrance Encumbered collateral received 180 Contingent liabilities or securities lent 190 Total encumbered collateral received 200 of which central bank eligible 210 Total non-encumbered collateral received 220 of which central bank eligible 230 Encumbered + non-encumbered collateral received