{
  "url": "https://openlegislation.uk/eu-regulation-2015-79/annex-II",
  "json_url": "https://openlegislation.uk/eu-regulation-2015-79/annex-II.json",
  "legislation": "eur/2015/79",
  "legislation_title": "Commission Implementing Regulation (EU) 2015/79 of 18 December 2014 amending Implementing Regulation (EU) No 680/2014 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 as regards asset encumbrance, single data point model and validation rules (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2015-79",
  "path": "annex/II",
  "kind": "annex",
  "number": "II",
  "heading": null,
  "text": "ANNEX XVI\nREPORTING TEMPLATES ON ASSET ENCUMBRANCE\nASSET ENCUMBRANCE TEMPLATES\nTemplate number\nTemplate code\nName of the template /group of templates\nShort name\nPART A — ENCUMBRANCE OVERVIEW\n32,1\nF 32.01\nASSETS OF THE REPORTING INSTITUTION\nAE-ASS\n32,2\nF 32.02\nCOLLATERAL RECEIVED\nAE-COL\n32,3\nF 32.03\nOWN COVERED BONDS AND ABSs ISSUED AND NOT YET PLEDGED\nAE-NPL\n32,4\nF 32.04\nSOURCES OF ENCUMBRANCE\nAE-SOU\nPART B — MATURITY DATA\n33\nF 33.00\nMATURITY DATA\nAE-MAT\nPART C — CONTINGENT ENCUMBRANCE\n34\nF 34.00\nCONTINGENT ENCUMBRANCE\nAE-CONT\nPART D — COVERED BONDS\n35\nF 35.00\nCOVERED BONDS ISSUANCE\nAE-CB\nPART E — ADVANCED DATA\n36,1\nF 36.01\nADVANCED DATA. PART I\nAE-ADV1\n36,2\nF 36.02\nADVANCED DATA. PART II\nAE-ADV2\nF 32.01 — ASSETS OF THE REPORTING INSTITUTION (AE-ASS)\nCarrying amount of encumbered assets\nFair value of encumbered assets\nCarrying amount of non-encumbered assets\nFair value of non-encumbered assets\nof which: issued by other entities of the group\nof which: central bank's eligible\nof which: central bank's eligible\nof which: issued by other entities of the group\nof which: central bank's eligible\nof which: central bank's eligible\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n010\nAssets of the reporting institution\n020\nLoans on demand\n030\nEquity instruments\n040\nDebt securities\n050\nof which: covered bonds\n060\nof which: asset-backed securities\n070\nof which: issued by general governments\n080\nof which: issued by financial corporations\n090\nof which: issued by non-financial corporations\n100\nLoans and advances other than loans on demand\n110\nof which: mortgage loans\n120\nOther assets\nF 32.02 — COLLATERAL RECEIVED (AE-COL)\nFair value of encumbered collateral received or own debt securities issued\nNon-encumbered\nFair value of collateral received or own debt securities issued available for encumbrance\nNominal of collateral received or own debt securities issued non available for encumbrance\nof which: issued by other entities of the group\nof which: central bank's eligible\nof which: issued by other entities of the group\nof which: central bank's eligible\n010\n020\n030\n040\n050\n060\n070\n130\nCollateral received by the reporting institution\n140\nLoans on demand\n150\nEquity instruments\n160\nDebt securities\n170\nof which: covered bonds\n180\nof which: asset-backed securities\n190\nof which: issued by general governments\n200\nof which: issued by financial corporations\n210\nof which: issued by non-financial corporations\n220\nLoans and advances other than loans on demand\n230\nOther collateral received\n240\nOwn debt securities issued other than own covered bonds or ABSs\n250\nTOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED\nF 32.03 — OWN COVERED BONDS AND ABSs ISSUED AND NOT YET PLEDGED (AE-NPL)\nNon-encumbered\nCarrying amount of the underlying pool of assets\nFair value of debt securities issued available for encumbrance\nNominal of own debt securities issued non available for encumbrance\nof which: central bank's eligible\n010\n020\n030\n040\n010\nOwn covered bonds and asset-backed securities issued and not yet pledged\n020\nRetained covered bonds issued\n030\nRetained asset-backed securities issued\n040\nSenior\n050\nMezzanine\n060\nFirst Loss\nF 32.04 — SOURCES OF ENCUMBRANCE (AE-SOU)\nMatching liabilities, contingent liabilities or securities lent\nAssets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered\nof which: from other entities of the group\nof which: collateral received re-used\nof which: own debt securities encumbered\n010\n020\n030\n040\n050\n010\nCarrying amount of selected financial liabilities\n020\nDerivatives\n030\nof which: Over-The-Counter\n040\nDeposits\n050\nRepurchase agreements\n060\nof which: central banks\n070\nCollateralised deposits other than repurchase agreements\n080\nof which: central banks\n090\nDebt securities issued\n100\nof which: covered bonds issued\n110\nof which: asset-backed securities issued\n120\nOther sources of encumbrance\n130\nNominal of loan commitments received\n140\nNominal of financial guarantees received\n150\nFair value of securities borrowed with non cash-collateral\n160\nOther\n170\nTOTAL SOURCES OF ENCUMBRANCE\nNot to be filled on a consolidated basis template\nNot to be filled in any case\nF 33.00 — MATURITY DATA (AE-MAT)\nOpen maturity\nOvernight\n>1 day <=1 wk\n>1 wk <=2 wks\n>2 wks <=1 mth\n>1 mth <=3 mths\n>3 mths <=6 mths\n>6 mths <=1 yr\n>1 yr <=2 yrs\n>2 yrs <=3 yrs\n3 yrs <=5 yrs\n5 yrs <=10 yrs\n>10 yrs\nResidual maturity of liabilities\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n010\nEncumbered assets\n020\nCollateral received re-used (receiving leg)\n030\nCollateral received re-used (re-using leg)\nF 34.00 — CONTINGENT ENCUMBRANCE (AE-CONT)\nMatching liabilities, contingent liabilities or securities lent\nContingent Encumbrance\nA. Decrease by 30 % of the fair value of encumbered assets\nB. Net effect of a 10 % depreciation of significant currencies\nAdditional amount of encumbered assets\nAdditional amount of encumbered assets\nSignificant currency 1\nSignificant currency 2\n…\nSignificant currency n\n010\n020\n030\n040\n050\n010\nCarrying amount of selected financial liabilities\n020\nDerivatives\n030\nof which: over-the-counter\n040\nDeposits\n050\nRepurchase agreements\n060\nof which: central banks\n070\nCollateralised deposits other than repurchase agreements\n080\nof which: central banks\n090\nDebt securities issued\n100\nof which: covered bonds issued\n110\nof which: asset-backed securities issued\n120\nOther sources of encumbrance\n170\nTOTAL SOURCES OF ENCUMBRANCE\nF 35.00 — COVERED BONDS ISSUANCE (AE-CB)\nz-axisCover pool identifier (open)\nCompliance with Art. 129 CRR?\nCovered bond liabilities\nCover pool\nReporting date\n+ 6 months\n+ 12 months\n+ 2 years\n+ 5 years\n+ 10 years\nCover pool derivative positions with net negative market value\nExternal credit rating on covered bond\nReporting date\n+ 6 months\n+ 12 months\n+ 2 years\n+ 5 years\n+ 10 years\nCover pool derivative positions with net positive market value\nCover pool amount in excess of minimum coverage requirements\n[YES/NO]\nIf YES, indicate primary asset class of cover pool\nas per the relevant statutory covered bond regime\nas per credit rating agencies' methodology to maintain current external credit rating of covered bond\nReporting date\nCredit rating agency 1\nCredit rating 1\nCredit rating agency 2\nCredit rating 2\nCredit rating agency 3\nCredit rating 3\nReporting date\nCredit rating agency 1\nCredit rating agency 2\nCredit rating agency 3\n010\n012\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n200\n210\n220\n230\n240\n250\n010\nNominal amount\n020\nPresent value (swap)/Market value\n030\nAsset-specific value\n040\nCarrying amount\nF 36.01 — ADVANCED DATA. PART I (AE-ADV-1)\nSources of encumbrance\nAssets/Liabilities\nCollateral type — Classification by asset type\nTotal\nLoans on demand\nEquity instruments\nDebt securities\nLoans and advances other than loans on demand\nOther assets\nTotal\nof which: covered bonds\nof which: asset-backed securities\nof which: issued by general governments\nof which: issued by financial corporations\nof which: issued by non-financial corporations\nCentral banks and general governments\nFinancial corporations\nNon financial Corporations\nHouseholds\nof which: issued by other entities of the group\nof which: issued by other entities of the group\nof which: mortgage loans\nof which: mortgage loans\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n010\nCentral bank funding (of all types, including e.g. repos)\nEncumbered assets\n020\nMatching liabilities\n030\nExchange traded derivatives\nEncumbered assets\n040\nMatching liabilities\n050\nOver-the-counter derivatives\nEncumbered assets\n060\nMatching liabilities\n070\nRepurchase agreements\nEncumbered assets\n080\nMatching liabilities\n090\nCollateralised deposits other than repurchase agreements\nEncumbered assets\n100\nMatching liabilities\n110\nCovered bonds securities issued\nEncumbered assets\n120\nMatching liabilities\n130\nAsset-backed securities issued\nEncumbered assets\n140\nMatching liabilities\n150\nDebt securities issued other than covered bonds and ABSs\nEncumbered assets\n160\nMatching liabilities\n170\nOther sources of encumbrance\nEncumbered assets\n180\nContingent liabilities or securities lent\n190\nTotal encumbered assets\n200\nof which central bank eligible\n210\nTotal non-encumbered assets\n220\nof which central bank eligible\n230\nEncumbered + non-encumbered assets\nF 36.02 — ADVANCE DATA. PART II (AE-ADV-2)\nSources of encumbrance\nAssets/Liabilities\nCollateral type — Classification by asset type\nTotal\nLoans on demand\nEquity instruments\nDebt securities\nLoans and advances other than loans on demand\nOther collateral received\nOwn debt securities issued other than own covered bonds or ABSs\nTotal\nof which: covered bonds\nof which: asset-backed securities\nof which: issued by general governments\nof which: issued by financial corporations\nof which: issued by non-financial corporations\nCentral banks and general governments\nFinancial corporations\nNon-financial corporations\nHouseholds\nof which: issued by other entities of the group\nof which: issued by other entities of the group\nof which: mortgage loans\nof which: mortgage loans\n010\n020\n030\n040\n050\n060\n070\n080\n090\n100\n110\n120\n130\n140\n150\n160\n170\n180\n190\n010\nCentral bank funding (of all types, including e.g. repos)\nEncumbered collateral received\n020\nMatching liabilities\n030\nExchange traded derivatives\nEncumbered collateral received\n040\nMatching liabilities\n050\nOver-the-counter derivatives\nEncumbered collateral received\n060\nMatching liabilities\n070\nRepurchase agreements\nEncumbered collateral received\n080\nMatching liabilities\n090\nCollateralised deposits other than repurchase agreements\nEncumbered collateral received\n100\nMatching liabilities\n110\nCovered bonds securities issued\nEncumbered collateral received\n120\nMatching liabilities\n130\nAsset-backed securities issued\nEncumbered collateral received\n140\nMatching liabilities\n150\nDebt securities issued other than covered bonds and ABSs\nEncumbered collateral received\n160\nMatching liabilities\n170\nOther sources of encumbrance\nEncumbered collateral received\n180\nContingent liabilities or securities lent\n190\nTotal encumbered collateral received\n200\nof which central bank eligible\n210\nTotal non-encumbered collateral received\n220\nof which central bank eligible\n230\nEncumbered + non-encumbered collateral received",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2015/79/annex/II",
    "retrieved_at": "2026-11-01T14:46:56.249557+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}