EBA欧洲银行-Annex-II-Instructions_30页_1008kb

Summary of ANNEX II: Reporting on Asset Encumbrance

Core Content

This document provides detailed instructions for completing the templates outlined in Annex I (AE) related to asset encumbrance reporting. It outlines the structure, conventions, and specific reporting requirements for different types of assets, collateral, and funding sources. The purpose is to ensure consistent and accurate reporting of encumbered and unencumbered assets, as well as related contingent encumbrance and covered bonds data.

Main Templates and Their Purposes

Part A: Encumbrance Overview

• Templates Covered:

  • AE-Assets: Assets of the reporting institution
  • AE-Collateral: Collateral received by the reporting institution
  • AE-Not Pledged: Own covered bonds and ABSs issued and not yet pledged
  • AE-Sources: Sources of encumbrance

• Objective: Differentiate between encumbered and unencumbered assets at the balance sheet date.

• Key Concepts:

  • An encumbered asset is one that has been pledged or subject to an arrangement to secure a transaction.
  • Unencumbered assets are those not pledged and available for potential encumbrance.
  • The reporting must be done in accordance with the definition of asset encumbrance, which includes both the carrying amount and fair value of assets.

• Special Cases:

  • Covered bonds: If not pledged, they are reported as unencumbered assets in AE-Assets. If pledged, they are reported as encumbered. Additional details about non-pledged covered bonds are included in AE-Not Pledged.
  • Securitisations: Non-derecognised securitisations follow the same rules as covered bonds. Derecognised ones are treated as regular securities.
  • Collateralised transactions: Covered by rules for repos, deposits, and derivatives, depending on the nature of the collateral.

Part B: Maturity Data

• Template: AE-Maturity
• Objective: Provide maturity data for encumbered assets.
• Reporting Frequency: As specified in Article X of the Regulation.
• Proportionality: Institutions must calculate the encumbrance level and total assets to determine if they are required to report under Parts B, C, and E.

Part C: Contingent Encumbrance

• Templates Covered:
  • AE-Contingent: Contingent encumbrance
• Objective: Report contingent encumbrance under two scenarios:
  • Scenario A: Decrease of 30% of encumbered assets
  • Scenario B: Depreciation of 10% in significant currencies
• Notes:
  • Contingent encumbrance refers to potential liabilities that could arise if certain conditions are met.
  • The EBA acknowledges that some overlaps with existing reporting frameworks (like FINREP) may still exist, particularly with liquidity reporting, but these are retained due to different impacts.

Part D: Covered Bonds

• Objective: Report on covered bonds issuance and eligible assets.
• Key Rules:
  • If a portion of covered bonds is retained and not pledged, it is considered unencumbered.
  • If retained and pledged, it is considered encumbered.
  • A table is provided to illustrate how to report covered bonds with different retention and pledging statuses.

Part E: Advanced Data

• Templates Covered:
  • AE-Adv1: Advanced template for assets of the reporting institution
  • AE-Adv2: Advanced template for collateral received by the reporting institution
• Objective: Provide more detailed and granular data than the standard templates.
• Reporting Frequency: As specified in the Regulation.

Key Reporting Instructions

General Instructions

• Structure and Conventions:
  • Templates are structured in five parts: Encumbrance Overview, Maturity Data, Contingent Encumbrance, Covered Bonds, and Advanced Data.
  • The numbering convention uses the format {Template; Row; Column} to refer to data points.
  • Sign convention: All amounts are reported as positive figures.
  • Proportionality: Applies to institutions based on their size and economic significance.
  • Level of Application: Applies to all institutions subject to prudential requirements at an individual and consolidated level.

Reporting of Specific Transactions

• Collateralised Deposit:

  • Carrying amount is reported in AE-Sources.
  • If collateral is owned, it is reported in AE-Assets and AE-Sources.
  • If collateral is received, it is reported in AE-Collateral and AE-Sources.

• Repos / Matching Repos:

  • Carrying amount of the repo is reported in AE-Sources.
  • Collateral is reported in AE-Assets or AE-Collateral depending on ownership.

• Central Bank Funding:

  • Treated as a specific type of collateralised deposit or repo.
  • Collateral breakdown is done proportionally if pooled.

• Securities Lending:

  • With cash collateral: Follows repo rules.
  • Without cash collateral: Fair value of borrowed securities is reported in AE-Sources.

• Derivatives (Liabilities):

  • Collateralised derivatives with negative fair value are reported in AE-Sources.
  • Collateral is reported in AE-Assets or AE-Collateral based on ownership.

• Securitisation:

  • Non-derecognised securitisations follow the same rules as covered bonds.
  • Derecognised securitisations are treated as regular securities.

Key Columns and Rows

Columns

• 010: Carrying amount of encumbered assets
• 020: Of which issued by other entities of the group
• 030: Of which central bank's eligible
• 040: Fair value of encumbered assets
• 050: Of which issued by other entities of the group (fair value)
• 060: Of which central bank's eligible (fair value)
• 070: Nominal of collateral received or own debt securities issued non-available for encumbrance

Rows

• 010: Total assets of the reporting institution
• 020: Loans on demand
• 030: Equity instruments
• 040: Debt securities
• 050: Of which: covered bonds
• 060: Of which: securitisations
• 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
• 130: Collateral received by the reporting institution
• 140: Loans on demand (as collateral)
• 150: Equity instruments (as collateral)
• 160: Debt securities (as collateral)
• 170: Of which: covered bonds (as collateral)
• 180: Of which: securitisations (as collateral)
• 190: Of which: issued by general governments (as collateral)
• 200: Of which: issued by financial corporations (as collateral)
• 210: Of which: issued by non-financial corporations (as collateral)
• 220: Loans and advances other than loans on demand (as collateral)
• 230: Other collateral received
• 240: Own debt securities issued other than covered bonds or ABSs

Legal References and Compliance

• Legal references are provided for each template and data point.
• References to ITS and CRR are used for regulatory compliance.
• Institutions using IFRS standards are directed to relevant IFRS guidelines.
• The carrying amount and fair value of assets must be reported according to the institution's accounting framework.
• Institutions not subject to prudential requirements are not required to report on asset encumbrance.

Conclusion

The document outlines comprehensive instructions for reporting asset encumbrance, covering various types of assets, collateral, and funding sources. It emphasizes clarity, consistency, and compliance with regulatory frameworks, while also addressing proportionality and the need to avoid double-counting. Institutions are required to follow specific rules for different financial instruments and scenarios, ensuring accurate and transparent reporting.