Instruction No. 2014-I-17 of December 8, 2014, regarding regulatory statements referred to in Article 10 of CRBF Regulation No. 99-10 of July 9, 1999 (repealed)

PRUDENTIAL CONTROL AND RESOLUTION AUTHORITY

Instruction No. 2014-I-17 regarding the regulatory statements referred to in Article 10 of CRBF Regulation No. 99-10 of July 9, 1999

The Prudential Control and Resolution Authority, Having regard to the Monetary and Financial Code, particularly Articles L. 513-2 to L. 513-33 as well as L. 612-24 and R. 513-1 to R. 513-21; Having regard to the Regulation of the Banking and Financial Regulation Committee No. 99-10 of July 9, 1999, as amended, relating to real estate credit companies and housing finance companies; Having regard to the opinion of the Prudential Affairs Advisory Committee dated November 26, 2014; Decides:

Article 1
The institutions subject to this instruction are credit institutions authorized as real estate credit companies, within the meaning of Article L. 513-2 of the Monetary and Financial Code, or housing finance companies, within the meaning of Article L. 513-28 of the same Code.

Article 2
Real estate credit companies and housing finance companies shall send to the Prudential Control and Resolution Authority the statements presented in the annex to this instruction, containing information on:

• the elements for calculating the coverage of their cash flow needs mentioned in Article R. 513-7 of the Monetary and Financial Code;
• the average life duration gap between assets and liabilities considered in Article 12 of CRBF Regulation No. 99-10;
• the estimate mentioned in Article 12 of CRBF Regulation No. 99-10 of privileged resources up to their maturity with regard to the available eligible asset pool and forecasts of new production under conservative hypotheses, as well as their methods of preparation.

These statements are prepared four times a year based on figures finalized on March 31, June 30, September 30, and December 31.

They are transmitted to the General Secretariat of the Prudential Control and Resolution Authority, electronically signed by a responsible executive, within three months following the finalization date, in XML-XBRL format according to the technical specifications necessary for their processing by the Prudential Control and Resolution Authority.

Real estate credit companies and housing finance companies submit to the General Secretariat of the Prudential Control and Resolution Authority, at the same deadlines as those applying to these statements, a narrative report on authenticated paper support bearing an authorized signature. This narrative report contains the information provided for in Annex 7 of this instruction.

These statements are certified by the specific auditors of real estate credit companies and housing finance companies, these certifications being transmitted by mail to the General Secretariat of the Prudential Control and Resolution Authority.

Article 3
The statements referred to in Article 2 must include the information listed and described in the annexes to this instruction.

Article 4
By way of exception to Article 2 of this instruction:

• the information cited in Article 2 of this instruction and established based on figures finalized on September 30, 2014, may be transmitted to the General Secretariat of the Prudential Control and Resolution Authority within four months following the finalization date;
• institutions declare the information cited in the same article on authenticated paper support bearing an authorized signature and, in this case, complete this paper submission with the electronic transmission of data in the form of ".xls" files until the deadline of December 31, 2015.

Article 5
The declaration of the ratio mentioned in Article R. 513-8 of the Monetary and Financial Code is governed by Instruction 2011-I-06 as amended.

Article 6
This instruction enters into force immediately upon its publication.

Paris, December 8, 2014
The President of the Prudential Control Authority and Resolution, [Christian NOYER]

Annex 1 to Instruction No. 2014-I-17
Elements for calculating the coverage of cash flow needs mentioned in Article R. 513-7 of the Monetary and Financial Code

YES / NO
Cash Inflows Cash Outflows Cash Balance Cumulative Cash Balance Day 0 Day 1 Day 2 Day 3 Day 4 Day 5 Day 6 Day 7 Day 8 Day 9 Day 10 Day 11 Day 12 Day 13 Day 14 Day 15 Day 16 Day 17 Day 18 Day 19 Day 20 Day 21 Day 22 Day 23 ... ... Day 180 Do you have cash shortfalls at 180 days? Elements for calculating the coverage of cash flow needs mentioned in
Article R. 513-7 of the Monetary and Financial Code

CASH FLOW NEEDS AT 180 DAYS

Amounts Amounts after haircut (if applicable) Amounts Amounts after haircut (if applicable) 1 2 1 2 1 REPLACEMENT VALUES including:
1.1 Securities meeting the conditions of Article R. 513-6 of the Monetary and Financial Code
1.2 Values and deposits meeting the conditions of Article R. 513-6 of the Monetary and Financial Code
1.3 Debt securities issued or fully guaranteed by a public entity under Article R. 513-20 of the Monetary and Financial Code
1.4 Debt securities issued or fully guaranteed by a central administration under Article R. 513-20 of the Monetary and Financial Code
1.5 Amounts placed on accounts opened with a central bank under Article R. 513-20 of the Monetary and Financial Code
2 ELIGIBLE ASSETS FOR BANK OF FRANCE CREDIT OPERATIONS including:
2.1 Loans benefiting from a first-ranking mortgage or equivalent guarantee
2.2 Secured loans
2.3 Promissory notes (Articles L. 313-42 to L. 313-49 of the Monetary and Financial Code)
2.4 Exposures to public entities
2.4.1 Debt securities issued or fully guaranteed by a central administration or amounts placed on accounts opened with a central bank
2.4.2 Other mobilizable exposures
2.5 Shares, stock, and debt securities issued by a securitization vehicle
2.6 Other assets
3 TOTAL OF AVAILABLE ELEMENTS
Last Day
Elements for calculating the coverage of cash flow needs mentioned in Article R. 513-7 of the Monetary and Financial Code COVERAGE ELEMENTS FOR POTENTIAL CASH FLOW NEEDS AT 180 DAYS First Day

Annex 2 to Instruction No. 2014-I-17
Elements for calculating the coverage of cash flow needs mentioned in Article R. 513-7 of the Monetary and Financial Code

I – Detail at 180 days of cash inflows and outflows The initial cash balance is declared on day "zero". It corresponds to the balances of available current accounts and deposits. The declared inflows and outflows relate to all asset elements, according to the provisions of the second paragraph of Article R. 513-7 of the Monetary and Financial Code, and to liabilities. They are declared day by day over the entire period considered.

II – Available resources to cover potential cash flow needs Resources are declared on the first and last day of the projection. They include, in application of Article R. 513-7 of the Monetary and Financial Code, the available replacement values and assets eligible for Bank of France credit operations.

These are the assets eligible for Bank of France credit operations held or received as collateral by the real estate credit company or the housing finance company and whose use with the Bank of France is not prevented by the existence of contractual commitments nor by the necessary compliance with legal and regulatory provisions applicable to real estate credit companies and housing finance companies.

It is up to the institution to demonstrate, to the extent of its knowledge, the absence of the obstacles mentioned in the previous paragraph for, on the one hand, each of the assets and, on the other hand, the global amount it declares as eligible for Bank of France credit operations.

A haircut rate is applied to the amounts of assets eligible for Bank of France credit operations on the first and last day, estimated by institutions according to the hypotheses available to them, these hypotheses being presented explicitly.

This haircut rate must be consistent with rates observed on comparable assets on the date of the statement.

The resources available on the last day of the projection are subject to estimation by the institution based on conservative hypotheses, these hypotheses being presented explicitly.

III – Hypotheses used for data calculation
The calculation of data declared in the submission is based on the following hypotheses:
a) Prepayment rate: the prepayment rate declared in the report mentioned in the second paragraph of Article 13 of CRBF Regulation No. 99-10 dated from the quarter preceding the submission or a rate lower than it is used; b) Asset performance: it is estimated depending on whether the portfolio includes mobilizations or assets held directly. The hypotheses must, in each of these two cases, reflect the expected reality of the flows of the portfolio considered, taking into account in particular the specific characteristics of the institution and the nature of the assets. They are presented explicitly;

c) Maturity of liabilities: the maturity date of liabilities is the contractual maturity date. When a liability has one or more optional repayment clauses, the institution justifies the date retained, instrument by instrument, in the narrative report mentioned in Article 2 of this instruction. The Prudential Control and Resolution Authority may, if necessary, require the modification of the retained maturity dates; d) Maturity date of cash guarantees received under the second paragraph of Article R. 513-6 of the Monetary and Financial Code: cash guarantees available on the first day amortize according to a scheme defined by institutions under conservative hypotheses, these hypotheses being presented explicitly.

Annex 3 to Instruction No. 2014-I-17
Elements for calculating the average life duration gap between assets and liabilities

Amounts Average Life
Duration
1 2
1 ASSETS including:
1.1 Loans benefiting from a first-ranking mortgage or equivalent guarantee
1.2 Promissory notes (Article L. 313-42 to L. 313-49 of the Monetary and Financial Code)
1.3 Exposures to public entities
1.4 Investments resulting from the acquisition of buildings under the exercise of a guarantee
1.5 Securities, values, and safe and liquid deposits under Article R. 513-6 of the Monetary and Financial Code
1.5.1 Including: Exposures to companies mentioned in the third paragraph of Article R. 513-8 of the Monetary and Financial Code
1.6 Secured loans
1.7 Shares, stock, and debt securities issued by a securitization vehicle
1.8 Other asset elements
2 PRIVILEGED LIABILITIES including:
2.1 Amount of privileged resources from credit institutions
2.2 Amount of privileged resources from customers
2.3 Amount of securities benefiting from the privilege
2.4 Impact of exchange rate variations on the nominal value of privileged resources
3 AVERAGE LIFE DURATION GAP TOTAL ASSETS AND PRIVILEGED LIABILITIES (LINE 1.5.1 INCLUDED)
3.1 Is this gap less than eighteen months?
4 AVERAGE LIFE DURATION GAP TOTAL ASSETS AND PRIVILEGED LIABILITIES (LINE 1.5.1 NOT INCLUDED)
4.1 Is this gap less than eighteen months?
YES/NO
YES/NO

Elements for calculating the average life duration gap between total assets and privileged liabilities Elements for calculating the average life duration gap between assets and liabilities

Amounts
Retained Average Life
Duration
1 2
1 ASSETS CONSIDERED TO THE EXTENT OF THE MINIMUM AMOUNT NECESSARY TO SATISFY THE RATIO OF COVERAGE MENTIONED IN ARTICLE R. 513-8 OF THE MONETARY AND FINANCIAL CODE including:
1.1 Loans benefiting from a first-ranking mortgage or equivalent guarantee
1.2 Promissory notes (Article L. 313-42 to L. 313-49 of the Monetary and Financial Code)
1.3 Exposures to public entities
1.4 Investments resulting from the acquisition of buildings under the exercise of a guarantee
1.5 Securities, values, and safe and liquid deposits under Article R. 513-6 after application of the limit provided in the last
paragraph of Article 9 of CRBF Regulation No. 99-10
1.6 Secured loans
1.7 Shares, stock, and debt securities issued by a securitization vehicle
1.8 Other asset elements
2 PRIVILEGED LIABILITIES including:
2.1 Amount of privileged resources from credit institutions
2.2 Amount of privileged resources from customers
2.3 Amount of securities benefiting from the privilege
2.4 Impact of exchange rate variations on the nominal value of privileged resources
3 AVERAGE LIFE DURATION GAP PRIVILEGED LIABILITIES AND RETAINED ASSETS
3.1 Does this gap respect the eighteen-month limit set by the second paragraph of Article 12 of CRBF Regulation No. 99-10? YES/NO

Elements for calculating the average life duration gap between assets considered to the extent of the minimum amount necessary to satisfy the coverage ratio and privileged liabilities (under the second paragraph of
Article 12 of CRBF Regulation No. 99-10)
Elements for calculating the average life duration gap between assets and liabilities

Annex 4 to Instruction No. 2014-I-17
Elements for calculating the average life duration gap between assets and liabilities

I – Scope
The average life durations of assets and liabilities are calculated on a nominal basis after taking into account exchange rate variations. They are calculated, on the liability side, from the nominal amount of privileged resources and, on the asset side, from the amount of elements covering privileged resources before weighting and before application of limits related to eligible quotas for refinancing of privileged liabilities as retained within the framework of the ratio mentioned in
Article R. 513-8 of the Monetary and Financial Code. Accrued but unpaid interest is not taken into account
neither on the asset nor on the liability side.

The amounts retained in these calculations include, if applicable, all elements directly attached to approximate as closely as possible the redemption value of these assets or these liabilities.

II – Procedure for declaring average life duration gaps between assets and liabilities The institution must declare the average life durations of all assets and liabilities within the scope defined in this annex. A second calculation of the average life durations is then performed by removing all gross exposures to the companies mentioned in the third paragraph of Article R. 513-8 of the Monetary and Financial Code.

In the case where, for one of these two operations, the average life duration gap between assets and liabilities exceeds eighteen months, the institution declares, under the provisions of the second paragraph of Article 12 of CRBF Regulation No. 99-10, the average life duration gap between its privileged liabilities and eligible assets considered to the extent of the minimum amount to satisfy the coverage ratio mentioned in Article R. 513-8 of the Monetary and Financial Code. Exposures to companies mentioned in the third paragraph of Article R. 513-8 of the Monetary and Financial Code can then be retained only within the limits set by the last paragraph of Article 9 of CRBF Regulation No. 99-10.

III – Hypotheses retained for calculation
The calculation of the average life durations of assets and liabilities is based on the following hypotheses:
a) Prepayment rate: the institution uses a prepayment rate calculated and used within the framework of its asset-liability management or that of a company mentioned in the third paragraph of Article R. 513-8 of the Monetary and Financial Code, if this rate is available, documented, and relevant. The institution may however use a prepayment rate calculated based on an available, documented, relevant, and sufficiently long history with regard to the data it has, if it demonstrates that the conditions set by the previous paragraph are not met; b) Asset performance: no hypothesis related to asset performance is applied within the framework of the calculation of the average life duration gap between assets and liabilities, except in cases where taking into account such a hypothesis would lead to a significant extension of the average life duration of assets;

c) Asset maturity: the maturity date of assets used in the framework of calculations can be the date of the first contractual repayment option available to the holder of the asset, subject to the explanation of this choice, or the contractual maturity date of the instrument. The average life durations of accounts and current deposits are estimated at one day; d) Maturity of privileged liabilities: the maturity date of liabilities used in the framework of calculations is always the date of the first contractual repayment option available to the holder of the liability, or, failing that, the contractual maturity date of the instrument. The hypotheses retained to make these estimates are explained.

Annex 5 to Instruction No. 2014-I-17
Privileged resource coverage plan and elements for calculating the level of coverage of privileged resources

ELEMENTS OF THE DENOMINATOR
1 2 3 6
4.1 4.2 5.1 5.2
Eligible, available and transferable assets likely to be sold directly Eligible, available and transferable assets likely to be mobilized Eligible new production, available and transferable likely to be sold directly Eligible new production, available and transferable likely to be mobilized T1 T2 T3 T4 T1 T2 T3 T4 T1 T2 T3 T4 T1 T2 T3 T4 T1 T2 T3 T4 T1 T2 T3 T4 T1 T2 T3 T4 Asset elements covering privileged resources (excluding 2 and 3) Securities and safe and liquid values under Article R. 513-6 (excluding 3) Cash generated by all assets recorded on the balance sheet and privileged liabilities Available and transferable eligible asset pool 5 Eligible, available and transferable new production Privileged resources Coverage Level (1+2+3+4.2+5.2)/6 ELEMENTS OF THE NUMERATOR 4 ...
....
Year N
A1
A2
A3
A4
A5
Elements for calculating the level of coverage of privileged resources LEVEL OF COVERAGE OF PRIVILEGED RESOURCES

Annex 6 to Instruction No. 2014-I-17
Privileged resource coverage plan and elements for calculating the level of coverage of privileged resources

I – Definition of the privileged resource coverage plan The institution defines, according to its own characteristics, the annual privileged resource coverage plan it would apply in the event that it ceased to issue privileged liabilities. Companies mentioned in the third paragraph of Article R. 513-8 are assumed to be going concerns.

The annual privileged resource coverage plan details the management principles retained by the institution in the situation described in the previous paragraph, within the limits of its knowledge.

The annual privileged resource coverage plan also describes the main methods and hypotheses retained to estimate the level of coverage of privileged resources. The coverage level corresponds to the quotient of different asset elements by privileged resources, as detailed below under Title II.

The institution submits to the Prudential Control and Resolution Authority each year the privileged resource coverage plan approved by the deliberative body under
Article 12 of CRBF Regulation No. 99-10 and, each quarter, the table
"Elements for calculating the level of coverage of privileged resources" attached which details the calculation of the coverage level.

II – Elements for calculating the coverage level The institution declares, at the statement date and on a quarterly step until the repayment of the last privileged resource, the following elements:

1. Asset elements covering privileged resources
   The declared elements are the asset elements covering privileged resources recorded on the balance sheet or received as collateral at the statement date, excluding elements defined under titles 2 and 3 below.

They are declared after weighting and after application of limits related to eligible quotas for refinancing by privileged resources as retained within the framework of calculating the ratio defined in Article R. 513-8 of the Monetary and Financial Code.

Accrued but unpaid interest is not taken into account.

The declared asset amounts include, if applicable, all elements directly attached to approximate as closely as possible the redemption value of these assets.

2. Securities and safe and liquid values under Article R. 513-6 of the Monetary and Financial
   Code
   The declared elements are those recorded on the institution's balance sheet at the statement date, excluding elements defined under title 3 below.

They are subject, each quarter of the projection, to the limits set by the first paragraph of Article R. 513-6 of the Monetary and Financial Code and by the last paragraph of Article 9 of CRBF Regulation No. 99-10.

Accrued but unpaid interest is not taken into account.

3. Cash generated by all assets recorded on the balance sheet and privileged liabilities
   The institution records cash flows generated by all assets recorded on the balance sheet and privileged liabilities.

4. Available and transferable eligible asset pool
   The institution declares eligible, available, and transferable assets present on the balance sheet of one or more companies mentioned in the third paragraph of Article R. 513-8 of the Monetary and Financial Code.

They are declared after weighting and after application of limits related to eligible quotas for refinancing by privileged resources as retained within the framework of calculating the ratio defined in Article R. 513-8 of the Monetary and Financial Code.

To be considered available within the meaning of Article 12 of CRBF Regulation No. 99-10, these assets must be capable of being mobilized or sold for the benefit of the institution during the first quarter following the statement date.

5. Eligible, available, and transferable new production
   The institution declares relevant and reasonable forecasts of new production based on conservative hypotheses, these hypotheses being explicit. The new productions of each quarter accumulate and do not enter into the calculation of the available and transferable eligible asset pool.

The new production retained in the calculation must be eligible, available, and transferable, and resulting from one or more companies mentioned in the 3rd paragraph of Article R 513-8 of the Monetary and Financial Code.

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