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Additional monitoring metrics for liquidity reporting

Pursuant to COMMISSION IMPLEMENTING REGULATION (EU) 2017/2114 of 9 November 2017 amending Implementing Regulation (EU) No 680/2014 as regards templates and instructions, from 1 March 2018, as part of the additional monitoring metrics for liquidity reporting, reporting form C 66.00 Time bucket must be resubmitted, following the instructions for completion (Annexes XI and XII). The existing reporting requirements using reporting templates C 67.00, C 68.00, C 69.00, C 70.00 and C 71.00 as well as the instructions for completion have been revised (Annexes VII to X).

The additional liquidity monitoring metrics include the required reports listed below:

  • C 66.00 - Time bucket
  • C 67.00 - Concentration of funding by counterparty
  • C 68.00 - Concentration of funding by product type
  • C 69.00 - Prices for various lengths of funding
  • C 70.00 - Roll-over of funding
  • C 71.00 - Concentration of counterbalancing capacity by issuer/counterparty 

The first reporting date will be 31 March 2018 for both monthly and quarterly reporting.

In addition, pursuant to Article 1 (4) of Implementing Regulation (EU) 2017/2114, the group of institutions required to report on a quarterly basis pursuant to Article 16b (2), point (a) of Implementing Regulation (EU) No 680/2014 is specifically defined as follows:

"(a) the institution does not form part of a group comprising credit institutions, investment firms or financial institutions with subsidiaries or parent institutions located in jurisdictions other than the institution's jurisdiction of incorporation;".

BaFin and the Bundesbank assume that all institutions which meet all of the criteria pursuant to Article 16 (b) (2) of Implementing Regulation (EU) No 680/2014 on the relevant reporting date will submit reports on a quarterly basis. Should an institution meet the criteria but nonetheless wish to report on a monthly basis, it must inform the Bundesbank of this in advance.