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, institutions are required, as from 1 March 2018, to resubmit template C 66.00 (Maturity ladder) as part of the additional monitoring metrics, having followed the relevant instructions for completion (Annexes XI and XII). The existing reporting requirements using templates C 67.00, C 68.00, C 69.00, C 70.00 and C 71.00 as well as the instructions for completing them have been revised (Annexes VII to X).
Moreover, Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting has made a number of minor clarifications to the instructions for completing the templates for reporting additional monitoring metrics.

The additional monitoring metrics comprise the following reports:

  • C 66.01 - Maturity ladder
  • 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 is 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 apply the quarterly reporting obligations pursuant to Article 16b(2) letter (a) of Implementing Regulation (EU) No 680/2014 has been specified 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 the institutions which meet all of the criteria set out under Article 16b (2) of Implementing Regulation (EU) No 680/2014 as at the relevant reporting date will submit reports with a quarterly frequency. Should an institution meeting the criteria nonetheless wish to report with a monthly frequency, it must inform the Bundesbank of this in advance.