Additional monitoring metrics (AMM) for liquidity reporting

Commission Implementing Regulation (EU) No 2016/313 of 1 March 2016 amending Commission Implementing Regulation (EU) 680/2014 introduced templates C 67.00, C 68.00, C 69.00, C 70.00 and C 71.00 as additional monitoring metrics (AMM) for liquidity reporting. 

Commission Implementing Regulation (EU) No 2017/2114 of 9 November 2017 supplemented the AMM for liquidity reporting by adding template C 66.00 “Maturity Ladder” and revised the existing templates and their instructions for completion (Annexes VII to XII).

In addition, Commission Implementing Regulations (EU) No 2018/1627 of 9 October 2018 and No 2020/429 of 14 February 2020 made some adjustments and clarifications to the AMM templates and instructions for completion.

The AMM 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 AMM reporting frequency depends largely on the size of the institution. In principle, Article 16b(1) of Commission Implementing Regulation (EU) No 680/2014 provides for the submission of reports with a monthly frequency, though Article 16b(2) permits certain institutions to submit their reports with a quarterly frequency. 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 is narrowed down in Article 1(4) of Implementing Regulation (EU) 2017/2114 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 reference 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.