Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Annex XXII chapter 17 and 18
Disclose name of institution / entity:
Name of institution / submitter:
Achmea Bank
Country of incorporation / residence:
Type of submitter:
Credit institution
Subject Matter:
Reporting of memorandum items behavioural outflow/inflow in the ALMM maturity ladder (C 66.01)

The instructions on memorandum items behavioural outflow/inflow state to redistribute the amounts in items 1.3 (deposits) and 2.2 (loans). Does this mean that the total amount of notional and interest cash flows according to contractual agreements are redistributed across the time buckets? In other words, is it expected that the total amount in column 020 till 220 of row 17 (and 18) equal the total amount in column 020 till 220 of row 1.3 (and 2.2)?


Background on the question:

Memorandum items 17 and 18 of ALMM have to be reported in accordance with the instructions in Annex XXII. These instructions state that the amounts reported in items 1.3 and 2.2 have to be redistributed into time buckets according to behavioural maturity. Items 1.3 (deposits) and 2.2 (loans) consist of all future contractual cash flows, both notional and interest, resulting from legally binding agreements. By following the instructions in Annex XXII, the total amount of notional and interest cash flows according to contractual agreements are allocated across time buckets related to behavioural maturity. From our point of view this seems strange because shortening or extending the maturity of the notional cash flow affects the height of the interest cash flows to be received. For example, a mortgage with a contractual term of 20 years that on behavioural assumptions redeems in 7 years. In item 2.2 interest cashflows are reported for 20 years and are (in total) higher than the expected interest cashflows based on a redemption profile of 7 years (behavioural). However the instruction in the Annex XXII on behavioural memorandum items appears to reflect that the total amount of (interest) cashflows reported for 20 years has to be redistributed to 7 years.

Date of submission:
Published as Final Q&A:
Final Answer:

The instructions on the behavioural items nos. 17, 18 and 19 reported in rows 1270, 1280 and 1290 of template C 66.01 of Annex XXII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) point out that the amounts reported in items 1.3/ 2.2/ 4.1 should be redistributed into the time buckets according to the behavioural maturity on a ‘business as usual’ basis used for the purpose of the liquidity risk management of the reporting institution. For the purposes of this field, ‘business as usual’ shall mean ‘a situation without any liquidity stress assumption’.  Moreover Part I, General Instructions, para 13, emphasises that interest outflows and inflows from all on and off-balance-sheet instruments shall be included in all relevant items of the ‘outflows’ and ‘inflows’ sections.

With regard to the redistribution of contractually agreed amounts and the allocation according to behavioural assumptions, deviations in the totals of cash flows compared to the contractual amounts could arise owing to interest flows. Therefore, the reporting of behavioural item nos. 17, 18 and 19 does not necessarily imply that the total amounts of rows 260/ 590/ 1090 equal the total amounts  of rows 1270/ 1280/ 1290 respectively.

Final Q&A
Answer prepared by:
Answer prepared by the EBA.