For the purpose of the reporting of the ALMM, are MDBs to be considered as financial counterparties, non-financial corporate counterparties or other counterparties?

MDBs are not explicitly referred to in the Regulation (EU) No 680/2014 (as amended by Regulation (EU) 2017/2114) as regards the ALMM.

The instructions on C 67.00 and C 71.00 prescribe that FINREP economic sector classes should be followed in the determination of the issuer classification. On this point, FINREP instructions (paragraph 42(c), Annex V, Part 1) explicitly state that multilateral development banks (MDBs) should be classified as “Credit institutions”.

In contrast, the instructions on C 66.00, C 68.00, C 69.00, C 70.00 do not refer to FINREP economic sector classes. Accordingly, the categorization of MDBs should be aligned with the specifications used for the calculation of the Liquidity Coverage Ratio (LCR) laid down in the Delegated Regulation (EU) 2015/61 (LCR DR). Under the latter, MDBs are treated as non-financial wholesale customers. Correspondingly, for the purpose of the reporting of the ALMM templates C 66.00, C 68.00, C 69.00 and C 70.00, entities that qualify as MDBs under the LCR DR, should be considered as non-financial wholesale customers.