Classification of multilateral development banks (MDBs) for the purpose of the reporting of the Additional Liquidity Monitoring Metrics (ALMM)

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

European Banking Authority · Accepted Answer

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.

Classification of multilateral development banks (MDBs) for the purpose of the reporting of the Additional Liquidity Monitoring Metrics (ALMM)

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