ALMM C66 taxonomy control – negative cells

Can you please review the severity of some taxonomy controls to be consistent with economic flows and the Joint Liquidity Template of the ECB?

We think the following taxonomy controls should be reviewed: ID Severity Scope of the control Control applied v5903_s Warning All rows and columns related to inflows and outflows >= 0 v5909_s Warning All rows and columns related to inflows and outflows (identical to ID v5903_s) >= 0 v5911_s Warning The initial stock of the counterbalancing capacity and HQLA central bank eligible and other tradable assets that are non-HQLA central bank eligible >= 0 v5912_s Warning All maturity buckets related to behavioural inflows and outflows >= 0 As explained in the ECB’s reporting Instructions of the Joint Liquidity Template’s Section 2 (Maturity Ladder):   There is a possibility for a cell ending up with an overall negative value in the following cases:  (i) potential negative interest flows outweigh the rest of the flows occurring in that time bucket for that item. That is any potential negative interest income is expected be treated in the same way as positive interest income, yet with an opposite sign; and (ii) the first leg of a forward starting transaction (which is expected have a negative sign) outweighs the rest of the flows occurring in that time bucket for that asset/liability category.   We would welcome an alignment of the rules: For the sake of consistency between SSMLE and ALMM C66 To better reflect the economic reality of the negative flow that can take place on a given time bucket for the reason explained above by the ECB   In addition, when the credit institution submits the template with a Warning, the Data Quality Indicator report of the ECB is downgraded, which in turn will have a negative impact on the SREP rating of the credit institution. However, it’s questionable to have a negative impact on the SREP rating related to a taxonomic control for which the economic flow is correct.