EBA · 2025_7361 Rejected question

ALMM total funding – payables

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
Annex 19, Section 1.1 (2), Section 1.2 (5)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Submitted by
Credit institution
Submitted
2025-02-28
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Question

Should liabilities arising from the following payables be considered sources of funding and included in templates C 67.00 and C 68.00 if they are included as financial liabilities in FINREP? Should they also be in scope for templates C 69.00 and C 70.00? Amounts payable in respect of future settlements of transactions in securities, such as trade date payables  Payables in relation to securities fails to receive  Other payables such as brokerage payables (e.g. margin deposits made under derivative contracts, as defined under Regulation (EU) 2021/379, which may not be freely available for on-lending)

Background

The ALMM ITS and related EBA Q&As suggest total funding reported under C67 should match total financial liabilities reported under FINREP. However the more recent EBA Q&A 2023_6956 states that there may be divergences.    Trade date payables, brokerage payables and fails to receive, even if reported as financial liabilities under FINREP, do not represent sources of funding. If material, the inclusion of these items in ALMM would distort the representation of sources of funding risk for a bank (liabilities categories such as deposits, repo, debt securities issued, other subordinated debt). Furthermore, these payables usually mirror trade date receivables for bonds where the credit institutions is a market maker.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2025_7361

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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