AMM

Question 1

AMM = Asset Encumbrance Monitoring reporting

Answer 1

AMM reporting is a prudential supervisory reporting requirement under CRR (Article 430) designed to allow regulators to monitor:

The extent of asset encumbrance

The impact on liquidity and funding flexibility

The availability of unencumbered assets for funding

Asset encumbrance means assets that:

Are pledged, collateralised, or otherwise restricted

Cannot be freely used for funding or liquidity purposes

Examples:

Assets pledged to central banks

Repo collateral

Covered bond collateral pools

Derivative margin collateral

Question 2

Regulatory framework

Answer 2

AMM reporting is governed by:

CRR Article 430

EBA ITS on Supervisory Reporting

Implemented via COREP AMM templates

Submitted using XBRL via national competent authorities (NCAs)

CRR3 does not fundamentally change AMM scope, but:

Improves reporting consistency

Aligns definitions and reporting quality expectations

Supports enhanced supervisory transparency

Question 3

Institutions in scope

Answer 3

AMM reporting applies to:

Mandatory scope

All CRR institutions, including:

Credit institutions (banks)

Investment firms subject to CRR

EU subsidiaries of third-country banks (if CRR-regulated)

Scope of consolidation

Reported at:

Individual level

Consolidated level

Sub-consolidated level (where applicable)

Based on prudential consolidation scope.

Question 4

What must be reported (AMM reporting content)

Answer 4

A. Encumbered assets

Assets that are pledged or restricted.

Examples reported:

Loans pledged as collateral

Securities used in repo or derivatives

Covered bond collateral pools

Central bank collateral

Reported breakdown:

By asset type

By accounting category

By collateral purpose

B. Unencumbered assets

Assets available for funding or liquidity use.

Includes:

Eligible collateral assets

Liquid assets

Available securities

Loans not pledged

Important supervisory indicator.

C. Collateral received and re-used

Collateral received by the institution:

Examples:

Reverse repo collateral

Securities lending collateral

Derivative margin collateral

Shows collateral chains and reuse risk.

D. Sources of encumbrance

Encumbrance by funding type:

Examples:

Covered bonds

Repo transactions

Central bank funding

Derivatives collateral

Secured funding

Allows supervisors to understand funding dependence.

Question 5

AMM reporting templates

Answer 5

Key templates include:

Template Description
AMM 01 Encumbered and unencumbered assets
AMM 02 Collateral received
AMM 03 Sources of encumbrance
AMM 04 Additional monitoring metrics

Question 6

Reporting frequency

Answer 6

Institution type Frequency
Large institutions Quarterly
Medium institutions Quarterly
Small / non-complex institutions Quarterly or simplified

Submission deadlines typically:

30–45 days after quarter-end

Question 7

Purpose of AMM reporting (supervisory perspective)

Answer 7

Supervisors use AMM reporting to assess:

Liquidity risk

Availability of assets for funding

Potential liquidity stress vulnerability

Funding risk

Dependence on secured funding

Covered bond encumbrance levels

Resolution readiness

Availability of bail-in-able and usable assets

Financial stability monitoring

System-wide encumbrance trends

Question 8

Relationship with other regulatory frameworks

Answer 8

AMM reporting complements:

COREP capital reporting

LCR (Liquidity Coverage Ratio)

NSFR (Net Stable Funding Ratio)

Resolution planning

Pillar 2 liquidity assessment

AMM focuses specifically on asset availability and encumbrance.

Question 9

CRR3 impact on AMM reporting

Answer 9

CRR3 impact is indirect, but important:

No fundamental redesign of AMM templates

However CRR3 leads to:

Enhanced data consistency expectations

More integrated reporting with Pillar 3 and COREP

Stronger supervisory focus on collateral, encumbrance and funding structures

Alignment with Basel III final reforms

Question 10

Practical scope summary (simple view)

Answer 10

Assets:

Encumbered assets

Unencumbered assets

Collateral:

Received collateral

Reused collateral

Funding sources:

Repo funding

Covered bonds

Central bank funding

Derivatives collateral

Scope levels:

Individual entity

Consolidated group

Sub-consolidated level

Frequency:

Quarterly

Question 11

AMM scope

Answer 11

AMM reporting is a quarterly prudential reporting requirement under CRR designed to monitor asset encumbrance and funding flexibility. It applies to all CRR institutions and covers encumbered assets, unencumbered assets, collateral received, and sources of encumbrance, reported at individual and consolidated levels using standardized COREP templates.