Question ID:
2019_4581
Legal Act:
Regulation (EU) No 575/2013 (CRR) as amended
Topic:
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article:
415
Paragraph:
3
Subparagraph:
b
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
ANNEX VIII
Disclose name of institution / entity:
No
Type of submitter:
Credit institution
Subject Matter:
Clarification on the reporting of "maturing" columns in COREP ALMM C 70.00 "Roll-over of funding"
Question:

In the "Maturing" columns of C 70 .00, do we have the option of reporting in two different ways? We can either report "Maturing" amounts according to all liabilities contractually withdrawable by the providers of funding for each day of the month. Or we can report only the amounts "Maturing" which are due on the relevant day.

Background on the question:

In the INSTRUCTIONS FOR COMPLETING THE ADDITIONAL MONITORING TOOLS TEMPLATE OF ANNEX XVIII Paragrapgh 1.5., subparagrapgh 8, the instructions are written as if we can interpret reporting the "Maturing" amount in two different ways. Phrasing in subparagrapgh 8 &10: 8. The “Maturing” amount comprises all liabilities that were contractually withdrawable by the provider of the funding or due on the relevant day in the reporting period. It always is reported with a positive sign. 10. The “New funds” amount comprises actual inflows of funding on the relevant day in the reporting period. It always is reported with a positive sign. Subparagraph 10 "New funds" specifically state that the amounts in question refers to the actual inflows of funding on the relevant day. Whereas subparagrapgh 8 "Maturing" states that the amount comprises all liabilities contractually withdrawable by the provider of the funding OR due on the relevant day. In the "Maturing" column, are we to report amounts according to all liabilities contractually withdrawable by the providers of funding, split into the different maturity buckets for the relevant day? This is how we have currently been reporting. Or can we also report only the amounts "Maturing" which are due on the relevant day? Which scenario is correct for reporting the maturing amounts in C 70.00, or are both accepted: 1. An institution has 10 bnEUR in total liabilities contractually withdrawable by the providers of funding. In C70 that 10 bnEUR is reported in the "maturing" columns on each day of the calendar month and it is effected by the new funds and and maturing funds due on each day of the calendar month. 2. An institution has 10 bnEUR in total liabilities contractually withdrawable by the providers of funding. On Day 1 there is no maturing amount due on the the day so the maturing columns are left empty. On Day 2 10 mEUR is due, so it is reported as maturing in the relevant maturity bucket. We understand that typically there are not two seperate ways for reporting so we would like to understand which interpretation is correct.

Date of submission:
27/02/2019
Published as Final Q&A:
17/07/2020
EBA Answer:

According to Annex XVIII (template) and Annex XIX (instructions) of Regulation (EU) No 680/2014 as amended by Implementing Regulation (EU) 2017/2114, institutions are required to report in supervisory reporting template C 70.00 the volume of funds maturing and new funding obtained, i.e., ‘roll-over of funding’ on a daily basis over the month preceding the reporting date. In accordance with paragraph 1.5.8 of Annex XIX, the ‘maturing’ amount shall comprise all liabilities that were contractually withdrawable by the provider of the funding or due on the relevant day in the reporting period.
For liabilities that are contractually due on a particular date, institutions shall report the amount maturing in the column ‘Maturing’ under the parent category that reflects the initial original maturity of the liabilities (with the original maturity mapped into the parent categories described in paragraph 1.5.2 of Annex XIX). Of this amount, institutions shall report the amount of funds rolled over in the column ‘Roll over’ under the parent category that reflects the new maturity of the liabilities rolled-over (with the new maturity of the liabilities rolled-over mapped into the parent categories described in paragraph 1.5.2 of Annex XIX).
Where liabilities are contractually withdrawable on each day (e.g., current accounts), they shall be reported as if being maturing overnight, i.e., to be reported in the column ‘Maturing’ under the parent category ‘Overnight’. Of this amount, the amount that was not withdrawn by the funding provider on this particular day shall be reported under the column ‘Roll over’ under the same parent category, i.e., ‘Overnight’.

Status:
Final Q&A