Question ID
2017_3359
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
415
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
ANNEX XIX, 1.5. Roll-over of funding (C 70.00)
Type of submitter
Credit institution
Subject matter
New, Matured, Roll Over classification
Question

How should institutions report the following: Counterparty A has one deposit maturing at the beginning of day 1 for the amount of 200 with an original maturity of 21 days. Counterparty A has booked three replacement trades totalling 225 (100 - 21 days, 50 - 7 days & 75 - 14 days).

Background on the question

In the above example it is not clear what time-band the new 25 should be reported within.

Submission date
Final publishing date
Final answer

For the purposes of template C 70.00 of Annex XVIII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) according to instructions para 1.5.1 reporting of rollover of funding seeks to collect information about 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. Accordingly reporting of rollover of funding is ex post reporting where a bank has precise information on previous trades. : When it is still not possible to identify afterwards the time bucket for new funding, the amount shall be reported in the nearest possible one. Accordingly, the deposit mentioned in the example in the question shall be reported as follows on Day 1.  

Furthermore,

  • the amount of 200 shall be reported as Maturing in the time bucket ‘>14 days = 1 month’,
  • the amount of 100 shall be reported as Roll over in the time bucket ‘>14 days = 1 month’,
  • the amount of 75 shall be reported as Roll over in the time bucket ‘> 7days = 14 days’,
  • the amount of 25 shall be reported as Roll-over in the time bucket ‘> 1 day = 7 days’,

and finally, the amount of 25 shall be reported as New Funds on Day 1 in the time bucket ‘> 1 day = 7 days’.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.
Attachments
1882506_FAQ Example template C70.00 of Annex XVIII.xls (68 KB)

Disclaimer

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