Question ID
2014_1632
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Liquidity (LCR, NSFR, AMM)
Article
415
Paragraph
3
Subparagraph
b
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions
Article/Paragraph
Annex IV
Type of submitter
Individual
Subject matter
General principle of C70 Roll-over of funding
Question

Is C70 a look back report for the last month or is a cumulative reports for daily data?

Background on the question

No matter the approach the total values reported on C70 are going to be the same, but values can go into different maturity buckets based on interpretations. 1. Report is an end of month look-back approach – reporting is done based on what actually happened with regards of funding during the reporting month. For example if on the first of the month a 10 day deposit is created , but on day 5 is terminated before maturity, in reporting at end of the month, it will be reported based on actual maturity of the product ( >1 day <= 7days bucket). 2. A monthly cumulative report gather funding data on a daily basis – is like calculation of data for each day, with delivery of data at end of month. What happens on a certain day affects just that day and not any previous day. For the same example the 10 day deposit is created on the first day of the month, but terminated on day 5, it will go into the report based on original maturity of the product (>7day <=14 days) , and not observed maturity. I have attached a file with an example of difference between the 2 approaches.

Submission date
Final publishing date
Final answer

Template C 70.00 of Annex XX of final draft implementing technical standard (ITS) on additional liquidity monitoring metrics under Article 415(3)(b) of Regulation (EU) No 575/2013 (EBA/ITS/2013/11/rev1 (of 24 July 2014))  collects information about the volume of funds maturing and new funding obtained i.e. ‘roll-over of funding’ on a daily basis over a monthly time horizon.

Institutions shall report at the end of the month, data referred to the previous month on a daily basis.

For each day of the month institutions shall report in the appropriate funding category, the amount of funding matured, rolled-over and newly obtained. Data shall be reported by time buckets according to the original maturity. This approach differs from the Data Point Model (DPM), which asks for the residual maturity. The DPM therefore will be amended. The maturity shall be assessed according to the earliest possible termination date.

 

DISCLAIMER:

The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal, which may differ from the text of the draft ITS to which this Q&A relates. 

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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