Question
The ANNEX XXI instructions for the ALMM C70 Roll-overs return do not outline whether initial maturity or remaining maturity should be reported. With regard to the C70 Roll-overs return, should respondents report maturing funding at initial maturity rather than remaining maturity?
Background on the question
In reading the instructions for the ALMM C70 Roll-overs return, we are unsure as to whether the Authority intends respondents to report funding at remaining maturity (and thereby receive a view of the outstanding term profile) or at initial maturity (and thereby receive a view that matches maturing funding term with the corresponding replacement of funding). For example: The respondent bank has an outstanding EUR100m repurchase agreement liability of initial (original) term 95 days (remaining term of only 50 days) which it agrees with the counterparty to roll-over with a 95 day term. Should the repondent report the maturing cashflow and the roll-over cashflow a) at initial term: i.e. both flows in the '>3 Months ≤ 6 Months' time bucket or b) at remaining term: with the maturing cashflow in the '>1 Month ≤ 3 Months' time bucket and the roll-over cashflow in the '>3 Months ≤ 6 Months' time bucket?
Answer
All items in 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)) should be reported by original maturity in order to reflect how funding is replaced/ rolled over. 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.