What are the intended time periods for the columns “Spread” and “Volume” in template C69.00 – Prices for Various Lengths of Funding?

The period for each funding length in each column of C69.00 does not give the duration of the period covered by the funding. For example it is not clear whether columns 050 & 060, labelled “1 month”, are intended to include funding with lengths “>1 week and <=1 month” or with lengths “>=1 month and <3 months”.

The maturity buckets in C 69.00 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 include funding with original maturity longer than the previous time band up to the maturity indicated therein. In the 1 week bucket (columns 030 and 040 of C 69.00) institutions should report volume and prices referred to transactions with original maturity longer than overnight and up to 1 week. The same logic applies to the other time buckets.

With reference to the 10 year bucket, institutions should report data referring to transactions where the maturity is longer than 5 years up to 10 years. Transactions with maturities longer than 10 years shall not be reported.

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.