Assume the following data for a puttable bond:
Origination date: 30.08.2018
First investors’ put optionality: 15.02.2019
Second investors’ put optionality: 15.05.2019
Final maturity: 30.10.2020
From our point of view, the instructions of annex XXII (reference 1.1.4) and annex XXIII (paragraph 12) in combination with the answers to the question 2 in EBA/ITS/2017/01 suggest this bond should be assigned with original (OM) and residual maturities (RM), both in days, for illustrative reporting dates as shown below:
Reporting date: 31.08.2018: OM 169; RM 168
Reporting date: 30.09.2018: OM 169; RM 138
Reporting date: 30.12.2018: OM 169; RM 47
Reporting date: 31.03.2019: OM 169; RM 45
Reporting date: 30.06.2019: OM 169; RM 488
Reporting date: 30.09.2019: OM 169; RM 396
The instructions for calculating original and residual maturities in the context of the changed requirements for ALMM appear technically as transparent. However, as the given definition of original maturity is kind of unexpected, the further clarification by an illustrative example is highly appreciated.
In accordance with paragraph 2 of Part I of Annex XXIII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) as amended by Regulation (EU) 2017/2114, reporting of template C 66.01 refers to the residual maturity of contractual flows resulting from legally binding agreements. The flows are to be reported according to their residual maturity in the relevant time bucket. Flows with optionality should be reported on the basis of a conservative approach according to Part I, paragraph 12 of Annex XXIII.
With regard to the example above, the flows of a puttable bond are to be reported as follows: