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).
In the above example it is not clear what time-band the new 25 should be reported within.
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.
and finally, the amount of 25 shall be reported as New Funds on Day 1 in the time bucket ‘> 1 day <= 7 days’.