In the EBA ITS package for 2019 benchmarking exercise, for swaps should we consider that we have a collateral agreement with the counterparty?
In order to align with other peers.
The submitter should report the swap in the Annex 5 in accordance with the letter “c” of the instruction: “The risks of the positions shall be calculated without taking into account the funding costs. Where applicable, Banks shall use the overnight rate of the instrument currency as the discount rate.”
The submitter should mention this in the explanatory document, as required by the letter “j” and “k” of the instruction of Annex 5. (quoting letter “k”: “In the case that a bank is required to make additional assumptions beyond those specified here that it believes are relevant to the interpretation of its exercise results […], it should submit a description of those specifications in a separate explanatory document to be delivered to the Competent Authority accompanying the results.”).