Single Rulebook Q&A

Question ID: 2018_4263
Legal act : Directive 2013/36/EU as amended by Directive (EU) 2019/878 – CRD5
Topic : Supervisory reporting
Article: 78
COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/2070 - ITS on Supervisory Reporting (for benchmarking the internal approaches) (as amended)
Article/Paragraph : Annex 5
Type of submitter: Credit institution
Subject matter : For swaps should we consider that we have a collateral agreement with the counterparty?

In the EBA ITS package for 2019 benchmarking exercise, for swaps should we consider that we have a collateral agreement with the counterparty?


Background on the question:

In order to align with other peers.

Date of submission: 11/09/2018
Published as Final Q&A: 29/03/2019
EBA answer:

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.”).

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. The text of the Implementing Regulation may differ from the text of the draft ITS to which this Q&A refers.
Status: Final Q&A
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