For swaps should we consider that we have a collateral agreement with the counterparty?

The submitter should report the swap in the Annex 5 in accordance with the letter (h) “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 and explain this in the explanatory note referred to in point (d) mention this in the explanatory document, as required by the letter “j” and “k” of the instruction of Annex 5. (quoting letter “ k d ”: “ For the purpose of the IMV, the valuation of each instrument shall be submitted to the institution’s competent authority by the IMV remittance date. By that day, institutions shall submit an explanatory note accompanying the results, that covers all of the points referred to in point (e). The IMV shall be provided in accordance with the institution’s front office valuation. Where this is not possible, the institution shall report in the explanatory note who is the IMV data source provider 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 .”). 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. The text of the Implementing Regulation may differ from the text of the draft ITS to which this Q&A refers.