EBA E-mail alert August 30, 2024

Where should the cash collateral receivables on derivative transactions be disclosed in template C43

What’s the appropriate definition of 'accounting value' of repos and reverse repos in UK, for NSFR reporting purposes?  We have identified several potential interpretations, which include:

1) The cash nominal at the value date of the transaction (referred to as 'outstanding').
2) The cash nominal at the value date, plus the accrued interests.
3) The outstanding value (as defined in point 1), plus all interests flows (both accrued and non-accrued).
4) The outstanding value (as defined in point 1) multiplied by a discount factor, plus the interests flows multiplied by a discount factor. This could be considered a form of cash fair value.

When netting repos and reverse repos of the same counterparty together under the appropriate conditions, for NSFR purpose, should we use the same 'accounting value' to determine if the net position falls under a repo or a reverse? 

Any guidance you can provide on this matter would be greatly appreciated.