QA2017-62 - Guidance T01.00

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Feb 01, 2024
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QA2017-62

Question


For the fulfillment of cell r333 and in order to estimate the amount to be reported: Shall we add to the result of cell r332 the IRS valuation, increased by the basis points used for the EBA 2016 adverse stress scenario?


Response


The close-out amount should be estimated by the bank on a best effort basis, taking into account the provisions of the Delegated regulation on derivative valuation. Due to the derivative-specific nature of the close-out amount, the SRB cannot give more guidance.