- Question ID
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2016_2631
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Leverage ratio
- Article
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429a
- Paragraph
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(1)(i)
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
- Article/Paragraph
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1
- Type of submitter
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Competent authority
- Subject matter
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Calculation of derecognised fiduciary assets
- Question
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Are institutions required to calculate the value of their fiduciary assets in accordance with the leverage ratio framework even though the assets are already derecognised pursuant to Article 429a(1)(i) of the CRR?
- Background on the question
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A derivative portfolio of an institution could potentially fulfil the conditions laid down in Article 429 (13) of Regulation (EU) No 575/2013 (CRR), amended by the Commission Delegated Regulation (EU) 2015/62, and might therefore be excluded from the leverage ratio exposure measure. The institution expects not only to increase its leverage ratio by derecognising the possible fiduciary assets but furthermore seeks to decrease its effort required for continuously determining the value of the derivatives. The latter one shall be achieved by maintaining a fixed value for the excluded derivatives (more specifically, the value on 31 December 2014). The institution does not plan a regular (not even an annual) reassessment of the derivatives.
- Submission date
- Final publishing date
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- Final answer
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According to Article
429 (13)429a(1)(i) of Regulation (EU) No 575/2013 (CRR),as amended by Commission Delegated Regulation (EU) 2015/62,fiduciary assets that are included in the accounting balance sheet according to the national generally accepted accounting principles, can be excluded from the leverage ratio exposure measure, provided that they meet the criteria for non-recognition set out in IAS 39, and where applicable, the criteria for non-consolidation, as set out in IFRS 10.The value of the fiduciary assets that are included in the balance sheet, but are excluded from the leverage ratio exposure measure according to Article429 (13)429a(1)(i) of the CRR, must be reported to the supervisor in table C47.00, row 240 (LRCalc) according to Part II, paragraph 20 of Annex XI of Regulation (EU) No680/2014451/2021 (ITS on Supervisory Reporting) as amended by Commission Implementing Regulation (EU) 2016/428, and must be disclosed according to Article 5 of Commission Implementing Regulation (EU) 2016/200.As row 240 of LRCalc subtracts the value of fiduciary assets, the leverage ratio exposure measure of the fiduciary assets still has to be reported in the template where appropriate (such as in the cells relating to derivatives if the fiduciary items represent derivatives). Analogous to what is specified in row 240 of LRCalc – that other assets that benefit from the exemption still have to be reported under row 190 which in turn is calculated differently from the value under the applicable accounting framework – in case of derivatives the value still has to be determined in accordance with Articles429a (1) and Article 429a (8)429c(1) and 429c(6) of the CRR, respectively – regardless whether they are excluded or not from the leverage ratio exposure measure. - Status
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Final Q&A
- Answer prepared by
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Answer prepared by the EBA.
- Note to Q&A
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Update 26.03.2021: This Q&A has not yet been reviewed by the EBA in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR).Update 28.10.2021: This Q&A has been amended in light of the change(s) in Part Seven to Regulation (EU) No 575/2013 (CRR), applicable from 28.06.2021.
Disclaimer
The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.