Question ID
2018_3732
Legal act
Directive 2014/59/EU (BRRD)
Topic
Resolution financing arrangements
Article
103
Paragraph
2
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Delegated Regulation (EU) 2015/63 - DR on ex ante contributions to resolution financing arrangements
Article/Paragraph
Art. 5, paragraph 3
Name of institution / submitter
INTESA SANPAOLO SPA
Country of incorporation / residence
ITALY
Type of submitter
Credit institution
Subject matter
Leverage ratio methodology - Art. 429(6) and (7) of Reg.(EU) No 575/2013 and Art. 429 a) of the Del. Reg. 2015/62 - art. 5 par. 3 of Comm. Deleg. Regulation (EU) 2015/63
Question

To fill in some parts of the SRF 2018 Ex ante contributions Reporting forms in line with the Commission Delegated Regulation (EU) 2015/63, in particular the section related to “Derivative adjustment” (Art. 5 par 3), institutions must apply the “leverage ratio methodology” as defined in art. 429 of regulation 575 (CRR) to derivatives recognized in accordance with Article 295, where the current market value of the derivatives is negative. Are the variation margins paid in cash to the counterparty (a receivable asset) deductible from the net negative current market value (liability) of derivatives, based on the instructions contained in par. 3 of Article 429 a) of the delegated regulation 2015/62?

Background on the question

According to par. 3 of Article 429 a) of the delegated regulation 2015/62 “institutions may deduct variation margin received in cash from the counterparty from the current replacement cost portion of the exposure value in so far as under the applicable accounting framework the variation margin has not already been recognised as a reduction of the exposure value…” where some conditions are met. One of these conditions applies “… Where under the applicable accounting framework an institution recognises the variation margin paid in cash to the counterparty as a receivable asset, it may exclude that asset from the exposure measure provided that the conditions in points (a) to (e) are met.“ In case the afore mentioned conditions are all met, may an institution that recognises the variation margin paid in cash to the counterparty as a receivable asset, deduct that variation margin from the calculation of the net negative current market value (liability) of derivatives, based on the instructions contained in par. 3 of Article 429 a) of the delegated regulation 2015/62?

Submission date
Rejected publishing date
Rationale for rejection

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Status
Rejected question