Question ID:
2016_2631
Legal Act:
Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 – CRR2
Topic:
Leverage ratio
Article:
429(13), 429a
COM Delegated or Implementing Acts/RTS/ITS/GLs:
Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
Article/Paragraph:
1
Type of submitter:
Competent authority
Subject Matter:
Calculation of derecognised fiduciary assets
Question:

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 429 (13) CRR?

Background on the question:
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.
Date of submission:
17/02/2016
Published as Final Q&A:
17/03/2017
EBA Answer:

According to Article 429 (13) 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 Article 429 (13) 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) No 680/2014 (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 Article 429a (1) and Article 429a (8) of the CRR, respectively – regardless whether they are excluded or not from the leverage ratio exposure measure.
Status:
Final Q&A