- Question ID
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2015_1924
- Legal act
- Directive 2014/59/EU (BRRD)
- Topic
- Resolution financing arrangements
- Article
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103
- Paragraph
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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
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5(1)
- Type of submitter
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Competent authority
- Subject matter
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Exclusion of Intragroup Liabilities -Treatment of intra-group derivative contracts
- Question
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How to apply requirement of Article 5 (4) to substitute any accounting value of liabilities arising from derivative contracts by a corresponding value determined in line with Article 5 (3) and possibility to exclude specific intra-group liabilities according to Article 5 (1) a)?
- Background on the question
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"In many cases, derivative exposures / liabilities of institutions arise from intra-group transactions that shall be finally excluded from the contribution basis. However, calculation (and the way of exclusion) of value of liabilities arising from derivative contracts differs from other liabilities, where the accounting value is just sourced by snapshot of approved and audited year-end annual financial statements. In case of derivative liabilities the whole calculation of contributions becomes rather complex. "
- Submission date
- Final publishing date
-
- Final answer
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Liabilities arising from derivative transactions qualifying for exclusions shall be excluded according to Article 5 (1) a) of the Commission Delegated Regulation (EU) 2015/63 (Delegated Act). Nevertheless, the value of such exclusions must be determined.
Article 5 (3) of the Delegated Act provides that liabilities arising from derivative contracts call for specific valuation treatment irrespective whether such transactions are concluded between counterparties who are members of a group or not.
Therefore when calculating the value of the excluded liabilities under Article 5 (1) (a) institutions shall (in accordance with Article 5 (4) of the Commission Delegated Regulation (EU) 2015/63) substitute any accounting value of liabilities that are to be excluded under Article 5 (1) and which arise from all relevant derivative contracts with a corresponding value determined in line with Article 5 (3).
For the avoidance of doubt, it should be noted that the reference to Article 429 (6) and (7) of Regulation (EU) No 575/2013 (CRR) in Article 5 (3) of the Commission Delegated Regulation (EU) 2015/63 is no longer valid. Part Seven of Regulation (EU) No 575/2013 (CRR) with respect to the Leverage ratio
Commission Delegated Regulation 2015/62 amending Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the leverage ratio changed Article 429 CRR and replaced it with Article 429 (revised), 429 (a) and 429 (b). These modifications became effective 18th January 2015 andshould be taken into account when calculating the value of the exclusions under Article 5 (3) of the Delegated Act. - 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 been updated in the light of the changes introduced to Directive 2014/59/EU (BRRD).
Disclaimer
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