Question ID:
2019_4499
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Leverage ratio
Article:
429
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
Article/Paragraph:
429
Disclose name of institution / entity:
No
Type of submitter:
Individual
Subject Matter:
Treatment of exposure for unsettled repurchase and reverse repurchase agreements
Question:

For leverage ratio calculation purposes, it is asked to clarify the exposures to be recognized for both repurchase and reverse repurchase agreements, with specific reference to unsettled transactions.

Background on the question:

According to art. 429 of CRR (as modified from Commission Delegated Regulation 2015/62), exposures to be considered for the Leverage ratio purposes shall follow the rules set in par. 4; specifically, for repurchase and reverse repurchase transactions, the following components shall be considered: - the accounting value as set in art. 111.1, first sentence; - the add-on for counterparty risk as set in art. 429.4(c). As of the quarter-end: - in case of unsettled reverse repurchase agreements, commitments to deliver are recognized for accounting purposes (e.g. where trade date is set on 29th day of the reporting month, and settlement date is set on 2nd day of the following month); considering that the cash for settling is still in the bank’s availability (among “Other assets” for Leverage Ratio purposes), the recognition of commitments will lead to duplicate exposures: - in case of unsettled repurchase agreements, the add-on is already embedded in the value of asset to be delivered in the transaction.

Date of submission:
31/01/2019
Published as Rejected Q&A
11/02/2022
Rationale for rejection:

Please note that as part of adjustments to the Single Rulebook Q&A process, agreed by the EBA and the European Commission, it has been decided to reject outstanding questions submitted before 1 January 2020, when the Q&A process was updated as part of the last ESAs Review. In particular, the question that you have submitted has now regrettably been rejected and will not be addressed.

If you believe your question would still benefit from clarification, you are invited to resubmit your question, adapting it to reflect any legislative, regulatory or other relevant developments that may have occurred since the initial date of submission. The EBA will aim to address resubmitted questions as a matter of priority. When considering to resubmit, you are kindly requested to observe the updated admissibility criteria agreed in the context of the adjustment of the Q&A process, available in the Additional background and guidance for asking questions. We hope for your understanding.

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Status:
Rejected question
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