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

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:
Published as Rejected Q&A
Rationale for rejection:

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Rejected question