Question ID:
2021_6093
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - Leverage ratio
Article:
429e (6)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio
Article/Paragraph:
429e (6)
Disclose name of institution / entity:
Yes
Name of institution / submitter:
Wolters Kluwer
Country of incorporation / residence:
Netherlands
Type of submitter:
Other
Subject Matter:
Securities lent under sale accounting
Question:

As per ITS, in line with article 429e (6) of CRR2,  The value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework are to be reported  Row 230 of C47.

[1]

For such repurchase transactions under sale accounting, cash received part is to be allocated in Row 0190 of C47? So also in C43 and C40 the same rule applies?

In 47, Row 010, securities under sale accounting are not to be reported as they are expected in Row 230 of C47.

[2]

The same rules apply to C48 with regard to columns of rows in C47 0010 to 0050, which are to be reported in C48.02 in line with ITS.

Description: Validation formula v10094_m

06/18/21 14:39:01 Rule: <C48.02_DPM 3.0.Total>[dynRow1(dte_business_day=20210628).0010|0020](9430.00) >= <C48.02_DPM 3.0.Total>[dynRow1(dte_business_day=20210628).0010|0030](21750.00) 

The validation rule expects Row0010 |Col0020 >= Row0010|Col0030

Is this possible as only reverse repo leg and add-on are expected in Col0020 are to be higher or equal to the value of  securities lent under sale accounting are to be reported in Col0030? 

[3]

As per EBA guidelines, where the institution adopts sale accounting of repo, they should reverse such transactions and report in COREP reports including Leverage ratio.

It means, except for the change for securities under sale accounting are to reported in Row 230, while the institution which does not adopt sale accounting are to report own securities under Row0190. Except for this change, add-on and other calculations are same. Please confirm. 

As per ITS, in line with article 429e (6) of CRR2,  The value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework are to be reported  Row 230 of C47.

[1]

For such repurchase transactions under sale accounting, cash received part is to be allocated in Row 0190 of C47? So also in C43 and C40 the same rule applies?

In 47, Row 010, securities under sale accounting are not to be reported as they are expected in Row 230 of C47.

[2]

The same rules apply to C48 with regard to columns of rows in C47 0010 to 0050, which are to be reported in C48.02 in line with ITS.

Description: Validation formula v10094_m

06/18/21 14:39:01 Rule: <C48.02_DPM 3.0.Total>[dynRow1(dte_business_day=20210628).0010|0020](9430.00) >= <C48.02_DPM 3.0.Total>[dynRow1(dte_business_day=20210628).0010|0030](21750.00) 

The validation rule expects Row0010 |Col0020 >= Row0010|Col0030

Is this possible as only reverse repo leg and add-on are expected in Col0020 are to be higher or equal to the value of  securities lent under sale accounting are to be reported in Col0030? 

[3]

As per EBA guidelines, where the institution adopts sale accounting of repo, they should reverse such transactions and report in COREP reports including Leverage ratio.

It means, except for the change for securities under sale accounting are to reported in Row 230, while the institution which does not adopt sale accounting are to report own securities under Row0190. Except for this change, add-on and other calculations are same. Please confirm. 

Background on the question:

Article 429 e (6) 

6. Where sale accounting is achieved for a repurchase transaction under the applicable accounting framework, the institution shall reverse all sales-related accounting entries.

ITS C47 Row 230

Article 429e(6) of the CRR

The value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework.

As there are validation rules for consistency between C47 and C43, where securities lent in a repurchase transaction are to be reported in C43, there is no guidance in C43.

In C48.02, there is a validation rule Validation formula v10094_m which appears to be not correct.

 

 

Date of submission:
16/07/2021
Status:
Question under review
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