Exclusion of Intragroup Liabilities -Treatment of intra-group derivative contracts

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and (7) of Regulation (EU) No 575/2013 (CRR) in Article 5 (3) of the Commission Delegated Regulation (EU) 2015/63 is no longer valid.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 and should be taken into account when calculating the value of the exclusions under Article 5 (3) of the Delegated Act.