EBA · 2013_145 Final Q&A

Leverage ratio: Exposure value of derivatives

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
ART. 429, para. 6
Topic
Supervisory reporting - Leverage ratio
Submitted by
Other
Submitted
2013-08-09
Answered
2014-02-14
Answer provided by
ESAs (EBA, ESMA, EIOPA)
Browse ECB SSM Register → More Q&As on this regulation →

Question

Article 429.6 of Regulation (EU) No 575/2013 (CRR) states that the exposure value of financial derivatives listed in Annex II and of credit derivatives shall be calculated in accordance with the Mark-to-Market method (see Art. 274 of CRR). Based on such instructions, it is not clear if the above mentioned method shall be applied both to OTC and exchange trade derivatives, also including those contracts cleared with CCPs.

Background

This information is relevant for leverage ratio calculation.

Answer

Under Article 429(6) of the Regulation (EU) No 575/2013 (CRR), the Markt-to-Market method shall be applied to contracts irrespective of whether they are OTC or exchange traded and irrespective of whether they are cleared with a CCP or not.

Original source: European Banking Authority, Q&A ID 2013_145

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

Similar Q&As

Derivative adjustment of the basic annual contribution through mark-to-market method

Answered 2017-07-14

Clarification on application of incurred CVA to the Leverage Ratio Exposure calculation

Answered 2019-11-15

Treatment of Eligible CRM CDS for Leverage Ratio

Answered 2016-05-13

Scope of "Written Credit Derivatives"

Answered 2021-02-26

Alternative treatment of the exposure measure: Notional amount

Answered 2014-08-22

More Q&As on this topic

Reporting additional leverage ratio exposure amount in accordance with Article 3 CRR in C43.00

Answered 2026-07-03

Annex XI, INSTRUCTIONS FOR REPORTING ON LEVERAGE, Derivative cash collateral exposure reporting in C43 template

Answered 2025-08-29

Annex XI, INSTRUCTIONS FOR REPORTING ON LEVERAGE, C43 template {0040;0020} & {0050;0020}

Answered 2024-08-30

Calculation of “Total exposure” and other concepts in G 01.00 (G-SII indicators and EBU items)

Answered 2023-12-15

C43.00 (LR4) – Reporting of RWA for positions in CIUs

Answered 2023-09-22

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.