EBA · 2013_399 Final Q&A

Breakdown of leverage ratio exposure measure components: other assets belonging to the trading book

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - Leverage ratio
Submitted by
Credit institution
Submitted
2013-10-16
Answered
2014-03-21
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

In Column 1 -exposure value, we report the accounting positions of the balance sheet (e.g. shares and bonds of the trading book), but the positions in the MRM model to calculate RWA do not provide from accounting. Moreover the scope of column 2- RWA is brider than other assets of the trading book as it includes also FX positions, index, derivatives,... How should we report?

Background

There is a distortion between exposures and RWA.

Answer

Based on the instructions, the amount reported in column 020 of row 070 of the table C 43.00 is defined as "Own fund requirements multiplied by 12.5 of items subject to Title IV of Part Three of the CRR". Indeed, this amount reflects a variety of market risks.

Original source: European Banking Authority, Q&A ID 2013_399

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.

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