EBA · 2013_551 Final Q&A

COREP template C43.00 - Breakdown of leverage ratio exposure measure components

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
Article 429
Topic
Supervisory reporting - Leverage ratio
Submitted by
Consultancy firm
Submitted
2013-11-22
Answered
2014-04-04
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

On which row of template C43 (LR4) should institutions report 'cash received or securities provided to a counterparty' as referred to in the reporting instructions of C45.00 (LRCalc) - rows 010/020

Background

The reporting instructions of C45.00 indicate that for SFT exposures (row 010 & 020) : 'Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {100, 1}, {100, 2} and {100, 3}.' Template C43 (LR4) requires an alternative breakdown of the leverage ratio exposure measure. For row 060 of LR4, there is a reference to the values as calculated in as {LRCalc;010;3,} and {LRCalc;020;3,} .

Answer

In the C 43.00 template, securities that are provided to a counterparty, but continue to be included in the leverage ratio exposure measure of the providing institution, should be included either in row 070 (for securities held in the trading book) or classified according to obligor (for securities held in the banking book). The same applies to cash received.

Original source: European Banking Authority, Q&A ID 2013_551

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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