EBA · 2015_2444 Final Q&A

Validation Rule v3812_s

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
429, para. 11
Topic
Supervisory reporting - Leverage ratio
Submitted by
Consultancy firm
Submitted
2015-10-23
Answered
2017-02-03
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

This validation rule indicates that column 010 of C43.00a should be positive or equal to zero. For row 060; this amount could be negative in case of portfolio of repos that fulfill conditions of Article 429 - 11.

Background

Collateral provided or cash received should be reported as 'other assets'. The exposure leg of these transactions can be exempted if conditions of Article 429 -11 are met. In this case, row 060 will be negative as the exempted amount will be reported in row 060 whereas collateral provided/cash received will be reported in C43.00c or row 070 (depending on the nature of collateral/cash).

Answer

According to Part II, paragraph 28 of Annex XI of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) as amended by Regulation (EU) 2016/428, institutions shall report the leverage ratio exposure values in C 43.00 net of the amounts which have to be reported in the LRCalc-cells listed in Part II, paragraph 28 of Annex XI.  The exempted CCP leg of client-cleared trade exposures of SFTs, to which this question refers to, has to be reported in {LRCalc;r050;c010} (see instructions for this cell) and is thus subject to the provisions laid down in the introductory stated paragraph 28. Hence, these particular exposures should not lead to negative amounts in the respective rows of C 43.00. In the light of that, validation rule v3812_s is correct with regard to the exemptions listed in paragraph 28 of the instructions.

Original source: European Banking Authority, Q&A ID 2015_2444

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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