EBA · 2016_2659 Final Q&A

Scope of C40 LR1 Row 090

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - Leverage ratio
Submitted by
Investment firm
Submitted
2016-03-04
Answered
2019-10-04
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Is the scope of LR1, row 090 (‘Other assets’) limited to off-balance sheet assets; or should the scope given for row 090 in Annex XI take precedence over the restrictions in Paragraph 21 of Annex XI? And if the latter, please confirm if each of the following assets must be included in LR1 Row 090: i) Trading book positions; ii) Unsettled trades. iii) Default fund contributions.

Background

Paragraph 21 of Annex XI which relates to C 40.00 (Alternative treatment of the Exposure Measure, LR1), states: This part of the reporting collects data on alternative treatment of derivatives, SFTs and off-balance sheet items. In the same Annex, the guidance given for C 40.00 (LR1), row 090 states the row should include‘… all assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs . Taking the two statements together, the only assets defined in Paragraph 21 and not excluded in the instructions on row 090 are off-balance sheet assets.

Answer

Paragraph 21 of chapter 5 of Part II of Annex XI to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), as amended by Regulation (EU) 2016/428, only describes the general intent of LR1 to provide an alternative treatment of derivatives, SFTs and off-balance sheet items, stating that LR1 “collects data on an alternative treatment of derivatives, SFTs and off-balance sheet items”. The scope of LR1, row 090 is clearly defined in the relevant instructions, and captures ‘ the accounting balance sheet value of all assets other than derivatives, credit derivatives and SFTs’. This therewith includes the on-balance sheet amount of all other assets such as loans and on-balance-sheet default funds contributions. Off-balance sheet items should be reported in rows 100 to 160 of LR1, in line with the relevant instructions set for in Annex XI. With reference to the treatment of CCP default funds contributions in leverage ratio reporting, please also refer to Q&A 3014 .

Original source: European Banking Authority, Q&A ID 2016_2659

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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