EBA · 2016_2945 Final Q&A

Reporting LR2 - exposures to consider?

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - Leverage ratio
Submitted by
Credit institution
Submitted
2016-10-17
Answered
2017-02-03
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

In Template CRD41 / LR2, shall we include or exclude derivatives and SFT's in the exposures distributed by risk weighted? The regulation is focusing on ON and OFF balance sheet items while the title of the Template mention "Total on- and off-balance sheet exposures belonging to the banking book as well as exposures of the trading book subject to counterparty credit risk (breakdown in accordance with the risk weight):".

Background

Please refer us a cell of the C07 to distribute by risk weight.

Answer

The Instructions for template C 41.00 (LR2) of Annex X of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) require that ‘template LR2 provides information on additional breakdown items of all on- and off-balance sheet exposures belonging to the non-trading book and of all exposures of the trading book subject to counterparty credit risk’. This includes derivatives and Securities Financing Transactions (SFTs). This is consistent with the scope of template C 07.00 of Annex I to the ITS on Supervisory Reporting.

Original source: European Banking Authority, Q&A ID 2016_2945

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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