EBA · 2016_3014 Final Q&A

Treatment of CCP Default fund contributions in Leverage Ratio reports

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - Leverage ratio
Submitted by
Individual
Submitted
2016-11-22
Answered
2017-04-07
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Has the ‘Risk exposure amount for contributions to the default fund of a CCP’ from CA2 (C 02.00) row 460 been taken into account in the Leverage Ratio? If so, in which template (LR1, LR2, LR4, LR Calc) and which row and column shall it be reported?

Background

We cannot find any clear hint regarding this question in Regulation (EU) 2016/428.

Answer

Contributions to the default fund of a CCP are indeed taken into account in the leverage ratio exposure measure. If the contribution is recorded as an asset on the accounting balance sheet, the amount should be reported in row 190 (‘Other assets’) of LRCalc (template C 47.00 of Annex X to Regulation (EU) No 680/2014 – ITS on Supervisory Reporting) and corresponding rows in the other leverage ratio templates. If the contribution is considered as an off-balance sheet item (OBS item) per the solvency framework, the amount determined following the solvency treatment should be reported in the corresponding rows of the leverage ratio templates for OBS items.

Original source: European Banking Authority, Q&A ID 2016_3014

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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