EBA · 2021_6180 Final Q&A

Regular-way purchases awaiting settlement (EBA Validation rule in C 43.00 LR4 v4448_m)

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
Regulation (EU) No 876/2019 (CRR2), para. 430
Topic
Supervisory reporting - Leverage ratio
Submitted by
Credit institution
Submitted
2021-09-07
Answered
2023-03-31
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

According to the formula v4448_m: {C 43.00.a, r0010, c0010} <= sum({C 47.00, c0010, (r0150-0180)}) This control checks the off-balance exposure declared in the C 43.00 that is equal to the off-balance declared in the rows 0150 to 0180 in the C 47.00. With CRR2, the off-balance exposures related to regular-way purchases awaiting settlement and declared on row 0188 and 0189 of the C 47.00 are not included in the formula of v4448_m. Should these new lines not be included in the formula?

Background

New lines for the off-balance exposures related to regular-way purchases awaiting settlement are required for June 2021 closing. The rule v4448 _ m is not relevant

Answer

Validation rule v4448 compares the volume of off-balance sheet exposures as reported in C 43.00 and C47.00. In {C 47.00, c0010, r188} the full nominal value of commitments to pay related to regular-way purchases, for institutions that, in accordance with the applicable accounting framework, apply settlement date accounting to regular-way purchases and sales shall be reported. However, such commitments are not included in the scope of {C 43.00.a, r0010, c0010} nor {C 47.00, c0010, r0150} to {C 47.00, c0010, r0180}. Therefore, {C 47.00, c0010, r0188} is not considered in validation rule v4448. Consistently, also {C 47.00, c0010, r0189} is not considered.

Original source: European Banking Authority, Q&A ID 2021_6180

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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