Can you confirm that positions which arise from a CCP’s primary clearing activity and which are already covered by EMIR-compliant risk management tools are to be excluded from the LR exposure measure?
Recent analyses by the Project Team on the Leverage Ratio have shown that CCPs which are subject to leverage ratio regulation apply different methods to calculate the leverage ratio exposure measure. In particular with respect to “regular CCP positions”, i.e. CCP cleared business where a CCP legally steps in but does not participate economically, accounting treatments differ. While IFRS requires “regular CCP positions” to be reported on the balance sheet some national GAAPs do not. As a result the LR exposure measure of CCPs may significantly differ between jurisdictions and applicable accounting standards.
The current requirements on the leverage ratio in Articles 429, 429a and 429b of Regulation (EU) No 575/2013 (CRR), as amended by Commission Delegated Regulation (EU) 2015/62, are applicable to all central counterparties that are within the scope of application of the CRR. Articles 429, 429a or 429b of the CRR do not contain any reference that would specifically exclude regular clearing positions of central counterparties from the exposure measure of the leverage ratio. Hence, these positions must be included in the leverage ratio exposure, even if they are excluded from the accounting balance sheet following the applicable accounting framework. This follows from Article 429a(1) CRR which confirms that ‘institutions shall determine the exposure value of contracts listed in Annex II and of credit derivatives, including those that are off-balance sheet, in accordance with the method set out in Article 274’.