Question ID:
2016_3014
Legal Act:
Regulation (EU) No 575/2013 (CRR) as amended
Topic:
Supervisory reporting - Leverage ratio
Article:
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
Annexes X and XI
Disclose name of institution / entity:
Yes
Name of institution / submitter:
Ulf Bradfisch, BSM GmbH
Country of incorporation / residence:
Germany
Type of submitter:
Individual
Subject Matter:
Treatment of CCP Default fund contributions in Leverage Ratio reports
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 on the question:

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

Date of submission:
22/11/2016
Published as Final Q&A:
07/04/2017
EBA 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.

Status:
Final Q&A