Question ID
2016_2982
Legal act
Regulation (EU) No 575/2013 (CRR)
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Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex XI
Type of submitter
Competent authority
Subject matter
Reporting of deductions of receivables assets for cash variation margin provided in derivatives transactions in LR4 (C43.00)
Question

In which row(s) shall the receivables for cash variation margin provided in derivatives transactions be reported?

Background on the question

According to the formula in Part II, paragraph 30 of Annex XI of Regulation (EU) No 680/2014, as amended by Regulation (EU) 2016/428 (amended ITS on Supervisory Reporting), institutions shall report the receivables for cash variation margin provided in derivatives transactions ({LRCalc;r210;c010}) in C43.00 too. It is, however, not clear in which row(s) those amounts have to be included. A conceivable approach would be the reporting in {C43.00;r040;c010} and {C43.00;r050;c010}, respectively. This approach would be in line with the leverage ratio disclosure, where the above mentioned exposures are a component of the derivative exposure instead of the on-balance sheet exposure (see row 7 of table LRCom in Annex I of the Commission Implementing Regulation (EU) 2016/200). Although unusual, the reporting of the deductions of receivables assets for cash variation margin provided in derivatives transactions in {C43.00;r040;c010} or {C43.00;r050;c010} could lead to negative derivatives exposures. However, the reporting of negative figures in C43.00 is not permitted (see paragraph 9 of the amended ITS on Supervisory Reporting as well as validation rule v3812_s).

Submission date
Final publishing date
Final answer

Receivables for cash variation margin provided in derivatives transactions may only be excluded from the leverage ratio exposure measure where the institution has to recognise the variation margin paid in cash to the counterparty as a receivable asset (see last subparagraph of Article 429a (3) of Regulation (EU) No 575/2013 (CRR) as amended by Commission Delegated Regulation (EU) 2015/62). The respective deductions should therefore be reported as part of the on-balance sheet exposures ({C 43.00;r080-300;c010 or 020} of Annex X to Regulation (EU) No 680/2014 – ITS on Supervisory Reporting – as amended by Regulation (EU) 2016/428). This approach is in accordance with the EBA Data Point Model (DPM), where {LRCalc;r210;c010} as well as {C43.00;r080-300;*} are classified in the main category of “assets other than derivatives and securities financing transactions”.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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