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Clarification on application of incurred CVA to the Leverage Ratio Exposure calculation

Can incurred CVA, which is recognised as an incurred write-down in the Balance sheet, be used in the calculation of the Leverage Ratio Exposure for derivatives contracts?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

ID: 2017_3628| Topic: Leverage ratio| Date of submission: 08/12/2017

Application of margin period of risk scalars for cleared transactions

Do the margin period of risk scalars on cleared transactions, as laid out in Article 304(4) CRR, also apply to the calculation of the EAD for leverage ratio purposes?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

ID: 2018_3756| Topic: Leverage ratio| Date of submission: 08/03/2018

Net to Gross Ratio calculation for Derivatives for Leverage Ratio

Can the NGR calculation as defined in QA_2016_2735 be extended to the Leverage ratio treatment for derivatives as well?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

ID: 2017_3267| Topic: Leverage ratio| Date of submission: 10/04/2017

Written Credit Derivatives Add-On MR/NR Netting

Under Article 429a(5) of the Regulation (EU) No 575/2013 (CRR), as modified by Commission Delegated Regulation (EU) 2015/62, is it allowable to reduce the Add-On exposure of a written credit derivative (CDS) which has a Modified-Restructuring clause by a purchased credit derivative (CDS) which has No-Restructuring clause (where both CDS contracts have the same maturity, seniority and underlying reference entity)?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

ID: 2015_2491| Topic: Leverage ratio| Date of submission: 29/11/2015

Cross-Product Netting

Can a Bank with a netting set to a QCCP counterparty combining cash instruments (already settled) with derivatives apply the cross-product netting?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

ID: 2016_3028| Topic: Leverage ratio| Date of submission: 02/12/2016

Clarification on the treatment of regular clearing positions of central counterparties (CCPs) in the leverage ratio exposure measure (provided CCPs are subject to leverage ratio regulation)

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?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

ID: 2016_2750| Topic: Leverage ratio| Date of submission: 27/05/2016

Calculation of derecognised fiduciary assets

Are institutions required to calculate the value of their fiduciary assets in accordance with the leverage ratio framework even though the assets are already derecognised pursuant to Article 429 (13) CRR?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

ID: 2016_2631| Topic: Leverage ratio| Date of submission: 17/02/2016

Leverage ratio - Add-on calculation for SFT transactions in Financial collateral simple method

In the example below, under Financial Collateral Simple Method would the add-on be the same as under Article 429b(2) CRR, that is 25, or should it be based on (1025 * 0.20) = 205 – 200 (1000 * 0.20), that is 5?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)

ID: 2015_2234| Topic: Leverage ratio| Date of submission: 21/08/2015

Treatment of Eligible CRM CDS for Leverage Ratio

Should credit derivatives subject to the CRR Article 273(3) which have zero exposure value for counterparty credit risk purposes also be treated as having zero value for the Leverage ratio exposure measure under CRR Article 429a(1)?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

ID: 2015_2165| Topic: Leverage ratio| Date of submission: 24/07/2015

Clarification on Add on measure of Securities Financing Transactions (SFT) from the delegated act of the regulation 575/2013 on leverage ratio.

Based on Article 429b, of the delegated act of the regulation 575/2013 on leverage ratio, in addition to the exposure value of repurchase transactions, institutions shall include in the exposure measure an add-on for counterparty credit risk determined in accordance to paragraph 2 or 3 of Article 429b, as applicable. The Bank calculates the exposure of Securities Financing Transactions (SFT) according to Article 223 of the regulation 575/2013 ( Financial Collateral Comprehensive Method) . If for example, the Bank has a German government bond of fair value (FV) EUR 100.000 with maturity less than a year, and uses it as a collateral for a repurchase agreement with a maturity of less than a year, and receives EUR 50.000 in cash, then according to Article 223 CRR the exposure value of the SFT will be : FV=100.000 plus volatility adjustment of 0.354%* FV of 354 minus cash received of 50.000 i.e. total exposure of EUR 50.354 In addition, the add on according to article 429b, will be the FV minus cash received i.e. EUR 50.000 According to the Annex 2 -ITS on reporting for the LR instructions , the row 300 of template C 47.00 (LEVERAGE RATIO CALCULATION (LRCalc)) which is the Total Leverage Ratio exposure - using a transitional definition of Tier 1 capital, includes both the exposure value of the SFT and the add on amount. Hence, for the specific SFT, the total leverage exposure would include a total of EUR 100.354 (which is more than the FV of the bond) In addition, it should be noted that since the German Government bond is an on balance sheet exposure, credit risk is also calculated for capital requirements purposes. Can you please confirm that this is the correct treatment?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/62 - DR with regard to the leverage ratio

ID: 2015_2318| Topic: Leverage ratio| Date of submission: 23/09/2015

Counterparty credit risk add-on for repurchase transactions

Is it required to calculate and report this counterparty credit risk add-on also for cash borrowers in repo transactions or for the borrowers in securities lending transactions?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2015_1861| Topic: Leverage ratio| Date of submission: 02/03/2015

Disclosure of the Leverage Ratio

How shall institutions disclose the Leverage Ratio as set out in Art. 451 CRR and the Delegated Regulation (EU) 2015/62, entered into force on the 18 January 2015, while there is no adopted ITS on Disclosure until now?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2015_1863| Topic: Leverage ratio| Date of submission: 02/03/2015

Scope of Waiver for Amended Solo Consolidation and Impact on Supervisory Reporting

Article 9 of Regulation (EU) No 575/2013 (CRR) for the ‘Individual consolidation method’ refers directly to Article 6(1) in terms of the discretion for competent authorities to allow institutions to include certain non-authorised subsidiaries in the scope of their individual returns. In this regard, can we confirm if the 'amended solo' waiver is also available for the Leverage Ratio given that it does not fall under the scope of Article 6(1) i.e. there is no reference to Part Seven of the CRR?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions

ID: 2014_752| Topic: Leverage ratio| Date of submission: 21/01/2014

Determining the exposure value for regular way securities transactions

If settlement date accounting is employed in the recording of regular way securities transactions then there are no balance sheet entries between trade date and settlement date. In this case would the impact of unsettled transactions not be included in the exposure value?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2014_1255| Topic: Leverage ratio| Date of submission: 30/05/2014

Significant risk transfer applicable to leverage ratio computation

Should the concept of significant risk transfer be applied to the leverage ratio computation of securitisations? Should the underlying exposures be taken into account in case of no significant risk transfer?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2014_1104| Topic: Leverage ratio| Date of submission: 24/04/2014

Underwriting Commitments

Can underwriting commitments as described under Article 345 of the CRR be included in the Exposure measure of the Leverage ratio?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2014_839| Topic: Leverage ratio| Date of submission: 11/02/2014

CCF applicable to ABCP liquidity facilities for Leverage ratio purposes

Where do liquidity facilities, as defined in CRR Chapter 5 "Securitisations", stand among the off-balance sheet items listed in Annex I? What is the CCF that should be applied to them when calculating their exposure value for the purpose of the leverage ratio?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2014_756| Topic: Leverage ratio| Date of submission: 22/01/2014

Look through approach to be applied for calculation of Leverage Ratio

Art 429 (5) a) states that risk positions for the calculation of the Leverage Ratio should be calculated according to paragraph 111 (1) sent. 1 of the CRR, meaning, they are identical to risk positions in the Standard Approach. Does this mean that for transactions with underlying assets, e.g. UCITS a look through approach should also be used for the calculation of the Leverage Ratio? Does this apply to template C45.00 columns 010, 020 and 030 as well as to template C40.00 column 010?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2013_635| Topic: Leverage ratio| Date of submission: 11/12/2013

Determining the exposure value for repurchase transactions for the purpose of calculating the leverage ratio in case the collateral provided doesn’t qualify as eligible according to Regulation (EU) No 575/2013 (CRR).

How should an institution that uses the standardized approach (for the purpose of calculating the capital requirement for credit risk) determine the exposure value of repurchase transactions with other banks if the collateral provided to the institution doesn’t qualify as eligible according to Article 206 and Article 207 of CRR?

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2013_576| Topic: Leverage ratio| Date of submission: 27/11/2013

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