Question ID:
2013_145
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - Leverage ratio
Article:
ART. 429
Paragraph:
6
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
ITS Article 14
Disclose name of institution / entity:
No
Type of submitter:
Other
Subject Matter:
Leverage ratio: Exposure value of derivatives
Question:

Article 429.6 of Regulation (EU) No 575/2013 (CRR) states that the exposure value of financial derivatives listed in Annex II and of credit derivatives shall be calculated in accordance with the Mark-to-Market method (see Art. 274 of CRR). Based on such instructions, it is not clear if the above mentioned method shall be applied both to OTC and exchange trade derivatives, also including those contracts cleared with CCPs.

Background on the question:

This information is relevant for leverage ratio calculation.

Date of submission:
09/08/2013
Published as Final Q&A:
14/02/2014
EBA Answer:

Under Article 429(6) of the Regulation (EU) No 575/2013 (CRR), the Markt-to-Market method shall be applied to contracts irrespective of whether they are OTC or exchange traded and irrespective of whether they are cleared with a CCP or not.

 

Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
Image CAPTCHA