2013_551 COREP template C43.00 - Breakdown of leverage ratio exposure measure components

Question ID:: 2013_551
Legal Act:: Regulation (EU) No 575/2013 (CRR)
Topic:: Supervisory reporting - Leverage ratio
Article:: Article 429
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Acts/RTS/ITS/GLs/Recommendations:: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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 - Leverage Ratio Templates
Disclose name of institution / entity:: No
Type of submitter:: Consultancy firm
Subject Matter:: COREP template C43.00 - Breakdown of leverage ratio exposure measure components
Question:: On which row of template C43 (LR4) should institutions report 'cash received or securities provided to a counterparty' as referred to in the reporting instructions of C45.00 (LRCalc) - rows 010/020
Background on the question:: The reporting instructions of C45.00 indicate that for SFT exposures (row 010 & 020) : 'Institutions shall not include in this field cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {100, 1}, {100, 2} and {100, 3}.' Template C43 (LR4) requires an alternative breakdown of the leverage ratio exposure measure. For row 060 of LR4, there is a reference to the values as calculated in as {LRCalc;010;3,} and {LRCalc;020;3,} .
Date of submission:: 22/11/2013
Published as Final Q&A:: 04/04/2014
Final Answer:: In the C 43.00 template, securities that are provided to a counterparty, but continue to be included in the leverage ratio exposure measure of the providing institution, should be included either in row 070 (for securities held in the trading book) or classified according to obligor (for securities held in the banking book). The same applies to cash received.
Status:: Final Q&A
Answer prepared by:: Answer prepared by the EBA.