In Template CRD41 / LR2, shall we include or exclude derivatives and SFT's in the exposures distributed by risk weighted? The regulation is focusing on ON and OFF balance sheet items while the title of the Template mention "Total on- and off-balance sheet exposures belonging to the banking book as well as exposures of the trading book subject to counterparty credit risk (breakdown in accordance with the risk weight):".
Please refer us a cell of the C07 to distribute by risk weight.
The Instructions for template C 41.00 (LR2) of Annex X of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) require that ‘template LR2 provides information on additional breakdown items of all on- and off-balance sheet exposures belonging to the non-trading book and of all exposures of the trading book subject to counterparty credit risk’. This includes derivatives and Securities Financing Transactions (SFTs). This is consistent with the scope of template C 07.00 of Annex I to the ITS on Supervisory Reporting.