2016_2945 Reporting LR2 - exposures to consider?

Question ID:: 2016_2945
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Acts/RTS/ITS/GLs/Recommendations:: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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 X, XI
Disclose name of institution / entity:: No
Type of submitter:: Credit institution
Subject Matter:: Reporting LR2 - exposures to consider?
Question:: 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):".
Background on the question:: Please refer us a cell of the C07 to distribute by risk weight.
Date of submission:: 17/10/2016
Published as Final Q&A:: 03/02/2017
Final Answer:: 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.
Status:: Final Q&A
Answer prepared by:: Answer prepared by the EBA.