Question ID
2013_188
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Leverage ratio
Article
Article 429
Paragraph
9
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Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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 REPORTING ON LEVERAGE
Type of submitter
Consultancy firm
Subject matter
Leverage Ratio: C45.00 (LRCalc) r010: SFTs exposure according to CRR 220
Question

The exposure for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions should be calculated in accordance with Article 220 (1) to (3). Should the volatility adjustments be taken into account for the determination of the leverage ratio exposure value of exposures subject to Article 220?

Background on the question

BCBS guidelines on leverage ratio explicitly mention that for the scope of the leverage ratio no haircut shall apply.

Submission date
Final publishing date
Final answer

BCBS rules text on the leverage ratio are neither applicable to the Regulation (EU) No 575/2013 (CRR) nor to the Regulation (EU) No 680/2014 13 ITS on supervisory reporting of institutionsan ITS adopted by the European Commission. The CRR leverage exposure for SFTs is indeed not fully calculated the same way as provided by the Basel 3 rules text of December 2010. Note that on 12 January 2014, the Basel rules text on the Leverage Ratio was modified, which might lead to other discrepancies.

Article 220 (1) to (3) of the CRR encompasses the volatility adjustments so they should be taken into account when calculating the exposure for the purpose of the CRR leverage ratio.

Cash received or any security provided to a counterparty that remain on the balance sheet are included in "Other assets " (C 45.00, r100) because they are "accounting " exposures, therefore they do not need to include volatility adjustments that are calculated for the purpose of a specific credit exposure on SFTs, reported in {C 45.00, r010} or {C 45.00, row 020}.

 

*As of 1/8/2014 the content of this answer was modified to reflect the publication of the final ITS on supervisory reporting of institutions in the Official Journal of the European Union. As a result, the references to the ITS were updated and the disclaimer deleted. For reasons of transparency, revisions are highlighted in track changes.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

Disclaimer

The Q&A refers to the provisions in force on the day of their publication. The EBA does not systematically review published Q&As following the amendment of legislative acts. Users of the Q&A tool should therefore check the date of publication of the Q&A and whether the provisions referred to in the answer remain the same.