Question ID
2021_6106
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Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex 11 - Leverage
Type of submitter
Competent authority
Subject matter
Reporting of items deducted from T1 in RWA columns in C43 (Breakdown of LR Measure)
Question

It is not clear from the instructions whether items deducted from T1 should be included in the columns dedicated to RWAs in C43.

Background on the question

According to Q&A 2013_584, assets that are deducted from own funds but cannot be categorised otherwise should be included in the row {290} of the C 43.00 template (LR4) even if such a categorisation is not required for determining risk-based own funds requirements.

This is in line with the instructions for row 0290 of C 43.00.b and C 43.00.c, where the paragraph “Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {*; 0030} and {*; 0040}” has been added only to columns 0010 and 0020.

Therefore, it follows that those items are included in columns 0010 and 0020 of C 43.00.b and C 43.00.c respectively but not in columns 0030 and 0040 of C 43.00.b and C 43.00.c respectively.

In addition, we would like to confirm that those ítems can be any of the following:

  • items deducted due to prudential filters,
  • items deducted according to articles 36 to 47 or 56 to 60 of the CRR,
  • items deducted that could alternatively be subject to a 1250% RW.
Submission date
Final publishing date
Final answer

According to paragraph 24 of Annex XI of the Implementing Technical Regulation (EU) 2021/451 “institutions shall report the leverage ratio exposure values in LR4 [{C 43.00}] after the application of exemptions and deductions in the LRCalc [{C 47.00}] template”. Subsequently, paragraph 26 requires that “[…] to be consistent with the leverage ratio exposure values, the risk-weighted exposure amounts shall also be reported fully phased in.” In order to maintain consistency with regard to the deductions within {C 43.00, r0290, *} between columns {c0010} and {c0020} presenting information on the leverage ratio exposure value as well as {c0030} and {c0040} presenting information on risk weighted exposure amounts, Assets that are deducted from own funds but cannot be categorised otherwise should be included in all columns {c0010} and {c0020} of row {r0290} and not be considered in {c0030} and {c0040} of the respective row.

The instructions for {C 43.00, r0290, c0030} and {C 43.00, r0290, c0040} will be amended accordingly.

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

Update 3.5.2024: This Q&A has been amended to reflect the instructions in Annex 11 of the Regulation (EU) 2021/451- ITS on supervisory reporting of institution

Disclaimer

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