Question ID:
2022_6355
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
Article/Paragraph:
.
Disclose name of institution / entity:
No
Type of submitter:
Competent authority
Subject Matter:
Calculation of “Total exposure” and other concepts in G 01.00 (G-SII indicators and EBU items)
Question:

It is not clear from the instructions how to calculate these measures and their relation to the leverage ratio exposure measure reported in C47.

Background on the question:

In accordance with Annex XXVII to the ITS on Reporting (Regulation (EU) 451/2021), 'the definition of the indicators shall be the same as the definition applied for the purposes of determining the information listed in the Annex to Commission Delegated Regulation (EU) No 1222/2014.'

However, this Annex was deleted by Commission Delegated Regulation (EU) 2016/1608, therefore we would like to confirm that the ITS sentence should be understood as a reference to Regulation (EU) No 1222/2014 that is in force at each reporting date.

If this understanding is correct, we would still need clarification on the following points:

Question 1a: The entry into force of Article 1(4), point (a) of Commission Delegated Regulation (EU) 2021/539 amending Delegated Regulation (EU) No 1222/2014 is 1 December 2021. Should the Reporting of G 01.00 for Q4 2021 (that is, 31/12/2021) take these provisions into consideration?

Question 1b: Annex XXVII to the ITS on Reporting states that “In case of changes to the methodology, the same methodology applicable for determining the indicators values as of the end of the financial year shall be used for the purposes of reporting information as of the end of the first, second and third quarter of that same financial year.” Therefore, should the new provisions (if they apply to Q4 2021) be also applied to the reporting templates referenced to the end of Q2 and Q3 2021?

Question 2: Which element of C 47.00 is conceptually equivalent to the 'total exposures' value in G 01.00?

Question 3: According to Article 1(4), point (a), of Regulation 2021/539, “By way of derogation from paragraph 1, the indicator values referred to in Article 6(1), Article 6(2), points (a), (b) and (c), and Article 6(4), points (a) and (b), shall also include insurance subsidiaries.” However, in the DPM (data point model) of G 01.00, only row 0010 ('Total exposures') has the value “(SC:x12) Regulatory scope of consolidation plus insurance subsidiaries'. Should other rows (0020 to 0040, 0090 and 0110) have this scope as well?

Question 4: Should all regulatory adjustments be considered in the total exposure in G 01.00? In particular, should the adjustment due to 'exposures to the central bank exempted in accordance with point (n) of Article 429a(1) CRR” (row 0255 C 47.00) be considered?

Date of submission:
04/02/2022
Status:
Question under review
Answer prepared by:
Answer prepared by the EBA.
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