Question ID
2014_1267
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Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)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 XI, Part II, Chapter 5 (C 40.00 / LR1)
Type of submitter
Credit institution
Subject matter
Derivatives not shown in the Balance Sheet and Derivates shown as Liabilities
Question

Are derivatives shown as assets on the balance sheet or derivatives shown in CoRep basis for template LR1?

Background on the question

The instructions for columns 010 and 020 of template LR1 state that only derivatives should be included, that are treated as Assets on the balance sheet.

Therefore we assume, derivatives shown as liabilities in the balance sheet are not shown in these columns.

We also assume, that derivatives that do not have an accounting balance (e.g. derivatives traded for customers through a broker, that are subject to the provisions of the CRR and shown in CoRep but not in the balance sheet) are not to be shown here too, since no accounting value exists.

However in columns 030, 050 and 060 refer to the add-on calculated according to CRR. Since the CRR considers all derivatives that can potentially result in counterparty risk (no matter if currently an asset or liability), we assume, that the excluded positions from column 010 and 020 have to be shown here.

For column 070 it is not clearly defined, if the notional refers to derivatives treated as assets only (those shown in column 1 and 2) or to those recognized for Corep.

Submission date
Final publishing date
Final answer

According to Annex XI, paragraph 22 of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), institutions shall determine the ‘accounting balance sheet values’ in template C 40.00 / LR1 of Annex X to the ITS on Supervisory Reporting based on the applicable accounting framework in accordance with Article 4(1)(77) of Regulation (EU) No 575/2013 (CRR). ‘Accounting value assuming not netting or other CRM’ refers to the accounting balance sheet value not taking into account any effects of netting or risk mitigation.

Institutions shall include in {LR1;r010-r060;c010-c020} neither derivatives shown as liabilities in the balance sheet nor derivatives that do not have an accounting balance (concerning the latter, see also Q&A 2013_398), but they shall report derivatives which are recognised as an asset on the balance sheet.

The other columns of template C 40.00 / LR1 should refer to derivatives listed in Annex II to the CRR and credit derivatives including those that are off-balance sheet in accordance with Article 429(9) in conjunction with Article 429a CRR, as amended by the Commission Delegated Regulation (EU) 2015/62.

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

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