Question
Is the scope of LR1, row 090 (‘Other assets’) limited to off-balance sheet assets; or should the scope given for row 090 in Annex XI take precedence over the restrictions in Paragraph 21 of Annex XI? And if the latter, please confirm if each of the following assets must be included in LR1 Row 090: i) Trading book positions; ii) Unsettled trades. iii) Default fund contributions.
Background on the question
Paragraph 21 of Annex XI which relates to C 40.00 (Alternative treatment of the Exposure Measure, LR1), states: This part of the reporting collects data on alternative treatment of derivatives, SFTs and off-balance sheet items. In the same Annex, the guidance given for C 40.00 (LR1), row 090 states the row should include‘… all assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs . Taking the two statements together, the only assets defined in Paragraph 21 and not excluded in the instructions on row 090 are off-balance sheet assets.
Answer
Paragraph 21 of chapter 5 of Part II of Annex XI to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting), as amended by Regulation (EU) 2016/428, only describes the general intent of LR1 to provide an alternative treatment of derivatives, SFTs and off-balance sheet items, stating that LR1 “collects data on an alternative treatment of derivatives, SFTs and off-balance sheet items”. The scope of LR1, row 090 is clearly defined in the relevant instructions, and captures ‘the accounting balance sheet value of all assets other than derivatives, credit derivatives and SFTs’. This therewith includes the on-balance sheet amount of all other assets such as loans and on-balance-sheet default funds contributions. Off-balance sheet items should be reported in rows 100 to 160 of LR1, in line with the relevant instructions set for in Annex XI. With reference to the treatment of CCP default funds contributions in leverage ratio reporting, please also refer to Q&A 3014.