EBA欧洲银行-EBA-ITS-2015-03-Final-Draft-ITS-amending-ITS-on-LR-Reporting_28页_403kb

Summary of EBA Final Draft Implementing Technical Standards on Leverage Ratio

Core Content

The EBA Final Draft Implementing Technical Standards (ITS) amends Commission Implementing Regulation (EU) No 680/2014 regarding the Leverage Ratio (LR) in accordance with the European Commission's Delegated Act on the LR. The aim is to ensure consistency with the updated LR framework, improve clarity, and reduce the reporting burden on financial institutions.

Main Objectives

• To align the LR reporting with the Delegated Act and ensure a uniform regulatory framework across the EU.
• To limit excessive leverage in the banking sector and provide a simple safeguard against risks in risk models.
• To facilitate cross-border supervision through comparable and available data.
• To reduce complexity and compliance costs for institutions operating across borders.

Key Changes

The following are the key changes introduced by the Delegated Act and reflected in the draft ITS:

1. Reporting Templates and Instructions

• Annex X and Annex XI of Regulation (EU) No 680/2014 are replaced by Annex 1 and Annex 2 of the draft ITS, respectively.
• The LRCalc template (C45.00) is renamed to C47.00 due to the removal of the three-month average calculation.
• The updated templates reduce the number of cells from 312 to 228, a decrease of 84 cells, primarily due to simplifications and the elimination of redundant data.

2. Specific Modifications

• Securities Financing Transactions (SFTs): The exposure calculation is revised to reflect the sum of accounting values, with adjustments for netting and counterparty credit risk add-ons.
• Derivatives: The exposure value calculation is updated to include a new row for cash variation margin, and the treatment of credit derivatives is aligned with revised Basel III standards.
• Off-Balance Sheet Items: Credit conversion factors are adjusted to align with the Delegated Act, with a floor of 10%.
• Client-Cleared Transactions: Exemptions for qualifying central counterparties (QCCPs) are introduced, requiring five new rows.
• Intragroup Exposures: These may be excluded under certain conditions, subject to competent authority approval.
• Deposits to Public Sector Entities: Exposures arising from such deposits may be excluded, as per the Delegated Act.

3. Template C40.00 (LR1) and C42.00 (LR3)

• LR1: Amendments to data items related to derivatives, SFTs, and off-balance sheet items are made. Some granularity is removed due to the closure of discussions on alternative treatments.
• LR3: Adjustments to the labelling and content to clarify that regulatory adjustments not deducting specific assets cannot be subtracted from the leverage ratio exposure.

4. Template C43.00 (LR4)

• An additional row is added to capture the treatment of credit derivatives, similar to the associated Panel G in the Basel III QIS template.

5. Template C44.00 (LR5)

• One cell is removed due to the change from three-month average to end-of-quarter calculation.
• Two other cells are removed as they are already covered in the CoRep submission process.

Implementation and Application

• The first date of application for the updated ITS will be the later of December 2015 and six months after the publication in the Official Journal.
• The reporting frequency remains quarterly, with reference dates on the last day of each quarter and remittance dates on 12 May, 11 August, 11 November, and 11 February.
• The EBA has not introduced any changes to the reference and remittance dates established in the existing ITS.

Public Consultation and Feedback

• The EBA conducted a six-week public consultation ending on 27 January 2015, receiving eight responses.
• The feedback led to minor adjustments, such as rearranging rows and removing clerical errors.
• No substantial changes were made compared to the consultation draft.
• Some respondents suggested postponing the disclosure requirements, but the EBA could not accommodate this as the obligation is directly set by the CRR.

Impact Assessment

• The proposed changes are expected to have a low incremental impact on institutions.
• Most of the operational costs associated with the new ITS have already been incurred or planned by NCAs and institutions.
• The simplifications introduced by the Delegated Act reduce the data requirements, making the reporting process more efficient.

Conclusion

The EBA Final Draft ITS aims to streamline and update the reporting framework for the Leverage Ratio, in line with the Delegated Act. It ensures a consistent and simplified approach across the EU, supports cross-border supervision, and reduces the compliance burden on financial institutions. The templates and instructions are being finalized and will be published by the EBA before the final ITS is adopted and published in the Official Journal.