2014年-EBA欧洲银行管理局_EBA_Leverage_ratio_analytical_report_39页_895kb

Summary of the Report on Impact of Differences in Leverage Ratio Definitions

Core Content

This report evaluates the impact of aligning the Capital Requirements Regulation (CRR) definition of the leverage ratio exposure measure with the Basel III framework, focusing on differences in the treatment of various financial instruments. The report is intended to inform the European Commission on potential amendments to the CRR leverage ratio definitions, as outlined in Article 456(1)(j) CRR, before the start of public disclosure in 2015.

The analysis is based on data collected for Basel III monitoring up to 30 June 2013, covering 173 EU institutions (41 Group 1 banks and 132 Group 2 banks) from 18 countries. The data includes both public and non-public information, with the aim of providing a comprehensive view of the potential quantitative impact of aligning the CRR with Basel III.

Main Points

1. Leverage Ratio Exposure Measure

• The leverage ratio exposure measure under the CRR and Basel III differs primarily in the treatment of Securities Financing Transactions (SFTs), off-balance sheet items (OBS), written credit derivatives, and cash variation margin (CVM).
• The report outlines two interpretations of the CRR treatment for SFTs:
  • Interpretation 1: Only Article 429(9) CRR determines the exposure measure for SFTs.
  • Interpretation 2: Accounting SFT assets are included in addition to the exposure amounts obtained through Article 429(9) CRR.
• Interpretation 2 is closer to the Basel III treatment of SFTs.

2. Quantitative Impact

• The overall impact of aligning the CRR leverage ratio with Basel III is not uniform and depends heavily on the treatment of SFTs.
• Group 1 banks:
  • Under Interpretation 1, the leverage ratio exposure measure is 0.5% lower than under Basel III.
  • Under Interpretation 2, the leverage ratio exposure measure is 7.5% higher than under Basel III.
• Group 2 banks:
  • Under Interpretation 1, the leverage ratio exposure measure is 0.9% higher than under Basel III.
  • Under Interpretation 2, the leverage ratio exposure measure is 4.3% higher than under Basel III.
• These differences are attributed to the stricter treatment of off-balance sheet items under the CRR, which offsets the less strict treatment of SFTs under Interpretation 1.

3. Key Differences and Their Impact

The report identifies several key differences between the CRR and Basel III, including:

• Credit Conversion Factors (CCFs) for Off-Balance Sheet Items:
  • Group 1: +6.5%
  • Group 2: +3.8%
• Treatment of Cash Variation Margin (CVM):
  • Group 1: +1.7%
  • Group 2: +0.9%
• Consolidation Scope:
  • Group 1: +1.4%
  • Group 2: +0.1%
• Written Credit Derivatives:
  • Group 1: -2.9%
  • Group 2: -0.6%
• Securities Financing Transactions (SFTs):
  • Interpretation 1: -7.9% (Group 1), -3.2% (Group 2)
  • Interpretation 2: +0.6% (Group 1), +0.2% (Group 2)
• Overall Impact:
  • Interpretation 1: -0.5% (Group 1), +0.9% (Group 2)
  • Interpretation 2: +7.5% (Group 1), +4.3% (Group 2)

4. Methodology and Limitations

• The report uses a composite bank weighting scheme to calculate average changes in the leverage ratio exposure measure.
• The analysis is based on static balance sheet data, and it does not account for the effects of management decisions made after the reporting date.
• The data quality is generally sufficient, but some issues remain, particularly with respect to derivatives exposures, cash collateral, and SFTs.
• The Original Exposure Method (OEM) is not quantitatively analyzed due to insufficient data, although its impact will be reviewed in a future report.

5. Policy Recommendations

• The EBA recommends aligning the CRR leverage ratio definitions with Basel III to ensure consistency across EU and other jurisdictions implementing Basel III.
• The EBA suggests that, in the absence of alignment with Basel III on SFTs, the CRR treatment should be clarified in accordance with Interpretation 2, which is considered more prudent and closer to Basel III.
• The report highlights that while the quantitative impact is significant, the EBA does not find any EU-specific factors that justify a divergence from the Basel Committee on Banking Supervision (BCBS) definitions.

Key Information

• Scope: The report covers 173 EU institutions from 18 countries.
• Data Source: Basel III monitoring data as of 30 June 2013.
• Main Components Analyzed:
  • Securities Financing Transactions (SFTs)
  • Off-balance sheet items (OBS)
  • Written credit derivatives
  • Cash variation margin (CVM)
  • Consolidation scope
• Recommendation: The EBA advocates for aligning the CRR with Basel III, particularly regarding SFTs, to ensure consistency and accuracy in leverage ratio measurement.
• Reservations: The EBA notes that the impact of the OEM is still under review, and no definite conclusion has been reached on its applicability.

Conclusion

The report provides a detailed analysis of the quantitative and qualitative differences between the CRR and Basel III leverage ratio definitions. It emphasizes the importance of aligning the CRR with Basel III to ensure consistency and accuracy in leverage measurement. The EBA recommends the adoption of Interpretation 2 for SFTs, which is more in line with Basel III, and highlights the need for further clarification on certain aspects of the CRR, such as the OEM, before finalizing any amendments.