EBA欧洲银行-EBA-ITS-2014-04-rev1-28Final-Draft-ITS-amending-ITS-on-LR-Disclosure29_22页_327kb

EBA Final Draft Implementing Technical Standards on Leverage Ratio Disclosure

Core Content

The European Banking Authority (EBA) has developed a Final Draft Implementing Technical Standards (ITS) on the disclosure of the leverage ratio under Article 451(2) of the Capital Requirements Regulation (CRR). The purpose of these standards is to ensure uniformity, transparency, and comparability in the disclosure of leverage ratio data across the European Union (EU).

These ITS are based on the Basel Committee on Banking Supervision (BCBS)'s 'Basel III leverage ratio framework and disclosure requirements' published in 2014, and have been adjusted to reflect changes introduced by the Commission's Delegated Regulation (EU) 2015/62 (Delegated Act), which amended the CRR's leverage ratio calculation rules.

Key Objectives

• To harmonise leverage ratio disclosure across the EU.
• To provide uniform templates and instructions for institutions to follow.
• To align with international standards while incorporating EU-specific adjustments.
• To ensure transparency in how leverage ratio figures relate to accounting standards and financial statements.

Main Components of the Disclosure Framework

The EBA's ITS include four key tables for leverage ratio disclosure:

1. LRSum (Leverage Ratio Summary Table)

   • Reconciles the leverage ratio denominator with figures from accounting standards.
   • Required by Article 451(1)(b) of the CRR.

2. LRCom (Leverage Ratio Composition Table)

   • Provides the leverage ratio, a breakdown of the denominator by exposure category, and the amount of derecognised fiduciary assets.
   • Required by Articles 451(1)(a), (b), and (c) of the CRR.

3. LRSpl (Leverage Ratio Split Table)

   • Breaks down the leverage ratio exposure for non-derivative and non-SFT (Securities Financing Transaction) assets.
   • This table is essential for identifying the main drivers of leverage.
   • Institutions are exempt from sub-consolidated disclosure for this table.

4. LRQua (Leverage Ratio Qualitative Table)

   • Requires institutions to disclose qualitative information on their risk management processes for excessive leverage and the factors affecting the leverage ratio.
   • Required by Articles 451(1)(d) and (e) of the CRR.

Key Changes Introduced by the Delegated Act

The ITS incorporate several changes introduced by the Delegated Regulation (EU) 2015/62, including:

• Adjustments to the exposure calculation for SFTs, such as repurchase transactions, securities lending, and margin lending, using accounting values.
• New rows for cash variation margin in derivatives.
• Additional treatment for credit derivatives, including capped notional amounts.
• Updated credit conversion factors for off-balance sheet items, with a floor of 10%.
• Exemptions for client-cleared transactions, including the exclusion of intragroup exposures and exposures from deposits transferred to public-sector entities.

Scope of Application and Consolidation

• The disclosure requirements apply to institutions, parent undertakings, and subsidiaries.
• EU parent institutions must disclose on a consolidated basis.
• Significant subsidiaries must disclose on an individual or sub-consolidated basis.
• Institutions controlled by EU parent financial holding companies also apply the consolidated basis.
• Sub-consolidated disclosure is exempt for certain tables, particularly LRSpl, to reduce administrative burden.

Frequency of Disclosure

• Disclosure is generally annual, in line with the financial statements.
• The EBA issued guidelines on 23 December 2014 (EBA/GL/2014/14) to help institutions assess the need for more frequent disclosure, especially for larger institutions.
• The Delegated Act removed the need for quarterly arithmetic mean calculations, thus eliminating the need for sub-consolidated disclosure of the LRSpl table.

Implementation and Binding Nature

• The ITS are binding across the EU and directly applicable in all Member States.
• The EBA has been empowered by Article 15 of the EBA Regulation to produce these standards, which are adopted by EU Regulation.
• The final disclosure templates were published in Annex I, with instructions provided in Annex II.

Conclusion

The EBA's ITS aim to standardise and improve transparency in the disclosure of leverage ratios for EU institutions. By aligning with Basel III and incorporating EU-specific adjustments, these standards support cross-border comparability and effective risk management. The templates and instructions provide a clear framework for institutions to report leverage ratio data in a consistent manner, while also allowing for flexibility in certain areas, such as frequency and scope of disclosure.