EBA欧洲银行-Annex-2_-replacement-Annex-XI-LR-instructions-28Tracked-Changes29_64页_1mb

报告摘要

Summary of ANNEX XI: Reporting on Leverage

Core Content

This document provides detailed instructions for the reporting of leverage ratios under the Capital Requirements Regulation (CRR) and outlines the structure, formulas, and conventions for the relevant templates. It is part of the reporting framework for financial institutions, focusing on the calculation and disclosure of leverage ratios, including alternative treatments and materiality thresholds for derivatives.

Main Points

1. Template Labeling and Conventions

Template Labeling: The document refers to several templates for leverage ratio reporting, including:
- C47.00: Leverage Ratio Calculation (LRCalc)
- C40.00: Leverage Ratio Template 1 (LR1)
- C41.00: Leverage Ratio Template 2 (LR2)
- C42.00: Leverage Ratio Template 3 (LR3)
- C43.00: Leverage Ratio Template 4 (LR4)
- C44.00: Leverage Ratio Template 5 (LR5)
- LR6: Entities consolidated for accounting purposes but not within the scope of prudential consolidation.
Numbering Convention: The data in the templates is referenced using the format {Template;Row;Column}. If the validation applies to an entire row or column, an asterisk is used. For validations within a template, only {Row;Column} is used.
Sign Convention: Most amounts are reported as positive figures. However, specific cells (e.g., {LRCalc;110050;1}, {LR3:050;1}) can take positive or negative values. Negative values are only expected for items where a negative sign precedes the label.

2. Structure and Frequency of Reporting

Part A and Part B:
- Part A contains data items used for the calculation of the leverage ratio and is reported on a monthly basis.
- Part B contains data items for reporting purposes and is reported on a quarterly basis.
Reporting Dates:
- Month 1 value: End of the first month of the quarter.
- Month 2 value: End of the second month of the quarter.
- Month 3 value: End of the third month of the quarter.
Derogation:
- If the derogation in Article 499(3) of the CRR applies, institutions only report values in column 3 of the LRCalc template.

3. Formulas for Leverage Ratio Calculation

Leverage Ratio - Fully Phased-In Definition:
$$
\text{LR month 1 (PI)} + \text{LR month 2 (PI)} + \text{LR month 3 (PI)}
$$
- LR month 1 (PI):
  $$
  \frac{\text{LRCalc;110;1}}{\text{LRCalc;010;1} + \text{LRCalc;020;1} + \text{LRCalc;030;1} + \text{LRCalc;040;1} + \text{LRCalc;050;1} + \text{LRCalc;060;1} + \text{LRCalc;070;1} + \text{LRCalc;080;1} + \text{LRCalc;090;1} + \text{LRCalc;100;1} + \text{LRCalc;110;1} + \text{LRCalc;120;1} + \text{LRCalc;130;1} + \text{LRCalc;140;1} + \text{LRCalc;150;1} + \text{LRCalc;160;1} + \text{LRCalc;170;1} + \text{LRCalc;180;1} + \text{LRCalc;190;1} + \text{LRCalc;200;1} + \text{LRCalc;210;1} + \text{LRCalc;220;1} + \text{LRCalc;230;1} + \text{LRCalc;240;1} + \text{LRCalc;250;1} + \text{LRCalc;260;1} + \text{LRCalc;290;1}]
  $$
Leverage Ratio - Transitional Definition:
$$
\text{LR month 1 (T)} + \text{LR month 2 (T)} + \text{LR month 3 (T)}
$$
- LR month 1 (T):
  $$
  \frac{\text{LRCalc;120;1}}{[\text{LRCalc;010;1} + \text{LRCalc;020;1} + \text{LRCalc;030;1} + \text{LRCalc;040;1} + \text{LRCalc;050;1} + \text{LRCalc;060;1} + \text{LRCalc;070;1} + \text{LRCalc;080;1} + \text{LRCalc;090;1} + \text{LRCalc;100;1} + \text{LRCalc;140;1} + \text{LRCalc;170;1} - \text{LRCalc;160;1}]}
  $$
- LR month 2 (T):
  $$
  \frac{\text{LRCalc;120;2}}{[\text{LRCalc;010;2} + \text{LRCalc;020;2} + \text{LRCalc;030;2} + \text{LRCalc;040;2} + \text{LRCalc;050;2} + \text{LRCalc;060;2} + \text{LRCalc;070;2} + \text{LRCalc;080;2} + \text{LRCalc;090;2} + \text{LRCalc;100;2} + \text{LRCalc;140;2} + \text{LRCalc;170;2} - \text{LRCalc;160;2}]}
  $$
- LR month 3 (T):
  $$
  \frac{\text{LRCalc;120;3}}{[\text{LRCalc;010;3} + \text{LRCalc;020;3} + \text{LRCalc;030;3} + \text{LRCalc;040;3} + \text{LRCalc;050;3} + \text{LRCalc;060;3} + \text{LRCalc;070;3} + \text{LRCalc;080;3} + \text{LRCalc;090;3} + \text{LRCalc;100;3} + \text{LRCalc;140;3} + \text{LRCalc;170;3} - \text{LRCalc;160;3}]}
  $$

4. Materiality Thresholds for Derivatives

Derivatives Share:
$$
\frac{[\text{LRCalc;030;3} + \text{LRCalc;040;3} + \text{LRCalc;050;3}]}{\text{Total exposure measure}}
$$
- If the derivatives share exceeds 1.5% on two consecutive reporting dates, or 2.0%, institutions must report fields in paragraph 2214.
Total Notional Value of Referenced Derivatives:
- Reported in {LR1; 010; 7}.
Credit Derivatives Volume:
- Calculated as:
  $$
  \text{LR1;020;7} + \text{LR1;050;7}
  $$
- If the volume exceeds 300 million € on two consecutive reporting dates or 500 million €, institutions must report fields in paragraph 2315.

5. Key Reporting Requirements

Exempted CCP Legs:
- Exempted trade exposures to a QCCP are reported in {LR1; 010; 7}, {LR1; 020; 7}, and {LR1; 050; 7}.
- These must be included in other relevant cells unless they are repledged.
Derivatives and Off-Balance Sheet Items:
- Different CCF (Credit Conversion Factors) apply to different types of off-balance sheet items:
  - 10% CCF: Undrawn credit facilities that may be cancelled unconditionally.
  - 20% CCF: Medium/low risk trade-related off-balance sheet items.
  - 50% CCF: Medium-risk trade-related off-balance sheet items and officially supported export finance items.
  - 100% CCF: Other high-risk off-balance sheet items.
Exemptions and Reporting:
- Institutions must report certain items as if no exemption applies, even if they are exempted in specific contexts.

Key Information

Reporting Frequency:
- Monthly for Part A.
- Quarterly for Part B.
Derogation:
- If applicable, institutions report only column 3 of the LRCalc template.
Leverage Ratio Calculation:
- Fully phased-in and transitional definitions are provided with detailed formulas and data fields.
Derivatives Reporting:
- Institutions with derivatives shares exceeding certain thresholds must report additional fields.
- Total notional value and credit derivatives volume are key metrics for determining reporting obligations.
Credit Conversion Factors (CCF):
- Different CCFs apply based on the nature and risk profile of off-balance sheet items.
Exempted Items:
- Some items are exempted but must still be included in other relevant cells unless specific conditions are met.

This document ensures transparency and consistency in the reporting of leverage ratios for financial institutions, aligning with regulatory requirements and providing clear guidelines on how to handle various types of exposures and exemptions.

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