EBA欧洲银行-EBA-ITS-2014-04-28Final-Draft-ITS-leverage-ratio-disclosure29_53页_1mb

EBA Final Draft Implementing Technical Standards on Leverage Ratio Disclosure

Core Content

The EBA Final Draft Implementing Technical Standards (ITS) on the disclosure of the leverage ratio under Article 451(2) of Regulation (EU) No 575/2013 (CRR) aims to provide a uniform framework for institutions to disclose their leverage ratio and related components. The ITS are based on the Basel III leverage ratio framework and are aligned with the BCBS disclosure requirements published on 12 January 2014. The standards are designed to ensure transparency, comparability, and consistency across EU institutions.

Main Features of the ITS

The ITS include four key tables for leverage ratio disclosure:

1. LRSum – Reconciles the leverage ratio exposure with the figures reported under accounting standards. This table provides a reconciliation of the leverage ratio exposure measure with total accounting assets.
2. LRCom – Provides the leverage ratio and a breakdown of the leverage ratio denominator according to exposure categories, along with the amount of derecognised fiduciary assets for leverage ratio purposes.
3. LRSpl – Breaks down the leverage ratio denominator for non-derivative and non-SFT (Securities Financing Transaction) assets, by counterparty group. This table is essential for identifying the main composition of leverage ratio exposure, which is typically concentrated in these assets.
4. LRQua – Contains qualitative information on the management of leverage risk and factors that have impacted the leverage ratio during the relevant period.

The instructions in Annex II clarify how to complete these tables, drawing on data from the supervisory reporting ITS. Institutions are also exempt from disclosing this information on a sub-consolidated basis, as specified in the last paragraph of Article 3 of the CRR.

Regulatory Rationale and Background

• The CRR and CRD IV (Capital Requirements Directive) were published on 27 June 2013 to implement the Basel III framework in the EU. These regulations require institutions to disclose leverage ratio information starting from 1 January 2015.
• The EBA was mandated to develop ITS to harmonise disclosure across the EU. These standards are designed to align with the BCBS framework while taking into account the specificities of the EU regulatory environment.
• The ITS are not binding in themselves but are based on the CRR and will be adopted through an EU Regulation or Decision. They are subject to potential changes due to the Commission's delegated act under Article 456(1)(j) of the CRR, which allows for amendments to the capital and exposure measures.
• The ITS do not include all aspects of the disclosure requirements, such as transitional arrangements, frequency of disclosure, and scope of application. These are addressed in the CRR and CRD provisions.

Key Provisions of the Regulation

• Article 1: Institutions must disclose the leverage ratio and how they apply Article 499(2) and (3) of the CRR by completing and publishing rows 22, EU-22a, and EU-23 of the 'LRCom' table.
• Article 2: If an institution changes its decision on which leverage ratio to disclose, it must reconcile all previously disclosed leverage ratios by completing and publishing the 'LRSum', 'LRCom', 'LRSpl', and 'LRQua' tables for each relevant reference date.
• Article 3: Institutions must disclose a breakdown of the leverage ratio total exposure measure by completing rows 1–19 and EU-21a of the 'LRCom' table, and rows EU-1–EU-12 of the 'LRSpl' table. However, they are not required to complete the 'LRSpl' table on a sub-consolidated basis.
• Article 4: Institutions must reconcile the leverage ratio exposure with published financial statements by completing the 'LRSum' table. This is not required if financial statements are not published at the relevant level.
• Article 5: Institutions must disclose the amount of derecognised fiduciary items by completing row EU-24 of the 'LRCom' table.
• Article 6: Institutions must disclose qualitative information on the management of leverage risk and factors impacting the leverage ratio by completing the 'LRQua' table.
• Article 7: The Regulation enters into force 20 days after publication in the Official Journal and applies from 1 January 2015. It is binding in its entirety and directly applicable in all Member States.

Supporting Documents

• Cost-benefit analysis/impact assessment: The EBA conducted an impact assessment and considered stakeholder feedback to refine the ITS.
• Views of the Banking Stakeholder Group (BSG): The BSG provided input on the proposed ITS, which the EBA incorporated where appropriate.
• Feedback on public consultation: The EBA reviewed public feedback and made adjustments to the templates and instructions to ensure clarity and consistency with the Basel framework.

Conclusion

The EBA ITS aim to ensure that leverage ratio disclosure is consistent, transparent, and comparable across EU institutions. They align with the BCBS framework while incorporating EU-specific requirements and considerations. The templates and instructions provided will facilitate the implementation of these standards and support market participants in understanding the composition and management of leverage risk. The ITS are subject to future revisions based on the Commission’s delegated act and the outcomes of the Basel parallel run period.