Response to consultation on draft ITS amending ITS on supervisory reporting on Leverage Ratio
Go back
We believe that it would be prudent to provide notification only, rather than detailed disclosures prior to December 2015 in regards to the old disclosure formats under EU Regulation 575/2013. These disclosure requirements will be replaced from December 2015. As mentioned previously we believe that comparability would be severely hampered if the leverage ratio is disclosed under different definitions.
The consultation proposal of LRCalc does not contain a summary row for the exposure calculation. In order to improve the presentation of the data in the form we would recommend the introduction of such a line."
With respect to the formula used to calculate the leverage ratio - transitional definition it is our understanding that the position {LRCalc; 140; 1} should be added and not subtracted. The suggested formula is (adjustments in red colour and bold):
Leverage Ratio – transitional definition = {LRCalc;280;1} / [{LRCalc;010;1} + {LRCalc;020;1} + {LRCalc;030;1} + {LRCalc;040;1} + {LRCalc;050;1} + {LRCalc;060;1} + {LRCalc;070;1} + {LRCalc;080;1} + {LRCalc;090;1} + {LRCalc;100;1} + {LRCalc;110;1} + {LRCalc;120;1} + {LRCalc;130;1} + {LRCalc;140;1} + {LRCalc;150;1} + {LRCalc;160;1} + {LRCalc;170;1} + {LRCalc;180;1} + {LRCalc;190;1} + {LRCalc;200;1} + {LRCalc;210;1} + {LRCalc;220;1} + {LRCalc;230;1} + {LRCalc;240;1} + {LRCalc;250;1} + {LRCalc;260;1} + {LRCalc;300;1}]
In the explanation of the cell {LRCalc; 170; 1} the following sentence has been added: This in-cludes liquidity facilities and other commitments to securitisations incorporating the changes according to the Enhancements to the Basel II framework. That is the CCF for all eligible liquidity facilities in the securitisation framework is 50% regardless of the maturity. "We ask that a definition of the term “eligible liquidity facilities” is provided as it is not clear to us what this means. Is the definition the liquidity facilities that meet the requirements of Article 255 CRR?
The references in the notes to the cells {LRCalc; 310; 1} and {LRCalc; 320; 1} are incorrect. The references should be as follows:
{310; 1}: "This is the leverage ratio as calculated under paragraph 4 of Part II of this Annex."
{320; 1}: "This is the leverage ratio as calculated under paragraph 5 of Part II of this Annex."
The equation provided in paragraph 30 is, in our opinion inconsistent (when compared to LR exposure LRCalc and LR exposure LR4). We recommend the following equation with some modifications (bold and highlighted in red and crossed out):
[{LRCalc; 010; 1} + {LRCalc; 020; 1} + {LRCalc; 030; 1} + {LRCalc; 040; 1} + {LRCalc; 050; 1} + {LRCalc; 060; 1} + {LRCalc; 070; 1} + {LRCalc; 080; 1} + {LRCalc; 090; 1} + {LRCalc; 100; 1} + {LRCalc; 110; 1} + {LRCalc; 120; 1} + {LRCalc; 130; 1} + {LRCalc; 140; 1} + {LRCalc; 150; 1} + {LRCalc; 160; 1} + {LRCalc; 170; 1} + {LRCalc; 180; 1} + {LRCalc; 190; 1} + {LRCalc; 200; 1} + {LRCalc; 210; 1} + {LRCalc; 220; 1} + {LRCalc; 230; 1} + {LRCalc; 240; 1} + {LRCalc; 250; 1} + {LRCalc; 260; 1}] = [{LR4; 010; 1} + {LR4; 040; 1} + {LR4; 050; 1} + {LR4; 060; 1} + {LR4; 065; 1} + {LR4; 070; 1} + {LR4; 080; 1} + {LR4; 080; 2} + {LR4; 090; 1} + {LR4; 090; 2} + {LR4; 100; 2} + {LR4; 110; 1} + {LR4; 120; 2} + {LR4; 140; 1} + {LR4; 140; 2} + {LR4; 180; 1} + {LR4; 180; 2} + {LR4; 190; 1} + {LR4; 190; 2} + {LR4; 210; 1} + {LR4; 210; 2} + {LR4; 230; 1} + {LR4; 230; 2} + {LR4; 280; 1} + {LR4; 280; 2} + {LR4; 290; 1} + {LR4; 290; 2}]"
Question 2: Would respondents have substantiated arguments for an implementation period different from the abovementioned?
Our understanding is that the new Leverage Ratio-reporting and disclosure formats would be introduced at the earliest in December 2015. If this is correct, we have no objection with regards to the implementation period.We believe that it would be prudent to provide notification only, rather than detailed disclosures prior to December 2015 in regards to the old disclosure formats under EU Regulation 575/2013. These disclosure requirements will be replaced from December 2015. As mentioned previously we believe that comparability would be severely hampered if the leverage ratio is disclosed under different definitions.
Question 3: Do respondents agree to the structure and content of the proposed templates and in particular the amendments proposed to Annex X of Regulation (EU) No 680/2014? If not, would respondents have substantiated reasons for not amending or further amending a particular cell or template?
In principle, we agree with the content and structure of the forms. We particularly support the new labelling of the cells to be extracted by the character (-)" in the form LRCalc. These changes are helpful as they improve the comprehensibility of the form. We highly recommend this representa-tion for the lines 055, 065, 075 and 085 on the sheet LR3 as these lines are likely to contain negative values.The consultation proposal of LRCalc does not contain a summary row for the exposure calculation. In order to improve the presentation of the data in the form we would recommend the introduction of such a line."
Question 4: Do respondents agree to the structure and content of the proposed instructions and in particular the amendments proposed to Annex XI of Regulation (EU) No 680/2014? If not, would respondents have substantiated reasons for not amending or further amending a particular paragraph or cell description?
Part II: Template Related InstructionsWith respect to the formula used to calculate the leverage ratio - transitional definition it is our understanding that the position {LRCalc; 140; 1} should be added and not subtracted. The suggested formula is (adjustments in red colour and bold):
Leverage Ratio – transitional definition = {LRCalc;280;1} / [{LRCalc;010;1} + {LRCalc;020;1} + {LRCalc;030;1} + {LRCalc;040;1} + {LRCalc;050;1} + {LRCalc;060;1} + {LRCalc;070;1} + {LRCalc;080;1} + {LRCalc;090;1} + {LRCalc;100;1} + {LRCalc;110;1} + {LRCalc;120;1} + {LRCalc;130;1} + {LRCalc;140;1} + {LRCalc;150;1} + {LRCalc;160;1} + {LRCalc;170;1} + {LRCalc;180;1} + {LRCalc;190;1} + {LRCalc;200;1} + {LRCalc;210;1} + {LRCalc;220;1} + {LRCalc;230;1} + {LRCalc;240;1} + {LRCalc;250;1} + {LRCalc;260;1} + {LRCalc;300;1}]
In the explanation of the cell {LRCalc; 170; 1} the following sentence has been added: This in-cludes liquidity facilities and other commitments to securitisations incorporating the changes according to the Enhancements to the Basel II framework. That is the CCF for all eligible liquidity facilities in the securitisation framework is 50% regardless of the maturity. "We ask that a definition of the term “eligible liquidity facilities” is provided as it is not clear to us what this means. Is the definition the liquidity facilities that meet the requirements of Article 255 CRR?
The references in the notes to the cells {LRCalc; 310; 1} and {LRCalc; 320; 1} are incorrect. The references should be as follows:
{310; 1}: "This is the leverage ratio as calculated under paragraph 4 of Part II of this Annex."
{320; 1}: "This is the leverage ratio as calculated under paragraph 5 of Part II of this Annex."
The equation provided in paragraph 30 is, in our opinion inconsistent (when compared to LR exposure LRCalc and LR exposure LR4). We recommend the following equation with some modifications (bold and highlighted in red and crossed out):
[{LRCalc; 010; 1} + {LRCalc; 020; 1} + {LRCalc; 030; 1} + {LRCalc; 040; 1} + {LRCalc; 050; 1} + {LRCalc; 060; 1} + {LRCalc; 070; 1} + {LRCalc; 080; 1} + {LRCalc; 090; 1} + {LRCalc; 100; 1} + {LRCalc; 110; 1} + {LRCalc; 120; 1} + {LRCalc; 130; 1} + {LRCalc; 140; 1} + {LRCalc; 150; 1} + {LRCalc; 160; 1} + {LRCalc; 170; 1} + {LRCalc; 180; 1} + {LRCalc; 190; 1} + {LRCalc; 200; 1} + {LRCalc; 210; 1} + {LRCalc; 220; 1} + {LRCalc; 230; 1} + {LRCalc; 240; 1} + {LRCalc; 250; 1} + {LRCalc; 260; 1}] = [{LR4; 010; 1} + {LR4; 040; 1} + {LR4; 050; 1} + {LR4; 060; 1} + {LR4; 065; 1} + {LR4; 070; 1} + {LR4; 080; 1} + {LR4; 080; 2} + {LR4; 090; 1} + {LR4; 090; 2} + {LR4; 100; 2} + {LR4; 110; 1} + {LR4; 120; 2} + {LR4; 140; 1} + {LR4; 140; 2} + {LR4; 180; 1} + {LR4; 180; 2} + {LR4; 190; 1} + {LR4; 190; 2} + {LR4; 210; 1} + {LR4; 210; 2} + {LR4; 230; 1} + {LR4; 230; 2} + {LR4; 280; 1} + {LR4; 280; 2} + {LR4; 290; 1} + {LR4; 290; 2}]"
Question 5: Do respondents agree to the impact assessment? If not, would respondents have substantiated reasons why they would foresee a different conclusion?
We have no comments in regards to this question.Upload files
0059.pdf
(157.23 KB)