Response to consultation on draft Implementing Technical Standards (ITS) on disclosure for leverage ratio
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For the cells (EU-10a; *) and (EU-10b; *) we ask for further indications what kind of transactions are exactly included. The mentioned Articles 220 and 222 in the CRR are not particularly discussing certain kind of transactions but describe various methods to assess exposures. It could be derived that (EU-10a; *) is covering deals with a master netting agreements and (EU-10b; *) is covering deals assessed via the Standardised Approach, nevertheless as these kinds of transactions are not mutually exclusive this interpretation can not work. Therefore we kindly ask for further specification.
The information to be disclosed in Table LRSpl is not necessary from our perspective. All these information are already disclosed out of the pillar III requirements for solvency (article 437 CRR) and therefore a duplicated disclosure most likely in the same disclosure report. The burden for disclosure would be further enlarged without adding additional information. We kindly ask the EBA to reconsider the necessity to disclose the information in LRSpl. Especially the cells (EU-31; *) and (EU-32; *) have nothing to do with the leverage ratio. The disclosure of the leverage ratio should not be used to impose disclosure requirements which are not related to the leverage ratio as such. We therefore propose to drop table LRSpl completely in the leverage ratio disclosure context.
The whole framework leads to an enormously increased operational effort for institutions in a field where resources are already rare. The required granularity of data, especially the off-balance sheet positions would be challenging for a variety of institutions forcing them to adjust their data household.
Further in Article 7 of the ITS it is required to disclose various qualitative information on risk of excessive leverage and factors impacting the leverage ratio. Although the requirements are specified in the Annex we ask for further guidance what level of detail is required and what format shall be used. Otherwise comparability of disclosed information is not given and therefore pointless.
Are the instructions provided in annex 2 on the breakdown of leverage ratio exposure of LRCom and LRSpl sufficiently clear? Should the instructions for some rows be clarified? Which ones in particular? Are some rows missing?
In Annex II Part II 2. Table LRCom (1;*) on page 23 of the ITS on-balance sheet items (excluding derivatives and SFTs) are covered. In the first sentence in the respective description below we propose to cover “all on-balance sheet assets as defined in Article 429 CRR” (especially excluding fiduciary assets) instead of “all assets”. Again we state that received cash must not be included as it is not an asset but a liability (see argumentation in Question 2).For the cells (EU-10a; *) and (EU-10b; *) we ask for further indications what kind of transactions are exactly included. The mentioned Articles 220 and 222 in the CRR are not particularly discussing certain kind of transactions but describe various methods to assess exposures. It could be derived that (EU-10a; *) is covering deals with a master netting agreements and (EU-10b; *) is covering deals assessed via the Standardised Approach, nevertheless as these kinds of transactions are not mutually exclusive this interpretation can not work. Therefore we kindly ask for further specification.
The information to be disclosed in Table LRSpl is not necessary from our perspective. All these information are already disclosed out of the pillar III requirements for solvency (article 437 CRR) and therefore a duplicated disclosure most likely in the same disclosure report. The burden for disclosure would be further enlarged without adding additional information. We kindly ask the EBA to reconsider the necessity to disclose the information in LRSpl. Especially the cells (EU-31; *) and (EU-32; *) have nothing to do with the leverage ratio. The disclosure of the leverage ratio should not be used to impose disclosure requirements which are not related to the leverage ratio as such. We therefore propose to drop table LRSpl completely in the leverage ratio disclosure context.
Our analysis shows that no impacts incremental to those included in the text of the Level 1 text are likely to materialise. Do you agree with our assessment? If not please explain why and provide estimates of such impacts whenever possible.
From our perspective it is not entirely clear what analysis is meant. Per-se as we already stated in the introduction we see several issues with the leverage ratio as it is defined by the Basel Committee (revised version), but also with the European transposition as it covers the Basel framework to a large extent.The whole framework leads to an enormously increased operational effort for institutions in a field where resources are already rare. The required granularity of data, especially the off-balance sheet positions would be challenging for a variety of institutions forcing them to adjust their data household.
Further in Article 7 of the ITS it is required to disclose various qualitative information on risk of excessive leverage and factors impacting the leverage ratio. Although the requirements are specified in the Annex we ask for further guidance what level of detail is required and what format shall be used. Otherwise comparability of disclosed information is not given and therefore pointless.
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