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Group Deutsche Boerse

In general the provisions set in the draft ITS seem to be sound. Nevertheless we want to bring a couple of topics to the EBA’s attention. As already mentioned above the ITS is hardly readable. Although this is not a unique problem of this ITS compared to other recently published regulatory texts including CRR itself the currently proposed draft ITS is one of the worst examples (especially Article 2, 4 and 6). The questions to this consultation clearly underpin our criticism above. Two out of four questions relate to the disclosure content by reference to the annexed templates only.

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.

We also want to stress once more the needed exemption for reconciliation with statutory accounts in case such (sub-consolidated ones) do not exist!
In Annex II Part II 1. Table LRSum Point 3 (a) on page 21 of the ITS it is stated that the institutions shall complete all values in column 010 based on the consolidated or sub-consolidated scope under the applicable accounting framework. We ask for further specification that this is only relevant in case statutory accounts are issued. In case no statutory accounts are issued it is our understanding that no leverage ratio must be disclosed (see section C of this response).

In cell (1; 010) it is stated that cash received must also be included. Cash received is not an asset but a liability and therefore must not be included. These collaterals would be double counted as the correspondent amount of the received cash is shown on the asset side of the balance sheet and therefore included. We kindly ask the EBA for clarification.
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.
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.
Andreas B. Maier
00496921112086