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European Savings and Retail Banking Group (ESBG)

Thank you for the opportunity to comment on the EBA consultation paper on Draft Implementing Technical Standards amending Commission Implementing Regulation (EU) No 680/2014 (ITS on supervisory reporting) with regard to the Leverage Ratio (LR) following the EC’s Delegated Act on the LR. Below you will find our input to the consultation.

Following the changes in the EC’s Delegated Acton on the LR, ESBG appreciates that the scope of consolidation of the leverage ratio is now consistent with the consolidation of the risk-weighted capital adequacy ratio, which leads to a better comparability of the two ratios.

However, ESBG is concerned about the reporting and disclosure of the LR during 2015, as the EC’s Delegated Act is not yet reflected in the ITS on supervisory reporting with regard to the LR, nor the draft technical standards on disclosure for the LR.

Some institutions must provide an intra-year mandatory disclosure of the leverage ratio as of 31 March 2015. If the new reporting and disclosure requirements currently under consultation with the EBA do not apply before December 2015, the leverage ratio figures during 2015 may not be reported and disclosed according to the Delegated Act and comparability with the earlier disclosed leverage ratio figures would be difficult. With reference to Article 456 (1) j in the Capital Requirements Regulation (CRR) ESBG believes that the disclosure of the leverage ratio should not be required before December 2015 (in parallel with the entry into force of the new EBA reporting and disclosure standards) for the first time. This would ensure that disclosed Leverage Ratios going forward are comparable.

We do not believe that the remittance dates of the current ITS should change.
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.
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."
Part II: Template Related Instructions

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}]"
We have no comments in regards to this question. 
0059.pdf
Johanna Hellstrom
003222111160