Subject to our responses to questions 2, 3 and 4, we agree that instructions in these draft ITS are sufficiently clear and do not require further elaboration.
Subject to our comments below, we agree that the data field definitions are generally clear and do not require further clarification.

However, we note that the instructions for the completion of table LRSum in Part II: Template related instructions, point 1.3.c contain an error, as they refer to ‘column 20 of the table LRCom’. Template LRCom template does not have a column 20 and given the context of the instruction we believe that the reference should be to column 20 of table LRSum.

In addition, the reference to collateral in the heading for data field LRSum {1;010}, On-balance sheet items (excluding derivatives and SFTs, including collateral), is unclear as it is not sufficiently clarified in the guidance to the data field. We assume the reference to collateral relates to the assumption that, in the event that the firm nets cash collateral provided against negative derivative mark-to-market, the balance sheet be grossed up for this collateral amount. It would be helpful if this could be specified, and indeed whether this caption is intended to capture any other specificity relating to collateral.

As highlighted in our letter, we are also concerned that the proposed template LRSum does not sufficiently address investor needs for a reconciliation of the leverage ratio exposure measure to the accounting balance sheet, as it solely shows the financial statement values next to the regulatory values without providing room for explanation of the differences, specifically the differences in scope of consolidation which also cannot be deduced from any other part of the proposed templates. The proposed template would therefore require information that will already be disclosed based on investor demand, to be repeated in a less useful format. We note that the leverage ratio disclosure template (Template ‘Summary comparison of accounting assets vs. leverage ratio exposure measure’ ) just published by the BCBS as part of their Basel III leverage ratio framework and disclosure requirements provides for such reconciliation, though it also does not allow room to explain the adjustments due to the differences in regulatory and accounting method of consolidation for associates.
Subject to our comments below, we agree that the data field definitions are generally clear and do not require further clarification.

The proposed additional break down of off-balance sheet exposures (LRCom, rows 15a, EU-15.1a, EU-15.2a and 16a) is based on materiality and it is not clear how a product would be identified as material. The guidance only outlines that, ‘Institutions shall include an additional row for each material product type that is subject to the treatment of [{LRCom; 15; *} {LRCom; EU-15.1; *} {LRCom; EU-15.2; *} {LRCom; EU-15.2; *}, give its main characteristics (name of the products and type) and the related leverage ratio exposure’.

Without a clear definition of the breakdown that is required, the proposed additional break down of off-balance sheet exposures would be based on an individual bank’s judgement. This will result in disclosure that is incomparable between banks and therefore significantly restricts the usefulness of the information.

We also generally question the value added by a breakdown of off-balance sheet exposures by product type, given that other disclosures in the financial statements or the Pillar 3 document are not normally provided on a product level.

The proposed additional breakdown of off-balance sheet exposures goes beyond the COREP requirements. To provide useful information the data fields would need to be clearly and consistently defined without room for judgement. Furthermore, the breakdown should be required at a similar level to the breakdown of other disclosures in the financial statement or Pillar 3 document (e.g. exposure class, portfolio level) to enable users to analyse it in the context of other disclosures provided. However, care must be taken when constructing the definitions to avoid disclosures becoming operationally burdensome.

In addition, we note that the guidance to data field LRCom {EU-10a; *} requires clarification. The last paragraph of the guidance can be read to imply that the counterparty exposure measure to be reported in this field excludes ‘normal’ repos and only includes reverse repos and stock borrowing (and the small population, if any, of repos and stock loans where the transaction is derecognised for accounting purposes). This is because the final paragraph of the guidance for this item requires us to exclude the cash and security legs of repos and stock loans. We do not believe that this is the intention of the regulation and would welcome clarification.

We recommend the final paragraph to be deleted together with the mirroring guidance in LRSum {1;010} and LRCom {1;*}. If, however, it is indeed the intention of the regulation that ‘normal’ repos and stock loans be excluded from the calculation of the SFT exposure measure, the first main paragraph of the guidance could instead be amended as follows:

The exposure for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions calculated in accordance with Article 220 (1) to (3) Regulation(EU) NO. 575/2013. Transactions which are included in field LRCom {1; *} should be excluded from this calculation.

We also note that there is room for interpretation as to the exposure measure to be included in the data field LRSpl, EU-30: ‘Total on-balance sheet exposures (excluding derivatives and SFTs)’. We are assuming that this data field is based on the prudential exposure measures. If this assumption is correct this could be clarified by including a statement to the effect that this number should equal to {LRSum; 01; 20}.
We generally agree that no significant impacts incremental to those caused by the provisions in the CRR are likely to materialise. However, the significance of the incremental impacts of the proposals cannot be fully considered without an understanding of the frequency at which the disclosure templates would be required. Without this, it is not possible to form a view on the operational effort involved. In our view such detailed disclosure templates should only be required on an annual basis at the same time as the publication of banks’ Annual Report and Accounts and the above statement should be seen in this context.

The CP did not include a question on template LRQua, however, as highlighted in our letter, we have concerns about such a reporting template for flow text. Such a template will prevent the information required by the template to be embedded with other disclosures which would provide a context for users to properly assess the measure. The disclosure of the required information in a template would also not make such descriptions more comparable and we therefore question the benefit of this template. To complement the quantitative disclosures (LRSum, LRCom, LRSpl) it would be better, in our view, to disclose the required qualitative information on the leverage ratio in free format around the tables rather than within specific text boxes.