Response to consultation on draft Implementing Technical Standards (ITS) on disclosure for leverage ratio
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{LRCom; 1; 010}: The position should be called 'On-balance sheet items (excluding derivatives and SFTs, including collateral'.
{LRCom; 1; 010}: The row is called 'On-balance sheet items (excluding derivatives and SFTs)' and the description defines 'All assets other than contracts listed in Annex II Regulation (EU) No. 575/2013, credit derivatives ...' It has to be clarified in the title of the position and/or the instructions, if the position should contain on- and off-balance sheet items or if also all transactions listed in Annex I Regulation (EU) No. 575/2013 should be excluded.
{LRCom; 3; 010} The position should be called 'Total on-balance sheet exposure (excluding derivatives and SFTs, including collateral'.
{LRCom; 4; 010}: For standardization the position should be called 'Market value (mark to market-method) instead of 'Replacement cost (mark to market-method).
{LRCom; 6-8 and 11-13; 010}: All positions called 'empty set in the EU' should be deleted without replacement due to simplification and better readability.
{LRCom; 15a, 15.1a, 15.2a, 16a; 010}: This additional product listing of all off-balance sheet products should be deleted. It is - different to the product listing of on-balance sheet exposures containd in template LRSpl - not part of the COREP-leverage templates and would have to be implemented additionally only for the purpose of disclosure. As the product listing is not standarized it has only limited benefits but would imply huge administrative burden (implementation- and running-costs) for the institutions.
3. Table LRSpl: Split-up of on-balance sheet exposures (excluding derivatives and SFTs) - first bullet point should correctly read: Institutions shall apply the instructions provided in this section in order to complete table LRSpl of Annex I (instead of tabel LROth of Annex I).
{LRCom; 15a, 15.1a, 15.2a, 16a; 010}: This additional product listing of all off-balance sheet products should be deleted. It is - different to the product listing of on-balance sheet exposures contained in template LRSpl - not part of the COREP-leverage templates and would have to be implemented additionally only for the purpose of disclosure. As the product listing is not standarized it has only limited benefits but would imply huge administrative burden (implementation- and running-costs) for the institutions.
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?
For part LRCom and especially the disclosure requirement for “off-balance sheet exposures (excluding derivatives and SFTs)” we would like to note that there is information in another detailed granularity in comparison to the reporting template LRCalc. We argue at this point for a harmonization of the disclosure template to the reporting template because otherwise banks have to prepare another workaround in the monitoring phase and another IT-effort would be necessary after the monitoring phase when the final requirements will take place.{LRCom; 1; 010}: The position should be called 'On-balance sheet items (excluding derivatives and SFTs, including collateral'.
{LRCom; 1; 010}: The row is called 'On-balance sheet items (excluding derivatives and SFTs)' and the description defines 'All assets other than contracts listed in Annex II Regulation (EU) No. 575/2013, credit derivatives ...' It has to be clarified in the title of the position and/or the instructions, if the position should contain on- and off-balance sheet items or if also all transactions listed in Annex I Regulation (EU) No. 575/2013 should be excluded.
{LRCom; 3; 010} The position should be called 'Total on-balance sheet exposure (excluding derivatives and SFTs, including collateral'.
{LRCom; 4; 010}: For standardization the position should be called 'Market value (mark to market-method) instead of 'Replacement cost (mark to market-method).
{LRCom; 6-8 and 11-13; 010}: All positions called 'empty set in the EU' should be deleted without replacement due to simplification and better readability.
{LRCom; 15a, 15.1a, 15.2a, 16a; 010}: This additional product listing of all off-balance sheet products should be deleted. It is - different to the product listing of on-balance sheet exposures containd in template LRSpl - not part of the COREP-leverage templates and would have to be implemented additionally only for the purpose of disclosure. As the product listing is not standarized it has only limited benefits but would imply huge administrative burden (implementation- and running-costs) for the institutions.
3. Table LRSpl: Split-up of on-balance sheet exposures (excluding derivatives and SFTs) - first bullet point should correctly read: Institutions shall apply the instructions provided in this section in order to complete table LRSpl of Annex I (instead of tabel LROth of Annex I).
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.
Generally speaking we highly appreciate the harmonization of the reporting template with the disclosure template in most of the parts except the comments made in questions above. We strongly argue for a goal-directed approach by focusing on a spectrum of information that is meaningful to assess the risk of deleveraging, without putting stress on information that is still in scope of changes by global and therefore also European requirements.{LRCom; 15a, 15.1a, 15.2a, 16a; 010}: This additional product listing of all off-balance sheet products should be deleted. It is - different to the product listing of on-balance sheet exposures contained in template LRSpl - not part of the COREP-leverage templates and would have to be implemented additionally only for the purpose of disclosure. As the product listing is not standarized it has only limited benefits but would imply huge administrative burden (implementation- and running-costs) for the institutions.