Please refer to questions 19.1 & 19.2.
Structures presented are complete.
Most susceptible: Securities Finance Transactions;
We agree with the BCBS conclusions (d468 Revisions to leverage ratio disclosure requirements – June 2019) that only SFT exposures are susceptible to face temporary reductions in transaction volumes,
However, the reporting of daily exposure is excessive and would lead to disproportionate operational complexity and costs. From our understanding, a calculation for SFTs based on weighted month end average exposure values would provide the same information as an operationally excessive reporting of daily actuals.
In any case, the computation of an average of daily calculations for SFTs should only be done with management data on a best effort basis, as evidenced by UK and US banks Daily Values to be used for the calculation of leverage ratios should not be based on accounting values, but they should be based on management data and on a best effort basis.
Best estimates should be considered as acceptable provided that they are measured consistently (within the quarter and with the accounting-based end of quarter figures) and prudently. As there might be difficulties in valuing the assets, applying the leverage ratio netting rules and even eliminating intra group transactions (for the group consolidated ratio) at the end of each day, the best way is to adopt a pragmatic approach.
It should also be noted that the calculation of leverage exposure for SFTs based on daily values would impose significant one-off and ongoing costs on banks, as internal processes and IT systems would need to be adjusted to the new disclosure requirements.
Lastly, in order to reduce excessive burden LR6.2 (C48.01) should be deleted, as LR6.1 (C48.02) already shows the average result of LR6.2.
Please refer to questions 21.1 & 21.2
We would prefer to report both RWEA and LRE figures after potential substitution effects due to credit risk mitigation.
Reporting RWAE without taking into account risk reduction techniques would imply that current outcomes of the IRB and STD tools could no longer be used and that new computation processes would have to be developed leading do increased complexity and costs.
C 47.00 - LEVERAGE RATIO CALCULATION (LRCalc): row 251 IPS exposures exempted in accordance with Article 429a(1)(c) of the CRR: Instructions shall be more explained on IPS exposures.
C 40.00 - ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1):
Row 350. Large institutions that are not G-SIIs shall report total of financial assets on an annual frequency whereas they are required to report the same amount on a semi-annual frequency in the template LR1/LSUM. We would suggest alignment of frequencies between COREP templates and Pillar 3 templates.
Paragraph 20 of the instructions on reporting on leverage (Annex XI) refers to “derivatives, SFTs off-balance sheet”, whereas detailed instructions to fulfill the template cells exclude SFTs from off-balance sheet items (Row 095). Accordingly, it should be noted in paragraph 20 “derivatives, SFTs and off-balance sheet”:
C48.01: Daily values for SFTs for the reporting period should be aligned with Pillar 3 on an annual basis.