Instructions for the EU-specific CRR Leverage ratio template

Transcription

1 Instructions for the EU-specific CRR Leverage ratio template Participating institutions are requested to fill in the yellow and green shaded cells in columns D and E of this template in order to receive information on the leverage ratio according to the new definition as set out in Commission Delegated Regulation (EU) 2015/62. As there are differences between the Basel III Leverage Ratio Framework and the new CRR methodology on the leverage ratio, rows 4 to 21 capture CRR-data that are not included in the Leverage Ratio worksheet based on the Basel definition. This voluntary data submission is detached from the current supervisory reporting on the leverage ratio based on Implementing Regulation (EU) No 680/2014, which still refers to the old CRRdefinition of the leverage ratio (cf. Q&A 1738). Amounts should be reported in the same reporting currency and unit specified in the General Info worksheet. Amounts should generally be reported as positive amounts except for items in rows 8, 11, 17, 18, 20, 21 and 24 where the relevant item results in a reduction of exposure (automatically calculated in rows 22 and 26). As for other parts of the reporting template, exposures are to be reported in this worksheet on a group-wide consolidated basis for all entities which are consolidated by the institution for risk-based regulatory purposes. Therefore, there are no intragroup exposures that can benefit from the treatment laid down in Article 429 (7) of the CRR. Columns D and E, rows 22, 23 and 25 to 30 are non-data entry cells which capture Tier 1 capital and asset amounts deducted from the General Info and DefCap worksheet, respectively, provide for the total exposure measure according to CRR before and after regulatory adjustments as well as the fully phased-in and the transitional CRR leverage ratio. Columns F and G provide basic data quality checks. Remarks can be included directly in the template in columns H and I. For rows 4 to 8, securities financing transactions (SFTs) comprise repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions. The following table provides a description of the data to be entered in each row. Row Column Heading Description 4 D, E SFTs: Exposure in accordance with Article 429 (5) and 429 (8) of the CRR The exposure for SFTs, including transactions in accordance with Article 429b (6)(c) of the CRR, calculated as set out in Article 429 (5)(d) and (8) of the CRR. Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in Accounting other assets, row 19 in the

2 Leverage Ratio worksheet. Furthermore, institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b (6)(a) of the CRR. Those items are already captured in row 7. This item refers to {LRCalc; r010; c010} of the final draft ITS amending ITS on LR Reporting (referred to as EBA-ITS ). 5 D, E SFTs: Add-on for counterparty credit risk The add-on for counterparty credit risk of SFTs, including those that are off-balance sheet and including transactions in accordance with Article 429b (6)(c) of the CRR, determined in accordance with Article 429b (2) or (3) of the CRR, as applicable. Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b (6)(a) of the CRR. Those items are already captured in row 7. This item refers to {LRCalc; r020; c010} of EBA- 6 D, E Derogation for SFTs: Add-on in accordance with Article 429b (4) and 222 of the CRR The exposure value for SFTs, including those that are off-balance sheet and including transactions in accordance with Article 429b (6)(c) of the CRR, calculated as set out in Article 222 of the CRR, subject to a 20% floor for the applicable risk weight. transactions for which the add-on part of the leverage ratio exposure value is determined in accordance with the method defined in Article 429b (1) of the CRR. Those items are already captured in rows 5 and 7. This item refers to {LRCalc; r030; c010} of EBA- 7 D, E Counterparty credit risk of SFT agent transactions in accordance with Article The exposure value for agent SFTs, where the institution provides an indemnity or guarantee to a customer or counterparty limited to any

3 429b (6) of the CRR difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b (6)(a) of the CRR, consists only of the add-on determined in accordance with Article 429b (2) or (3) of the CRR, as applicable. Institutions shall not include in this cell transactions in accordance with Article 429b (6)(c) of the CRR. Institutions shall instead include those items in rows 4 and 5 or 4 and 6, as applicable. This item refers to {LRCalc; r040; c010} of EBA- 8 D, E (-) Exempted CCP leg of client-cleared SFT exposures The exempted CCP leg of client-cleared trade exposures of SFTs, provided that those items meet the conditions laid down in Article 306 (1)(c) of the CRR. Where the exempted leg to the CCP is a security it shall not be reported in this cell unless it is a repledged security that under the applicable accounting framework (i.e. in accordance with the first sentence of Article 111 (1) of the CRR) is included at full value. Institutions shall, as if no exemption applies, also include the amount reported in this cell in rows 4, 5, 6 and, if the condition in the second half of the previous sentence is met, in Accounting other assets, row 19 in the Leverage Ratio worksheet. Where there is initial margin posted by the institution for an exempt leg of a SFT that is reported in Accounting other assets, row 19 in the Leverage Ratio worksheet and not reported in rows 5 or 6, then the institution can report it in this cell. This item refers to {LRCalc; r050; c010} of EBA- 9 D, E Derivatives: Add-on under the mark-tomarket method This cell provides the add-on for the potential future exposure of contracts listed in Annex II of the CRR and of credit derivatives including those that are off-balance sheet calculated in accordance with the mark-to-market method (Article 274 of the CRR for contracts listed in Annex II of the CRR and Article 299 (2) of the CRR for credit derivatives) and applying netting rules in accordance with Article 429a (1) of the

4 CRR. In determining the exposure value of those contracts, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 of the CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 of the CRR and credit derivatives when they are subject to a contractual crossproduct netting agreement referred to in Article 295 (c) of the CRR. In accordance with the second subparagraph of Article 429a (1) of the CRR, when determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299 (2)(a) of the CRR to all their credit derivatives, not just those assigned to the trading book. Institutions shall not include in this cell contracts measured by application of the original exposure method in accordance with Articles 429a (8) and 275 of the CRR. Those items are to be captured in row 10 below. This item refers to {LRCalc; r090; c010} of EBA- 10 D, E Derogation for derivatives: original exposure method The exposure measure of contracts listed in points 1 and 2 of Annex II of the CRR calculated in accordance with the original exposure method set out in Article 275 of the CRR. Institutions that apply the original exposure method shall not reduce the exposure measure by the amount of variation margin received in cash in accordance with Article 429a (8) of the CRR. Institutions that do not use the original exposure method shall not report this cell. contracts measured by application of the markto-market method in accordance with Articles 429a (1) and 274 of the CRR. Cell E10 includes the amount at reporting date as reported in cell J204 in the Leverage Ratio worksheet. This item refers to {LRCalc; r110; c010} of EBA- 11 D, E (-) Exempted CCP leg of client-cleared trade exposures (original exposure The exempted CCP leg of client-cleared trade exposures when applying the original exposure

5 method) method as set out in Article 275 of the CRR, provided that those items meet the conditions laid down in Article 306 (1)(c) of the CRR. Institutions shall include the amount reported in this cell also in row 10 above (or cell J204 in the Leverage Ratio worksheet) as if no exemption applies. This item refers to {LRCalc; r120; c010} of EBA- 12 D, E Off-balance sheet items with a 10% CCF in accordance with Article 429 (10) of the CRR The exposure value, in accordance with Articles 429 (10) and 111 (1)(d) of the CRR, of low risk off-balance sheet items that would be assigned a 0% credit conversion factor referred to in points 4(a) to (c) of Annex I of the CRR (as a reminder the exposure value here shall be 10% of the nominal value). That is commitments which may be cancelled unconditionally at any time by the institution without prior notice (UCC), or that effectively provide for automatic cancellation due to deterioration in a borrower s creditworthiness. As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166 (9) of the CRR. contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429 (10) of the CRR. This item refers to {LRCalc; r150; c010} of EBA- 13 D, E Off-balance sheet items with a 20% CCF in accordance with Article 429 (10) of the CRR The exposure value, in accordance with Articles 429 (10) and 111 (1)(c) of the CRR, of medium/low risk off-balance-sheet items that would be assigned a 20% credit conversion factor referred to in points 3(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 20% of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with

6 Article 166 (9) of the CRR. contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429 (10) of the CRR. This item refers to {LRCalc; r160; c010} of EBA- 14 D, E Off-balance sheet items with a 50% CCF in accordance with Article 429 (10) of the CRR The exposure value, in accordance with Articles 429 (10) and 111 (1)(b) of the CRR, of medium risk off-balance sheet items that would be assigned a 50% credit conversion factor as defined in the standardised approach to credit risk (see paragraphs 83, 84(ii) and 84(iii) of the Basel II framework), referred to in points 2(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 50% of the nominal value). This cell includes liquidity facilities and other commitments to securitisations. In other words the CCF for all liquidity facilities in accordance with Article 255 of the CRR is 50% regardless of the maturity. As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166 (9) of the CRR. contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429 (10) of the CRR. This item refers to {LRCalc; r170; c010} of EBA- 15 D, E Off-balance sheet items with a 100% CCF in accordance with Article 429 (10) of the CRR The exposure value, in accordance with Articles 429 (10) and 111 (1)(a) of the CRR, of high risk off-balance sheet items that would be assigned a 100% credit conversion factor referred to in points 1(a) to (k) of Annex I of the CRR (as a reminder the exposure value here shall be 100% of the nominal value). This cell includes liquidity facilities and other commitments to securitisations. As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Where a commitment refers to the extension of another commitment, the lower of the two

7 conversion factors associated with the individual commitment shall be used in accordance with Article 166 (9) of the CRR. contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429 (10) of the CRR. This item refers to {LRCalc; r180; c010} of EBA- 16 D, E Gross up for derivatives collateral provided The amount of any derivatives collateral provided where the provision of that collateral reduces the amount of assets under the applicable accounting framework, as set out in Article 429a (2) of the CRR. Institutions shall not include in this cell initial margin for client-cleared derivative transactions with a qualifying CCP (QCCP) or eligible cash variation margin as defined in Article 429a (3) of the CRR. This item refers to {LRCalc; r200; c010} of EBA- 17 D, E (-) Receivables for cash variation margin provided in derivatives transactions The receivables for variation margin paid in cash to the counterparty in derivatives transactions if the institution is required, under the applicable accounting framework, to recognise these receivables as an asset, provided that the conditions in points (a) to (e) of Article 429a (3) of the CRR are met. The amount reported shall also be included in Accounting other assets, row 19 in the Leverage Ratio worksheet. This item refers to {LRCalc; r210; c010} of EBA- 18 D, E (-) Exempted CCP leg of client-cleared trade exposures (initial margin) The initial margin (posted) portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306 (1)(c) of the CRR. The amount reported shall also be included in Accounting other assets, row 19 in the Leverage Ratio worksheet. This item refers to {LRCalc; r220; c010} of EBA-

8 19 D, E Adjustments for SFT sales accounting transactions The value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework. This item refers to {LRCalc; r230; c010} of EBA- 20 D, E (-) Fiduciary assets The value of fiduciary assets that meet the IAS 39 criteria for derecognition and, where applicable, IFRS 10 for deconsolidation, in accordance with Article 429 (13) of the CRR, assuming no accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). The amount reported shall also be included in Accounting other assets, row 19 in the Leverage Ratio worksheet. This item refers to {LRCalc; r240; c010} of EBA- 21 D, E (-) Exposures exempted in accordance with Article 429 (14) of the CRR Exposures exempted in accordance with Article 429 (14) of the CRR subject to the therein stated conditions being met and where the competent authorities have given their approval. The amount reported shall also be included in the applicable cells above and in the Leverage Ratio worksheet as if no exemption applies. This item refers to {LRCalc; r260; c010} of EBA- 22 D, E Total exposures according to CRR before regulatory adjustments 23 D, E (-) Asset amount deducted - Tier 1 capital - fully phased-in definition This is a non-data entry row. It calculates the total exposures to be included in the denominator of the CRR leverage ratio (before the deduction of regulatory adjustments). This is a non-data entry row. It includes all the adjustments that target the value of an asset and which are required by: - Articles 32 to 35 of the CRR, or - Articles 36 to 47 of the CRR, or - Articles 56 to 60 of the CRR, as applicable. The exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR are captured, without taking into

9 account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR. To avoid double counting, adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure values in the cells above and in the Leverage Ratio worksheet are not included, nor any adjustment that does not deduct the value of a specific asset. As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and are captured as a negative figure for this template. This item refers to {LRCalc; r270; c010} of EBA- 24 D, E (-) Asset amount deducted - Tier 1 capital - transitional definition It includes all the adjustments that target the value of an asset and which are required by: - Articles 32 to 35 of the CRR, or - Articles 36 to 47 of the CRR, or - Articles 56 to 60 of the CRR' as applicable. Institutions shall take into account exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition to taking into account the derogations laid down in Chapter 1 and 2 of Title I of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure values in the cells above and in the Leverage Ratio worksheet, nor shall they report any adjustment that does not deduct the value of a specific asset. As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure for this template. This item refers to {LRCalc; r280; c010} of EBA- 25 D, E Total Leverage Ratio exposure - using a fully phased-in definition of Tier 1 capital This is a non-data entry row. It calculates the total exposures to be used for calculating the CRR leverage ratio under the fully phased-in definition of Tier 1 capital. This item refers to {LRCalc; r290; c010} of EBA-

10 26 D, E Total Leverage Ratio exposure - using a transitional definition of Tier 1 capital This is a non-data entry row. It calculates the total exposures to be used for calculating the CRR leverage ratio under the transitional definition of Tier 1 capital. This item refers to {LRCalc; r300; c010} of EBA- 27 D, E Tier 1 capital - fully phased-in definition This is a non-data entry row. It includes the amount of Tier 1 capital as calculated in accordance with Article 25 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR, as reported in cell D61 of the General Info worksheet. This item refers to {LRCalc; r310; c010} of EBA- 28 D, E Tier 1 capital - transitional definition This is a non-data entry row. It includes the amount of Tier 1 capital as calculated in accordance with Article 25 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR, as reported in cell C61 of the General Info worksheet. This item refers to {LRCalc; r320; c010} of EBA- 29 D, E CRR Leverage Ratio - using a fully phased-in definition of Tier 1 capital This is a non-data entry row. It calculates the CRR leverage ratio on the basis of the previous values using the fully phased-in definition of Tier 1 capital. This item refers to {LRCalc; r330; c010} of EBA- 30 D, E CRR Leverage Ratio - using a transitional definition of Tier 1 capital This is a non-data entry row. It calculates the CRR leverage ratio on the basis of the previous values using the transitional definition of Tier 1 capital. This item refers to {LRCalc; r340; c010} of EBA-