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委员会实施条例(EU) 2016/428，修订实施条例(EU) No 680/2014，该条例就杠杆比率报告关于机构监督审查报告制定实施技术标准

技术法规类型：欧盟Eurlex法规来源：tbtmap

EURLEX ID：32016R0428

OJ编号：OJ L 83, 31.3.2016, p. 1-55

中文标题：委员会实施条例(EU) 2016/428，修订实施条例(EU) No 680/2014，该条例就杠杆比率报告关于机构监督审查报告制定实施技术标准

原文标题：Commission Implementing Regulation (EU) 2016/428 of 23 March 2016 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions as regards the reporting of the Leverage Ratio (Text with EEA relevance)

文件类型：二级立法 Regulation|条例

法规全文：查看欧盟官方文件

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31.3.2016

Official Journal of the European Union

L 83/1

COMMISSION IMPLEMENTING REGULATION (EU) 2016/428

of 23 March 2016

amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions as regards the reporting of the Leverage Ratio

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of 26 June 2013 of the European Parliament and of the Council on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1) and in particular the third subparagraph of Article 430(2) thereof,

Whereas:

(1)

Commission Implementing Regulation (EU) No 680/2014 (2) specifies the modalities according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. Given that the regulatory framework established by Regulation (EU) No 575/2013 is gradually being supplemented and amended in its non-essential elements by the adoption of regulatory technical standards and delegated acts, in this case on the leverage ratio (3), corresponding amendments to the supervisory reporting requirements laid down in Commission Implementing Regulation (EU) No 680/2014 should be made to ensure consistency between the amended legislation and the supervisory information to be provided by institutions.

(2)

To ensure a correct application of the requirements laid down in Implementing Regulation (EU) No 680/2014, further precision should be provided for the purposes of supervisory reporting on the leverage ratio. Therefore, for reasons of legal clarity, it is appropriate to replace several reporting templates and the reporting instructions.

(3)	The European Banking Authority has conducted open public consultations, has analysed the potential related costs and benefits and requested the opinion of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 (4).

(4)

Institutions should have sufficient time to adapt their internal reporting procedures and IT processes to the revised reporting requirements on the leverage ratio. Therefore, the first date of application should be deferred to the first reporting reference date 6 months from the date of publication of this implementing regulation in the Official Journal,

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) No 680/2014 is amended as follows.

(1)

In Article 14, paragraphs 2 to 5 are replaced by the following

‘2. The reporting of the data shall be based on the methodology used for the calculation of the leverage ratio as end of quarter leverage ratio.

3. Institutions are required to report the information referred to in paragraph 14 of Part II of Annex XI in the next reporting period, where any of the following conditions is met:

(a)	the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 1,5 %;

(b)	the derivatives share referred to in paragraph 7 of Part II of Annex XI exceeds 2,0 %.

The entry criteria set out in Article 4 shall apply, except for point (b) of the first subparagraph of this paragraph where institutions start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.

4. Institutions for which the total notional value of derivatives as defined in paragraph 9 of Part II of Annex XI exceeds EUR 10 billion shall report the information referred to in paragraph 14 of Part II of Annex XI, irrespective of whether their derivatives share fulfils the conditions referred to in paragraph 3.

The entry criteria set out in Article 4 shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.

5. Institutions are required to report the information referred to in paragraph 15 of Part II of Annex XI in the next reporting period where any of the following conditions is met:

(a)	the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 300 million;

(b)	the credit derivatives volume referred to in paragraph 10 of Part II of Annex XI exceeds EUR 500 million.

The entry criteria of Article 4 shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date where they have exceeded the relevant applicable threshold on one reporting reference date.’.

(2)	In Article 14, paragraph 6 is deleted.

(3)	Annex X to Regulation (EU) No 680/2014 is replaced by the text set out in Annex I to this Regulation.

(4)	Annex XI to Regulation (EU) No 680/2014 is replaced by the text set out in Annex II to this Regulation.

Article 2

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

This Regulation shall apply from the first reporting reference date 6 months from the date of publication of this implementing regulation in the Official Journal of the European Union.

It shall be binding in its entirety and directly applicable in the Member States in accordance with the Treaties.

Done at Brussels, 23 March 2016.

For the Commission

The President

Jean-Claude JUNCKER

(1) OJ L 176, 27.6.2013, p. 1.

(2) Commission Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 (OJ L 191, 28.6.2014, p. 1).

(3) Commission Delegated Regulation (EU) 2015/62 of 10 October 2014 amending Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the leverage ratio (OJ L 11, 17.1.2015, p. 37).

(4) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).

ANNEX I

‘ANNEX X

REPORTING ON LEVERAGE

LEVERAGE RATIO REPORTING TEMPLATES
Template code	Template code	Name of the template	Short name
47	C 47.00	Leverage ratio calculation	LRCalc
40	C 40.00	Alternative treatment of the exposure measure	LR1
41	C 41.00	On- and Off-Balance Sheet items — Additional breakdown of exposures	LR2
42	C 42.00	Alternative definition of capital	LR3
43	C 43.00	Alternative breakdown of leverage ratio exposure measure components	LR4
44	C 44.00	General information	LR5

C 40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)

Row		Column
		010	020	040	050	070	075	085	120
		Accounting balance sheet value	Accounting value assuming no netting or other CRM	Add-on for SFTs	Add-on under the mark-to market method (assuming no netting or other CRM)	Notional amount/ nominal value	Capped notional amount	Capped notional amount (same reference name)	Leverage ratio exposure amount hypothetically exempted
010	Derivatives
020	Credit derivatives (protection sold)
030	Credit derivatives (protection sold), which are subject to a close out clause
040	Credit derivatives (protection sold), which are not subject to a close out clause
050	Credit derivatives (protection bought)
060	Financial derivatives
070	SFTs covered by a master netting agreement
080	SFTs not covered by a master netting agreement
090	Other assets
100	Low-risk off-balance sheet items under the RSA; of which:
110	Revolving retail exposures; of which
120	Unconditionally cancellable credit cards commitments
130	Non revolving unconditionally cancellable commitments
140	Medium/low risk off-balance sheet items under the RSA
150	Medium risk off-balance sheet items under the RSA
160	Full risk off-balance sheet items under the RSA
170	(memo item) Drawn amount of revolving retail exposures
180	(memo item) Drawn amounts on unconditionally cancellable credit cards commitments
190	(memo item) Drawn amounts on non-revolving unconditionally cancellable commitments
210	Cash collateral received in derivatives transactions
220	Receivables for cash collateral posted in derivatives transactions
230	Securities received in an SFT that are recognised as an asset
240	SFT cash conduit lending (cash receivables)
250	Exposures that can benefit from treatment under Article 113(6) of the CRR
260	Exposures that meet the conditions in points (a) to (c) of Article 429(14) of the CRR

C 41.00 — ON- AND OFF-BALANCE SHEET ITEMS — ADDITIONAL BREAKDOWN OF EXPOSURES (LR2)

Row		Column
		010	020	030
		On- and off- balance sheet exposures (SA exposures)	On- and off- balance sheet exposures (IRB exposures)	Nominal value
010	Total on- and off-balance sheet exposures belonging to the non-trading book as well as exposures of the trading book subject to counterparty credit risk (breakdown in accordance with the risk weight):
020	= 0 %
030	> 0 % and ≤ 12 %
040	> 12 % and ≤ 20 %
050	> 20 % and ≤ 50 %
060	> 50 % and ≤ 75 %
070	> 75 % and ≤ 100 %
080	> 100 % and ≤ 425 %
090	> 425 % and ≤ 1 250 %
100	Exposures in default
110	(memo item) Low risk off-balance sheet items and off-balance sheet items attracting a 0 % conversion factor under the solvency ratio

C 42.00 — ALTERNATIVE DEFINITION OF CAPITAL (LR3)

Row		Column
Row		010
010	Common Equity Tier 1 capital — fully phased-in definition
020	Common Equity Tier 1 capital — transitional definition
030	Total own funds — fully phased-in definition
040	Total own funds — transitional definition
055	Asset amount deducted — from CET1 items — fully phased-in definition
065	Asset amount deducted — from CET1 items — transitional definition
075	Asset amount deducted — from own funds items — fully phased-in definition
085	Asset amount deducted — from own funds items — transitional definition

C 43.00 — ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)

Row	Off-balance sheet items, derivatives, SFTs and trading book	Column
		010	020
		Leverage Ratio Exposure Value	RWA
010	Off-balance sheet items; of which
020	Trade finance; of which
030	Under official export credit insurance scheme
040	Derivatives and SFTs subject to a cross-product netting agreement
050	Derivatives not subject to a cross-product netting agreement
060	SFTs not subject to a cross-product netting agreement
065	Exposure amounts resulting from the additional treatment for credit derivatives
070	Other assets belonging to the trading book
Row	Other non-trading book exposures	Column
		010	020	030	040
		Leverage Ratio Exposure Value		RWAs
		SA Exposures	IRB Exposures	SA Exposures	IRB Exposures
080	Covered bonds
90	Exposures treated as sovereigns
100	Central governments and central banks
110	Regional governments and local authorities treated as sovereigns
120	MDBs and International organisations treated as sovereigns
130	PSEs treated as sovereigns
140	Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns
150	Regional governments and local authorities not treated as sovereigns
160	MDBs not treated as sovereigns
170	PSEs not treated as sovereigns
180	Institutions
190	Secured by mortgages on immovable properties; of which
200	Secured by mortgages of residential properties
210	Retail exposures; of which
220	Retail SME
230	Corporate; of which
240	Financial
250	Non-financial; of which
260	SME exposures
270	Exposures other than SME exposures
280	Exposures in default
290	Other exposures; of which
300	Securitisation exposures
310	Trade finance (memo item); of which
320	Under official export credit insurance scheme

C 44.00 — GENERAL INFORMATION (LR5)

Row		Column
Row		010
010	Institution's company structure
020	Derivatives treatment
040	Institution type

C 47.00 — LEVERAGE RATIO CALCULATION (LRCalc)

		Column
		LR Exposure: Reporting reference date
Row	Exposure Values	010
010	SFTs: Exposure in accordance with Article 429(5) and 429(8) of the CRR
020	SFTs: Add-on for counterparty credit risk
030	Derogation for SFTs: Add-on in accordance with Article 429b(4) and 222 of the CRR
040	Counterparty credit risk of SFT agent transactions in accordance with Article 429b(6) of the CRR
050	(-) Exempted CCP leg of client-cleared SFT exposures
060	Derivatives: Current replacement cost
070	(-) Eligible cash variation margin received offset against derivatives market value
080	(-) Exempted CCP leg of client-cleared trade exposures (replacement costs)
090	Derivatives: Add-on under the mark-to-market method
100	(-) Exempted CCP leg of client-cleared trade exposures (potential future exposure)
110	Derogation for derivatives: original exposure method
120	(-) Exempted CCP leg of client-cleared trade exposures (original exposure method)
130	Capped notional amount of written credit derivatives
140	(-) Eligible purchased credit derivatives offset against written credit derivatives
150	Off-balance sheet items with a 10 % CCF in accordance with Article 429(10) of the CRR
160	Off-balance sheet items with a 20 % CCF in accordance with Article 429(10) of the CRR
170	Off-balance sheet items with a 50 % CCF in accordance with Article 429(10) of the CRR
180	Off-balance sheet items with a 100 % CCF in accordance with Article 429(10) of the CRR
190	Other assets
200	Gross up for derivatives collateral provided
210	(-) Receivables for cash variation margin provided in derivatives transactions
220	(-) Exempted CCP leg of client-cleared trade exposures (initial margin)
230	Adjustments for SFT sales accounting transactions
240	(-) Fiduciary assets
250	(-) Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR
260	(-) Exposures exempted in accordance with Article 429(14) of the CRR
270	(-) Asset amount deducted — Tier 1 capital — fully phased-in definition
280	(-) Asset amount deducted — Tier 1 capital — transitional definition
290	Total Leverage Ratio exposure — using a fully phased-in definition of Tier 1 capital
300	Total Leverage Ratio exposure — using a transitional definition of Tier 1 capital
Row	Capital
310	Tier 1 capital — fully phased-in definition
320	Tier 1 capital — transitional definition
Row	Leverage Ratio
330	Leverage Ratio — using a fully phased-in definition of Tier 1 capital
340	Leverage Ratio — using a transitional definition of Tier 1 capital’

ANNEX II

‘ANNEX XI

REPORTING ON LEVERAGE

PART I:

GENERAL INSTRUCTIONS

TEMPLATE LABELLING AND OTHER CONVENTIONS

1.1.

TEMPLATE LABELLING

1.2.

NUMBERING CONVENTION

1.3.

ABBREVIATIONS

1.4.

SIGN CONVENTION

PART II:

TEMPLATE RELATED INSTRUCTIONS

STRUCTURE AND FREQUENCY

FORMULAS FOR LEVERAGE RATIO CALCULATION

MATERIALITY THRESHOLDS FOR DERIVATIVES

C47.00 — LEVERAGE RATIO CALCULATION (LRCALC)

C40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)

C41.00 — ON- AND OFF-BALANCE SHEET ITEMS — ADDITIONAL BREAKDOWN OF EXPOSURES (LR2)

C42.00 — ALTERNATIVE DEFINITION OF CAPITAL (LR3)

C43.00 — ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)

C44.00 — GENERAL INFORMATION (LR5)

PART I: GENERAL INSTRUCTIONS

1. Template labelling and other conventions

1.1. Template labelling

This Annex contains additional instructions for the templates (hereinafter ‘LR’) included in Annex X of this Regulation.

Overall, the framework consists of six templates:

—	C47.00: Leverage Ratio Calculation (LRCalc): Leverage ratio calculation;

—	C40.00: Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure;

—	C41.00: Leverage Ratio Template 2 (LR2): On and off-balance sheet items — additional breakdown of exposures;

—	C42.00: Leverage Ratio Template 3 (LR3): Alternative definition of capital;

—	C43.00: Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components; and

—	C44.00: Leverage Ratio Template 5 (LR5): General information.

For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.

1.2. Numbering convention

The document will follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.

The following general notation is followed in the instructions: {Template;Row;Column}. An asterisk sign will be used to refer to the whole row or column.

In the case of validations within a template, where only data points from that template are used, notations will not refer to a template: {Row;Column}.

For the purpose of the reporting on leverage, ‘of which’ refers to an item that is a subset of a higher level exposure category whereas ‘memo item’ refers to a separate item that is not a subset of an exposure class. Reporting of both types of cells is mandatory unless otherwise specified.

1.3. Abbreviations

For the purposes of this annex and related templates the following abbreviations are used:

(a)	CRR, which is an abbreviation of Capital Requirements Regulation and shall mean Regulation (EU) No 575/2013;

(b)	SFT, which is an abbreviation of Securities Financing Transaction and shall mean ‘repurchase transaction, securities or commodities lending or borrowing transaction, long settlement transaction and margin lending transaction’ as referred to in Regulation (EU) No 575/2013;

(c)	CRM, which is an abbreviation for Credit Risk Mitigation.

1.4. Sign convention

All amounts shall be reported as positive figures. An exception are the amounts reported in {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010}, {LR3;040;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010}. Thereby note that {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010} only take negative values. Also note that, apart from extreme cases, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010} and {LR3;040;010} only take positive values.

PART II: TEMPLATE RELATED INSTRUCTIONS

1. Structure and frequency

The leverage ratio template is divided into two parts. Part A comprises all the data items that enter into the calculation of the leverage ratio that institutions shall submit to competent authorities in accordance with the first subparagraph of Article 430(1) of the CRR, while Part B comprises all the data items that institutions shall submit in accordance with the second subparagraph of Article 430(1) of the CRR (i.e. for the purposes of the report referred to in Article 511 of the CRR).

When compiling the data for this ITS, institutions shall consider the treatment of fiduciary assets in accordance with Article 429(13) of the CRR.

2. Formulas for leverage ratio calculation

The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with cells from Part A.

Leverage Ratio — fully phased-in definition = {LRCalc;310;010}/{LRCalc;290;010}.

Leverage Ratio — transitional definition = {LRCalc;320;010}/{LRCalc;300;010}.

3. Materiality thresholds for derivatives

In order to reduce the reporting burden for institutions with limited exposures in derivatives, the following measures are used to gauge the relative importance of derivatives exposures to the total exposure of the leverage ratio. Institutions shall calculate these measures as follows:

Formula