28 November 2015

Stuart Clark

Stuart Clark - Impendium Systems

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EBA analyses differences in leverage ratio definitions

14 March 2014  |  1001 views  |  0

EBA report on the impact of differences in leverage ratio definitions under the CRR identifies data issues at several banks 

The European Banking Authority (EBA) has published a report which contains a policy analysis and quantitative impact assessment aligning to the current Capital Requirements Regulation (CRR) definition of the leverage ratio exposure measure to the Basel III standard published.

This is an own initiative report intended to inform the EU Commission as the capital measure and total exposure measure can be amended before the start of public disclosure in 2015.

The report used data collected for the Basel III monitoring exercise up to 30 June 2013 through a sample consisting of 173 EU institutions from 18 Member States.  Participating banks submitted comprehensive and detailed non-public data on a voluntary and best-efforts basis.  National supervisors worked with the banks to ensure data quality, completeness and consistency with the published reporting instructions. 

While the quality of the available data was sufficient to inform the analyses of the report, the EBA noted that additional data quality checks performed revealed several data issues at individual banks.  Most of the data issues related to the banks’ reporting of derivatives exposures, cash collateral and Securities Financing Transactions (SFTs).  In cases where obvious errors in the reported data could be identified, the respective banks were removed from the analysis. 

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job title Product Development Director
location London
member since 2012
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Co-founded Impendium in 2006. Previously head of Client Services for Deutsche Banks top 100 customers.

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