EBA: Report on impact of differences in leverage ratio definitions

This report provides a policy analysis and quantitative impact assessment of aligning the current CRR definition of the leverage ratio exposure measure to Basel III and uses data collected for the Basel III monitoring exercise as of 30 June 2013 through a sample consisting of 173 EU institutions from 18 Member States. Overall, the assessment indicates that the revised Basel III framework leads to leverage ratios that are broadly in line with, or possibly slightly higher than, leverage ratios calculated according to the current CRR. On this basis, and considering that the revised Basel III framework represents a more accurate measure of leverage, EBA recommends, in the interest of consistency between the leverage ratio calculation within the EU and the other jurisdictions that implement Basel III, aligning the CRR definition of the leverage ratio's exposure measure to the Basel III framework. With regard to the securities financing transactions, EBA notes that the current CRR text may allow for different interpretations, which is reflected in the report and suggests that, in the event the EU Commission delegated act does not align the treatment of these transaction with that of Basel III, the treatment in the current CRR be clarified in accordance with the interpretation closer to the Basel III treatment.