On 16 February 2021, the European Commission (Commission) published a report on a possible extension of the leverage ratio buffer framework to other systemically important institutions (O-SIIs) and on the definition and calculation of the total exposure measure, including the treatment of central bank reserves.
The legal basis of the report is Article 511 of the Capital Requirements Regulation (CRR) as amended by Regulation (EU) 2019/876 which requires the Commission, by 31 December 2020, to submit a report to the European Parliament and to the Council on whether: (i) it is appropriate to introduce a leverage ratio surcharge for O-SIIs; and on whether (ii) the definition and calculation of the total exposure measure referred to in Article 429(4) of the CRR, including the treatment of central bank reserves, is appropriate.
The report concludes by stating that:
- The Commission does not consider it appropriate to introduce a leverage ratio surcharge for O-SIIs in the current context. This question should be examined as part of the comprehensive review of the macro-prudential toolbox in banking by 30 June 2022, as set out in Article 513 of the CRR.
- The Commission considers it appropriate to adjust the calculation of the total exposure measure referred to in Article 429(4) of the CRR to align the treatment of client-cleared derivatives with internationally agreed standards.
- The treatment of central bank reserves has already been revised via Regulation (EU) 2020/873. In the absence of further international developments on the treatment of central bank reserves and in light of that recent revision, the Commission does not consider that additional amendments are necessary.