This glossary contains terms and abbreviations in the field of regulatory reporting. It should help you to get a quick and general overview of the respective terms.
The Liquidity Coverage Ratio (LCR) is a short-term stress liquidity index as a part of Basel III. The LCR is based on cash flow and serves the compensation of cash outflows for 30 days. The valid ratio is:
LCR = stock of liquid assets / net cash outflows = min. 100%
This is a monthly report.
Large Exposures (LE) are credits, which exceed 10% of the eligible equity of a bank or the amount of EUR 300 million. The limit for Large Exposures is 25% of the Tier-1-Capital and only 15% for Global Systemically Important Banks (G-SIBs). The quarterly ITS reporting includes the collection, measurement, weighting as well as reporting of the Large Exposure. The basis of assessment is the book/market value before adjustment.
The Legal Entity Identifier (LEI) is an international unique code number, which is assigned to each participant of the financial markets. Market participants have to know not only their own LEI, but also the LEI of their Central Counterparty (CCP) and have to use them in the regulatory reporting. Since 2012 this number has been given by the Legal Entity Identifier Regulatory Oversight Committee (LEI ROC) in a Global LEI System (GLEIS).
The main task of the Legal Entity Identifier Regulatory Oversight Committee (LEI ROC) is the operative steering of the development of the global system for numbering financial market participants with Legal Entity Identifiers (LEI): the Global Legal Entity Identifier System (GLEIS).
The German Liquidity Regulation (German: Liquiditätsverordnung; LiqV) is a national German regulation by the Federal Financial Supervisory Authority (BaFin), which is based on §11 of the German Banking Act (KWG). It is an obligation for banks to ensure their solvency. The LiqV will be replaced by the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR) by 2019.
The Leverage Ratio (LR) contains a debt limit and is a risk-independent indicator. The valid ratio is:
LR = external capital / equity capital
The elaboration of the Leverage Ratio is not finally adopted yet. It will be a binding minimum level (Pillar I) as of 2018. On a transitional basis, a limitation of the balance sum on 33,3 times of the total core capital (Pillar I provisional target ratio: 3% of the total assets) is provided. Since 2015 the Leverage Ratio has had to be published within the disclosure requirements of Pillar II.