Updated 25/06/2024
No longer in force since 27/06/2021

Version from: 01/06/2020
Amendments (1)
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ANNEX X

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

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

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