ANNEX X
REPORTING ON LEVERAGE
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LEVERAGE RATIO REPORTING TEMPLATES |
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Template code |
Template code |
Name of the template |
Short name |
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47 |
C 47.00 |
Leverage ratio calculation |
LRCalc |
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40 |
C 40.00 |
Alternative treatment of the exposure measure |
LR1 |
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41 |
C 41.00 |
On- and Off-Balance Sheet items — Additional breakdown of exposures |
LR2 |
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42 |
C 42.00 |
Alternative definition of capital |
LR3 |
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43 |
C 43.00 |
Alternative breakdown of leverage ratio exposure measure components |
LR4 |
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44 |
C 44.00 |
General information |
LR5 |
C 40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)
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Row |
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Column |
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010 |
020 |
040 |
050 |
070 |
075 |
085 |
120 |
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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 |
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010 |
Derivatives |
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020 |
Credit derivatives (protection sold) |
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030 |
Credit derivatives (protection sold), which are subject to a close out clause |
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040 |
Credit derivatives (protection sold), which are not subject to a close out clause |
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050 |
Credit derivatives (protection bought) |
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060 |
Financial derivatives |
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070 |
SFTs covered by a master netting agreement |
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080 |
SFTs not covered by a master netting agreement |
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090 |
Other assets |
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100 |
Low-risk off-balance sheet items under the RSA; of which: |
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110 |
Revolving retail exposures; of which |
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120 |
Unconditionally cancellable credit cards commitments |
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130 |
Non revolving unconditionally cancellable commitments |
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140 |
Medium/low risk off-balance sheet items under the RSA |
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150 |
Medium risk off-balance sheet items under the RSA |
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160 |
Full risk off-balance sheet items under the RSA |
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170 |
(memo item) Drawn amount of revolving retail exposures |
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180 |
(memo item) Drawn amounts on unconditionally cancellable credit cards commitments |
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190 |
(memo item) Drawn amounts on non-revolving unconditionally cancellable commitments |
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210 |
Cash collateral received in derivatives transactions |
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220 |
Receivables for cash collateral posted in derivatives transactions |
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230 |
Securities received in an SFT that are recognised as an asset |
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240 |
SFT cash conduit lending (cash receivables) |
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250 |
Exposures that can benefit from treatment under Article 113(6) of the CRR |
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260 |
Exposures that meet the conditions in points (a) to (c) of Article 429(14) of the CRR |
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C 41.00 — ON- AND OFF-BALANCE SHEET ITEMS — ADDITIONAL BREAKDOWN OF EXPOSURES (LR2)
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Row |
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Column |
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010 |
020 |
030 |
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On- and off- balance sheet exposures (SA exposures) |
On- and off- balance sheet exposures (IRB exposures) |
Nominal value |
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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): |
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020 |
= 0 % |
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030 |
> 0 % and ≤ 12 % |
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040 |
> 12 % and ≤ 20 % |
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050 |
> 20 % and ≤ 50 % |
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060 |
> 50 % and ≤ 75 % |
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070 |
> 75 % and ≤ 100 % |
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080 |
> 100 % and ≤ 425 % |
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090 |
> 425 % and ≤ 1 250 % |
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100 |
Exposures in default |
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110 |
(memo item) Low risk off-balance sheet items and off-balance sheet items attracting a 0 % conversion factor under the solvency ratio |
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C 42.00 — ALTERNATIVE DEFINITION OF CAPITAL (LR3)
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Row |
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Column |
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010 |
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010 |
Common Equity Tier 1 capital — fully phased-in definition |
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020 |
Common Equity Tier 1 capital — transitional definition |
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030 |
Total own funds — fully phased-in definition |
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040 |
Total own funds — transitional definition |
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055 |
Asset amount deducted — from CET1 items — fully phased-in definition |
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065 |
Asset amount deducted — from CET1 items — transitional definition |
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075 |
Asset amount deducted — from own funds items — fully phased-in definition |
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085 |
Asset amount deducted — from own funds items — transitional definition |
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C 43.00 — ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)
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Row |
Off-balance sheet items, derivatives, SFTs and trading book |
Column |
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010 |
020 |
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Leverage Ratio Exposure Value |
RWA |
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010 |
Off-balance sheet items; of which |
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020 |
Trade finance; of which |
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030 |
Under official export credit insurance scheme |
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040 |
Derivatives and SFTs subject to a cross-product netting agreement |
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050 |
Derivatives not subject to a cross-product netting agreement |
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060 |
SFTs not subject to a cross-product netting agreement |
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065 |
Exposure amounts resulting from the additional treatment for credit derivatives |
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070 |
Other assets belonging to the trading book |
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Row |
Other non-trading book exposures |
Column |
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010 |
020 |
030 |
040 |
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Leverage Ratio Exposure Value |
RWAs |
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SA Exposures |
IRB Exposures |
SA Exposures |
IRB Exposures |
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080 |
Covered bonds |
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90 |
Exposures treated as sovereigns |
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100 |
Central governments and central banks |
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110 |
Regional governments and local authorities treated as sovereigns |
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120 |
MDBs and International organisations treated as sovereigns |
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130 |
PSEs treated as sovereigns |
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140 |
Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns |
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150 |
Regional governments and local authorities not treated as sovereigns |
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160 |
MDBs not treated as sovereigns |
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170 |
PSEs not treated as sovereigns |
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180 |
Institutions |
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190 |
Secured by mortgages on immovable properties; of which |
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200 |
Secured by mortgages of residential properties |
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210 |
Retail exposures; of which |
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220 |
Retail SME |
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230 |
Corporate; of which |
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240 |
Financial |
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250 |
Non-financial; of which |
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260 |
SME exposures |
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270 |
Exposures other than SME exposures |
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280 |
Exposures in default |
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290 |
Other exposures; of which |
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300 |
Securitisation exposures |
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310 |
Trade finance (memo item); of which |
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320 |
Under official export credit insurance scheme |
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C 44.00 — GENERAL INFORMATION (LR5)
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Row |
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Column |
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010 |
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010 |
Institution's company structure |
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020 |
Derivatives treatment |
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040 |
Institution type |
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C 47.00 — LEVERAGE RATIO CALCULATION (LRCalc)
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Column |
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LR Exposure: Reporting reference date |
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Row |
Exposure Values |
010 |
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010 |
SFTs: Exposure in accordance with Article 429(5) and 429(8) of the CRR |
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020 |
SFTs: Add-on for counterparty credit risk |
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030 |
Derogation for SFTs: Add-on in accordance with Article 429b(4) and 222 of the CRR |
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040 |
Counterparty credit risk of SFT agent transactions in accordance with Article 429b(6) of the CRR |
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050 |
(-) Exempted CCP leg of client-cleared SFT exposures |
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060 |
Derivatives: Current replacement cost |
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070 |
(-) Eligible cash variation margin received offset against derivatives market value |
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080 |
(-) Exempted CCP leg of client-cleared trade exposures (replacement costs) |
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090 |
Derivatives: Add-on under the mark-to-market method |
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100 |
(-) Exempted CCP leg of client-cleared trade exposures (potential future exposure) |
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110 |
Derogation for derivatives: original exposure method |
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120 |
(-) Exempted CCP leg of client-cleared trade exposures (original exposure method) |
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130 |
Capped notional amount of written credit derivatives |
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140 |
(-) Eligible purchased credit derivatives offset against written credit derivatives |
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150 |
Off-balance sheet items with a 10 % CCF in accordance with Article 429(10) of the CRR |
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160 |
Off-balance sheet items with a 20 % CCF in accordance with Article 429(10) of the CRR |
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170 |
Off-balance sheet items with a 50 % CCF in accordance with Article 429(10) of the CRR |
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180 |
Off-balance sheet items with a 100 % CCF in accordance with Article 429(10) of the CRR |
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190 |
Other assets |
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200 |
Gross up for derivatives collateral provided |
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210 |
(-) Receivables for cash variation margin provided in derivatives transactions |
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220 |
(-) Exempted CCP leg of client-cleared trade exposures (initial margin) |
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230 |
Adjustments for SFT sales accounting transactions |
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240 |
(-) Fiduciary assets |
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250 |
(-) Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR |
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260 |
(-) Exposures exempted in accordance with Article 429(14) of the CRR |
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270 |
(-) Asset amount deducted — Tier 1 capital — fully phased-in definition |
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280 |
(-) Asset amount deducted — Tier 1 capital — transitional definition |
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290 |
Total Leverage Ratio exposure — using a fully phased-in definition of Tier 1 capital |
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300 |
Total Leverage Ratio exposure — using a transitional definition of Tier 1 capital |
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Row |
Capital |
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310 |
Tier 1 capital — fully phased-in definition |
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320 |
Tier 1 capital — transitional definition |
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Row |
Leverage Ratio |
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330 |
Leverage Ratio — using a fully phased-in definition of Tier 1 capital |
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340 |
Leverage Ratio — using a transitional definition of Tier 1 capital |
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