Legal references and instructions

Row and column

Exposure Values

{0010;0010}

SFTs: Exposure value

Point (b) of paragraph (1) and paragraphs (4) and (5) of Article 429b CRR

The exposure for SFTs calculated in accordance with point (b) of paragraph (1) and paragraphs (4) and (5) of Article 429b CRR.

Institutions shall consider in this cell transactions in accordance with point (c) of Article 429e(7) CRR.

Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {0190;0010}.

Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with point (a) of Article 429e(7) CRR.

{0020;0010}

SFTs: Add-on for counterparty credit risk

Article 429e(1) CRR

The add-on for counterparty credit risk of SFTs, including those that are off-balance sheet, determined in accordance with paragraph (2) or (3) and paragraph (4) of Article 429e CRR, as applicable.

Institutions shall consider in this cell transactions in accordance with point (c) Article 429e(7) CRR.

Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with point (a) of Article 429e(7) CRR. Institutions shall instead include those items in {0040;0010}.

{0030;0010}

Derogation for SFTs: Add-on in accordance with Articles 429e(5) and 222 CRR

Article 429e(5) and 222 CRR

The exposure value for SFTs, including those that are off-balance sheet, calculated in accordance with Article 222 CRR, subject to a 20 % floor for the applicable risk weight.

Institutions shall consider in this cell transactions in accordance with point (c) of Article 429e(7) CRR.

Institutions shall not consider in this cell transactions for which the add-on part of the leverage ratio exposure value is determined in accordance with the method refer to in Article 429e(1) CRR.

{0040;0010}

Counterparty credit risk of SFT agent transactions

Point (a) of paragraph (7) and paragraphs (2) and (3) of Article 429e CRR

The exposure value for agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with point (a) of Article 429e(7) CRR, consists only of the add-on determined in accordance with paragraph (2) or (3) of Article 429e CRR, as applicable.

Institutions shall not include in this cell transactions in accordance with point (c) of Article 429e(7). Institutions shall instead include those items in {0010;0010} and {0020;0010} or {0010;0010} and {0030;0010}, as applicable.

{0050;0010}

(-) Exempted CCP leg of client-cleared SFT exposures

Point (g) of Article 429a(1) and point (c) of Article 306(1) CRR

The exempted CCP leg of client-cleared trade exposures of SFTs, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR.

Where the exempted leg to the CCP is a security it shall not be reported in this cell unless it is a re-pledged security that under the applicable accounting framework (i.e. in accordance with the first sentence of Article 111(1) CRR) is included at full value.

Institutions shall, as if no exemption applies, also include the amount reported in this cell in {0010;0010}, {0020;0010} and {0030;0010}, and, if it is a re-pledged security that under the applicable accounting framework is included at full value, additionally in {0190;0010}.

Where there is initial margin posted by the institution for an exempted leg of an SFT that is reported in {0190;0010} and not reported in {0020;0010} or {0030;0010}, then the institution can report it in this cell.

{0061;0010}

Derivatives: replacement cost contribution under the SA-CCR (without the effect of collateral on NICA)

Articles 429c(1) CRR

The replacement Cost as per Article 275 CRR without the effect of collateral on NICA, and without the effect of any variation margin. Institutions shall not apply the derogations of paragraph (3) and (4) of Article 429c and point (g) of Article 429a(1) CRR for the purposes of this cell. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

As determined by Article 429c(1) CRR, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) CRR.

Institutions shall include all credit derivatives, not solely those in the trading book.

Institutions shall not consider in this cell contracts measured by application of the simplified standardised approach or the original exposure method.

{0065;0010}

(-) Effect of the recognition of collateral on NICA on QCCP client-cleared transactions (SA-CCR – replacement cost)

Article 429c(4) CRR

Application of the derogation of 429c(4) CRR on the calculation of the replacement cost for derivative contracts with clients where those contracts are cleared by a QCCP. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions shall include the amount reported in this cell also in {0061;0010} as if no derogation applies.

{0071;0010}

(-) Effect of the eligible cash variation margin received offset against derivatives market value (SA-CCR – replacement cost)

Article 429c(3) CRR

Variation margin received in cash from the counterparty eligible for offsetting against the replacement cost portion of the derivatives exposure in accordance with Article 429c(3) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Any cash variation margin received on an exempted CCP leg in accordance with point (g) of Article 429a(1) CRR shall not be reported.

Institutions shall include the amount reported in this cell also in {0061;0010} as if no deduction of cash variation margin applies.

{0081;0010}

(-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR -replacement cost)

Point (g) of Article 429a(1) CRR

The replacement cost portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. This amount shall be reported gross of cash variation margin received on this leg. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions shall include the amount reported in this cell also in {0061;0010} as if no exemption applies.

{0091;0010}

Derivatives: Potential future exposure contribution under SA-CCR (multiplier at 1)

Article 429c(5) CRR

Potential future exposure as per Article 278 CRR assuming a multiplier of 1, i.e. without the application of the derogation regarding contracts with clients where those contracts are cleared by a QCCP of 429c(5) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

{0092;0010}

(-) Effect lower multiplier for QCCP client-cleared transactions on the PFE contribution (SA-CCR – Potential future exposure)

Article 429c(5) CRR

Application of the derogation of Article 429c(5) CRR on the calculation of the PFE for derivative contracts with clients where those contracts are cleared by a QCCP. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions shall include the amount reported in this cell also in {0091;0010} as if no derogation applies.

{0093;0010}

(-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR approach-potential future exposure)

Point (g) of Article 429a(1) CRR

The potential future exposure of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions shall include the amount reported in this cell also in {0091;0010} as if no exemption applies.

{0101;0010}

Derogation for derivatives: replacement costs contribution under the simplified standardised approach

Articles 429c(6) and 281 CRR

This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II CRR calculated in accordance with the simplified standardised approach set out in Article 281 CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions that apply the simplified standardised approach shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR. Hence the exception for derivative contracts with clients where those contracts are cleared by a QCCP in Article 429c(4) CRR shall not apply.

Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the original exposure method.

{0102;0010}

(-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach – replacement costs)

Point (g) of Article 429a(1) CRR

The replacement cost portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. This amount shall be reported gross of cash variation margin received on this leg. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions shall include the amount reported in this cell also in {0101;0010} as if no exemption applied.

{0103;0010}

Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach (multiplier at 1)

Point (f) of Article 281(2) and Article 429c(6) CRR

The potential future exposure in accordance with the simplified standardised approach set out in Article 281 CRR, assuming a multiplier of 1. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions that apply the simplified standardised approach shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR.

{0104;0010}

(-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach – potential future exposure)

Point (g) of Article 429a(1) CRR

The potential future exposure of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions shall include the amount reported in this cell also in {0103;0010} as if no exemption applied.

{0110;0010}

Derogation for derivatives: original exposure method

Articles 429c(6) and 282 CRR

This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II CRR calculated in accordance with the original exposure method set out in Article 282 CRR.

Institutions that apply the original exposure method shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR.

Institutions that do not use the original exposure method shall not report this cell.

Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the simplified standardised approach.

{0120;0010}

(-) Exempted CCP leg of client-cleared trade exposures (original exposure method)

Point (g) of Article 429a(1) CRR

The exempted CCP leg of client-cleared trade exposures when applying the original exposure method as set out in Article 282 CRR, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR.

Institutions shall include the amount reported in this cell also in {0110;0010} as if no exemption applied.

{0130;0010}

Capped notional amount of written credit derivatives

Article 429d CRR

Institutions shall determine capped notional amount of written credit derivatives, as defined in Article 429d(1), in accordance with Article 429d CRR.

{0140;0010}

(-) Eligible purchased credit derivatives offset against written credit derivatives

Article 429d CRR

Capped notional amount of purchased credit derivatives (i.e. where the institution is buying credit protection from a counterparty) on the same reference names as those credit derivatives written by the institution, where the remaining maturity of the purchased protection is equal to or greater than the remaining maturity of the sold protection. Hence, the value shall not be greater than the value entered in {0130;0010} for each reference name.

{0150;0010}

Off-balance sheet items with a 10 % CCF in accordance with Article 429f CRR

Article 429f, point (d) of Article 111(1) and Article 166(9) CRR

The exposure value, in accordance with Articles 429f and point (d) of Article 111(1) CRR, of low risk off-balance sheet items that would be assigned a 0 % credit conversion factor referred to in points 4(a) to (c) of Annex I CRR (as a reminder the exposure value here shall be 10 % of the nominal value). That is commitments which may be cancelled unconditionally at any time by the institution without prior notice (UCC), or that effectively provide for automatic cancellation due to deterioration in a borrower’s creditworthiness.

As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero.

Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) CRR.

Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR.

{0160;0010}

Off-balance sheet items with a 20 % CCF in accordance with Article 429f CRR

Article 429f, point (c) of Article 111(1) and Article 166(9) CRR

The exposure value, in accordance with Articles 429f and point (c) of Article 111(1) CRR, of medium/low risk off-balance-sheet items that would be assigned a 20 % credit conversion factor referred to in points 3(a) and (b) of Annex I CRR (as a reminder the exposure value here shall be 20 % of the nominal value).

As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero.

Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) CRR.

Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR.

{0170;0010}

Off-balance sheet items with a 50 % CCF in accordance with Article 429f CRR

Article 429f, point (b) of Article 111(1) and Article 166(9) CRR

The exposure value, in accordance with Articles 429f and point (b) of Article 111(1) CRR, of medium risk off-balance sheet items that would be assigned a 50 % credit conversion factor as defined in the Standardised Approach to credit risk referred to in points 2(a) and (b) of Annex I CRR (as a reminder the exposure value here shall be 50 % of the nominal value).

As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero.

This cell includes liquidity facilities and other commitments to securitisations. In other words the CCF for all liquidity facilities in accordance with Article 255 CRR is 50 % regardless of the maturity.

Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) CRR.

Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR.

{0180;0010}

Off-balance sheet items with a 100 % CCF in accordance with Article 429f CRR

Article 429f, point (a) of Article 111(1) and Article 166(9) CRR

The exposure value, in accordance with Articles 429f and point (a) of Article 111(1) CRR, of high risk off-balance sheet items that would be assigned a 100 % credit conversion factor referred to in points 1(a) to (k) of Annex I CRR (as a reminder the exposure value here shall be 100 % of the nominal value).

As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calculation is subject to a floor of zero.

This cell includes liquidity facilities and other commitments to securitisations.

Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) CRR.

Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR.

{0181;0010}

(-) General credit risk adjustments to off balance sheet items

Article 429(4) CRR

The amount of general credit risk adjustments corresponding to off-balance sheet items referred to in point (d) of Article 429(4), which institutions deduct in accordance with the last paragraph of Article 429(4) CRR.

The amount reported shall not be taken into account as a reduction in the calculation of off-balance sheet items reported in rows from {0150;0010} to {0180;0010}.

{0185;0010}

Regular-way purchases and sales awaiting settlement: Accounting value under trade date accounting

Article 429g(1) CRR

The sum of:

Institutions that follow the trade date accounting shall report the abovementioned sum in this cell instead of row 0190 ‘other assets’, while they shall report the securities related to regular-way purchases in row 0190.

{0186;0010}

Regular-way sales awaiting settlement: Reverse out of accounting offsetting under trade date accounting

Article 429g(2) CRR

The amount offset between cash receivables for regular-way sales awaiting settlement and cash payables for regular-way purchase awaiting settlement allowed under the accounting framework.

{0187;0010}

(-) Regular-way sales awaiting settlement: offset in accordance with 429g(2) CRR

Article 429g(2) CRR

The amount offset between cash receivables and cash payables where both the related regular-way sales and purchases are settled on a delivery-versus-payment basis in accordance with Article 429g(2) CRR.

{0188;0010}

Regular-way purchases awaiting settlement: Full recognition of commitments to pay under settlement date accounting

Article 429g(3) CRR

The full nominal value of commitments to pay related to regular-way purchases, for institutions that, in accordance with the applicable accounting framework, apply settlement date accounting to regular-way purchases and sales.

Securities related to regular-way sales shall be reported in row 0190 ‘other assets’.

{0189;0010}

(-) Regular-way purchases awaiting settlement: offset to commitments to pay under settlement date accounting in accordance with 429g(3) CRR

Article 429g(3) CRR

The part of the amount reported in row 0188 offset by the full nominal value of cash receivables related to regular-way sales awaiting settlement in accordance with Article 429g(3) CRR.

{0190;0010}

Other assets

Point (a) of Article 429(4) CRR

All assets other than derivatives contracts listed in Annex II CRR, credit derivatives and SFTs (e.g. amongst others assets to be reported in this cell are accounting receivables for cash variation margin provided where recognised under the operative accounting framework, liquid assets as defined under the liquidity coverage ratio, failed and unsettled transactions). Institutions shall base valuation on the principles set out in Article 429b(1) and 429(7) CRR.

Institutions shall include in this cell cash received or any security that is provided to a counterparty via SFTs and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Furthermore, institutions shall recognise items that are deducted from CET1 and Additional Tier 1 items (e.g. intangibles, deferred tax assets etc.) here.

The amount reported in row {0191;0010} shall not be taken into account as a reduction in the calculation of this row.

Cash pooling arrangements shall be reported in rows {0193;0010}, {0194;0010}, {0195;0010}, {0196;0010}, {0197;0010} and {0198;0010} and not here.

{0191;0010}

(-) General credit risk adjustments to on balance sheet items

Article 429(4) CRR

The amount of general credit risk adjustments corresponding to on-balance sheet items referred to in point (a) of Article 429(4) CRR, which institutions deduct in accordance with the last paragraph of Article 429(4) CRR.

The amount reported shall not be taking into account as a reduction in the calculation of other assets reported in {0190;0010}.

{0193;0010}

Cash pooling arrangements that cannot be netted prudentially: value in the accounting framework

Paragraphs (2) and (3) of Article 429b CRR

The accounting value of cash pooling arrangements, i.e. of arrangements whereby the credit or debit balances of several individual accounts are combined for the purposes of cash or liquidity management, that cannot be netted in accordance to paragraphs (2) and (3) of Article 429b CRR.

{0194;0010}

Cash pooling arrangements that cannot be netted prudentially: effect of grossing-up the netting applied in the accounting framework

Article 429 (7(b) and paragraph (2) and (3) of 429b CRR

The amount netted under the applicable accounting framework on the cash pooling arrangements that cannot be netted prudentially, reported in {0193;0010}.

{0195;0010}

Cash pooling arrangements that can be netted prudentially: value in the accounting framework

Paragraphs (2) and (3) of Article 429b CRR

The accounting value of cash pooling arrangements, i.e. of arrangements whereby the credit or debit balances of several individual accounts are combined for the purposes of cash or liquidity management, that can be netted in accordance to paragraph (2) and (3) of Article 429b CRR.

{0196;0010}

Cash pooling arrangements that can be netted prudentially: effect of grossing-up the netting applied in the accounting framework

Paragraphs (2) and (3) of Article 429b CRR

The amount netted under the applicable accounting framework on the cash pooling arrangements that can be netted prudentially, reported in {0195;0010}.

Where the institution meets point (b) of Article 429b(2), they shall not apply the gross-up in this row to balances extinguished on the basis of the process set out in point (a) of Article 429b(2).

{0197;0010}

(-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(2) CRR

Article 429b(2) CRR

The amount netted from the gross exposure related to cash pooling arrangements (sum of rows 0195 and 0196) in accordance with Article 429b(2).

{0198;0010}

(-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(3) CRR

Article 429b(3) CRR

The amount netted from the gross exposure related to cash pooling arrangements (sum of rows 0195 and 0196) in accordance with Article 429b(3).

{0200;0010}

Gross-up for derivatives collateral provided

Article 429c(2) CRR

The amount of any derivatives collateral provided where the provision of that collateral reduces the amount of assets under the applicable accounting framework, as set out in Article 429c(2) CRR.

Institutions shall not include in this cell initial margin for client-cleared derivative transactions with a qualifying CCP (QCCP) or eligible cash variation margin, as defined in Article 429c(3) CRR.

{0210;0010}

(-) Receivables for cash variation margin provided in derivatives transactions

Point (c) of Article 429c(3) CRR

The receivables for variation margin paid in cash to the counterparty in derivatives transactions if the institution is required, under the applicable accounting framework, to recognise these receivables as an asset, provided that the conditions in points (a) to (e) of Article 429c(3) CRR are met.

The amount reported shall also be included in the other assets reported in {0190;0010}.

{0220;0010}

(-) Exempted CCP leg of client-cleared trade exposures (initial margin)

Point (g) of Article 429a(1) CRR

The initial margin (posted) portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR.

The amount reported shall also be included in the other assets reported in {0190;0010}.

{0230;0010}

Adjustments for SFT sales accounting transactions

Article 429e(6) CRR

The value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework.

{0235;0010}

(-) Reduction of the exposure value of pre-financing or intermediate loans

Article 429(8) CRR

The amount reduced from the exposure value of a pre-financing loan or an intermediate loan, in accordance with Article 429(8) CRR.

The amount reported shall be included in the other assets reported in {0190;0010}.

{0240;0010}

(-) Fiduciary assets

Point (i) of Article 429a(1) CRR

The value of fiduciary assets that are recognised on the institution’s balance sheet by national generally accepted accounting principles, meet the IFRS9 criteria for non-recognition and, where applicable, IFRS 10 for non-consolidation, in accordance with point (i) of Article 429a(1) CRR, assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).

The amount reported shall also be included in the other assets reported in {0190;0010}.

{0250;0010}

(-) Intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR

Point (c) of Article 429a(1) and Article 113(6) CRR

Exposures that have not been consolidated on the applicable level of consolidation, that can benefit from the treatment laid down in Article 113(6) CRR, provided that all the conditions set out in points (a) to (e) of Article 113(6) CRR are met and where the competent authorities have given their approval.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0251;0010}

(-) IPS exposures exempted in accordance with point (c) of Article 429a(1) CRR

Point (c) of Article 429a(1) and Article 113(7) CRR

Exposures that can benefit from the treatment laid down in Article 113(7) CRR, provided that all the conditions set out in points (a) to (i) of Article 113(7) CRR are met and where the competent authorities have given their approval.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0252;0010}

(-) Excluded guaranteed parts of exposures arising from export credits

Point (f) of Article 429a(1) CRR

The guaranteed parts of exposures arising from export credits that can be excluded when the conditions of point (f) of Article 429a(1) CRR are met.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0253;0010}

(-) Excluded excess collateral deposited at triparty agents

Point (k) of Article 429a(1) CRR

The excess collateral deposited at triparty agents that has not been lent out, which can be excluded in accordance with point (k) of Article 429a(1).

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0254;0010}

(-) Excluded securitised exposures representing significant risk transfer

Point (m) of Article 429a(1) CRR

The securitised exposures from traditional securitisations that meet the conditions for significant risk transfer set out in Article 244(2).

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0255;0010}

(-) Exposures to the central bank exempted in accordance with point (n) of Article 429a(1) CRR

Point (n) of Article 429a(1) CRR

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0256;0010}

(-) Excluded banking-type ancillary services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR

Point (o) of Article 429a(1) CRR

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0257;0010}

(-) Excluded banking-type ancillary services of designated institutions in accordance with point (p) of Article 429a(1) CRR

Point (p) of Article 429a(1) CRR

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0260;0010}

(-) Exposures exempted in accordance with point (j) of Article 429a(1) CRR

Point (j) of Article 429a(1) CRR

Exposures exempted in accordance with point (j) of 429a(1) CRR subject to the therein stated conditions being met.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0261;0010}

(-) Excluded exposures of public development credit institutions – Public sector investments

Point (d) of paragraph (1) and paragraph (2) of Article 429a CRR

The exposures arising from assets that constitute claims on central governments, regional governments, local authorities or public sector entities in relation to public sector investments, which can be excluded in accordance with point (d) of Article 429a(1) CRR.

Where the claim also qualifies as promotional loan under Article 429a(3), it shall not be reported in this cell but under rows 0262-0264 as applicable.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0262;0010}

(-) Excluded exposures of public development credit institutions – Promotional loans granted by a public development credit institution

Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR

The exposures arising from promotional loans, including passing-through promotional loans, granted by a public development credit institution, which can be excluded in accordance with point (d) of Article 429a(1) CRR. The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) CRR, shall also be considered.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0263;0010}

(-) Excluded exposures of public development credit institutions – Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State

Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR.

The exposures arising from promotional loans, including passing-through promotional loans, granted by an entity directly set up by the central government, regional governments or local authorities of a Member State, which can be excluded in accordance with point (d) of Article 429a(1). The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0264;0010}

(-) Excluded exposures of public development credit institutions – Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution

Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR.

The exposures arising from promotional loans, including passing-through promotional loans, granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution, which can be excluded in accordance with point (d) of Article 429a(1). The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0265;0010}

(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by a public development credit institution

Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR

The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by a public development credit institution. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0266;0010}

(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State

Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR

The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by an entity directly set up by the central government, regional governments or local authorities of a Member State. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0267;0010}

(-) Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution

Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR

The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered.

The amount reported shall also be included in the applicable cells above as if no exemption applied.

{0270;0010}

(-) Asset amount deducted – Tier 1 capital – fully phased-in definition

Point (b) of Article 429a(1) and point (a) of Article 499(1) CRR

It includes all the adjustments that target the value of an asset and which are required by:

as applicable.

Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 CRR, without taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 CRR when calculating the exposure value in {0010;0010} to {0267;0010}, nor shall they report any adjustment that does not deduct the value of a specific asset.

As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure.

{0280;0010}

Asset amount deducted (-) or added (+) – Tier 1 capital – transitional definition

Point (b) of Articles 429a(1) and point (a) of Article 499(1) CRR

It includes all the adjustments that adjust the value of an asset and which are required by:

as applicable.

Institutions shall take into account exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 CRR, in addition to taking into account the derogations laid down in Chapter 1, 2 and 4 of Title I of Part Ten CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 CRR when calculating the exposure value in {0010;0010} to {0267;0010} nor shall they report any adjustment that does not deduct the value of a specific asset.

As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure.

In addition, institutions shall report in this row as a positive value the amounts to be added back to the leverage ratio exposure measure in accordance with Article 473a(7) CRR and 473a (7a) CRR.

{0290;0010}

Total Leverage Ratio exposure measure- using a fully phased-in definition of Tier 1 capital

Institutions shall report the sum of all rows from 0010 to 0267 and row 0270.

{0300;0010}

Total Leverage Ratio exposure measure – using a transitional definition of Tier 1 capital

Institutions shall report the sum of all rows from 0010 to 0267 and row 0280.

Row and column

Capital

{0310;0010}

Tier 1 capital – fully phased-in definition

Article 429(3) and point (a) of Article 499(1) CRR

This is the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, without taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR.

{0320;0010}

Tier 1 capital – transitional definition

Articles 429(3) and point (b) of Article 499(1) CRR

This shall be the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, after taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR.

Row and column

Leverage Ratio

{0330;0010}

Leverage Ratio – using a fully phased-in definition of Tier 1 capital

Articles 429(2) and 499(1) CRR

This shall be the leverage ratio as calculated under paragraph 4 of Part II of this Annex.

{0340;0010}

Leverage Ratio – using a transitional definition of Tier 1 capital

Articles 429(2) and 499(1) CRR

This shall be the leverage ratio as calculated under paragraph 5 of Part II of this Annex.

Row and column

Requirements: amounts

{0350;0010}

Pillar 2 requirement (P2R) to address risks of excessive leverage

Article 104 and 104a CRD; additional own funds required by the competent authority to address risks of excessive leverage, as referred to in Article 104 of the CRD

{0360;0010}

of which: to be made up of CET1 capital

The part of the P2R, referred to in row 0350, which is required by the competent authority to be held in the form of CET1 capital

{0370;0010}

G-SII leverage ratio buffer

Article 92(1a) CRR

G-SIIs shall report the value of the G-SII add-on for the leverage ratio determined in accordance with Article 92(1a) CRR.

G-SIIs shall report this amount as of the date of application of the buffer following the CRR.

{0380;0010}

Pillar 2 guidance (P2G) to address risks of excessive leverage

Article 104b CRD; additional own funds communicated by the competent authority to address risks of excessive leverage, as referred to in Article 104b of the CRD

{0390;0010}

of which: to be made up of CET1 capital

The part of P2G, referred to in row 0380, which is required by the competent authority to be held in the form of CET1 capital

{0400;0010}

of which: to be made up of Tier 1 capital

The part of P2G, referred to in row 0380, which is required by the competent authority to be held in the form of Tier 1 capital

Row and column

Requirements: ratios

{0410;0010}

Pillar 1 Leverage Ratio requirement

Point (d) of Article 92(1), Article 429a(7) and point (n) of Article 429a(1) CRR; the leverage ratio required to address risks of excessive leverage, as referred to in point (d) of Article 92(1) CRR

Institutions that exclude exposures to the institution’s central bank as referred to in point (n) of paragraph 1 of Article 429a shall report the Adjusted Leverage Ratio requirement as per Article 429a(7) CRR.

{0420;0010}

Total SREP leverage ratio requirement (TSLRR)

Article 104 and 104a CRD

The sum of (i) and (ii) as follows:

(i)  the Pillar 1 Leverage Ratio Requirement as reported in row 0410;

(ii)  the additional own funds ratio required by the competent authority (P2R) to address risks of excessive leverage, as referred to in Article 104 CRD.

Institutions shall calculate point (ii) by dividing the value in {0350;0010} by that in {0300;0010}.

If no additional own funds requirements were communicated by the competent authority, then only point (i) shall be reported.

{0430;0010}

TSLRR: to be made up of CET1 capital

The part of the additional own funds ratio, referred to in point (ii) of row 0420, that is required by the competent authority to be held in the form of CET1 capital

Institutions shall calculate this value by dividing the value in {0360;0010} with that in {0300;0010}.

{0440;0010}

Overall leverage ratio requirement (OLRR)

Article 92(1a) CRR

The sum of (i) and (ii) as follows:

(i)  the TSLRR referred to in row 0420;

(ii)  the G-SII leverage ratio buffer in accordance with Article 92(1a) CRR, expressed as a percentage of the total leverage ratio exposure.

Institutions shall calculate point (ii) by dividing the value in {0370;0010} with that in {0300;0010}.

Point (ii) shall only be taken into account by G-SIIs as of the date of application of the buffer following the CRR.

If no G-SII add-on is applicable, only point (i) shall be reported.

{0450;0010}

Overall leverage ratio requirement (OLRR) and Pillar 2 Guidance (P2G) ratio

Article 104b CRD

The sum of (i) and (ii) as follows:

(i)  the OLRR referred to in row 0440;

(ii)  additional own funds communicated by the competent authority to address risks of excessive leverage, as referred to in Article 104b of the CRD, expressed as a percentage of the total leverage ratio exposure.

Institutions shall calculate point (ii) by dividing the value in {0380;0010} with that in {0300;0010}.

If no P2G is communicated by the competent authority, then only point (i) shall be reported.

{0460;0010}

OLRR and P2G: to be made up of CET1 capital

The sum of (i) and (ii) as follows:

(i)  the part of the additional own funds ratio which is required by the competent authority to be held in the form of CET1 capital, as referred to in row 0430;

(ii)  the part of the P2G ratio, referred to in point (ii) in row 0450, which is communicated by the competent authority to be held in the form of CET 1 capital.

Institutions shall calculate point (ii) by dividing the value in {0390;0010} with that in {0300;0010}.

If no P2G is communicated by the competent authority, then only point (i) shall be reported.

{0470;0010}

OLRR and P2G: to be made up of Tier 1 capital

The sum of (i), (ii) and (iii) as follows:

(i)  the total SREP leverage ratio requirement, as referred to in row 0420;

(ii)  the G-SII leverage ratio buffer in accordance with Article 92(1a) CRR, expressed as a percentage of the total leverage ratio exposure.

(iii)  the part of the P2G ratio, referred to in point (ii) in row 0450, which is required by the competent authority to be held in the form of Tier 1 capital.

Institutions shall calculate point (ii) by dividing the value in {0370;0010} with that in {0300;0010}.

Institutions shall calculate point (iii) by dividing the value in {0400;0010} with that in {0300;0010}.

If no G-SII add-on is applicable, only points (i) and (iii) shall be reported.

If no P2G is communicated by the competent authority, then only points (i) and (ii) shall be reported.

Row and column

Memorandum items

{0480;0010}

Leverage ratio as if the IFRS 9 or analogous ECL transitional arrangements had not been applied

Articles 473a(8) CRR

Institutions that have decided to apply the transitional arrangements set out in Article 473a CRR shall report the leverage ratio they would have in case they were not to apply this Article.

{0490;0010}

Leverage ratio as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income have not been applied

Article 468(5) CRR

Institutions that have decided to apply the temporary treatment set out in paragraph 1 of Article 468 CRR shall report the leverage ratio they would have in case they were not to apply that treatment.

Row and column

Legal references and instructions

{0010;0010}

Derivatives – Accounting balance sheet value

This shall be the sum of {0020;010}, {0050;0010} and {0060;0010}.

{0010;0020}

Derivatives – Accounting value assuming no netting or other CRM

This shall be the sum of {0020;0020}, {0050;0020} and {0060;0020}.

{0010;0070}

Derivatives – Notional amount

This shall be the sum of {0020;0070}, {0050;0070} and {0060;0070}.

{0020;0010}

Credit derivatives (protection sold) – Accounting balance sheet value

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet

{0020;0020}

Credit derivatives (protection sold) – Accounting value assuming no netting or other CRM

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed)

{0020;0070}

Credit derivatives (protection sold) – Notional amount

This shall be the sum of cells {0030;0070} and {0040;0070}

{0020;0075}

Credit derivatives (protection sold) – Capped notional amount

Institutions shall report the notional amount referenced by the credit derivatives (protection sold) as in {0020; 0070} after reduction by any negative fair value changes that have been incorporated in Tier 1 capital with respect to the written credit derivative.

{0030;0070}

Credit derivatives (protection sold), which are subject to a close-out clause – Notional amount

Institutions shall report the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause.

A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty.

Institutions shall consider all credit derivatives, not just those assigned to the trading book.

{0040;0070}

Credit derivatives (protection sold), which are not subject to a close-out clause – Notional amount

Institutions shall report the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty not subject to a ‘close-out clause’.

A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty.

Institutions shall consider all credit derivatives, not just those assigned to the trading book.

{0050;0010}

Credit derivatives (protection bought) – Accounting balance sheet value

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet

Institutions shall consider all credit derivatives, not just those assigned to the trading book.

{0050;0020}

Credit derivatives (protection bought) – Accounting value assuming no netting or other CRM

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed)

Institutions shall consider all credit derivatives, not just those assigned to the trading book.

{0050;0070}

Credit derivatives (protection bought) – Notional amount

Institutions shall report the notional amount referenced by credit derivatives where the institution is buying credit protection from a counterparty.

Institutions shall consider all credit derivatives, not just those assigned to the trading book.

{0050;0075}

Credit derivatives (protection bought) – Capped notional amount

Institutions shall report the notional amount referenced by credit derivatives (protection bought) as in {0050;0070} after reduction by any positive fair value changes that have been incorporated in Tier 1 capital with respect to the bought credit derivative.

{0050;0085}

Credit derivatives (protection bought) – Capped notional amount (same reference name)

Institutions shall report the notional amount referenced by credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the reporting institution.

For the purpose of reporting this cell value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority.

Credit protection bought on a pool of reference entities shall be considered the same if this protection is economically equivalent to buying protection separately on each of the individual names in the pool.

If an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical.

For each reference name, the notional amounts of credit protection taken into for the reporting purpose in this cell shall not exceed the amounts reported in {0020;0075} and {0050;0075}.

{0060;0010}

Financial derivatives – Accounting balance sheet value

Point (77) of Article 4(1) CRR

Institutions shall report the accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II CRR where the contracts are recognised as assets on the balance sheet.

{0060;0020}

Financial derivatives – Accounting value assuming no netting or other CRM

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II CRR where the contracts are recognised as assets on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed)

{0060;0070}

Financial derivatives – Notional amount

This cell shall include the notional amount referenced by contracts listed in Annex II CRR.

{0071;0010}

Security Financing Transactions – Accounting balance sheet value

Point (77) of Article 4(1) CRR; the accounting balance sheet value of SFTs under the applicable accounting framework where the contracts are recognised as assets on the balance sheet

Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {0090,0010}.

{0071;0020}

Security Financing Transactions – Accounting value assuming no netting or other CRM

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework where the contracts are recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).

Where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries.

Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {0090,0020}.

{0090;0010}

Other assets – Accounting balance sheet value

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II CRR, credit derivatives and SFTs.

{0090;0020}

Other assets – Accounting value assuming no netting or other CRM

Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II CRR, credit derivatives and SFTs assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed)

{0095;0070}

Off-balance sheet items

Institutions shall report the nominal value of off-balance sheet items. This value shall not be reduced by specific credit risk adjustments.

Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives and SFTs in accordance with Article 429f(1) CRR.

{0210;0020}

Cash collateral received in derivatives transactions – Accounting value assuming no netting or other CRM

The accounting balance sheet value under the applicable accounting framework of cash collateral received in derivatives transactions assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed)

For the purpose of this cell, cash shall be defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks shall be included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report cash on deposit with other institutions in this cell.

{0220;0020}

Receivables for cash collateral posted in derivatives transactions – Accounting value assuming no netting or other CRM

The accounting balance sheet value under the applicable accounting framework of receivables for cash collateral posted against derivatives transactions assuming no accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed)

Institutions that are permitted under the applicable accounting framework to net the receivable for cash collateral posted against the related derivative liability (negative fair value) and that elect to do so shall reverse out the netting and report the net cash receivable.

{0230;0020}

Securities received in an SFT that are recognised as an asset – Accounting value assuming no netting or other CRM

The accounting balance sheet value under the applicable accounting framework of securities received in an SFT that are recognised as an asset under the applicable accounting framework assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed)

{0240;0020}

SFT cash conduit lending (cash receivables) – Accounting value assuming no netting or other CRM

The accounting balance sheet value under the applicable accounting framework of the cash receivable for the cash on-lent to the securities owner in a qualifying cash conduit lending transaction (CCLT) assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed)

For the purpose of this cell, cash shall be defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks shall be included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report in this cell cash on deposit with other institutions.

A CCLT shall be defined as a combination of two transactions where an institution borrows securities from the securities owner and on-lends securities to the securities borrower. Concurrently, the institution receives cash collateral from the securities borrower and on-lends the cash received to the securities owner. A qualifying CCLT shall comply with all the following conditions:

(a)  both of the individual transactions which comprise the qualifying CCLT shall be effected on the same trade date, or for international transactions adjacent business days;

(b)  where its comprising transactions do not specify a maturity, the institution shall have the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice;

(c)  where its comprising transactions specify a maturity, the CCLT shall not give rise to maturity mismatches for the institution; the institution shall have the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice;

(d)  it does not give rise to any other incremental exposures.

{0270;0010}

Public sector investments- Claims on central governments – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on central governments in relation to public sector investments

The accounting balance sheet values of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0280;0010}

Public sector investments- Claims on regional governments – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on regional governments in relation to public sector investments

The accounting balance sheet values of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0290;0010}

Public sector investments – Claims on local authorities – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on local authorities in relation to public sector investments

The accounting balance sheet values of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0300;0010}

Public sector investments- Claims on public sector entities – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on public sector entities in relation to public sector investments

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0310;0010}

Promotional loans – Claims on central governments – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on central governments in relation to promotional loans

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0310;0070}

Promotional loans – Claims on central governments – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to central governments

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0320;0010}

Promotional loans – Claims on regional governments – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on regional governments in relation to promotional loans

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0320;0070}

Promotional loans – Claims on regional governments – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to regional governments

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0330;0010}

Promotional loans – Claims on local authorities – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on local authorities in relation to promotional loans

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0330;0070}

Promotional loans – Claims on local authorities – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to local authorities

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered.

{0340;0010}

Promotional loans – Claims on public sector entities – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on public sector entities in relation to promotional loans

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0340;0070}

Promotional loans – Claims on public sector entities – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to public sector entities

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0350;0010}

Promotional loans – Claims on non-financial corporations – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on non-financial corporations in relation to promotional loans

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0350;0070}

Promotional loans – Claims on non-financial corporations – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to non-financial corporations

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0360;0010}

Promotional loans – Claims on households – Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on households in relation to promotional loans

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0360;0070}

Promotional loans – Claims on households – Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to households

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0370;0010}

Promotional loans – Passing-through- Accounting balance sheet value

Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of passing-through promotional loans, when the promotional loans have not been granted by the institution itself

The accounting balance sheet values of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0370;0070}

Promotional loans – Passing-through- Notional amount/nominal value

Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of passing-through promotional loans, when the promotional loans have not been granted by the institution itself

The nominal amounts of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) shall also be considered.

{0380;0010}

Central bank exposures – Accounting balance sheet value

Institutions shall report, in accordance with the applicable accounting framework, the value of the following exposures to the institution’s central bank: (i) coins and banknotes constituting legal currency in the jurisdiction of the central bank; (ii) assets representing claims on the central bank, including reserves held at the central bank.

Institutions shall only include exposures that meet both of the following conditions: (a) they are denominated in the same currency as the deposits taken by the institution; (b) their average maturity does not significantly exceed the average maturity of the deposits taken by the institution.

Institutions shall report these exposures irrespectively of whether they are exempted from the total exposure measure following Article 429a(5) and (6) CRR.

{0390;0140}

The central bank exposures value used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR – Leverage ratio exposure amount

The daily average total value of the institution’s exposures to its central bank, calculated over the full reserve maintenance period of the central bank just preceding the date referred to in point (c) of Article 429a(5) CRR, that are eligible to be excluded in accordance with point (n) of Article 429a(1) CRR.

{0400;0140}

Leverage ratio exposure measure used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR – Leverage ratio exposure amount

The institution’s total exposure measure as defined in Article 429(4) CRR, including any exposures excluded in accordance with point (n) of Article 429(1) CRR, on the date referred to in point (c) of Article 429a(5) CRR

{0410;0010}

Total assets

Institutions shall report in this item the total assets following the scope used in the published financial statements.

Row and column

Legal references and instructions

{0010;0010}

Off-balance sheet items– Leverage Ratio Exposure Value

The leverage ratio exposure value calculated as the sum of {LRCalc;0150;0010}, {LRCalc;0160;0010}, {LRCalc;0170;0010} and {LRCalc;0180;0010} excluding the respective intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR.

{0010;0020}

Off-balance sheet items– RWEA

The risk-weighted exposure amount of off-balance sheet items – excluding SFTs and derivatives – as in the Standardised Approach and the IRB Approach. For exposures under the Standardised Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 2 of Title II of Part Three CRR. For exposures under the IRB Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 3 of Title II of Part Three CRR.

{0020;0010}

of which: Trade Finance;– Leverage Ratio Exposure Value

The leverage ratio exposure value of off-balance sheet items related to trade finance

For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit that are short-term and self-liquidating, and similar transactions.

{0020;0020}

of which: Trade Finance– RWEA

The risk-weighted exposure value of off-balance sheet items – excluding SFTs and derivatives – related to trade finance

For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit that are short-term and self-liquidating, and similar transactions.

{0030;0010}

of which: Under official export credit insurance scheme – Leverage Ratio Exposure Value

The leverage ratio exposure value of off-balance sheet items related to trade finance under an official export credit insurance scheme

For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

{0030;0020}

of which: Under official export credit insurance scheme – RWEA

The risk-weighted exposure value of off-balance sheet items – excluding SFTs and derivatives – related to trade finance under an official export credit insurance scheme

For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

{0040;0010}

Derivatives and SFTs subject to a cross-product netting agreement – Leverage Ratio Exposure Value

The leverage ratio exposure value of derivatives and SFTs if subject to a cross-product netting agreement as defined in Article 272(25) CRR

{0040;0020}

Derivatives and SFTs subject to a cross-product netting agreement – RWEA

The risk-weighted exposure amounts to credit and counterparty credit risk as calculated under Title II of Part Three CRR of derivatives and SFTs, including those that are off-balance sheet, if subject to a cross-product netting agreement as defined in Article 272(25) CRR

{0050;0010}

Derivatives not subject to a cross-product netting agreement – Leverage Ratio Exposure Value

The leverage ratio exposure value of derivatives if not subject to a cross-product netting agreement as defined in Article 272(25) CRR

{0050;0020}

Derivatives not subject to a cross-product netting agreement – RWEA

The risk-weighted exposure amounts to credit and counterparty credit risk of derivatives as calculated under Title II of Part Three CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) CRR

{0060;0010}

SFTs not subject to a cross-product netting agreement – Leverage Ratio Exposure Value

The leverage ratio exposure value of exposures of SFTs if not subject to a cross-product netting agreement as defined in Article 272(25) CRR

{0060;0020}

SFTs not subject to a cross-product netting agreement – RWEA

The risk-weighted exposure amounts to credit and counterparty credit risk of SFTs, as calculated under Title II of Part Three CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) CRR

{0065;0010}

Exposure amounts resulting from the additional treatment for credit derivatives – Leverage Ratio Exposure Value

This cell shall equal the difference between {LRCalc;0130;0010} and {LRCalc;0140;0010} excluding the respective intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR.

{0070;0010}

Other assets belonging to the trading book – Leverage Ratio Exposure Value

The leverage ratio exposure value of items reported in {LRCalc;0190;0010} excluding non-trading book items

{0070;0020}

Other assets belonging to the trading book – RWEA

Own fund requirements multiplied by 12.5 of items subject to Title IV of Part Three CRR

{0080;0010}

Covered bonds – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures in the form of covered bonds as in Article 129 CRR

Institutions shall report net of defaulted SA exposures.

{0080;0020}

Covered bonds – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures in the form of covered bonds as in point (d) of Article 161(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0080;0030}

Covered bonds – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures in the form of covered bonds as in Article 129 CRR

Institutions shall report net of defaulted SA exposures.

{0080;0040}

Covered bonds – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures in the form of covered bonds as in point (d) of Article 161(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0090,0010}

Exposures treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

This shall be the sum of cells from {0100,0010} to {0130,0010}.

Institutions shall report net of defaulted SA exposures.

{0090;0020}

Exposures treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

This shall be the sum of cells from {0100,0020} to {0130,0020}.

Institutions shall report net of defaulted IRB exposures.

{0090;0030}

Exposures treated as sovereigns – RWEA – SA exposures

This shall be the sum of cells from {0100,0030} to {0130,0030}.

Institutions shall report net of defaulted SA exposures.

{0090;0040}

Exposures treated as sovereigns – RWEA – IRB exposures

This shall the sum of cells from {0100,0040} to {0130,0040}.

Institutions shall report net of defaulted IRB exposures.

{0100;0010}

Central governments and central banks – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to central governments or central banks as in Article 114 CRR

Institutions shall report net of defaulted SA exposures.

{0100;0020}

Central governments and central banks – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to central governments or central banks as in point (a) of Article 147(2) CRR

Institutions shall report net of defaulted IRB exposures.

{0100;0030}

Central governments and central banks – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to central governments or central banks as in Article 114 CRR

Institutions shall report net of defaulted SA exposures.

{0100;0040}

Central governments and central banks – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to central governments or central banks as in point (a) of Article 147(2) CRR

Institutions shall report net of defaulted IRB exposures.

{0110;0010}

Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to regional governments and local authorities treated as sovereigns that fall under paragraph (2) and (4) of Article 115 CRR

Institutions shall report net of defaulted SA exposures.

{0110;0020}

Regional governments and local authorities treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to regional governments and local authorities that fall under point (a) of Article 147(3) CRR

Institutions shall report net of defaulted IRB exposures.

{0110;0030}

Regional governments and local authorities treated as sovereigns – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to regional governments and local authorities treated as sovereigns that fall under paragraphs (2) and (4) of Article 115 CRR

Institutions shall report net of defaulted SA exposures.

{0110;0040}

Regional governments and local authorities treated as sovereigns – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to regional governments and local authorities that fall under point (a) of Article 147(3) CRR

Institutions shall report net of defaulted IRB exposures.

{0120;0010}

MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 CRR

Institutions shall report net of defaulted SA exposures.

{0120;0020}

MDBs and international organisations treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to multilateral development banks and international organisations that fall under point (b) and (c) of Article 147(3) CRR

Institutions shall report net of defaulted IRB exposures.

{0120;0030}

MDBs and international organisations treated as sovereigns – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 CRR

Institutions shall report net of defaulted SA exposures.

{1020;0040}

MDBs and international organisations treated as sovereigns – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to multilateral development banks and international organisations that fall under point (b) and (c) of Article 147(3) CRR

Institutions shall report net of defaulted IRB exposures.

{0130;0010}

PSEs treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to public sector entities that fall under Article 116(4) CRR

Institutions shall report net of defaulted SA exposures.

{0130;0020}

PSEs treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of assets that are IRB exposures to public sector entities that fall under point (a) of Article 147(3) CRR

Institutions shall report net of defaulted IRB exposures.

{0130;0030}

PSEs treated as sovereigns – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to public sector entities that fall under Article 116(4) CRR

Institutions shall report net of defaulted SA exposures.

{0130;0040}

PSEs treated as sovereigns – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to public sector entities that fall under point (a) of Article 147(3) CRR

Institutions shall report net of defaulted IRB exposures.

{0140;0010}

Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

This is shall be the sum of cells from {0150,0010} to {0170,0010}.

Institutions shall report net of defaulted SA exposures.

{0140;0020}

Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

This shall be the sum of cells from {0150,0020} to {0170,0020}.

Institutions shall report net of defaulted IRB exposures.

{0140;0030}

Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – RWEA – SA exposures

This shall be the sum of cells from {0150,0030} to {0170,0030}.

Institutions shall report net of defaulted SA exposures.

{0140;0040}

Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns – RWEA – IRB exposures

This shall be the sum of cells from {0150,0040} to {0170,0040}.

Institutions shall report net of defaulted IRB exposures.

{0150;0010}

Regional governments and local authorities not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to regional governments and local authorities not treated as sovereigns that fall under paragraphs (1), (3) and (5) of Article 115 CRR

Institutions shall report net of defaulted SA exposures.

{0150;0020}

Regional governments and local authorities not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to regional governments and local authorities not treated as sovereigns that fall under point (a) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0150;0030}

Regional governments and local authorities not treated as sovereigns – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to regional governments and local authorities not treated as sovereigns that fall under paragraphs (1), (3) and (5) of Article 115 CRR

Institutions shall report net of defaulted SA exposures.

{0150;0040}

Regional governments and local authorities not treated as sovereigns – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to regional governments and local authorities not treated as sovereigns that fall under point (a) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0160;0010}

MDBs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to multilateral development banks that fall under paragraphs (1) and (3) of Article 117 CRR

Institutions shall report net of defaulted SA exposures.

{0160;0020}

MDBs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to multilateral development banks not treated as sovereigns that fall under point (c) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0160;0030}

MDBs not treated as sovereigns – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to multilateral development banks that fall under paragraphs (1) and (3) of Article 117 CRR

Institutions shall report net of defaulted SA exposures.

{0160;0040}

MDBs not treated as sovereigns – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to multilateral development banks not treated as sovereigns that fall under point (c) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0170;0010}

PSEs not treated as sovereigns – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to public sector entities that fall under paragraphs (1), (2), (3) and (5) of Article 116 CRR

Institutions shall report net of defaulted SA exposures.

{0170;0020}

PSEs not treated as sovereigns – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to public sector entities not treated as sovereigns that fall under point (b) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0170;0030}

PSEs not treated as sovereigns – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to public sector entities that fall under paragraphs (1), (2), (3) and (5) of Article 116 CRR

Institutions shall report net of defaulted SA exposures.

{0170;0040}

PSEs not treated as sovereigns – RWEA – IRB exposures

The risk-weighted exposure amount assets that are IRB exposures to public sector entities not treated as sovereigns that fall under point (b) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0180;0010}

Institutions – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to institutions that fall under Articles 119 to 121 CRR

Institutions shall report net of defaulted SA exposures.

{0180;0020}

Institutions – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to institutions that fall under point (b) of Article 147(2) CRR and are not exposures in the form of covered bonds under point (d) of Article 161(1) CRR and do not fall under points (a) to (c) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0180;0030}

Institutions – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to institutions that fall under Articles 119 to 121 CRR

Institutions shall report net of defaulted SA exposures.

{0180;0040}

Institutions – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to institutions that fall under point (b) of Article 147(2) CRR and are not exposures in the form of covered bonds under point (d) of Article 161(1) CRR and do not fall under points (a) to (c) of Article 147(4) CRR

Institutions shall report net of defaulted IRB exposures.

{0190;0010}

Secured by mortgages on immovable properties– Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures secured by mortgages on immovable property that fall under Article 124 CRR

Institutions shall report net of defaulted SA exposures.

{0190;0020}

Secured by mortgages on immovable properties– Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to corporate under point (c) of Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0190;0030}

Secured by mortgages on immovable properties– RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures secured by mortgages on immovable property that fall under Article 124 CRR

Institutions shall report net of defaulted SA exposures.

{0190;0040}

Secured by mortgages on immovable properties– RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to corporate under point (c) of Article 147(2 or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0200;0010}

of which: Secured by mortgages of residential properties – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures fully and completely secured by mortgages on residential property that fall under Article 125 CRR

Institutions shall report net of defaulted SA exposures.

{0200;0020}

of which: Secured by mortgages of residential properties – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on residential property in accordance with point (a) of Article 199(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0200;0030}

of which: Secured by mortgages of residential properties – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures fully and completely secured by mortgages on residential property that fall under Article 125 CRR

Institutions shall report net of defaulted SA exposures.

{0200;0040}

of which: Secured by mortgages of residential properties – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) of Article 147(2) or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on residential property in accordance with point (a) of Article 199(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0210;0010}

Retail exposures– Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are retail SA exposures that fall under Article 123 CRR

Institutions shall report net of defaulted SA exposures.

{0210;0020}

Retail exposures– Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0210;0030}

Retail exposures– RWEA – SA exposures

The risk-weighted exposure amount of assets that are retail SA exposures that fall under Article 123 CRR

Institutions shall report net of defaulted SA exposures.

{0210;0040}

Retail exposures– RWEA – IRB exposures

The risk-weighted exposure amount of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

Institutions shall report net of defaulted IRB exposures.

{0220;0010}

of which: Retail SME – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are retail SA exposures to small- and medium-sized enterprises that fall under Article 123 CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted SA exposures.

{0220;0020}

of which: Retail SME – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted IRB exposures.

{0220;0030}

of which: Retail SME – RWEA – SA exposures

The risk-weighted exposure amount of assets that are retail SA exposures to small- and medium-sized enterprises that fall under Article 123 CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted SA exposures.

{0220;0040}

of which: Retail SME – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are retail IRB exposures under point (d) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted IRB exposures.

{0230;0010}

Corporate– Leverage Ratio Exposure Value – SA exposures

This shall be the sum of {0240,0010} and {0250,0010}.

Institutions shall report net of defaulted SA exposures.

{0230;0020}

Corporate– Leverage Ratio Exposure Value – IRB exposures

This shall be the sum of {0240,0020} and {0250,0020}.

Institutions shall report net of defaulted IRB exposures.

{0230;0030}

Corporate– RWEA – SA exposures

This shall be the sum of {0240,0030} and {0250,0030}.

Institutions shall report net of defaulted SA exposures.

{0230;0040}

Corporate– RWEA – IRB exposures

This shall be the sum of {0240,0040} and {0250,0040}.

Institutions shall report net of defaulted IRB exposures.

{0240;0010}

Financial – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to financial corporates that fall under Article 122 CRR

For the purpose of the reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}.

Institutions shall report net of defaulted SA exposures.

{0240;0020}

Financial – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}.

Institutions shall report net of defaulted IRB exposures.

{0240;0030}

Financial – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to financial corporates that fall under Article 122 CRR

For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}.

Institutions shall report net of defaulted SA exposures.

{0240;0040}

Financial – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {0180;0010}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in point (27) of Article 4(1) CRR other than institutions referred to in {0180;0010}.

Institutions shall report net of defaulted IRB exposures.

{0250;0010}

Non-financial– Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to non-financial corporates that fall under Article 122 CRR

This shall be the sum of {0260,0010} and {0270,0010}.

Institutions shall report net of defaulted SA exposures.

{0250;0020}

Non-financial– Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to non-financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

This shall be the sum of {0260,0020} and {0270,0020}.

Institutions shall report net of defaulted IRB exposures.

{0250;0030}

Non-financial– RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to non-financial corporates that fall under Article 122 CRR

This shall be the sum of {0260,0030} and {0270,0030}.

Institutions shall report net of defaulted SA exposures.

{0250;0040}

Non-financial– RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to non-financial corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

This shall be the sum of {0260,0040} and {0270,0040}.

Institutions shall report net of defaulted IRB exposures.

{0260;0010}

SME exposures – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted SA exposures.

{0260;0020}

SME exposures – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted IRB exposures.

{0260;0030}

SME exposures – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted SA exposures.

{0260;0040}

SME exposures – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR

For the purpose of this cell, institutions shall use the term ‘small and medium enterprise’ as defined in point (b) of Article 501(2) CRR.

Institutions shall report net of defaulted IRB exposures.

{0270;0010}

Exposures other than SME exposures – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to corporates that fall under Article 122 CRR and that are not reported in {0230;0040} and {0250;0040}

Institutions shall report net of defaulted SA exposures.

{0270;0020}

Exposures other than SME exposures – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR and that are not reported in {0230;0040} and {0250;0040}

Institutions shall report net of defaulted IRB exposures.

{0270;0030}

Exposures other than SME exposures – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to corporates that fall under Article 122 CRR and that are not reported in {0230;0040} and {0250;0040}

Institutions shall report net of defaulted SA exposures.

{0270;0040}

Exposures other than SME exposures – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR and that are not reported in {0230;0040} and {0250;0040}

Institutions shall report net of defaulted IRB exposures.

{0280;0010}

Exposures in default – Leverage Ratio Exposure Value – SA exposures

Institutions shall report the leverage ratio exposure value of assets that are SA exposures in default and thus fall under Article 127 CRR.

{0280;0020}

Exposures in default – Leverage Ratio Exposure Value – IRB exposures

Institutions shall report the leverage ratio exposure value of assets categorised in the exposures classes listed in Article 147(2) CRR if a default in accordance with Article 178 CRR has occurred.

{0280;0030}

Exposures in default – RWEA – SA exposures

Institutions shall report the risk-weighted exposure amount of assets that are exposures in default and thus fall under Article 127 CRR.

{0280;0040}

Exposures in default – RWEA – IRB exposures

Institutions shall report the risk-weighted exposure amount of assets categorised in the exposures classes listed in Article 147(2) CRR if a default in accordance with Article 178 CRR has occurred.

{0290;0010}

Other exposures– Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets categorised in the exposures classes listed in paragraphs (k), (m), (n), (o), (p) and (q) of Article 112 CRR

Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {*; 0030} and {*; 0040}.

Institutions shall report net of defaulted SA exposures.

{0290;0020}

Other exposures– Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of assets categorised in the exposures classes listed in points (e), (f) and (g) of Article 147(2) CRR

Institutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {*; 0030} and {*; 0040}.

Institutions shall report net of defaulted IRB exposures.

{0290;0030}

Other exposures– RWEA – SA exposures

The risk-weighted exposure value of assets categorised in the exposures classes listed in paragraphs (k), (m), (n), (o), (p) and (q) of Article 112 CRR

Institutions shall report net of defaulted SA exposures.

{0290;0040}

Other exposures– RWEA – IRB exposures

The risk-weighted exposure value of assets categorised in the exposures classes listed in points (e), (f) and (g) of Article 147(2) CRR

Institutions shall report net of defaulted IRB exposures.

{0300;0010}

of which: Securitisation exposures – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of assets that are SA exposures to securitisations that fall under Article 112(m) CRR

Institutions shall report net of defaulted SA exposures.

{0300;0020}

of which: Securitisation exposures – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure value of assets that are IRB exposures to securitisations and fall under point (f) of Article 147(2) CRR

Institutions shall report net of defaulted IRB exposures.

{0300;0030}

of which: Securitisation exposures – RWEA – SA exposures

The risk-weighted exposure amount of assets that are SA exposures to securitisations that fall under Article 112(m) CRR

Institutions shall report net of defaulted SA exposures.

{0300;0040}

of which: Securitisation exposures – RWEA – IRB exposures

The risk-weighted exposure amount of assets that are IRB exposures to securitisations and fall under point (f) of Article 147(2) CRR

Institutions shall report net of defaulted IRB exposures.

{0310;0010}

Trade finance (memo item)– Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions

Institutions shall report net of defaulted SA exposures.

{0310;0020}

Trade finance (memo item)– Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions

Institutions shall report net of defaulted IRB exposures.

{0310;0030}

Trade finance (memo item)– RWEA – SA exposures

The risk-weighted exposure value of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions

Institutions shall report net of defaulted SA exposures.

{0310;0040}

Trade finance (memo item)– RWEA – IRB exposures

The risk-weighted exposure amount of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions

Institutions shall report net of defaulted IRB exposures.

{0320;0010}

of which: Under official export credit insurance scheme – Leverage Ratio Exposure Value – SA exposures

The leverage ratio exposure value of on-balance sheet items related to trade finance under an official export credit insurance scheme

For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

Institutions shall report net of defaulted SA exposures.

{0320;0020}

of which: Under official export credit insurance scheme – Leverage Ratio Exposure Value – IRB exposures

The leverage ratio exposure amount of on-balance sheet items related to trade finance under an official export credit insurance scheme

For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

Institutions shall report net of defaulted IRB exposures.

{0320;0030}

of which: Under official export credit insurance scheme – RWEA – SA exposures

The risk-weighted exposure value of on-balance sheet items related to trade finance under an official export credit insurance scheme

For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

Institutions shall report net of defaulted SA exposures.

{0320;0040}

of which: Under official export credit insurance scheme – RWEA – IRB exposures

The risk-weighted exposure amount of on-balance sheet items related to trade finance under an official export credit insurance scheme

For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.

Institutions shall report net of defaulted IRB exposures.

Row and column

Instructions

{0010;0010}

Institution’s company structure

The institution shall classify its company structure in accordance with the categories given below:

{0020;0010}

Derivatives treatment

The institution shall specify the regulatory derivatives treatment in accordance with the categories given below:

{0040;0010}

Institution type

The institution shall classify its institution type in accordance with the categories given below:

{0070;0010}

Institution with a public development unit

Institutions that are not public development credit institutions shall indicate whether they have a public development unit.

{0080;0010},

{00090;0010},

{0100;0010}

Entity guaranteeing the public development credit institution/unit in accordance with point (d) of Article 429a(2) CRR: Central government, Regional government, Local authority

The institutions that either are a public development credit institution or have a public development unit shall report whether they are guaranteed by a central government, a regional government or a local authority

Institutions shall indicate ‘TRUE’ in the row corresponding to the applicable type(s) of protection provider and ‘FALSE’ otherwise.

{0080;0010}

Central government guaranteeing the public development credit institutions/unit

{0090;0010}

Regional government guaranteeing the public development credit institutions/unit

{0100;0010}

Local authority guaranteeing the public development credit institutions/unit

{0110;0010};

{0120;0010};

{0130;0010}

Type of guarantee received in accordance with point (d) of Article 429a(2) CRR

The institutions that either are a public development credit institution or have a public development unit shall report the type of protection received

Institutions shall indicate ‘TRUE’ in the row corresponding to the applicable type(s) of protection and ‘FALSE’ otherwise.

{0110;0010}

Obligation to protect the credit institutions’ viability

{0120;0010}

Direct guarantee of the credit institutions’ own funds requirements, funding requirements or promotional loans granted

{0130;0010}

Indirect guarantee of the credit institutions’ own funds requirements, funding requirements or promotional loans granted

Row and column

Instructions

{0010;0010}

Mean value for the reporting period – SFTs exposure value

Institutions shall report the mean of the daily values of the reporting quarter of the SFT exposure value net of the exempted CCP leg of client-cleared trade exposures as defined in rows 0010 and 0050 of template C47.00.

{0010;0020}

Mean value for the reporting period – Adjustments for SFT sales accounting transactions

Institutions shall report the mean of the daily values of the reporting quarter of the adjustments for SFT sales accounting transactions as defined in row 0230 of template C47.00.

Row and column

Instructions

{0010;0010}

Reference date within reporting period

Institutions shall report the date to which the reported daily value reported refers to. Each day of the reporting quarter shall be reported.

{0010;0020}

SFTs exposure value

Institutions shall report the daily values of the reporting quarter of the SFT exposure value net of the exempted CCP leg of client-cleared trade exposures as refer to in rows 0010 and 0050 of template C47.00.

{0010;0030}

Adjustments for SFT sales accounting transactions

Institutions shall report the daily values of the reporting quarter of the adjustments for SFT sales accounting transactions as defined in row 0230 of template C 47.00.