ANNEX X
REPORTING ON LEVERAGE
LEVERAGE RATIO REPORTING TEMPLATES
Template code | Template code | Name of the template | Short name
45 | C 45.00 | Leverage ratio calculation | LRCalc
40 | C 40.00 | Alternative treatment of the exposure measure | LR1
41 | C 41.00 | On- and Off-Balance Sheet items - Additional breakdown of exposures | LR2
42 | C 42.00 | Alternative definition of capital | LR3
43 | C 43.00 | Breakdown of leverage ratio exposure measure components | LR4
44 | C 44.00 | General information | LR5
46 | C 46.00 | Entities that are consolidated for accounting purposes but are not within the scope of prudential consolidation | LR6
C 40.00 - ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)
Row | | Column
010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110
Accounting balance sheet value | Accounting value assuming no netting or other CRM | Value with netting rules (Derivatives) taking into account cash collateral | Add-on amount SFT | Add-on Mark-to market method (assuming no netting or CRM) (Derivatives) | Add-on Mark-to market method (alternative) (Derivatives) | Notional amount/ nominal value | Notional amount (same reference name) | Notional amount (same reference name and counterparty or CCP) | Notional amount (same reference name and bought protection from CCP) | Notional amount (same reference name and same or higher maturity)
010 | Derivatives | | | | | | | | | | |
020 | Credit derivatives (protection sold) | | | | | | | | | | |
030 | Credit derivatives (protection sold), which are subject to close out clause | | | | | | | | | | |
040 | Credit derivatives (protection sold), which are not subject to close out clause | | | | | | | | | | |
050 | Credit derivatives (protection bought) | | | | | | | | | | |
060 | Financial derivatives | | | | | | | | | | |
070 | SFT covered by a master netting agreement | | | | | | | | | | |
080 | SFT not covered by a master netting agreement | | | | | | | | | | |
090 | Other assets | | | | | | | | | | |
100 | Low-risk off-balance sheet items under the RSA; of which: | | | | | | | | | | |
110 | Revolving retail exposures; of which | | | | | | | | | | |
120 | Unconditionally cancellable credit cards commitments | | | | | | | | | | |
130 | Non revolving unconditionally cancellable commitments | | | | | | | | | | |
140 | Medium/low risk off-balance sheet items under the RSA | | | | | | | | | | |
150 | Medium risk off-balance sheet items under the RSA | | | | | | | | | | |
160 | Full risk off-balance sheet items under the RSA | | | | | | | | | | |
170 | (memo item) Drawn amount of revolving retail exposures | | | | | | | | | | |
180 | (memo item) Drawn amounts on unconditionally cancellable credit cards commitments | | | | | | | | | | |
190 | (memo item) Drawn amounts on non revolving unconditionally cancellable commitments | | | | | | | | | | |
200 | (memo item) Derecognised fiduciary items according to Article 429(11) of the CRR | | | | | | | | | | |
210 | Cash collateral received in derivatives transactions | | | | | | | | | | |
220 | Receivables for cash collateral posted in derivatives transactions | | | | | | | | | | |
230 | Securities received in a SFT that are recognised as an asset | | | | | | | | | | |
240 | SFT cash conduit lending (cash receivables) | | | | | | | | | | |
C 41.00 - ON- AND OFF-BALANCE SHEET ITEMS - ADDITIONAL BREAKDOWN OF EXPOSURES (LR2)
Row | | Column
010 | 020 | 030
On- and off- balance sheet exposures (SA exposures) | On- and off- balance sheet exposures (IRB exposures) | Nominal value
010 | Total on- and off-balance sheet exposures belonging to the banking book (breakdown according to the effective risk weight): | | |
020 | = 0% | | |
030 | > 0 and ≤ 12% | | |
040 | > 12 and ≤ 20% | | |
050 | > 20 and ≤ 50% | | |
060 | > 50 and ≤ 75% | | |
070 | > 75 and ≤ 100% | | |
080 | > 100 and ≤ 425% | | |
090 | > 425 and ≤ 1250% | | |
100 | Exposures in default | | |
110 | Low risk off-balance sheet items and off-balance sheet items attracting a 0% conversion factor under the solvency ratio (memo item) | | |
C 42.00 - ALTERNATIVE DEFINITION OF CAPITAL (LR3)
Row | | Column
010
010 | Common Equity Tier 1 capital - fully phased-in definition |
020 | Common Equity Tier 1 capital - transitional definition |
030 | Total own funds - fully phased-in definition |
040 | Total own funds - transitional definition |
050 | Regulatory adjustments - CET1 - fully phased-in definition |
060 | Regulatory adjustments - CET1 - transitional definition |
070 | Regulatory adjustments - Total own funds - fully phased-in definition |
080 | Regulatory adjustments - Total own funds - transitional definition |
C 43.00 - BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)
Row | Off-balance sheet items, derivatives, SFTs and trading book | Column | |
010 | 020 | |
Leverage Ratio Exposure Value | RWA | |
|
010 | Off-balance sheet items; of which | | | |
020 | Trade finance; of which: | | | |
030 | Under official export credit insurance scheme | | | |
040 | Derivatives and SFTs subject to a cross-product netting agreement | | | |
050 | Derivatives not subject to a cross-product netting agreement | | | |
060 | SFTs not subject to a cross-product netting agreement | | | |
070 | Other assets belonging to the trading book | | | |
Row | Other non-trading book exposures | Column
010 | 020 | 030 | 040
Leverage Ratio Exposure Value | RWAs
SA Exposures | IRB Exposures | SA Exposures | IRB Exposures
080 | Covered bonds | | | |
090 | Exposures treated as sovereigns | | | |
100 | Central governments and central banks | | | |
110 | Regional governments and local authorities treated as sovereigns | | | |
120 | MDBs and International organisations treated as sovereigns | | | |
130 | PSEs treated as sovereigns | | | |
140 | Exposures to regional governments, MDB, international organisations and PSE NOT treated as sovereigns | | | |
150 | Regional governments and local authorities NOT treated as sovereigns | | | |
160 | MDBs NOT treated as sovereigns | | | |
170 | PSEs NOT treated as sovereigns | | | |
180 | Institutions | | | |
190 | Secured by mortgages of immovable properties; of which | | | |
200 | Secured by mortgages of residential properties | | | |
210 | Retail exposures | | | |
220 | Retail SME | | | |
230 | Corporate | | | |
240 | Financial | | | |
250 | Non-financial | | | |
260 | SME exposures | | | |
270 | Corporate exposures other than SME | | | |
280 | Exposures in default | | | |
290 | Other exposures (eg equity and other non-credit obligation assets); of which: | | | |
300 | Securitisation exposures | | | |
310 | Trade finance (Memo item); of which | | | |
320 | Under official export credit insurance scheme | | | |
C 44.00 - GENERAL INFORMATION (LR5)
Row | | Column
010
010 | Institutions company structure |
020 | Derivatives treatment |
030 | Accounting framework |
040 | Institution type |
050 | Reporting calculation method |
060 | Reporting level |
C 45.00 - LEVERAGE RATIO CALCULATION (LRCalc)
| Column |
LR Exposure: Month-1-value | LR Exposure: Month-2-value | LR Exposure: Month-3-value |
Row | Exposure Values | 010 | 020 | 030 |
010 | SFT exposure according to CRR 220 | | | |
020 | SFT exposure according to CRR 222 | | | |
030 | Derivatives: Market value | | | |
040 | Derivatives: Add-on Mark-to-Market Method | | | |
050 | Derivatives: Original Exposure Method | | | |
060 | Undrawn credit facilities, which may be cancelled unconditionally at any time without notice | | | |
070 | Medium/ low risk trade related off-balance sheet items | | | |
080 | Medium risk trade related off-balance sheet items and officially supported export finance related off-balance sheet items | | | |
090 | Other off-balance sheet items | | | |
100 | Other assets | | | |
Row | Capital and regulatory adjustments | | | |
110 | Tier 1 capital - fully phased-in definition | | | |
120 | Tier 1 capital - transitional definition | | | |
130 | Amount to be added due to CRR 429 (4), 2nd subparagraph | | | |
140 | Amount to be added due to CRR 429 (4), 2nd subparagraph - transitional definition | | | |
150 | Regulatory adjustments - Tier 1 - fully phased-in definition; of which | | | |
160 | Regulatory adjustments regarding own credit risk | | | | Column
170 | Regulatory adjustments - Tier 1 - transitional definition | | | | 040
Row | Leverage Ratio | | | | Leverage ratio calculated as the simple arithmetic mean of the monthly leverage ratio over a quarter
180 | Leverage Ratio - using a fully phased-in definition of Tier 1 | | | |
190 | Leverage Ratio - using a transitional definition of Tier 1 | | | |
C 46.00 - ENTITIES THAT ARE CONSOLIDATED FOR ACCOUNTING PURPOSES BUT ARE NOT WITHIN THE SCOPE OF PRUDENTIAL CONSOLIDATION (LR6)
Row | | Column
010 | 020 | 030
Financial sector entities | Securitisation entitites | Commercial entities
010 | SFT covered by a master netting agreement accounting value assuming no netting or other CRM | | |
020 | SFT covered by a master netting agreement add-on | | |
030 | SFT not covered by a master netting agreement accounting value assuming no netting or other CRM | | |
040 | SFT not covered by a master netting agreement add-on | | |
050 | Derivatives: Market value | | |
060 | Derivatives: Add-on Mark-to-Market Method | | |
070 | Derivatives: Original Exposure Method | | |
080 | Undrawn credit facilities, which may be cancelled unconditionally at any time without notice | | |
090 | Medium/ low risk trade related off-balance sheet items | | |
100 | Medium risk trade related off-balance sheet items and officially supported export finance related off-balance sheet items | | |
110 | Other off-balance sheet items | | |
120 | Other assets | | |
130 | (memo item) Total value of investments in the entities | | |
140 | (memo item) Total accounting assets of the entities | | |
150 | (memo item) Total accounting equity of the entities | | |
160 | (memo item) Inclusion factor | | |
170 | (memo item) Accounting assets of the entities that are not considered in fields {LR6;010;3} to (LR6;120;3} | | |