REPORTING ON LEVERAGE
LEVERAGE RATIO REPORTING TEMPLATES
Template code | Template code | Name of the template | Short name
4547 | C 45.0047.00 | 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 | BreakdownAlternative 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 | 080075 | 090085 | 100 | 110120
Accounting balance sheet value | Accounting value assuming no netting or other CRM | ValueAdd-on withfor netting rules (Derivatives) taking into account cash collateralSFTs | Add-on amountunder SFTthe | Add-on Mark-tomark-to market method (assuming no netting or other CRM) (Derivatives) | Add-on Mark-to market method (alternative) (Derivatives) | Notional amount/ nominal value | NotionalCapped notional amount | Capped notional amount (same reference name) | NotionalLeverage ratio exposure amount (samehypothetically 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)exempted
010 | Derivatives | | | | | | | | | | |
020 | Credit derivatives (protection sold) | | | | | | | | | | |
030 | Credit derivatives (protection sold), which are subject to a close out clause | | | | | | | | | | |
040 | Credit derivatives (protection sold), which are not subject to a close out clause | | | | | | | | | | |
050 | Credit derivatives (protection bought) | | | | | | | | | | |
060 | Financial derivatives | | | | | | | | | | |
070 | SFTSFTs covered by a master netting agreement | | | | | | | | | | |
080 | SFTSFTs 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 revolvingnon-revolving unconditionally cancellable commitments | | | | | | | | | | |
210 | Cash collateral received in derivatives transactions | | | | | | | | | | |
220 | Receivables for cash collateral posted in derivatives transactions | | | | | | | | | | |
230 | Securities received in aan SFT that are recognised as an asset | | | | | | | | | | |
240 | SFT cash conduit lending (cash receivables) | | | | | | | | | | |
200250 | (memoExposures item)that Derecognisedcan fiduciarybenefit itemsfrom accordingtreatment tounder Article 429(11)113(6) of the CRR | | | | | | | | | | |
260 | Exposures that meet the conditions in points (a) to (c) of Article 429(14) of the CRR | | | | | | | |
C 41.00 -— ON- AND OFF-BALANCE SHEET ITEMS -— ADDITIONAL BREAKDOWN OF EXPOSURES (LR2)
Row | | Column
010 | 020 | 030
On- and off- balance sheet exposures (SA exposures) | On- and off- balance sheet exposures (IRB exposures) | Nominal value
010 | Total on- and off-balance sheet exposures belonging to the bankingnon-trading book (breakdownas accordingwell as exposures of the trading book subject to counterparty credit risk (breakdown in accordance with the effective risk weight): | | |
020 | = 0%0 % | | |
030 | > 0 % and ≤ 12%12 % | | |
040 | > 12 % and ≤ 20%20 % | | |
050 | > 20 % and ≤ 50%50 % | | |
060 | > 50 % and ≤ 75%75 % | | |
070 | > 75 % and ≤ 100%100 % | | |
080 | > 100 % and ≤ 425%425 % | | |
090 | > 425 % and ≤ 1250%1 250 % | | |
100 | Exposures in default | | |
110 | (memo item) Low risk off-balance sheet items and off-balance sheet items attracting a 0%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 |
050055 | RegulatoryAsset adjustmentsamount -deducted — from CET1 -items — fully phased-in definition |
060065 | RegulatoryAsset adjustmentsamount -deducted — from CET1 -items — transitional definition |
070075 | RegulatoryAsset adjustmentsamount -deducted Total— from own funds -items — fully phased-in definition |
080085 | RegulatoryAsset adjustmentsamount -deducted Total— from own funds -items — transitional definition |
C 43.00 -— ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)
Row | Off-balance sheet items, derivatives, SFTs and trading book | Column | |
010 | 020 | |
Leverage Ratio Exposure Value | RWA | |
010 | Off-balance sheet items; of which | | | |
020 | Trade finance; of which:which | | | |
030 | Under official export credit insurance scheme | | | |
040 | Derivatives and SFTs subject to a cross-product netting agreement | | | |
050 | Derivatives not subject to a cross-product netting agreement | | | |
060 | SFTs not subject to a cross-product netting agreement | | | |
065 | Exposure amounts resulting from the additional treatment for credit derivatives | |
070 | Other assets belonging to the trading book | | | |
Row | Other non-trading book exposures | Column
010 | 020 | 030 | 040
Leverage Ratio Exposure Value | RWAs
SA Exposures | IRB Exposures | SA Exposures | IRB Exposures
080 | Covered bonds | | | |
09090 | 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,MDBs, international organisations and PSEPSEs NOTnot treated as sovereigns | | | |
150 | Regional governments and local authorities NOTnot treated as sovereigns | | | |
160 | MDBs NOTnot treated as sovereigns | | | |
170 | PSEs NOTnot treated as sovereigns | | | |
180 | Institutions | | | |
190 | Secured by mortgages ofon immovable properties; of which | | | |
200 | Secured by mortgages of residential properties | | | |
210 | Retail exposuresexposures; of which | | | |
220 | Retail SME | | | |
230 | CorporateCorporate; of which | | | |
240 | Financial | | | |
250 | Non-financialNon-financial; of which | | | |
260 | SME exposures | | | |
270 | Corporate exposuresExposures other than SME exposures | | | |
280 | Exposures in default | | | |
290 | Other exposures (eg equity and other non-credit obligation assets);exposures; of which:which | | | |
300 | Securitisation exposures | | | |
310 | Trade finance (Memo(memo item); of which | | | |
320 | Under official export credit insurance scheme | | | |
C 44.00 -— GENERAL INFORMATION (LR5)
Row | | Column
010
010 | InstitutionsInstitution's company structure |
020 | Derivatives treatment |
030 | Accounting framework |
040 | Institution type |
050 | Reporting calculation method |
060 | Reporting level |
LR Exposure: Month-1-value | LR Exposure: Month-2-value | LR Exposure: Month-3-value |
020 | SFT exposure according to CRR 222 | | | |
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 | | | |
Row | Capital and regulatory adjustments | | | |
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 | | | |
160 | Regulatory adjustments regarding own credit risk | | | | Column
Row | Leverage Ratio | | | | Leverage ratio calculated as the simple arithmetic mean of the monthly leverage ratio over a quarter
C 46.00 - ENTITIES THAT ARE CONSOLIDATED FOR ACCOUNTING PURPOSES BUT ARE NOT WITHIN THE SCOPE OF PRUDENTIAL CONSOLIDATION (LR6)
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 | | |
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 | | |
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} | | |
C 45.0047.00 -— LEVERAGE RATIO CALCULATION (LRCalc)
| Column |
LR Exposure: Reporting reference date
Row | Exposure Values | 010 | 020 | 030 |
010 | SFTSFTs: exposureExposure accordingin toaccordance with Article 429(5) and 429(8) of the CRR 220 | | | |
020 | SFTs: Add-on for counterparty credit risk |
030 | Derogation for SFTs: Add-on in accordance with Article 429b(4) and 222 of the CRR |
040 | Counterparty credit risk of SFT agent transactions in accordance with Article 429b(6) of the CRR |
050 | (-) Exempted CCP leg of client-cleared SFT exposures |
050060 | Derivatives: MarketCurrent valuereplacement cost | | |
070 | (-) Eligible cash variation margin received offset against derivatives market value |
080 | (-) Exempted CCP leg of client-cleared trade exposures (replacement costs) |
060090 | Derivatives: Add-on Mark-to-Marketunder Methodthe mark-to-market method | | |
100 | (-) Exempted CCP leg of client-cleared trade exposures (potential future exposure) |
070110 | Derivatives:Derogation Originalfor Exposurederivatives: Methodoriginal exposure method | | |
120 | (-) Exempted CCP leg of client-cleared trade exposures (original exposure method) |
130 | (memoCapped item)notional Total valueamount of investmentswritten incredit the entitiesderivatives | | |
140 | (-) Eligible purchased credit derivatives offset against written credit derivatives |
150 | Off-balance sheet items with a 10 % CCF in accordance with Article 429(10) of the CRR |
160 | Off-balance sheet items with a 20 % CCF in accordance with Article 429(10) of the CRR |
170 | Off-balance sheet items with a 50 % CCF in accordance with Article 429(10) of the CRR |
180 | Off-balance sheet items with a 100 % CCF in accordance with Article 429(10) of the CRR |
120190 | Other assets | | |
030200 | Derivatives:Gross Marketup valuefor derivatives collateral provided | | | |
210 | (-) Receivables for cash variation margin provided in derivatives transactions |
220 | (-) Exempted CCP leg of client-cleared trade exposures (initial margin) |
140230 | (memoAdjustments item)for TotalSFT sales accounting assets of the entitiestransactions | | |
100240 | Other(-) Fiduciary assets | | | |
250 | (-) Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR |
260 | (-) Exposures exempted in accordance with Article 429(14) of the CRR |
110270 | (-) Asset amount deducted — Tier 1 capital -— fully phased-in definition | | | |
120280 | (-) Asset amount deducted — Tier 1 capital -— transitional definition | | | |
180290 | Total Leverage Ratio -exposure — using a fully phased-in definition of Tier 1 | | | capital |
190300 | Total Leverage Ratio -exposure — using a transitional definition of Tier 1 | | | capital |
Row | Capital | Column
150310 | Regulatory adjustments - Tier 1 -capital — fully phased-in definition; of whichdefinition | | | |
170320 | Regulatory adjustments - Tier 1 -capital — transitional definition | | | | 040
Row | Leverage Ratio |
330 | Leverage Ratio — using a fully phased-in definition of Tier 1 capital |
340 | Leverage Ratio — using a transitional definition of Tier 1 capital |