REPORTING ON LEVERAGE
LEVERAGE RATIO REPORTING TEMPLATES
Template code | Template code | Name of the template | Short name
47 | C 47.00 | Leverage ratio calculation | LRCalc
40 | C 40.00 | Alternative treatment of the exposure measure | LR1
41 | C 41.00 | On- and Off-Balance Sheet items — Additional breakdown of exposures | LR2
42 | C 42.00 | Alternative definition of capital | LR3
43 | C 43.00 | Alternative breakdown of leverage ratio exposure measure components | LR4
44 | C 44.00 | General information | LR5
C 40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)
Row | | Column
010 | 020 | 040 | 050 | 070 | 075 | 085 | 120
Accounting balance sheet value | Accounting value assuming no netting or other CRM | Add-on for SFTs | Add-on under the mark-to market method (assuming no netting or other CRM) | Notional amount/ nominal value | Capped notional amount | Capped notional amount (same reference name) | Leverage ratio exposure amount hypothetically exempted
010 | Derivatives | | | | | | | |
020 | Credit derivatives (protection sold) | | | | | | | |
030 | Credit derivatives (protection sold), which are subject to a close out clause | | | | | | | |
040 | Credit derivatives (protection sold), which are not subject to a close out clause | | | | | | | |
050 | Credit derivatives (protection bought) | | | | | | | |
060 | Financial derivatives | | | | | | | |
070 | SFTs covered by a master netting agreement | | | | | | | |
080 | SFTs not covered by a master netting agreement | | | | | | | |
090 | Other assets | | | | | | | |
100 | Low-risk off-balance sheet items under the RSA; of which: | | | | | | | |
110 | Revolving retail exposures; of which | | | | | | | |
120 | Unconditionally cancellable credit cards commitments | | | | | | | |
130 | Non revolving unconditionally cancellable commitments | | | | | | | |
140 | Medium/low risk off-balance sheet items under the RSA | | | | | | | |
150 | Medium risk off-balance sheet items under the RSA | | | | | | | |
160 | Full risk off-balance sheet items under the RSA | | | | | | | |
170 | (memo item) Drawn amount of revolving retail exposures | | | | | | | |
180 | (memo item) Drawn amounts on unconditionally cancellable credit cards commitments | | | | | | | |
190 | (memo item) Drawn amounts on non-revolving unconditionally cancellable commitments | | | | | | | |
210 | Cash collateral received in derivatives transactions | | | | | | | |
220 | Receivables for cash collateral posted in derivatives transactions | | | | | | | |
230 | Securities received in an SFT that are recognised as an asset | | | | | | | |
240 | SFT cash conduit lending (cash receivables) | | | | | | | |
250 | Exposures that can benefit from treatment under Article 113(6) of the CRR | | | | | | | |
260 | Exposures that meet the conditions in points (a) to (c) of Article 429(14) of the CRR | | | | | | | |
C 41.00 — ON- AND OFF-BALANCE SHEET ITEMS — ADDITIONAL BREAKDOWN OF EXPOSURES (LR2)
Row | | Column
010 | 020 | 030
On- and off- balance sheet exposures (SA exposures) | On- and off- balance sheet exposures (IRB exposures) | Nominal value
010 | Total on- and off-balance sheet exposures belonging to the non-trading book as well as exposures of the trading book subject to counterparty credit risk (breakdown in accordance with the risk weight): | | |
020 | = 0 % | | |
030 | > 0 % and ≤ 12 % | | |
040 | > 12 % and ≤ 20 % | | |
050 | > 20 % and ≤ 50 % | | |
060 | > 50 % and ≤ 75 % | | |
070 | > 75 % and ≤ 100 % | | |
080 | > 100 % and ≤ 425 % | | |
090 | > 425 % and ≤ 1 250 % | | |
100 | Exposures in default | | |
110 | (memo item) Low risk off-balance sheet items and off-balance sheet items attracting a 0 % conversion factor under the solvency ratio | | |
C 42.00 — ALTERNATIVE DEFINITION OF CAPITAL (LR3)
Row | | Column
010
010 | Common Equity Tier 1 capital — fully phased-in definition |
020 | Common Equity Tier 1 capital — transitional definition |
030 | Total own funds — fully phased-in definition |
040 | Total own funds — transitional definition |
055 | Asset amount deducted — from CET1 items — fully phased-in definition |
065 | Asset amount deducted — from CET1 items — transitional definition |
075 | Asset amount deducted — from own funds items — fully phased-in definition |
085 | Asset amount deducted — from own funds items — transitional definition |
C 43.00 — ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)
Row | Off-balance sheet items, derivatives, SFTs and trading book | Column |
010 | 020
Leverage Ratio Exposure Value | RWA
010 | Off-balance sheet items; of which | | |
020 | Trade finance; of which | |
030 | Under official export credit insurance scheme | |
040 | Derivatives and SFTs subject to a cross-product netting agreement | |
050 | Derivatives not subject to a cross-product netting agreement | |
060 | SFTs not subject to a cross-product netting agreement | |
065 | Exposure amounts resulting from the additional treatment for credit derivatives | |
070 | Other assets belonging to the trading book | |
Row | Other non-trading book exposures | Column
010 | 020 | 030 | 040
Leverage Ratio Exposure Value | RWAs
SA Exposures | IRB Exposures | SA Exposures | IRB Exposures
080 | Covered bonds | | | |
90 | Exposures treated as sovereigns | | | |
100 | Central governments and central banks | | | |
110 | Regional governments and local authorities treated as sovereigns | | | |
120 | MDBs and International organisations treated as sovereigns | | | |
130 | PSEs treated as sovereigns | | | |
140 | Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns | | | |
150 | Regional governments and local authorities not treated as sovereigns | | | |
160 | MDBs not treated as sovereigns | | | |
170 | PSEs not treated as sovereigns | | | |
180 | Institutions | | | |
190 | Secured by mortgages on immovable properties; of which | | | |
200 | Secured by mortgages of residential properties | | | |
210 | Retail exposures; of which | | | |
220 | Retail SME | | | |
230 | Corporate; of which | | | |
240 | Financial | | | |
250 | Non-financial; of which | | | |
260 | SME exposures | | | |
270 | Exposures other than SME exposures | | | |
280 | Exposures in default | | | |
290 | Other exposures; of which | | | |
300 | Securitisation exposures | | | |
310 | Trade finance (memo item); of which | | | |
320 | Under official export credit insurance scheme | | | |
C 44.00 — GENERAL INFORMATION (LR5)
Row | | Column
010
010 | Institution's company structure |
020 | Derivatives treatment |
040 | Institution type |
C 47.00 — LEVERAGE RATIO CALCULATION (LRCalc)
| Column
LR Exposure: Reporting reference date
Row | Exposure Values | 010
010 | SFTs: Exposure in accordance with Article 429(5) and 429(8) of the CRR |
020 | SFTs: Add-on for counterparty credit risk |
030 | Derogation for SFTs: Add-on in accordance with Article 429b(4) and 222 of the CRR |
040 | Counterparty credit risk of SFT agent transactions in accordance with Article 429b(6) of the CRR |
050 | (-) Exempted CCP leg of client-cleared SFT exposures |
060 | Derivatives: Current replacement cost |
070 | (-) Eligible cash variation margin received offset against derivatives market value |
080 | (-) Exempted CCP leg of client-cleared trade exposures (replacement costs) |
090 | Derivatives: Add-on under the mark-to-market method |
100 | (-) Exempted CCP leg of client-cleared trade exposures (potential future exposure) |
110 | Derogation for derivatives: original exposure method |
120 | (-) Exempted CCP leg of client-cleared trade exposures (original exposure method) |
130 | Capped notional amount of written credit derivatives |
140 | (-) Eligible purchased credit derivatives offset against written credit derivatives |
150 | Off-balance sheet items with a 10 % CCF in accordance with Article 429(10) of the CRR |
160 | Off-balance sheet items with a 20 % CCF in accordance with Article 429(10) of the CRR |
170 | Off-balance sheet items with a 50 % CCF in accordance with Article 429(10) of the CRR |
180 | Off-balance sheet items with a 100 % CCF in accordance with Article 429(10) of the CRR |
190 | Other assets |
200 | Gross up for derivatives collateral provided |
210 | (-) Receivables for cash variation margin provided in derivatives transactions |
220 | (-) Exempted CCP leg of client-cleared trade exposures (initial margin) |
230 | Adjustments for SFT sales accounting transactions |
240 | (-) Fiduciary assets |
250 | (-) Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR |
260 | (-) Exposures exempted in accordance with Article 429(14) of the CRR |
270 | (-) Asset amount deducted — Tier 1 capital — fully phased-in definition |
280 | (-) Asset amount deducted — Tier 1 capital — transitional definition |
290 | Total Leverage Ratio exposure — using a fully phased-in definition of Tier 1 capital |
300 | Total Leverage Ratio exposure — using a transitional definition of Tier 1 capital |
Row | Capital |
310 | Tier 1 capital — fully phased-in definition |
320 | Tier 1 capital — transitional definition |
Row | Leverage Ratio |
330 | Leverage Ratio — using a fully phased-in definition of Tier 1 capital |
340 | Leverage Ratio — using a transitional definition of Tier 1 capital |