Commission Implementing Regulation (EU) 2016/428 Annex I

Annex I

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ANNEX I

‘ANNEX X

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
Row		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
Row		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’