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

43

C 43.00

Alternative breakdown of leverage ratio exposure measure components

LR4

44

C 44.00

General information

LR5

C 48.00

Leverage ratio volatility

LR6

48.01

C 48.01

Leverage ratio volatility: Mean value for the reporting period

LR6.1

48.02

C 48.02

Leverage ratio volatility: Leverage ratio volatility: daily values for the reporting period

LR6.2

Row

Accounting balance sheet value

Accounting value assuming no netting or other CRM

Add-on for SFTs

Notional amount/ nominal value

Capped notional amount

Capped notional amount (same reference name)

Leverage ratio exposure amount

0010

0020

0040

0070

0075

0085

0130

0010

Derivatives

0020

Credit derivatives (protection sold)

0030

Credit derivatives (protection sold), which are subject to a close out clause

0040

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

0050

Credit derivatives (protection bought)

0060

Financial derivatives

0071

Security Financing Transactions

0090

Other assets

0095

Off-balance sheet items

0210

Cash collateral received in derivatives transactions

0220

Receivables for cash collateral posted in derivatives transactions

0230

Securities received in an SFT that are recognised as an asset

0240

SFT cash conduit lending (cash receivables)

0270

Public sector investments - Claims on central governments

0280

Public sector investments - Claims on regional governments

0290

Public sector investments - Claims on local authorities

0300

Public sector investments - Claims on public sector entities

0310

Promotional loans - Claims on central governments

0320

Promotional loans - Claims on regional governments

0330

Promotional loans - Claims on local authorities

0340

Promotional loans - Claims on public sector entities

0350

Promotional loans - Claims on non-financial corporations

0360

Promotional loans - Claims on households

0370

Promotional loans - Passing-through

0380

Central bank exposures

0390

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

0400

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

0410

Total assets

Row

Off-balance sheet items, derivatives, SFTs and trading book

Leverage Ratio Exposure Value

RWEA

0010

0020

0010

Off-balance sheet items

0020

of which:Trade finance

0030

of which:Under official export credit insurance scheme

0040

Derivatives and SFTs subject to a cross-product netting agreement

0050

Derivatives not subject to a cross-product netting agreement

0060

SFTs not subject to a cross-product netting agreement

0065

Exposure amounts resulting from the additional treatment for credit derivatives

0070

Other assets belonging to the trading book

Row

Other non-trading book exposures

Leverage Ratio Exposure Value

RWEAs

SA Exposures

IRB Exposures

SA Exposures

IRB Exposures

0010

0020

0030

0040

0080

Covered bonds

0090

Exposures treated as sovereigns

0100

Central governments and central banks

0110

Regional governments and local authorities treated as sovereigns

0120

MDBs and International organisations treated as sovereigns

0130

PSEs treated as sovereigns

0140

Exposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns

0150

Regional governments and local authorities not treated as sovereigns

0160

MDBs not treated as sovereigns

0170

PSEs not treated as sovereigns

0180

Institutions

0190

Secured by mortgages on immovable properties

0200

of which: Secured by mortgages of residential properties

0210

Retail exposures

0220

of which: Retail SME

0230

Corporate

0240

Financial

0250

Non-financial

0260

SME exposures

0270

Exposures other than SME exposures

0280

Exposures in default

0290

Other exposures

0300

of which:Securitisation exposures

0310

Trade finance (memo item)

0320

of which:Under official export credit insurance scheme

Row

Column

0010

0010

Institution's company structure

0020

Derivatives treatment

0040

Institution type

0070

Institution with a public development unit

0080

Central government guaranteeing the public development credit institution / unit

0090

Regional government guaranteeing the public development credit institution / unit

0100

Local authority guaranteeing the public development credit institution / unit

0110

Type of guarantee received in accordance with point (d) of Article 429a(2) CRR - Obligation to protect the credit institutions' viability

0120

Type of guarantee received in accordance with point (d) of Article 429a(2) CRR - Direct guarantee of the credit institutions' own funds requirements, funding requirements or promotional loans granted

0130

Type of guarantee received in accordance with point (d) of Art 429a(2) CRR - Indirect guarantee of the credit institutions' own funds requirements, funding requirements or promotional loans granted

Row

Exposure Values

LR Exposure: Reporting reference date

0010

0010

SFTs: Exposure value

0020

SFTs: Add-on for counterparty credit risk

0030

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

0040

Counterparty credit risk of SFT agent transactions

0050

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

0061

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

0065

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

0071

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

0081

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

0091

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

0092

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

0093

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

0101

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

0102

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

0103

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

0104

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

0110

Derogation for derivatives: original exposure method

0120

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

0130

Capped notional amount of written credit derivatives

0140

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

0150

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

0160

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

0170

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

0180

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

0181

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

0185

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

0186

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

0187

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

0188

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

0189

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

0190

Other assets

0191

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

0193

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

0194

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

0195

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

0196

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

0197

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

0198

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

0200

Gross up for derivatives collateral provided

0210

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

0220

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

0230

Adjustments for SFT sales accounting transactions

0235

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

0240

(-) Fiduciary assets

0250

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

0251

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

0252

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

0253

(-) Excluded excess collateral deposited at triparty agents

0254

(-) Excluded securitised exposures representing significant risk transfer

0255

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

0256

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

0257

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

0260

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

0261

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

0262

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

0263

(-) 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

0264

(-) 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

0265

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

0266

(-) 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

0267

(-) 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

0270

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

0280

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

0290

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

0300

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

Row

Capital

0310

Tier 1 capital -fully phased-in definition

0320

Tier 1 capital - transitional definition

Row

Leverage Ratio

0330

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

0340

Leverage Ratio - using a transitional definition of Tier 1 capital

Row

Requirements: amounts

0350

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

0360

of which: to be made up of CET1 capital

0370

G-SII leverage ratio buffer

0380

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

0390

of which: to be made up of CET1 capital

0400

of which: to be made up of Tier 1 capital

Row

Requirements: ratios

0410

Pillar 1 Leverage Ratio requirement

0420

Total SREP leverage ratio requirement (TSLRR)

0430

TSLRR: to be made up of CET1 capital

0440

Overall leverage ratio requirement (OLRR)

0450

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

0460

OLRR and P2G: to be made up of CET1 capital

0470

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

Row

Memorandum items

0480

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

0490

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

Row

SFTs exposure value

Adjustments for SFT sales accounting transactions

0010

0020

0010

Mean value for the reporting period

Reference date within reporting period

SFTs exposure value

Adjustments for SFT sales accounting transactions

0010

0020

0030