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