Annex I
United Kingdom
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 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