{
  "url": "https://openlegislation.uk/eu-regulation-2016-428/annex-II",
  "json_url": "https://openlegislation.uk/eu-regulation-2016-428/annex-II.json",
  "legislation": "eur/2016/428",
  "legislation_title": "Commission Implementing Regulation (EU) 2016/428 of 23 March 2016 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions as regards the reporting of the Leverage Ratio (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2016-428",
  "path": "annex/II",
  "kind": "annex",
  "number": "II",
  "heading": null,
  "text": "ANNEX XI\nREPORTING ON LEVERAGE\nPART I:\nGENERAL INSTRUCTIONS\n1.\nTemplate labelling and other conventions\n1.1.\nTemplate labelling\n1.\nThis Annex contains additional instructions for the templates (hereinafter ‘LR’) included in Annex X of this Regulation.\n2.\nOverall, the framework consists of six templates:\nC47.00: Leverage Ratio Calculation (LRCalc): Leverage ratio calculation;\nC40.00: Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure;\nC41.00: Leverage Ratio Template 2 (LR2): On and off-balance sheet items — additional breakdown of exposures;\nC42.00: Leverage Ratio Template 3 (LR3): Alternative definition of capital;\nC43.00: Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components; and\nC44.00: Leverage Ratio Template 5 (LR5): General information.\n3.\nFor each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.\n1.2.\nNumbering convention\n4.\nThe document will follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.\n5.\nThe following general notation is followed in the instructions: {Template;Row;Column}. An asterisk sign will be used to refer to the whole row or column.\n6.\nIn the case of validations within a template, where only data points from that template are used, notations will not refer to a template: {Row;Column}.\n7.\nFor the purpose of the reporting on leverage, ‘of which’ refers to an item that is a subset of a higher level exposure category whereas ‘memo item’ refers to a separate item that is not a subset of an exposure class. Reporting of both types of cells is mandatory unless otherwise specified.\n1.3.\nAbbreviations\n8.\nFor the purposes of this annex and related templates the following abbreviations are used:\n(a) CRR, which is an abbreviation of Capital Requirements Regulation and shall mean Regulation (EU) No 575/2013;\n(b) SFT, which is an abbreviation of Securities Financing Transaction and shall mean ‘repurchase transaction, securities or commodities lending or borrowing transaction, long settlement transaction and margin lending transaction’ as referred to in Regulation (EU) No 575/2013;\n(c) CRM, which is an abbreviation for Credit Risk Mitigation.\n1.4.\nSign convention\n9.\nAll amounts shall be reported as positive figures. An exception are the amounts reported in {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010}, {LR3;040;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010}. Thereby note that {LRCalc;050;010}, {LRCalc;070;010}, {LRCalc;080;010}, {LRCalc;100;010}, {LRCalc;120;010}, {LRCalc;140;010}, {LRCalc;210;010}, {LRCalc;220;010}, {LRCalc;240;010}, {LRCalc;250;010}, {LRCalc;260;010}, {LRCalc;270;010}, {LRCalc;280;010}, {LR3;055;010}, {LR3;065;010}, {LR3;075;010} and {LR3;085;010} only take negative values. Also note that, apart from extreme cases, {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;330;010}, {LRCalc;340;010}, {LR3;010;010}, {LR3;020;010}, {LR3;030;010} and {LR3;040;010} only take positive values.\nPART II:\nTEMPLATE RELATED INSTRUCTIONS\n1.\nStructure and frequency\n1.\nThe leverage ratio template is divided into two parts. Part A comprises all the data items that enter into the calculation of the leverage ratio that institutions shall submit to competent authorities in accordance with the first subparagraph of Article 430(1) of the CRR, while Part B comprises all the data items that institutions shall submit in accordance with the second subparagraph of Article 430(1) of the CRR (i.e. for the purposes of the report referred to in Article 511 of the CRR).\n2.\nWhen compiling the data for this ITS, institutions shall consider the treatment of fiduciary assets in accordance with Article 429(13) of the CRR.\n2.\nFormulas for leverage ratio calculation\n3.\nThe leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with cells from Part A.\n4.\nLeverage Ratio — fully phased-in definition = {LRCalc;310;010}/{LRCalc;290;010}.\n5.\nLeverage Ratio — transitional definition = {LRCalc;320;010}/{LRCalc;300;010}.\n3.\nMateriality thresholds for derivatives\n6.\nIn order to reduce the reporting burden for institutions with limited exposures in derivatives, the following measures are used to gauge the relative importance of derivatives exposures to the total exposure of the leverage ratio. Institutions shall calculate these measures as follows:\n7.\nDerivatives share = LRCalc;060;010 + LRCalc;070;010 + LRCalc;080;010 + LRCalc;090;010 + LRCalc;100;010 + LRCalc;110;010 + LRCalc;120;010 + LRCalc;130;010 + LRCalc;140;010 Total exposure measure .\n8.\nWhere total exposure measure is equal to: {LRCalc;290;010}.\n9.\nTotal notional value referenced by derivatives = {LR1; 010;070}. This is a cell that institutions shall always report.\n10.\nCredit derivatives volume = {LR1;020;070} + {LR1;050;070}. These are cells that institutions shall always report.\n11.\nInstitutions are required to report the cells referred to in paragraph 14 in the next reporting period, if any of the following conditions is met:\nthe derivatives share referred to in paragraph 7 is more than 1,5 % on two consecutive reporting reference dates;\nthe derivatives share referred to in paragraph 7 exceeds 2,0 %.\n12.\nInstitutions for which the total notional value referenced by derivatives as defined in paragraph 9 exceeds 10 billion EUR shall report the cells referred to in paragraph 14, even though their derivatives share does not fulfil the conditions described in paragraph 11.\n13.\nInstitutions are required to report the cells referred to in paragraph 15 if any of the following conditions is met:\nthe credit derivatives volume referred to in paragraph 10 is more than 300 million EUR on two consecutive reporting reference dates;\nthe credit derivatives volume referred to in paragraph 10 exceeds 500 million EUR.\n14.\nThe cells which are required to be reported by institutions in accordance with paragraph 11 are the following: {LR1;010;010}, {LR1;010;020}, {LR1;010;050}, {LR1;020;010}, {LR1;020;020}, {LR1;020;050}, {LR1;030;050}, {LR1;030;070}, {LR1;040;050}, {LR1;040;070}, {LR1;050;010}, {LR1;050;020}, {LR1;050;050}, {LR1;060;010}, {LR1;060;020}, {LR1;060;050} and {LR1;060;070}.\n15.\nThe cells which are required to be reported by institutions in accordance with paragraph 13 are the following: {LR1;020;075}, {LR1;050;075} and {LR1;050;085}.\n4.\nC47.00 — Leverage ratio calculation (LRCalc)\n16.\nThis part of the reporting template collects the data that are needed to calculate the leverage ratio as defined in Articles 429, 429a and 429b of the CRR.\n17.\nInstitutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the value ‘at reporting reference date’ shall be the value at the last calendar day of the third month of the respective quarter.\n18.\nInstitutions shall report {010;010} to {030;010}, {060;010}, {090;010}, {110;010}, and {150;010} to {190;010} as if the exemptions referred to in {050;010}, {080;010}, {100;010}, {120;010}, and {220;010} did not apply.\n19.\nInstitutions shall report {010;010} to {240;010} as if the exemptions referred to in {250;010} and {260;010} did not apply.\n20.\nAny amount that increases the own funds or the leverage ratio exposure shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the leverage ratio exposure shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item.\nLegal references and instructions\nRow and column\nExposure Values\n{010;010}\nSFTs: Exposure in accordance with Articles 429(5) and 429(8) of the CRR\nArticles 429(5)(d) and 429(8) of the CRR\nThe exposure for SFTs calculated in accordance with Article 429(5)(d) and (8) of the CRR.\nInstitutions shall consider in this cell transactions in accordance with Article 429b(6)(c).\nInstitutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {190,010}.\nInstitutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b(6)(a) of the CRR.\n{020;010}\nSFTs: Add-on for counterparty credit risk\nArticle 429b(1) of the CRR\nThe add-on for counterparty credit risk of SFTs, including those that are off-balance sheet, determined in accordance with Article 429b(2) or (3) of the CRR, as applicable.\nInstitutions shall consider in this cell transactions in accordance with Article 429b(6)(c).\nInstitutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b(6)(a) of the CRR. Institutions shall instead include those items in {040;010}.\n{030;010}\nDerogation for SFTs: Add-on in accordance with Articles 429b(4) and 222 of the CRR\nArticle 429b(4) and 222 of the CRR\nThe exposure value for SFTs, including those that are off-balance sheet, calculated in accordance with Article 222 of the CRR, subject to a 20 % floor for the applicable risk weight.\nInstitutions shall consider in this cell transactions in accordance with Article 429b(6)(c) of the CRR.\nInstitutions shall not consider in this cell transactions for which the add-on part of the leverage ratio exposure value is determined in accordance with the method defined in Article 429b(1) of the CRR.\n{040;010}\nCounterparty credit risk of SFT agent transactions in accordance with Article 429b(6) of the CRR\nArticle 429b(6)(a), (2) and (3) of the CRR\nThe exposure value for agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with Article 429b(6)(a) of the CRR, consists only of the add-on determined in accordance with Article 429b(2) or (3) of the CRR, as applicable.\nInstitutions shall not include in this cell transactions in accordance with Article 429b(6)(c). Institutions shall instead include those items in {010;010} and {020;010} or {010;010} and {030;010}, as applicable.\n{050;010}\n(-) Exempted CCP leg of client-cleared SFT exposures\nArticles 429(11) and 306(1)(c) of the CRR\nThe exempted CCP leg of client-cleared trade exposures of SFTs, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR.\nWhere the exempted leg to the CCP is a security it shall not be reported in this cell unless it is a re-pledged security that under the applicable accounting framework (i.e. in accordance with the first sentence of Article 111(1) of the CRR) is included at full value.\nInstitutions shall, as if no exemption applies, also include the amount reported in this cell in {010;010}, {020;010} and {030;010}, and, if the condition in the second half of the previous sentence is met, in {190;010}.\nWhere there is initial margin posted by the institution for an exempted leg of an SFT that is reported in {190;010} and not reported in {020;010} or {030;010}, then the institution can report it in this cell.\n{060;010}\nDerivatives: Current replacement cost\nArticles 429a, 274, 295, 296, 297 and 298 of the CRR.\nThe current replacement cost as specified in Article 274(1) of the CRR of contracts listed in Annex II of the CRR and credit derivatives including those that are off-balance sheet reported gross of variation margin received.\nAs determined by Article 429a(1) of the CRR, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 of the CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 of the CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) of the CRR.\nInstitutions shall not include in this cell contracts measured by application of the original exposure method in accordance with Articles 429a(8) and 275 of the CRR.\n{070;010}\n(-) Eligible cash variation margin received offset against derivatives market value\nArticle 429a(3) of the CRR\nVariation margin received in cash from the counterparty eligible for offsetting against the replacement cost portion of the derivatives exposure in accordance with Article 429a(3) of the CRR.\nAny cash variation margin received on an exempted CCP leg in accordance with Article 429(11) of the CRR shall not be reported.\n{080;010}\n(-) Exempted CCP leg of client-cleared trade exposures (replacement costs)\nArticle 429(11) of the CRR\nThe replacement cost portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR. This amount shall be reported gross of cash variation margin received on this leg.\nInstitutions shall include the amount reported in this cell also in {060;010} as if no exemption applied.\n{090;010}\nDerivatives: Add-on under the mark-to-market method\nArticles 429a, 274, 295, 296, 297, 298 and 299(2) of the CRR\nThis cell provides the add-on for the potential future exposure of contracts listed in Annex II of the CRR and of credit derivatives including those that are off-balance sheet calculated in accordance with the mark-to-market Method (Article 274 of the CRR for contracts listed in Annex II of the CRR and Article 299(2) of the CRR for credit derivatives) and applying netting rules in accordance with Article 429a(1) of the CRR. In determining the exposure value of those contracts, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 of the CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 of the CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) of the CRR.\nIn accordance with the second subparagraph of Article 429a(1) of the CRR, when determining the potential future credit exposure of credit derivatives, institutions shall apply the principles laid down in Article 299(2)(a) of the CRR to all their credit derivatives, not just those assigned to the trading book.\nInstitutions shall not include in this cell contracts measured by application of the original exposure method in accordance with Articles 429a(8) and 275 of the CRR.\n{100;010}\n(-) Exempted CCP leg of client-cleared trade exposures (potential future exposure)\nArticle 429(11) of the CRR\nThe potential future exposure of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR.\nInstitutions shall include the amount reported in this cell also in {090;010} as if no exemption applied.\n{110;010}\nDerogation for derivatives: original exposure method\nArticles 429a(8) and 275 of the CRR\nThis cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II of the CRR calculated in accordance with the original exposure method set out in Article 275 of the CRR.\nInstitutions that apply the original exposure method shall not reduce the exposure measure by the amount of variation margin received in cash in accordance with Article 429a(8) of the CRR.\nInstitutions that do not use the original exposure method shall not report this cell.\nInstitutions shall not consider in this cell contracts measured by application of the mark-to-market method in accordance with Articles 429a(1) and 274 of the CRR.\n{120;010}\n(-) Exempted CCP leg of client-cleared trade exposures (original exposure method)\nArticle 429(11) of the CRR\nThe exempted CCP leg of client-cleared trade exposures when applying the original exposure method as set out in Article 275 of the CRR, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR.\nInstitutions shall include the amount reported in this cell also in {110;010} as if no exemption applied.\n{130;010}\nCapped notional amount of written credit derivatives\nArticle 429a(5) to (7) of the CRR\nCapped notional value of written credit derivatives (i.e. where the institution is providing credit protection to a counterparty) as set out in Article 429a(5) to (7) of the CRR.\n{140;010}\n(-) Eligible purchased credit derivatives offset against written credit derivatives\nArticle 429a(5) to (7) of the CRR\nCapped notional value of purchased credit derivatives (i.e. where the institution is buying credit protection from a counterparty) on the same reference names as those credit derivatives written by the institution, where the remaining maturity of the purchased protection is equal to or greater than the remaining maturity of the sold protection. Hence, the value shall not be greater than the value entered in {130;010} for each reference name.\n{150;010}\nOff-balance sheet items with a 10 % CCF in accordance with Article 429(10) of the CRR\nArticles 429(10), 111(1)(d) and 166(9) of the CRR\nThe exposure value, in accordance with Articles 429(10) and 111(1)(d) of the CRR, of low risk off-balance sheet items that would be assigned a 0 % credit conversion factor referred to in points 4(a) to (c) of Annex I of the CRR (as a reminder the exposure value here shall be 10 % of the nominal value). That is commitments which may be cancelled unconditionally at any time by the institution without prior notice (UCC), or that effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness. As a reminder the nominal value shall not be reduced by specific credit risk adjustments.\nWhere a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR.\nInstitutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.\n{160;010}\nOff-balance sheet items with a 20 % CCF in accordance with Article 429(10) of the CRR\nArticles 429(10), 111(1)(c) and 166(9) of the CRR\nThe exposure value, in accordance with Articles 429(10) and 111(1)(c) of the CRR, of medium/low risk off-balance-sheet items that would be assigned a 20 % credit conversion factor referred to in points 3(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 20 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments.\nWhere a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR.\nInstitutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.\n{170;010}\nOff-balance sheet items with a 50 % CCF in accordance with Article 429(10) of the CRR\nArticles 429(10), 111(1)(b) and 166(9) of the CRR\nThe exposure value, in accordance with Articles 429(10) and 111(1)(b) of the CRR, of medium risk off-balance sheet items that would be assigned a 50 % credit conversion factor as defined in the Standardised Approach to credit risk referred to in points 2(a) and (b) of Annex I of the CRR (as a reminder the exposure value here shall be 50 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments.\nThis cell includes liquidity facilities and other commitments to securitisations. In other words the CCF for all liquidity facilities in accordance with Article 255 of the CRR is 50 % regardless of the maturity.\nWhere a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR.\nInstitutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.\n{180;010}\nOff-balance sheet items with a 100 % CCF in accordance with CRR 429 (10)\nArticles 429(10), 111(1)(a) and 166(9) of the CRR\nThe exposure value, in accordance with Articles 429(10) and 111(1)(a) of the CRR, of high risk off-balance sheet items that would be assigned a 100 % credit conversion factor referred to in points 1(a) to (k) of Annex I of the CRR (as a reminder the exposure value here shall be 100 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments.\nThis cell includes liquidity facilities and other commitments to securitisations.\nWhere a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) of the CRR.\nInstitutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.\n{190;010}\nOther assets\nArticle 429(5) of the CRR\nAll assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs (e.g. amongst others assets to be reported in this cell are accounting receivables for cash variation margin provided where recognised under the operative accounting framework, liquid assets as defined under the liquidity coverage ratio, failed and unsettled transactions). Institutions shall base valuation on the principles set out in Article 429(5) of the CRR.\nInstitutions shall include in this cell cash received or any security that is provided to a counterparty via SFTs and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Furthermore, institutions shall recognise items that are deducted from CET1 and Additional Tier 1 items (e.g. intangibles, deferred tax assets etc.) here.\n{200;010}\nGross-up for derivatives collateral provided\nArticle 429a(2) of the CRR\nThe amount of any derivatives collateral provided where the provision of that collateral reduces the amount of assets under the applicable accounting framework, as set out in Article 429a(2) of the CRR.\nInstitutions shall not include in this cell initial margin for client-cleared derivative transactions with a qualifying CCP (QCCP) or eligible cash variation margin, as defined in Article 429a(3) of the CRR.\n{210;010}\n(-) Receivables for cash variation margin provided in derivatives transactions\nThird subparagraph of Article 429a(3) of the CRR\nThe receivables for variation margin paid in cash to the counterparty in derivatives transactions if the institution is required, under the applicable accounting framework, to recognise these receivables as an asset, provided that the conditions in points (a) to (e) of Article 429a(3) of the CRR are met.\nThe amount reported shall also be included in the other assets reported in {190, 010}.\n{220;010}\n(-) Exempted CCP leg of client-cleared trade exposures (initial margin)\nArticle 429(11) of the CRR\nThe initial margin (posted) portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in Article 306(1)(c) of the CRR.\nThe amount reported shall also be included in the other assets reported in {190, 010}.\n{230;010}\nAdjustments for SFT sales accounting transactions\nArticle 429b(5) of the CRR\nThe value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework.\n{240;010}\n(-) Fiduciary assets\nArticle 429(13) of the CRR\nThe value of fiduciary assets that meet the IAS 39 criteria for derecognition and, where applicable, IFRS 10 for deconsolidation, in accordance with Article 429(13) of the CRR, assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).\nThe amount reported shall also be included in the other assets reported in {190, 010}.\n{250;010}\n(-) Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of the CRR\nArticles 429(7) and 113(6) of the CRR\nExposures that have not been consolidated on the applicable level of consolidation, that can benefit from the treatment laid down in Article 113(6) of the CRR, provided that all the conditions set out in points (a) to (e) of Article 113(6) of the CRR are met and where the competent authorities have given their approval.\nThe amount reported shall also be included in the applicable cells above as if no exemption applied.\n{260;010}\n(-) Exposures exempted in accordance with Article 429(14) of the CRR\nArticle 429(14) of the CRR\nExposures exempted in accordance with 429(14) of the CRR subject to the therein stated conditions being met and where the competent authorities have given their approval.\nThe amount reported shall also be included in the applicable cells above as if no exemption applied.\n{270;010}\n(-) Asset amount deducted — Tier 1 capital — fully phased-in definition\nArticles 429(4)(a) and 499(1)(a) of the CRR\nIt includes all the adjustments that target the value of an asset and which are required by:\nArticles 32 to 35 of the CRR, or\nArticles 36 to 47 of the CRR, or\nArticles 56 to 60 of the CRR,\nas applicable.\nInstitutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {010;010} to {260;010}, nor shall they report any adjustment that does not deduct the value of a specific asset.\nAs these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure.\n{280;010}\n(-) Asset amount deducted — Tier 1 capital — transitional definition\nArticles 429(4)(a) and 499(1)(b) of the CRR\nIt includes all the adjustments that adjust the value of an asset and which are required by:\nArticles 32 to 35 of the CRR, or\nArticles 36 to 47 of the CRR, or\nArticles 56 to 60 of the CRR'\nas applicable.\nInstitutions shall take into account exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition to taking into account the derogations laid down in Chapter 1 and 2 of Title I of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {010;010} to {260;010}, nor shall they report any adjustment that does not deduct the value of a specific asset.\nAs these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure.\n{290;010}\nTotal Leverage Ratio exposure — using a fully phased-in definition of Tier 1 capital\nInstitutions shall report the following amount:\n{LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} + {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010} + {LRCalc;270;010}.\n{300;010}\nTotal Leverage Ratio exposure — using a transitional definition of Tier 1 capital\nInstitutions shall report the following amount:\n{LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} – {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010} + {LRCalc;280;010}.\nRow and column\nCapital\n{310;010}\nTier 1 capital — fully phased-in definition\nArticles 429(3) and 499(1) of the CRR\nThis is the amount of Tier 1 capital as calculated in accordance with Article 25 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR.\n{320;010}\nTier 1 capital — transitional definition\nArticles 429(3) and 499(1) of the CRR\nThis is the amount of Tier 1 capital as calculated in accordance with Article 25 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten of the CRR.\nRow and column\nLeverage Ratio\n{330;010}\nLeverage Ratio — using a fully phased-in definition of Tier 1 capital\nArticles 429(2) and 499(1) of the CRR\nThis is the leverage ratio as calculated under paragraph 4 of Part II of this Annex.\n{340;010}\nLeverage Ratio — using a transitional definition of Tier 1 capital\nArticles 429(2) and 499(1) of the CRR\nThis is the leverage ratio as calculated under paragraph 5 of Part II of this Annex.\n5.\nC40.00 — Alternative treatment of the Exposure Measure (LR1)\n21.\nThis part of the reporting collects data on an alternative treatment of derivatives, SFTs and off-balance sheet items.\n22.\nInstitutions shall determine the ‘accounting balance sheet values’ in LR1 based on the applicable accounting framework in accordance with Article 4(1)(77) of the CRR. ‘Accounting value assuming no netting or other CRM’ refers to the accounting balance sheet value not taking into account any effects of netting or other credit risk mitigation.\n23.\nApart from {250;120} and {260;120}, institutions shall report LR1 as if the exemptions referred to in LRCalc cells {050;010}, {080;010}, {100;010}, {120;010}, {220;010}, {250;010} and {260;010} did not apply.\nRow and column\nLegal references and instructions\n{010;010}\nDerivatives — Accounting balance sheet value\nThis is the sum of {020;010}, {050;010} and {060;010}.\n{010;020}\nDerivatives — Accounting value assuming no netting or other CRM\nThis is the sum of {020;020}, {050;020} and {060;020}.\n{010;050}\nDerivatives — Add-on under the mark-to-market method (assuming no netting or other CRM)\nThis is the sum of {020;050}, {050;050} and {060;050}.\n{010;070}\nDerivatives — Notional amount\nThis is the sum of {020;070}, {050;070} and {060;070}.\n{020;010}\nCredit derivatives (protection sold) — Accounting balance sheet value\nArticle 4(1)(77) of the CRR\nThe accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet.\n{020;020}\nCredit derivatives (protection sold) — Accounting value assuming no netting or other CRM\nArticle 4(1)(77) of the CRR\nThe accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).\n{020;050}\nCredit derivatives (protection sold) — Add-on under the mark-to-market method (assuming no netting or other CRM)\nThis is the sum of {030;050} and {040;050}.\n{020;070}\nCredit derivatives (protection sold) — Notional amount\nThis is the sum of cells {030;070} and {040;070}.\n{020;075}\nCredit derivatives (protection sold) — Capped notional amount\nThis cell provides the notional amount referenced by the credit derivatives (protection sold) as in {020; 070} after reduction by any negative fair value changes that have been incorporated in Tier 1 capital with respect to the written credit derivative.\n{030;050}\nCredit derivatives (protection sold), which are subject to a close-out clause — Add-on under the mark-to-market method (assuming no netting or other CRM)\nArticle 299(2) of the CRR\nThis cell provides the potential future exposure of credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause assuming no netting or other CRM. Institutions shall not include in this cell the add-on for credit derivatives where the institution is selling credit protection to a counterparty not subject to a close-out clause. Institutions shall instead include this in {LR1;040;050}.\nA close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty.\nInstitutions shall consider all credit derivatives, not just those assigned to the trading book.\n{030;070}\nCredit derivatives (protection sold), which are subject to a close-out clause — Notional amount\nThis cell provides the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause.\nA close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty.\nInstitutions shall consider all credit derivatives, not just those assigned to the trading book.\n{040;050}\nCredit derivatives (protection sold), which are not subject to a close-out clause — Add-on under the mark-to-market method (assuming no netting or other CRM)\nArticle 299(2) of the CRR\nThis cell provides the potential future exposure of credit derivatives where the institution is selling credit protection to a counterparty not subject to a ‘close-out clause’ assuming no netting or other CRM.\nA close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty.\nInstitutions shall consider all credit derivatives, not just those assigned to the trading book.\n{040;070}\nCredit derivatives (protection sold), which are not subject to a close-out clause — Notional amount\nThis cell provides the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty not subject to a ‘close-out clause’.\nA close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty.\nInstitutions shall consider all credit derivatives, not just those assigned to the trading book\n{050;010}\nCredit derivatives (protection bought) — Accounting balance sheet value\nArticle 4(1)(77) of the CRR\nThe accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet.\nInstitutions shall consider all credit derivatives, not just those assigned to the trading book.\n{050;020}\nCredit derivatives (protection bought) — Accounting value assuming no netting or other CRM\nArticle 4(1)(77) of the CRR\nThe accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).\nInstitutions shall consider all credit derivatives, not just those assigned to the trading book.\n{050;050}\nCredit derivatives (protection bought) — Add-on under the mark-to-market method (assuming no netting or other CRM)\nArticle 299(2) of the CRR\nThis cell provides the potential future exposure of credit derivatives where the institution is buying credit protection from a counterparty assuming no netting or other CRM.\nInstitutions shall consider all credit derivatives, not just those assigned to the trading book\n{050;070}\nCredit derivatives (protection bought) — Notional amount\nThis cell provides the notional amount referenced by credit derivatives where the institution is buying credit protection from a counterparty.\nInstitutions shall consider all credit derivatives, not just those assigned to the trading book\n{050;075}\nCredit derivatives (protection bought) — Capped notional amount\nThis cell provides the notional amount referenced by credit derivatives (protection bought) as in {050;050} after reduction by any positive fair value changes that have been incorporated in Tier 1 capital with respect to the bought credit derivative.\n{050;085}\nCredit derivatives (protection bought) — Capped notional amount (same reference name)\nThe notional amount referenced by credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the reporting institution.\nFor the purpose of reporting this cell value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority.\nCredit protection bought on a pool of reference entities is considered the same if this protection is economically equivalent to buying protection separately on each of the individual names in the pool.\nIf an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical.\nFor each reference name, the notional amounts of credit protection bought which are considered in this cell shall not exceed the amounts reported in {020;075} and {050;075}.\n{060;010}\nFinancial derivatives — Accounting balance sheet value\nArticle 4(1)(77) of the CRR\nThe accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II of the CRR where the contracts are recognised as assets on the balance sheet.\n{060;020}\nFinancial derivatives — Accounting value assuming no netting or other CRM\nArticle 4(1)(77) of the CRR\nThe accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II of the CRR where the contracts are recognised as assets on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).\n{060;050}\nFinancial derivatives — Add-on under the mark-to-market method (assuming no netting or other CRM)\nArticle 274 of the CRR\nThis cell provides the regulatory potential future exposure of contracts listed in Annex II of the CRR assuming no netting or other CRM.\n{060;070}\nFinancial derivatives — Notional amount\nThis cell provides the notional amount referenced by contracts listed in Annex II of the CRR.\n{070;010}\nSFTs covered by a master netting agreement — Accounting balance sheet value\nArticles 4(1)(77) and 206 of the CRR\nThe accounting balance sheet value of SFTs under the applicable accounting framework that are covered by a master netting agreement eligible under Article 206 of the CRR.\nInstitutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {090,010}.\n{070;020}\nSFTs covered by a master netting agreement — Accounting value assuming no netting or other CRM\nArticles 4(77) and 206 of the CRR\nThe accounting balance sheet value under the applicable accounting framework of SFTs that are covered by a master netting agreement eligible under Article 206 of the CRR where the contracts are recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries.\nInstitutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {090,020}.\n{070;040}\nSecurities financing transactions covered by a master netting agreement — Add-on for SFT\nArticles 206 of the CRR\nFor SFTs, including those that are off-balance sheet, that are covered by a netting agreement that meets the requirements in Article 206 of the CRR, institutions shall form netting sets. For each netting set, institutions shall calculate the add-on for current counterparty exposure (CCE) in accordance with the formula\nCCE = max ∑ i E i − ∑ i C i ; 0 Where\ni each transaction included in the netting set.\nEi for transaction i, the value Ei as defined in Article 220(3) of the CRR.\nCi for transaction i, the value Ci as defined in Article 220(3) of the CRR.\nInstitutions shall aggregate the outcome of this formula for all netting sets and report the result in this cell.\n{080;010}\nSFTs not covered by a master netting agreement — Accounting balance sheet value\nArticle 4(1)(77) of the CRR\nThe accounting balance sheet value under the applicable accounting framework of SFTs that are not covered by a master netting agreement eligible under Article 206 of the CRR where the contracts are recognised as assets on the balance sheet.\nInstitutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {090,010}.\n{080;020}\nSFTs not covered by a master netting agreement — Accounting value assuming no netting or other CRM\nArticle 4(1)(77) of the CRR\nThe accounting balance sheet value under the applicable accounting framework of SFTs that are not covered by a master netting agreement eligible under Article 206 of the CRR where the contracts are recognised as assets on the balance sheet assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). Furthermore, where sale accounting is achieved for an SFT under the applicable accounting framework, institutions shall reverse all sales-related accounting entries.\nInstitutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include this in {090,020}.\n{080;040}\nSFTs not covered by a master netting agreement — Add-on for SFT\nArticles 206 of the CRR\nFor SFTs, including those that are off-balance sheet, that are not covered by a master netting agreement eligible under Article 206 of the CRR, institutions shall form sets that consist of all assets included in a transaction (i.e. each SFT is treated as its own set), and shall determine for each set the add-on for current counterparty exposure (CCE) in accordance with the formula\nCCE = max {(E – C); 0}\nWhere\nE , the value Ei as defined in Article 220(3) of the CRR.\nC , the value Ci as defined in Article 220(3) of the CRR.\nInstitutions shall aggregate the outcome of this formula for all of above-mentioned sets and report the result in this cell.\n{090;010}\nOther assets — Accounting balance sheet value\nArticle 4(1)(77) of the CRR\nThe accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs.\n{090;020}\nOther assets — Accounting value assuming no netting or other CRM\nArticle 4(1)(77) of the CRR\nThe accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II of the CRR, credit derivatives and SFTs assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).\n{100;070}\nLow risk off-balance sheet items in the RSA; of which — nominal value\nArticle 111 of the CRR\nThis cell provides the nominal value of off-balance sheet items that would be assigned a 0 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.\nInstitutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.\n{110;070}\nRevolving retail exposures; of which — Nominal value\nArticles 111 and 154(4) of the CRR\nThis cell provides the nominal value of off-balance sheet qualifying revolving retail exposures that meet the conditions set in points (a) to (c) of Article 154(4) of the CRR. This value shall not be reduced by specific credit risk adjustments.\nThis covers all exposures that are to individuals, are revolving and unconditionally cancellable as described in point (b) of Article 149 of the CRR, and are in total limited to EUR 100 000 per obligor.\nInstitutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.\n{120;070}\nUnconditionally cancellable credit cards commitments — Nominal value\nArticles 111 and 154(4) of the CRR\nThis cell provides the nominal value of credit cards commitments that are unconditionally cancellable at any time by the institution without prior notice (UCC) that would receive a 0 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.\nInstitutions shall not include in this cell credit commitments that effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness but are not UCC.\nInstitutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.\n{130;070}\nNon revolving unconditionally cancellable commitments — Nominal value\nArticles 111 and 154(4) of the CRR\nIt provides the nominal value of other commitments that are unconditionally cancellable at any time by the institution without prior notice (UCC) and that would receive a 0 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.\nInstitutions shall not include in this cell credit commitments that effectively provide for automatic cancellation due to deterioration in a borrower's creditworthiness but are not UCC.\nInstitutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.\n{140;070}\nMedium/low risk off-balance sheet items under the RSA — Nominal value\nArticle 111 of the CRR\nThis cell provides the nominal value of off-balance sheet items that would be assigned a 20 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.\nInstitutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.\n{150;070}\nMedium risk off-balance sheet items under the RSA — Nominal value\nArticle 111 of the CRR\nThis cell provides the nominal value of off-balance sheet items that would be assigned a 50 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.\nInstitutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.\n{160;070}\nFull risk off-balance sheet items under the RSA — Nominal value\nArticle 111 of the CRR\nThis cell provides the nominal value of off-balance sheet items that would be assigned a 100 % credit conversion factor under the Standardised Approach to credit risk. This value shall not be reduced by specific credit risk adjustments.\nInstitutions shall not consider in this cell contracts listed in Annex II of the CRR, credit derivatives and SFTs in accordance with Article 429(10) of the CRR.\n{170;070}\n(memo item) Drawn amounts of revolving retail exposures — Nominal value\nArticle 154(4) of the CRR\nThis cell provides the nominal value of amounts drawn on off-balance sheet revolving retail exposures. This value shall not be reduced by specific credit risk adjustments.\n{180;070}\n(memo item) Drawn amounts on unconditionally cancellable credit card commitments — Nominal value\nArticles 111 and 154(4) of the CRR\nThis cell provides the nominal value of amounts drawn on unconditionally cancellable credit card commitments. This value shall not be reduced by specific credit risk adjustments.\n{190;070}\n(memo item) Drawn amounts on non-revolving unconditionally cancellable commitments — Nominal value\nArticles 111 and 154(4) of the CRR\nThis cell provides the nominal value of amounts drawn on non-revolving unconditionally cancellable commitments. This value shall not be reduced by specific credit risk adjustments.\n{210;020}\nCash collateral received in derivatives transactions — Accounting value assuming no netting or other CRM\nThe accounting balance sheet value under the applicable accounting framework of cash collateral received in derivatives transactions assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).\nFor the purpose of this cell, cash is defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks is included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report cash on deposit with other institutions in this cell.\n{220;020}\nReceivables for cash collateral posted in derivatives transactions — Accounting value assuming no netting or other CRM\nThe accounting balance sheet value under the applicable accounting framework of receivables for cash collateral posted against derivatives transactions assuming no accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). Institutions that are permitted under the applicable accounting framework to net the receivable for cash collateral posted against the related derivative liability (negative fair value) and that elect to do so shall reverse out the netting and report the net cash receivable.\n{230;020}\nSecurities received in an SFT that are recognised as an asset — Accounting value assuming no netting or other CRM\nThe accounting balance sheet value under the applicable accounting framework of securities received in an SFT that are recognised as an asset under the applicable accounting framework assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).\n{240;020}\nSFT cash conduit lending (cash receivables) — Accounting value assuming no netting or other CRM\nThe accounting balance sheet value under the applicable accounting framework of the cash receivable for the cash on-lent to the securities owner in a qualifying cash conduit lending transaction (CCLT) assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed).\nFor the purpose of this cell, cash is defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks is included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report in this cell cash on deposit with other institutions.\nA CCLT is defined as a combination of two transactions where an institution borrows securities from the securities owner and on-lends securities to the securities borrower. Concurrently, the institution receives cash collateral from the securities borrower and on-lends the cash received to the securities owner. A qualifying CCLT shall comply with all the following conditions:\n(a) both of the individual transactions which comprise the qualifying CCLT shall be effected on the same trade date, or for international transactions adjacent business days;\n(b) where its comprising transactions do not specify a maturity, the institution shall have the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice;\n(c) where its comprising transactions specify a maturity, the CCLT shall not give rise to maturity mismatches for the institution; the institution shall have the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice;\n(d) it does not give rise to any other incremental exposures.\n{250;120}\nExposures that can benefit from treatment under Article 113(6) of the CRR — Leverage ratio exposure amount hypothetically exempted\nThe amount of total leverage ratio exposure that would be exempted if competent authorities would to the fullest extent grant permission to exempt exposures for which all the conditions set out in points (a) to (e) of Article 113(6) of the CRR are met and for which approval laid down in Article 113(6) of the CRR has been provided. If the competent authority already grants permission to the fullest extent then the value in this cell equals that in {LRCalc;250;010}.\n{260;120}\nExposures that meet conditions in points (a) to (c) of Article 429(14) of the CRR — Leverage ratio exposure amount hypothetically exempted\nThe amount of total leverage ratio exposure that would be exempted if competent authorities would to the fullest extent grant permission to exempt exposures that meet conditions in points (a) to (c) of Article 429(14) of the CRR. If the competent authority already grants permission to the fullest extent then the value in this cell equals that in {LRCalc;260;010}.\n6.\nC41.00 — On- and off-balance sheet items — additional breakdown of exposures (LR2)\n24.\nTemplate LR2 provides information on additional breakdown items of all on- and off-balance sheet exposures belonging to the non-trading book and of all exposures of the trading book subject to counterparty credit risk. The breakdown is in accordance with the risk weights applied under the credit risk section of the CRR. The information is derived differently for exposures under respectively the Standardised and the IRB Approach.\n25.\nFor exposures supported by CRM techniques implying the substitution of the risk weighting of the counterparty with the risk weighting of the guarantee, institutions shall refer to the risk weight after the substitution effect. Under the IRB Approach, institutions shall proceed with the following calculation: for exposures (other than those for which specific regulatory risk weights are provided for) belonging to each obligor grade, the risk weight shall be derived by dividing the risk weighted exposure obtained from the risk weight formula or the supervisory formula (for credit risk and securitisations exposures, respectively) by the exposure value after taking into account inflows and outflows due to CRM techniques with substitution effect on the exposure. Under the IRB Approach, exposures classified as in default shall be excluded from {020;010} to {090;010} and included in {100;010}. Under the Standardised Approach, exposures falling under Article 112(j) of the CRR shall be excluded from {020;020} to {090;020} and included in {100;020}.\n26.\nUnder both approaches, institutions shall consider exposures deducted from the regulatory capital as being applied a 1 250 % risk weight.\nRow\nLegal references and instructions\n010\nTotal 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):\nThis is the sum of {020:*} to {100;*}.\n020\n= 0 %\nExposures with a 0 % risk weight.\n030\n> 0 % and ≤ 12 %\nExposures with a risk weight included within a range of risk weights strictly greater than 0 % and smaller than or equal to 12 %.\n040\n> 12 % and ≤ 20 %\nExposures with a risk weight included within a range of risk weights strictly greater than 12 % and smaller than or equal to 20 %.\n050\n> 20 % and ≤ 50 %\nExposures with a risk weight included within a range of risk weights strictly greater than 20 % and smaller than or equal to 50 %.\n060\n> 50 % and ≤ 75 %\nExposures with a risk weight included within a range of risk weights strictly greater than 50 % and smaller than or equal to 75 %.\n070\n> 75 % and ≤ 100 %\nExposures with a risk weight included within a range of risk weights strictly greater than 75 % and smaller than or equal to 100 %.\n080\n> 100 % and ≤ 425 %\nExposures with a risk weight included within a range of risk weights strictly greater than 100 % and smaller than or equal to 425 %.\n090\n> 425 % and ≤ 1 250 %\nExposures with a risk weight included within a range of risk weights strictly greater than 425 % and smaller than or equal to 1 250 %.\n100\nExposures in default\nUnder the Standardised Approach, exposures falling under Article 112(j) of the CRR.\nUnder the IRB approach, all exposures with a PD of 100 % are exposures in default.\n110\n(memo item) Low-risk off-balance sheet items or off-balance sheet items attracting a 0 % conversion factor under the solvency ratio\nLow risk off-balance sheet items in accordance with Article 111 of the CRR and off-balance sheet items attracting a 0 % conversion factor in accordance with Article 166 of the CRR.\nColumn\nLegal references and instructions\n010\nOn- and off-balance sheet exposures (SA exposures)\nOn- and off-balance sheet exposure values after taking into account value adjustments, all CRM and credit conversion factors, as calculated under Title II, Chapter 2, Part Three of the CRR.\n020\nOn and off-balance sheet exposures (IRB exposures)\nOn- and off-balance sheet exposures values in accordance with Article 166 of the CRR and the first sentence of the second subparagraph of Article 230(1) of the CRR, after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.\nFor off-balance sheet items, institutions shall apply the conversion factors as defined in Article 166(8) to (10) of the CRR.\n030\nNominal value\nExposure values of off-balance sheet items as defined in Articles 111 and 166 of the CRR without the application of conversion factors.\n7.\nC42.00 — Alternative definition of capital (LR3)\n27.\nTemplate LR3 provides information on the capital measures needed for the review of Article 511 of the CRR.\nRow and column\nLegal references and instructions\n{010;010}\nCommon Equity Tier 1 capital — fully phased-in definition\nArticle 50 of the CRR\nThis is the amount of CET1 capital as defined in Article 50 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.\n{020;010}\nCommon Equity Tier 1 capital — transitional definition\nArticle 50 of the CRR\nThis is the amount of CET1 capital as calculated defined in Article 50 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.\n{030;010}\nTotal own funds — fully phased-in definition\nArticle 72 of the CRR\nThis is the amount of own funds as defined in Article 72 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.\n{040;010}\nTotal own funds — transitional definition\nArticle 72 of the CRR\nThis is the amount of own fund as defined in Article 72 of the CRR, after taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR.\n{055;010}\nAsset amount deducted — from CET1 items — fully phased-in definition\nIt includes the amount of regulatory adjustments to CET1 items that adjust the value of an asset and which are required by:\nArticles 32 to 35 of the CRR, or\nArticles 36 to 47 of the CRR,\nas applicable\nInstitutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset.\nAs these adjustments reduce the total own funds, they shall be reported as a negative figure.\n{065;010}\nAsset amount deducted — from CET1 items — transitional definition\nIt includes the amount of regulatory adjustments from CET1 that adjust the value of an asset and which are required by:\nArticles 32 to 35 of the CRR, or\nArticles 36 to 47 of the CRR,\nas applicable.\nInstitutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset.\nAs these adjustments reduce the total own funds, they shall be reported as a negative figure.\n{075;010}\nAsset amount deducted — from own funds items — fully phased-in definition\nIt includes the amount of regulatory adjustments from own funds items that adjust the value of an asset and which are required by:\nArticles 32 to 35 of the CRR, or\nArticles 36 to 47 of the CRR, or\nArticles 56 to 60 of the CRR, or\nArticles 66 to 70 of the CRR,\nas applicable.\nInstitutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in rows {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset.\nAs these adjustments reduce the total own funds, they shall be reported as a negative figure.\n{085,010}\nAsset amount deducted — from own funds items — transitional definition\nIt includes the amount of regulatory adjustments from own funds items that adjust the value of an asset and which are required by:\nArticles 32 to 35 of the CRR, or\nArticles 36 to 47 of the CRR, or\nArticles 56 to 60 of the CRR, or\nArticles 66 to 70 of the CRR,\nas applicable.\nInstitutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 of the CRR, in addition taking into account the derogation laid down in Chapters 1 and 2 of Part Ten of the CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 of the CRR when calculating the exposure value in {LRCalc;10;10} to {LRCalc;260;10}, nor shall they report any adjustment that does not deduct the value of a specific asset.\nAs these adjustments reduce the total own funds, they shall be reported as a negative figure.\n8.\nC43.00 — Alternative breakdown of leverage ratio exposure measure components (LR4)\n28.\nInstitutions shall report the leverage ratio exposure values in LR4 after the application of exemptions, as applicable, referred to in the following LRCalc cells: {050;010}, {080;010}, {100;010}, {120;010}, {220; 010}, {250;010} and {260;010}.\n29.\nIn order to avoid double-counting, institutions shall uphold the equation referred to in the following paragraph:\n30.\nThe equation that institutions shall uphold according to paragraph 29 is: [{LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} + {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010}] = [{LR4;010;010} + {LR4;040;010} + {LR4;050;010} + {LR4;060;010} + {LR4;065;010} + {LR4;070;010} + {LR4;080;010} + {LR4;080;020} + {LR4;090;010} + {LR4;090;020} + {LR4;140;010} + {LR4;140;020} + {LR4;180;010} + {LR4;180;020} + {LR4;190;010} + {LR4;190;020} + {LR4;210;010} + {LR4;210;020} + {LR4;230;010} + {LR4;230;020} + {LR4;280;010} + {LR4;280;020} + {LR4;290;010} + {LR4;290;020}].\nRow and column\nLegal references and instructions\n{010;010}\nOff-balance sheet items; of which — Leverage Ratio Exposure Value\nThe leverage ratio exposure value calculated as the sum of {LRCalc;150;010}, {LRCalc;160;010}, {LRCalc;170;010} and {LRCalc;180;010}.\n{010;020}\nOff-balance sheet items; of which — RWA\nThe risk-weighted exposure amount of off-balance sheet items — excluding SFTs and derivatives — as in the Standardised Approach and the IRB Approach. For exposures under the Standardised Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 2, Title II, Part Three of the CRR. For exposures under the IRB Approach, institutions shall determine the risk-weighted exposure amount in accordance with Chapter 3, Title II, Part Three of the CRR.\n{020;010}\nTrade Finance; of which — Leverage Ratio Exposure Value\nThe leverage ratio exposure value of off-balance sheet items related to trade finance. For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit which are short-term and self-liquidating, and similar transactions.\n{020;020}\nTrade Finance; of which — RWA\nThe risk-weighted exposure value of off-balance sheet items — excluding SFTs and derivatives — related to trade finance. For the purpose of the reporting in LR4, off-balance sheet items related to trade finance shall relate to issued and confirmed import and export letters of credit which are short-term and self-liquidating, and similar transactions.\n{030;010}\nUnder official export credit insurance scheme — Leverage Ratio Exposure Value\nThe leverage ratio exposure value of off-balance sheet items related to trade finance under an official export credit insurance scheme.\nFor the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.\n{030;020}\nUnder official export credit insurance scheme — RWA\nThe risk-weighted exposure value of off-balance sheet items — excluding SFTs and derivatives — related to trade finance under an official export credit insurance scheme.\nFor the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.\n{040;010}\nDerivatives and SFTs subject to a cross-product netting agreement — Leverage Ratio Exposure Value\nThe leverage ratio exposure value of derivatives and SFTs if subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.\n{040;020}\nDerivatives and SFTs subject to a cross-product netting agreement — RWA\nThe risk-weighted exposure amounts to credit and counterparty credit risk as calculated under Title II of Part Three of the CRR of derivatives and SFTs, including those that are off-balance sheet, if subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.\n{050;010}\nDerivatives not subject to a cross-product netting agreement — Leverage Ratio Exposure Value\nThe leverage ratio exposure value of derivatives if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.\n{050;020}\nDerivatives not subject to a cross-product netting agreement — RWA\nThe risk-weighted exposure amounts to credit and counterparty credit risk of derivatives as calculated under Title II of Part Three of the CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.\n{060;010}\nSFTs not subject to a cross-product netting agreement — Leverage Ratio Exposure Value\nThe leverage ratio exposure value of exposures of SFTs if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.\n{060;020}\nSFTs not subject to a cross-product netting agreement — RWA\nThe risk-weighted exposure amounts to credit and counterparty credit risk of SFTs, as calculated under Title II of Part Three of the CRR, including those that are off-balance sheet, if not subject to a cross-product netting agreement as defined in Article 272(25) of the CRR.\n{065;010}\nExposure amounts resulting from the additional treatment for credit derivatives — Leverage Ratio Exposure Value\nThis cell shall equal the difference between {LRCalc;130;010} and {LRCalc;140;010}.\n{070;010}\nOther assets belonging to the trading book — Leverage Ratio Exposure Value\nThe leverage ratio exposure value of items reported in {LRCalc;190;010} excluding non-trading book items.\n{070;020}\nOther assets belonging to the trading book — RWA\nOwn fund requirements multiplied by 12.5 of items subject to Title IV of Part Three of the CRR.\n{080;010}\nCovered bonds — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures in the form of covered bonds as defined in Article 129 of the CRR.\nInstitutions shall report net of defaulted exposures.\n{080;020}\nCovered bonds — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures in the form of covered bonds as defined in Article 161(1)(d) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{080;030}\nCovered bonds — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures in the form of covered bonds as in Article 129 of the CRR.\nInstitutions shall report net of defaulted exposures.\n{080;040}\nCovered bonds — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures in the form of covered bonds as in Article 161(1)(d) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{090,010}\nExposures treated as sovereigns — Leverage Ratio Exposure Value — SA exposures\nThis is the sum of cells from {100,010} to {130,010}.\nInstitutions shall report net of defaulted exposures.\n{090;020}\nExposures treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures\nThis is the sum of cells from {100,020} to {130,020}.\nInstitutions shall report net of defaulted exposures.\n{090;030}\nExposures treated as sovereigns — RWA — SA exposures\nThis is the sum of cells from {100,030} to {130,030}.\nInstitutions shall report net of defaulted exposures.\n{090;040}\nExposures treated as sovereigns — RWA — IRB exposures\nThis is the sum of cells from {100,040} to {130,040}.\nInstitutions shall report net of defaulted exposures.\n{100;010}\nCentral governments and central banks — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures to central governments or central banks as defined in Article 114 of the CRR.\nInstitutions shall report net of defaulted exposures.\n{100;020}\nCentral governments and central banks — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures to central governments or central banks as defined in Article 147(2)(a) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{100;030}\nCentral governments and central banks — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures to central governments or central banks as defined in Article 114 of the CRR.\nInstitutions shall report net of defaulted exposures.\n{100;040}\nCentral governments and central banks — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures to central governments or central banks as defined in Article 147(2)(a) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{110;010}\nRegional governments and local authorities treated as sovereigns — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures to regional governments and local authorities treated as sovereigns that fall under Article 115(2) and (4) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{110;020}\nRegional governments and local authorities treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures to regional governments and local authorities that fall under Article 147(3)(a) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{110;030}\nRegional governments and local authorities treated as sovereigns — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures to regional governments and local authorities treated as sovereigns that fall under Article 115(2) and (4) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{110;040}\nRegional governments and local authorities treated as sovereigns — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures to regional governments and local authorities that fall under Article 147(3)(a) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{120;020}\nMDBs and international organisations treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures to multilateral development banks and international organisations that fall under Article 147(3)(b) and (c) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{120;010}\nMDBs and international organisations treated as sovereigns — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 of the CRR.\nInstitutions shall report net of defaulted exposures.\n{120;030}\nMDBs and international organisations treated as sovereigns — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures to multilateral development banks and international organisations that fall under Articles 117(2) and 118 of the CRR.\nInstitutions shall report net of defaulted exposures.\n{120;040}\nMDBs and international organisations treated as sovereigns — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures to multilateral development banks and international organisations that fall under Article 147(3)(b) and (c) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{130;010}\nPSEs treated as sovereigns — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{130;020}\nPSEs treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure amount of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{130;030}\nPSEs treated as sovereigns — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 116(4) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{130;040}\nPSEs treated as sovereigns — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 147(3)(a) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{140;010}\nExposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns — Leverage Ratio Exposure Value — SA exposures\nThis is the sum of cells from {150,010} to {170,010}.\nInstitutions shall report net of defaulted exposures.\n{140;020}\nExposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures\nThis is the sum of cells from {150,020} to {170,020}.\nInstitutions shall report net of defaulted exposures.\n{140;030}\nExposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns — RWA — SA exposures\nThis is the sum of cells from {150,030} to {170,030}.\nInstitutions shall report net of defaulted exposures.\n{140;040}\nExposures to regional governments, MDBs, international organisations and PSEs not treated as sovereigns — RWA — IRB exposures\nThis is the sum of cells from {150,040} to {170,040}.\nInstitutions shall report net of defaulted exposures.\n{150;010}\nRegional governments and local authorities not treated as sovereigns — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 115(1), (3) and (5) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{150;020}\nRegional governments and local authorities not treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 147(4)(a) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{150;030}\nRegional governments and local authorities not treated as sovereigns — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 115(1), (3) and (5) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{150;040}\nRegional governments and local authorities not treated as sovereigns — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures to regional governments and local authorities not treated as sovereigns that fall under Article 147(4)(a) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{160;010}\nMDBs not treated as sovereigns — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures to multilateral development banks that fall under Article 117(1) and (3) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{160;020}\nMDBs not treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures to multilateral development banks not treated as sovereigns that fall under Article 147(4)(c) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{160;030}\nMDBs not treated as sovereigns — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures to multilateral development banks that fall under Article 117(1) and (3) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{160;040}\nMDBs not treated as sovereigns — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures to multilateral development banks not treated as sovereigns that fall under Article 147(4)(c) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{170;010}\nPSEs not treated as sovereigns — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures to public sector entities that fall under Article 116(1), (2), (3) and (5) of the CRR..\nInstitutions shall report net of defaulted exposures.\n{170;020}\nPSEs not treated as sovereigns — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures to public sector entities not treated as sovereigns that fall under Article 147(4)(b) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{170;030}\nPSEs not treated as sovereigns — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures to public sector entities that fall under Article 116(1), (2), (3) and (5) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{170;040}\nPSEs not treated as sovereigns — RWA — IRB exposures\nThe risk-weighted exposure amount assets that are exposures to public sector entities not treated as sovereigns that fall under Article 147(4)(b) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{180;010}\nInstitutions — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures to institutions that fall under Articles 119 to 121 of the CRR.\nInstitutions shall report net of defaulted exposures.\n{180;020}\nInstitutions — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures to institutions that fall under Article 147(2)(b) of the CRR and are not exposures in the form of covered bonds under Article 161(d) of the CRR and do not fall under Article 147(4)(a) to (c) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{180;030}\nInstitutions — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures to institutions that fall under Articles 119 to 121 of the CRR.\nInstitutions shall report net of defaulted exposures.\n{180;040}\nInstitutions — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures to institutions that fall under Article 147(2)(b) of the CRR and are not exposures in the form of covered bonds under Article 161(d) of the CRR and do not fall under Article 147(4)(a) to (c) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{190;010}\nSecured by mortgages on immovable properties; of which — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures secured by mortgages on immovable property that fall under Article 124 of the CRR.\nInstitutions shall report net of defaulted exposures.\n{190;020}\nSecured by mortgages on immovable properties; of which — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures to corporate under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{190;030}\nSecured by mortgages on immovable properties; of which — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures secured by mortgages on immovable property that fall under Article 124 of the CRR.\nInstitutions shall report net of defaulted exposures.\n{190;040}\nSecured by mortgages on immovable properties; of which — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures to corporate under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{200;010}\nSecured by mortgages of residential properties — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures fully and completely secured by mortgages on residential property that fall under Article 125 of the CRR.\nInstitutions shall report net of defaulted exposures.\n{200;020}\nSecured by mortgages of residential properties — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on residential property in accordance with Article 199(1)(a) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{200;030}\nSecured by mortgages of residential properties — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures fully and completely secured by mortgages on residential property that fall under Article 125 of the CRR.\nInstitutions shall report net of defaulted exposures.\n{200;040}\nSecured by mortgages of residential properties — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) or retail exposures under Article 147(2)(d) of the CRR if these exposures are secured by mortgages on residential property in accordance with Article 199(1)(a) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{210;010}\nRetail exposures; of which — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are retail exposures that fall under Article 123 of the CRR.\nInstitutions shall report net of defaulted exposures.\n{210;020}\nRetail exposures; of which — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{210;030}\nRetail exposures; of which — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are retail exposures that fall under Article 123 of the CRR.\nInstitutions shall report net of defaulted exposures.\n{210;040}\nRetail exposures; of which — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{220;010}\nRetail SME — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are retail exposures to small- and medium-sized enterprises that fall under Article 123 of the CRR.\nFor the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{220;020}\nRetail SME — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.\nFor the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{220;030}\nRetail SME — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are retail exposures to small- and medium-sized enterprises that fall under Article 123 of the CRR.\nFor the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{220;040}\nRetail SME — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are retail exposures under Article 147(2)(d) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.\nFor the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{230;010}\nCorporate; of which — Leverage Ratio Exposure Value — SA exposures\nThis is the sum of {240,010} and {250,010}.\nInstitutions shall report net of defaulted exposures.\n{230;020}\nCorporate; of which — Leverage Ratio Exposure Value — IRB exposures\nThis is the sum of {240,020} and {250,020}.\nInstitutions shall report net of defaulted exposures.\n{230;030}\nCorporate; of which — RWA — SA exposures\nThis is the sum of {240,030} and {250,030}.\nInstitutions shall report net of defaulted exposures.\n{230;040}\nCorporate; of which — RWA — IRB exposures\nThis is the sum of {240,040} and {250,040}.\nInstitutions shall report net of defaulted exposures.\n{240;010}\nFinancial — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures to financial corporates that fall under Article 122 of the CRR. For the purpose of the reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}.\nInstitutions shall report net of defaulted exposures.\n{240;020}\nFinancial — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures to financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}.\nInstitutions shall report net of defaulted exposures.\n{240;030}\nFinancial — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures to financial corporates that fall under Article 122 of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}.\nInstitutions shall report net of defaulted exposures.\n{240;040}\nFinancial — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures to financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR. For the purpose of reporting in LR4, financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in {180;10}, the principal activity of which is to acquire holdings or to pursue one or more of the activities listed in Annex I to Directive 2013/36/EU, as well as undertakings as defined in Article 4(1)(27) of the CRR other than institutions referred to in {180;10}.\nInstitutions shall report net of defaulted exposures.\n{250;010}\nNon-financial; of which — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures to non-financial corporates that fall under Article 122 of the CRR.\nThis is the sum of {260,010} and {270,010}.\nInstitutions shall report net of defaulted exposures.\n{250;020}\nNon-financial; of which — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures to non-financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.\nThis is the sum of {260,020} and {270,020}.\nInstitutions shall report net of defaulted exposures.\n{250;030}\nNon-financial; of which — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures to non-financial corporates that fall under Article 122 of the CRR.\nThis is the sum of {260,030} and {270,030}.\nInstitutions shall report net of defaulted exposures.\n{250;040}\nNon-financial; of which — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures to non-financial corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.\nThis is the sum of {260,040} and {270,040}.\nInstitutions shall report net of defaulted exposures.\n{260;010}\nSME exposures — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 of the CRR.\nFor the purpose of this cell, a small and medium enterprise is in accordance with Article 501(2)(b) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{260;020}\nSME exposures — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.\nFor the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{260;030}\nSME exposures — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures to corporates in the form of small- and medium-sized enterprises that fall under Article 122 of the CRR.\nFor the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{260;040}\nSME exposures — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are exposures to small- and medium-sized enterprises and are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR.\nFor the purpose of this cell, the term ‘small and medium enterprise’ is defined in accordance with Article 501(2)(b) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{270;010}\nExposures other than SME exposures — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures to corporates that fall under Article 122 of the CRR and that are not reported in {230;040} and {250;040}.\nInstitutions shall report net of defaulted exposures.\n{270;020}\nExposures other than SME exposures — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR and that are not reported in {230;040} and {250;040}.\nInstitutions shall report net of defaulted exposures.\n{270;030}\nExposures other than SME exposures — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures to corporates that fall under Article 122 of the CRR and that are not reported in {230;040} and {250;040}.\nInstitutions shall report net of defaulted exposures.\n{270;040}\nExposures other than SME exposures — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures to corporates under Article 147(2)(c) of the CRR if these exposures are not secured by mortgages on immovable property in accordance with Article 199(1)(a) of the CRR and that are not reported in {230;040} and {250;040}.\nInstitutions shall report net of defaulted exposures.\n{280;010}\nExposures in default — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures in default and thus fall under Article 127 of the CRR.\n{280;020}\nExposures in default — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets categorised in the exposures classes listed in Article 147(2) of the CRR if a default in accordance with Article 178 of the CRR has occurred.\n{280;030}\nExposures in default — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures in default and thus fall under Article 127 of the CRR.\n{280;040}\nExposures in default — RWA — IRB exposures\nThe risk-weighted exposure amount of assets categorised in the exposures classes listed in Article 147(2) of the CRR if a default in accordance with Article 178 of the CRR has occurred.\n{290;010}\nOther exposures; of which — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets categorised in the exposures classes listed in Article 112(k), (m), (n), (o), (p) and (q) of the CRR.\nInstitutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {*; 030} and {*; 040}.\nInstitutions shall report net of defaulted exposures.\n{290;020}\nOther exposures; of which — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure amount of assets categorised in the exposures classes listed in Article 147(2)(e), (f) and (g) of the CRR.\nInstitutions shall report assets that are deducted from the own funds (e.g. intangibles) but cannot be categorised otherwise here, even if such a categorisation is not required for determining risk-based own funds requirements in columns {*; 030} and {*; 040}.\nInstitutions shall report net of defaulted exposures.\n{290;030}\nOther exposures; of which — RWA — SA exposures\nThe risk-weighted exposure value of assets categorised in the exposures classes listed in Article 112(k), (m), (n), (o), (p) and (q) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{290;040}\nOther exposures; of which — RWA — IRB exposures\nThe risk-weighted exposure value of assets categorised in the exposures classes listed in Article 147(2)(e), (f) and (g) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{300;010}\nSecuritisation exposures — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of assets that are exposures to securitisations that fall under Article 112(m) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{300;020}\nSecuritisation exposures — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure value of assets that are exposures to securitisations and fall under Article 147(2)(f) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{300;030}\nSecuritisation exposures — RWA — SA exposures\nThe risk-weighted exposure amount of assets that are exposures to securitisations that fall under Article 112(m) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{300;040}\nSecuritisation exposures — RWA — IRB exposures\nThe risk-weighted exposure amount of assets that are exposures to securitisations and fall under Article 147(2)(f) of the CRR.\nInstitutions shall report net of defaulted exposures.\n{310;010}\nTrade finance (memo item); of which — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions.\nInstitutions shall report net of defaulted exposures.\n{310;020}\nTrade finance (memo item); of which — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure amount of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions.\nInstitutions shall report net of defaulted exposures.\n{310;030}\nTrade finance (memo item); of which — RWA — SA exposures\nThe risk-weighted exposure value of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions.\nInstitutions shall report net of defaulted exposures.\n{310;040}\nTrade finance (memo item); of which — RWA — IRB exposures\nThe risk-weighted exposure amount of on-balance sheet items related to lending to an exporter or an importer of goods or services through import and export credits and similar transactions.\nInstitutions shall report net of defaulted exposures.\n{320;010}\nUnder official export credit insurance scheme — Leverage Ratio Exposure Value — SA exposures\nThe leverage ratio exposure value of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.\nInstitutions shall report net of defaulted exposures.\n{320;020}\nUnder official export credit insurance scheme — Leverage Ratio Exposure Value — IRB exposures\nThe leverage ratio exposure amount of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.\nInstitutions shall report net of defaulted exposures.\n{320;030}\nUnder official export credit insurance scheme — RWA — SA exposures\nThe risk-weighted exposure value of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.\nInstitutions shall report net of defaulted exposures.\n{320;040}\nUnder official export credit insurance scheme — RWA — IRB exposures\nThe risk-weighted exposure amount of on-balance sheet items related to trade finance under an official export credit insurance scheme. For the purpose of the reporting in LR4, an official export credit insurance scheme shall relate to official support provided by the government or another entity such as an export credit agency in the form, among others, of direct credits/financing, refinancing, interest-rate support (where a fixed interest-rate is guaranteed for the life of the credit), aid financing (credits and grants), export credit insurance and guarantees.\nInstitutions shall report net of defaulted exposures.\n9.\nC44.00 — General information (LR5)\n31.\nAdditional information is collected here for the purpose of categorising the institution activities and the regulatory options chosen by the institution.\nRow and column\nInstructions\n{010;010}\nInstitution's company structure\nThe institution shall classify its company structure in accordance with the categories given below:\nJoint stock company;\nMutual/cooperative;\nOther non-joint stock company.\n{020;010}\nDerivatives treatment\nThe institution shall specify the regulatory derivatives treatment in accordance with the categories given below:\nOriginal exposure method;\nMark-to-market method.\n{040;010}\nInstitution type\nThe institution shall classify its institution type in accordance with the categories given below:\nUniversal banking (retail/commercial and investment banking);\nRetail/commercial banking;\nInvestment banking;\nSpecialised lender.",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [
    {
      "type": "footnote",
      "label": "f1",
      "text": "This includes securitisations and equity exposures subject to credit risk"
    }
  ],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2016/428/annex/II",
    "retrieved_at": "2026-11-01T14:45:57.427088+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}