Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

ANNEX X

LEVERAGE RATIO REPORTING TEMPLATES

Template code

Template code

Name of the template

Short name

45

C 45.00

Leverage ratio calculation

LRCalc

40

C 40.00

Alternative treatment of the exposure measure

LR1

41

C 41.00

On- and Off-Balance Sheet items - Additional breakdown of exposures

LR2

42

C 42.00

Alternative definition of capital

LR3

43

C 43.00

Breakdown of leverage ratio exposure measure components

LR4

44

C 44.00

General information

LR5

46

C 46.00

Entities that are consolidated for accounting purposes but are not within the scope of prudential consolidation

LR6

C 40.00 - ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)

Row

Column

010

020

030

040

050

060

070

080

090

100

110

Accounting balance sheet value

Accounting value assuming no netting or other CRM

Value with netting rules (Derivatives) taking into account cash collateral

Add-on amount SFT

Add-on Mark-to market method (assuming no netting or CRM) (Derivatives)

Add-on Mark-to market method (alternative) (Derivatives)

Notional amount/ nominal value

Notional amount (same reference name)

Notional amount (same reference name and counterparty or CCP)

Notional amount (same reference name and bought protection from CCP)

Notional amount (same reference name and same or higher maturity)

010

Derivatives

020

Credit derivatives (protection sold)

030

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

040

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

050

Credit derivatives (protection bought)

060

Financial derivatives

070

SFT covered by a master netting agreement

080

SFT not covered by a master netting agreement

090

Other assets

100

Low-risk off-balance sheet items under the RSA; of which:

110

Revolving retail exposures; of which

120

Unconditionally cancellable credit cards commitments

130

Non revolving unconditionally cancellable commitments

140

Medium/low risk off-balance sheet items under the RSA

150

Medium risk off-balance sheet items under the RSA

160

Full risk off-balance sheet items under the RSA

170

(memo item) Drawn amount of revolving retail exposures

180

(memo item) Drawn amounts on unconditionally cancellable credit cards commitments

190

(memo item) Drawn amounts on non revolving unconditionally cancellable commitments

200

(memo item) Derecognised fiduciary items according to Article 429(11) of the CRR

210

Cash collateral received in derivatives transactions

220

Receivables for cash collateral posted in derivatives transactions

230

Securities received in a SFT that are recognised as an asset

240

SFT cash conduit lending (cash receivables)

C 41.00 - ON- AND OFF-BALANCE SHEET ITEMS - ADDITIONAL BREAKDOWN OF EXPOSURES (LR2)

Row

Column

010

020

030

On- and off- balance sheet exposures (SA exposures)

On- and off- balance sheet exposures (IRB exposures)

Nominal value

010

Total on- and off-balance sheet exposures belonging to the banking book (breakdown according to the effective risk weight):

020

= 0%

030

> 0 and ≤ 12%

040

> 12 and ≤ 20%

050

> 20 and ≤ 50%

060

> 50 and ≤ 75%

070

> 75 and ≤ 100%

080

> 100 and ≤ 425%

090

> 425 and ≤ 1250%

100

Exposures in default

110

Low risk off-balance sheet items and off-balance sheet items attracting a 0% conversion factor under the solvency ratio (memo item)

C 42.00 - ALTERNATIVE DEFINITION OF CAPITAL (LR3)

Row

Column

010

010

Common Equity Tier 1 capital - fully phased-in definition

020

Common Equity Tier 1 capital - transitional definition

030

Total own funds - fully phased-in definition

040

Total own funds - transitional definition

050

Regulatory adjustments - CET1 - fully phased-in definition

060

Regulatory adjustments - CET1 - transitional definition

070

Regulatory adjustments - Total own funds - fully phased-in definition

080

Regulatory adjustments - Total own funds - transitional definition

C 43.00 - BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)

Row

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

Column

010

020

Leverage Ratio Exposure Value

RWA

010

Off-balance sheet items; of which

020

Trade finance; of which:

030

Under official export credit insurance scheme

040

Derivatives and SFTs subject to a cross-product netting agreement

050

Derivatives not subject to a cross-product netting agreement

060

SFTs not subject to a cross-product netting agreement

070

Other assets belonging to the trading book

Row

Other non-trading book exposures

Column

010

020

030

040

Leverage Ratio Exposure Value

RWAs

SA Exposures

IRB Exposures

SA Exposures

IRB Exposures

080

Covered bonds

090

Exposures treated as sovereigns

100

Central governments and central banks

110

Regional governments and local authorities treated as sovereigns

120

MDBs and International organisations treated as sovereigns

130

PSEs treated as sovereigns

140

Exposures to regional governments, MDB, international organisations and PSE NOT treated as sovereigns

150

Regional governments and local authorities NOT treated as sovereigns

160

MDBs NOT treated as sovereigns

170

PSEs NOT treated as sovereigns

180

Institutions

190

Secured by mortgages of immovable properties; of which

200

Secured by mortgages of residential properties

210

Retail exposures

220

Retail SME

230

Corporate

240

Financial

250

Non-financial

260

SME exposures

270

Corporate exposures other than SME

280

Exposures in default

290

Other exposures (eg equity and other non-credit obligation assets); of which:

300

Securitisation exposures

310

Trade finance (Memo item); of which

320

Under official export credit insurance scheme

C 44.00 - GENERAL INFORMATION (LR5)

Row

Column

010

010

Institutions company structure

020

Derivatives treatment

030

Accounting framework

040

Institution type

050

Reporting calculation method

060

Reporting level

C 45.00 - LEVERAGE RATIO CALCULATION (LRCalc)

Column

LR Exposure: Month-1-value

LR Exposure: Month-2-value

LR Exposure: Month-3-value

Row

Exposure Values

010

020

030

010

SFT exposure according to CRR 220

020

SFT exposure according to CRR 222

030

Derivatives: Market value

040

Derivatives: Add-on Mark-to-Market Method

050

Derivatives: Original Exposure Method

060

Undrawn credit facilities, which may be cancelled unconditionally at any time without notice

070

Medium/ low risk trade related off-balance sheet items

080

Medium risk trade related off-balance sheet items and officially supported export finance related off-balance sheet items

090

Other off-balance sheet items

100

Other assets

Row

Capital and regulatory adjustments

110

Tier 1 capital - fully phased-in definition

120

Tier 1 capital - transitional definition

130

Amount to be added due to CRR 429 (4), 2nd subparagraph

140

Amount to be added due to CRR 429 (4), 2nd subparagraph - transitional definition

150

Regulatory adjustments - Tier 1 - fully phased-in definition; of which

160

Regulatory adjustments regarding own credit risk

Column

170

Regulatory adjustments - Tier 1 - transitional definition

040

Row

Leverage Ratio

Leverage ratio calculated as the simple arithmetic mean of the monthly leverage ratio over a quarter

180

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

190

Leverage Ratio - using a transitional definition of Tier 1

C 46.00 - ENTITIES THAT ARE CONSOLIDATED FOR ACCOUNTING PURPOSES BUT ARE NOT WITHIN THE SCOPE OF PRUDENTIAL CONSOLIDATION (LR6)

Row

Column

010

020

030

Financial sector entities

Securitisation entitites

Commercial entities

010

SFT covered by a master netting agreement accounting value assuming no netting or other CRM

020

SFT covered by a master netting agreement add-on

030

SFT not covered by a master netting agreement accounting value assuming no netting or other CRM

040

SFT not covered by a master netting agreement add-on

050

Derivatives: Market value

060

Derivatives: Add-on Mark-to-Market Method

070

Derivatives: Original Exposure Method

080

Undrawn credit facilities, which may be cancelled unconditionally at any time without notice

090

Medium/ low risk trade related off-balance sheet items

100

Medium risk trade related off-balance sheet items and officially supported export finance related off-balance sheet items

110

Other off-balance sheet items

120

Other assets

130

(memo item) Total value of investments in the entities

140

(memo item) Total accounting assets of the entities

150

(memo item) Total accounting equity of the entities

160

(memo item) Inclusion factor

170

(memo item) Accounting assets of the entities that are not considered in fields {LR6;010;3} to (LR6;120;3}