FCA Handbook - ANNEX X

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EU Legislation

ANNEX X

01/01/2021EU

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 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 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
		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 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

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 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 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 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}