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ANNEX I

ANNEX I

CRR Leverage Ratio — Disclosure Template

Reference date

 

Entity name

 

Level of application

 


Table LRSum: Summary reconciliation of accounting assets and leverage ratio exposures

 

 

Applicable Amount

1

Total assets as per published financial statements

 

2

Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation

 

3

(Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the leverage ratio total exposure measure in accordance with Article 429(13) of Regulation (EU) No 575/2013)

 

4

Adjustments for derivative financial instruments

 

5

Adjustment for securities financing transactions (SFTs)

 

6

Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures)

 

EU-6a

(Adjustment for intragroup exposures excluded from the leverage ratio total exposure measure in accordance with Article 429(7) of Regulation (EU) No 575/2013)

 

EU-6b

(Adjustment for exposures excluded from the leverage ratio total exposure measure in accordance with Article 429(14) of Regulation (EU) No 575/2013)

 

7

Other adjustments

 

8

Leverage ratio total exposure measure

 


Table LRCom: Leverage ratio common disclosure

 

 

CRR leverage ratio exposures

On-balance sheet exposures (excluding derivatives and SFTs)

1

On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral)

 

2

(Asset amounts deducted in determining Tier 1 capital)

 

3

Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) (sum of lines 1 and 2)

 

Derivative exposures

4

Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin)

 

5

Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method)

 

EU-5a

Exposure determined under Original Exposure Method

 

6

Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework

 

7

(Deductions of receivables assets for cash variation margin provided in derivatives transactions)

 

8

(Exempted CCP leg of client-cleared trade exposures)

 

9

Adjusted effective notional amount of written credit derivatives

 

10

(Adjusted effective notional offsets and add-on deductions for written credit derivatives)

 

11

Total derivatives exposures (sum of lines 4 to 10)

 

SFT exposures

12

Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions

 

13

(Netted amounts of cash payables and cash receivables of gross SFT assets)

 

14

Counterparty credit risk exposure for SFT assets

 

EU-14a

Derogation for SFTs: Counterparty credit risk exposure in accordance with Articles 429b(4) and 222 of Regulation (EU) No 575/2013

 

15

Agent transaction exposures

 

EU-15a

(Exempted CCP leg of client-cleared SFT exposure)

 

16

Total securities financing transaction exposures (sum of lines 12 to 15a)

 

Other off-balance sheet exposures

17

Off-balance sheet exposures at gross notional amount

 

18

(Adjustments for conversion to credit equivalent amounts)

 

19

Other off-balance sheet exposures (sum of lines 17 and 18)

 

Exempted exposures in accordance with Article 429(7) and (14) of Regulation (EU) No 575/2013 (on and off balance sheet)

EU-19a

(Intragroup exposures (solo basis) exempted in accordance with Article 429(7) of Regulation (EU) No 575/2013 (on and off balance sheet))

 

EU-19b

(Exposures exempted in accordance with Article 429 (14) of Regulation (EU) No 575/2013 (on and off balance sheet))

 

Capital and total exposure mesure

20

Tier 1 capital

 

21

Leverage ratio total exposure measure (sum of lines 3, 11, 16, 19, EU-19a and EU-19b)

 

Leverage ratio

22

Leverage ratio

 

Choice on transitional arrangements and amount of derecognised fiduciary items

EU-23

Choice on transitional arrangements for the definition of the capital measure

 

EU-24

Amount of derecognised fiduciary items in accordance with Article 429(11) of Regulation (EU) No 575/2013

 


Table LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)

 

 

CRR leverage ratio exposures

EU-1

Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which:

 

EU-2

Trading book exposures

 

EU-3

Banking book exposures, of which:

 

EU-4

Covered bonds

 

EU-5

Exposures treated as sovereigns

 

EU-6

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

 

EU-7

Institutions

 

EU-8

Secured by mortgages of immovable properties

 

EU-9

Retail exposures

 

EU-10

Corporate

 

EU-11

Exposures in default

 

EU-12

Other exposures (eg equity, securitisations, and other non-credit obligation assets)

 

CRR Leverage Ratio — Disclosure Template

Table LRQua: Free format text boxes for disclosure on qualitative items

 

Column

 

Free format

Row

 

1

Description of the processes used to manage the risk of excessive leverage

 

2

Description of the factors that had an impact on the leverage Ratio during the period to which the disclosed leverage Ratio refers