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[F1ANNEX X U.K. REPORTING ON LEVERAGE

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

ANNEX X Table 2: rows 1 - 28

[F1Row Column
010 020 040 050 070 075 085 120
Accounting balance sheet value Accounting value assuming no netting or other CRM Add-on for SFTs Add-on under the mark-to market method (assuming no netting or other CRM) Notional amount/ nominal value Capped notional amount Capped notional amount (same reference name) Leverage ratio exposure amount hypothetically exempted
010 Derivatives
020 Credit derivatives (protection sold)
030 Credit derivatives (protection sold), which are subject to a close out clause
040 Credit derivatives (protection sold), which are not subject to a close out clause
050 Credit derivatives (protection bought)
060 Financial derivatives
070 SFTs covered by a master netting agreement
080 SFTs not covered by a master netting agreement
090 Other assets
100 Low-risk off-balance sheet items under the RSA; of which:
110 Revolving retail exposures; of which
120 Unconditionally cancellable credit cards commitments
130 Non revolving unconditionally cancellable commitments
140 Medium/low risk off-balance sheet items under the RSA
150 Medium risk off-balance sheet items under the RSA
160 Full risk off-balance sheet items under the RSA
170 (memo item) Drawn amount of revolving retail exposures
180 (memo item) Drawn amounts on unconditionally cancellable credit cards commitments
190 (memo item) Drawn amounts on non-revolving unconditionally cancellable commitments
210 Cash collateral received in derivatives transactions
220 Receivables for cash collateral posted in derivatives transactions
230 Securities received in an SFT that are recognised as an asset
240 SFT cash conduit lending (cash receivables)
250 Exposures that can benefit from treatment under Article 113(6) of the CRR
260 Exposures that meet the conditions in points (a) to (c) of Article 429(14) of the CRR ]