Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance) (c. 680)

[F1ANNEX XI U.K. REPORTING ON LEVERAGE

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance).

PART I: GENERAL INSTRUCTIONS U.K.

1. Template labelling and other conventions U.K.

1.1. Template labelling U.K.

1. This Annex contains additional instructions for the templates (hereinafter ‘ LR ’ ) included in Annex X of this Regulation. U.K.

2. Overall, the framework consists of six templates: U.K.

C47.00: Leverage Ratio Calculation (LRCalc): Leverage ratio calculation;
C40.00: Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure;
C41.00: Leverage Ratio Template 2 (LR2): On and off-balance sheet items – additional breakdown of exposures;
C42.00: Leverage Ratio Template 3 (LR3): Alternative definition of capital;
C43.00: Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components; and
C44.00: Leverage Ratio Template 5 (LR5): General information.

3. For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting. U.K.

1.2. Numbering convention U.K.

4. The 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. U.K.

5. The 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. U.K.

6. In 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}. U.K.

7. For 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. U.K.

1.3. Abbreviations U.K.

8. For the purposes of this annex and related templates the following abbreviations are used: U.K.

CRR, which is an abbreviation of Capital Requirements Regulation and shall mean Regulation (EU) No 575/2013;

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;

CRM, which is an abbreviation for Credit Risk Mitigation.

1.4. Sign convention U.K.

9. All 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.] U.K.