[F1ANNEX XI U.K. REPORTING ON LEVERAGE
Textual Amendments
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.
PART II: TEMPLATE RELATED INSTRUCTIONS U.K.
1. Structure and frequency U.K.
1. The leverage ratio template is divided into two parts. Part A comprises all the data items that enter into the calculation of the leverage ratio that institutions shall submit to competent authorities in accordance with the first subparagraph of Article 430(1) of the CRR, while Part B comprises all the data items that institutions shall submit in accordance with the second subparagraph of Article 430(1) of the CRR (i.e. for the purposes of the report referred to in Article 511 of the CRR). U.K.
2. When compiling the data for this ITS, institutions shall consider the treatment of fiduciary assets in accordance with Article 429(13) of the CRR. U.K.
2. Formulas for leverage ratio calculation U.K.
3. The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with cells from Part A. U.K.
4. Leverage Ratio – fully phased-in definition = {LRCalc;310;010}/{LRCalc;290;010}. U.K.
5. Leverage Ratio – transitional definition = {LRCalc;320;010}/{LRCalc;300;010}. U.K.
3. Materiality thresholds for derivatives U.K.
6. In order to reduce the reporting burden for institutions with limited exposures in derivatives, the following measures are used to gauge the relative importance of derivatives exposures to the total exposure of the leverage ratio. Institutions shall calculate these measures as follows: U.K.
7.
. U.K.
8. Where total exposure measure is equal to: {LRCalc;290;010}. U.K.
9. Total notional value referenced by derivatives = {LR1; 010;070}. This is a cell that institutions shall always report. U.K.
10. Credit derivatives volume = {LR1;020;070} + {LR1;050;070}. These are cells that institutions shall always report. U.K.
11. Institutions are required to report the cells referred to in paragraph 14 in the next reporting period, if any of the following conditions is met: U.K.
the derivatives share referred to in paragraph 7 is more than 1,5 % on two consecutive reporting reference dates;
the derivatives share referred to in paragraph 7 exceeds 2,0 %.
12. Institutions for which the total notional value referenced by derivatives as defined in paragraph 9 exceeds 10 billion EUR shall report the cells referred to in paragraph 14, even though their derivatives share does not fulfil the conditions described in paragraph 11. U.K.
13. Institutions are required to report the cells referred to in paragraph 15 if any of the following conditions is met: U.K.
the credit derivatives volume referred to in paragraph 10 is more than 300 million EUR on two consecutive reporting reference dates;
the credit derivatives volume referred to in paragraph 10 exceeds 500 million EUR.
14. The cells which are required to be reported by institutions in accordance with paragraph 11 are the following: {LR1;010;010}, {LR1;010;020}, {LR1;010;050}, {LR1;020;010}, {LR1;020;020}, {LR1;020;050}, {LR1;030;050}, {LR1;030;070}, {LR1;040;050}, {LR1;040;070}, {LR1;050;010}, {LR1;050;020}, {LR1;050;050}, {LR1;060;010}, {LR1;060;020}, {LR1;060;050} and {LR1;060;070}. U.K.
15. The cells which are required to be reported by institutions in accordance with paragraph 13 are the following: {LR1;020;075}, {LR1;050;075} and {LR1;050;085}. U.K.
4. C 47.00 – Leverage ratio calculation (LRCalc) U.K.
16. This part of the reporting template collects the data that are needed to calculate the leverage ratio as defined in Articles 429, 429a and 429b of the CRR. U.K.
17. Institutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the value ‘ at reporting reference date ’ shall be the value at the last calendar day of the third month of the respective quarter. U.K.
18. Institutions shall report {010;010} to {030;010}, {060;010}, {090;010}, {110;010}, and {150;010} to {190;010} as if the exemptions referred to in {050;010}, {080;010}, {100;010}, {120;010}, and {220;010} did not apply. U.K.
19. Institutions shall report {010;010} to {240;010} as if the exemptions referred to in {250;010} and {260;010} did not apply. U.K.
20. Any amount that increases the own funds or the leverage ratio exposure shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the leverage ratio exposure shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item. U.K.
ANNEX XI Table 1: rows 1 - 38
5. C 40.00 – Alternative treatment of the Exposure Measure (LR1) U.K.
21. This part of the reporting collects data on an alternative treatment of derivatives, SFTs and off-balance sheet items. U.K.
22. Institutions shall determine the ‘ accounting balance sheet values ’ in LR1 based on the applicable accounting framework in accordance with Article 4(1)(77) of the CRR. ‘ Accounting value assuming no netting or other CRM ’ refers to the accounting balance sheet value not taking into account any effects of netting or other credit risk mitigation. U.K.
23. Apart from {250;120} and {260;120}, institutions shall report LR1 as if the exemptions referred to in LRCalc cells {050;010}, {080;010}, {100;010}, {120;010}, {220;010}, {250;010} and {260;010} did not apply. U.K.
ANNEX XI Table 2: rows 1 - 48
6. C 41.00 – On- and off-balance sheet items – additional breakdown of exposures (LR2) U.K.
24. Template LR2 provides information on additional breakdown items of all on- and off-balance sheet exposures (1) belonging to the non-trading book and of all exposures of the trading book subject to counterparty credit risk. The breakdown is in accordance with the risk weights applied under the credit risk section of the CRR. The information is derived differently for exposures under respectively the Standardised and the IRB Approach. U.K.
25. For exposures supported by CRM techniques implying the substitution of the risk weighting of the counterparty with the risk weighting of the guarantee, institutions shall refer to the risk weight after the substitution effect. Under the IRB Approach, institutions shall proceed with the following calculation: for exposures (other than those for which specific regulatory risk weights are provided for) belonging to each obligor grade, the risk weight shall be derived by dividing the risk weighted exposure obtained from the risk weight formula or the supervisory formula (for credit risk and securitisations exposures, respectively) by the exposure value after taking into account inflows and outflows due to CRM techniques with substitution effect on the exposure. Under the IRB Approach, exposures classified as in default shall be excluded from {020;010} to {090;010} and included in {100;010}. Under the Standardised Approach, exposures falling under Article 112(j) of the CRR shall be excluded from {020;020} to {090;020} and included in {100;020}. U.K.
26. Under both approaches, institutions shall consider exposures deducted from the regulatory capital as being applied a 1 250 % risk weight. U.K.
7. C 42.00 – Alternative definition of capital (LR3) U.K.
27. Template LR3 provides information on the capital measures needed for the review of Article 511 of the CRR. U.K.
8. C 43.00 – Alternative breakdown of leverage ratio exposure measure components (LR4) U.K.
28. Institutions shall report the leverage ratio exposure values in LR4 after the application of exemptions, as applicable, referred to in the following LRCalc cells: {050;010}, {080;010}, {100;010}, {120;010}, {220; 010}, {250;010} and {260;010}. U.K.
29. In order to avoid double-counting, institutions shall uphold the equation referred to in the following paragraph: U.K.
30. The equation that institutions shall uphold according to paragraph 29 is: [{LRCalc;010;010} + {LRCalc;020;010} + {LRCalc;030;010} + {LRCalc;040;010} + {LRCalc;050;010} + {LRCalc;060;010} + {LRCalc;070;010} + {LRCalc;080;010} + {LRCalc;090;010} + {LRCalc;100;010} + {LRCalc;110;010} + {LRCalc;120;010} + {LRCalc;130;010} + {LRCalc;140;010} + {LRCalc;150;010} + {LRCalc;160;010} + {LRCalc;170;010} + {LRCalc;180;010} + {LRCalc;190;010} + {LRCalc;200;010} + {LRCalc;210;010} + {LRCalc;220;010} + {LRCalc;230;010} + {LRCalc;240;010} + {LRCalc;250;010} + {LRCalc;260;010}] = [{LR4;010;010} + {LR4;040;010} + {LR4;050;010} + {LR4;060;010} + {LR4;065;010} + {LR4;070;010} + {LR4;080;010} + {LR4;080;020} + {LR4;090;010} + {LR4;090;020} + {LR4;140;010} + {LR4;140;020} + {LR4;180;010} + {LR4;180;020} + {LR4;190;010} + {LR4;190;020} + {LR4;210;010} + {LR4;210;020} + {LR4;230;010} + {LR4;230;020} + {LR4;280;010} + {LR4;280;020} + {LR4;290;010} + {LR4;290;020}]. U.K.
ANNEX XI Table 5: rows 1 - 116
9. C 44.00 – General information (LR5) U.K.
31. Additional information is collected here for the purpose of categorising the institution activities and the regulatory options chosen by the institution. U.K.
[F1This includes securitisations and equity exposures subject to credit risk]