EBA欧洲银行-Annex-2_-replacement-Annex-XI-LR-instructions_45页_746kb

报告摘要

Summary of Annex XI: Reporting on Leverage

Core Content

Annex XI provides detailed instructions for the reporting of leverage ratio-related data, including templates, conventions, and calculation formulas. It outlines the structure, definitions, and reporting requirements for institutions under the Capital Requirements Regulation (CRR) to calculate and disclose their leverage ratio.

Main Templates

The Annex contains six templates for leverage ratio reporting:

C47.00: Leverage Ratio Calculation (LRCalc)
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
C44.00: Leverage Ratio Template 5 (LR5): General information

Each template includes specific data fields and instructions for their reporting.

Key Instructions and Conventions

1.1. Template Labelling

Templates are labeled as C47.00 to C44.00.
The format used is {Template;Row;Column} for identifying fields.
An asterisk (*) denotes validation across the entire row or column.

1.2. Numbering Convention

The notation {Row;Column} is used when referring to data within a single template.
"Of which" refers to a subset of a higher exposure category, while "memo item" refers to a separate, non-subset item.
Both types of fields are mandatory unless otherwise specified.

1.3. Sign Convention

All amounts are reported as positive figures.
Exceptions are made for certain fields that may take negative values:
- {LRCalc;050;1}, {LRCalc;070;1}, {LRCalc;080;1}, {LRCalc;100;1}, {LRCalc;120;1}, {LRCalc;140;1}, {LRCalc;210;1}, {LRCalc;220;1}, {LRCalc;240;1}, {LRCalc;250;1}, {LRCalc;260;1}, {LRCalc;290;1}, {LR3;010;1}, {LR3;020;1}, {LR3;030;1}, and {LR3;040;1}

Reporting Structure and Frequency

The leverage ratio template is divided into Part A and Part B.
- Part A: Data items required for the leverage ratio calculation.
- Part B: Data items required for the report referred to in Article 511 of the CRR.
Institutions are required to report the leverage ratio quarterly, with the value reported being the value at the last calendar day of the third month of the quarter.
The treatment of fiduciary assets is specified in accordance with Article 429(13) of the CRR.

Leverage Ratio Calculation Formulas

1. Fully Phased-in Definition

$$
\text{Leverage Ratio - fully phased-in} = \frac{{LRCalc;270;1}}{{LRCalc;010;1} + {LRCalc;020;1} + {LRCalc;030;1} + {LRCalc;040;1} + {LRCalc;050;1} + {LRCalc;060;1} + {LRCalc;070;1} + {LRCalc;080;1} + {LRCalc;090;1} + {LRCalc;100;1} + {LRCalc;110;1} + {LRCalc;120;1} + {LRCalc;130;1} + {LRCalc;140;1} + {LRCalc;150;1} + {LRCalc;160;1} + {LRCalc;170;1} + {LRCalc;180;1} + {LRCalc;190;1} + {LRCalc;200;1} + {LRCalc;210;1} + {LRCalc;220;1} + {LRCalc;230;1} + {LRCalc;240;1} + {LRCalc;250;1} + {LRCalc;260;1} + {LRCalc;290;1}}
$$

2. Transitional Definition

$$
\text{Leverage Ratio - transitional} = \frac{{LRCalc;280;1}}{{LRCalc;010;1} + {LRCalc;020;1} + {LRCalc;030;1} + {LRCalc;040;1} + {LRCalc;050;1} + {LRCalc;060;1} + {LRCalc;070;1} + {LRCalc;080;1} + {LRCalc;090;1} + {LRCalc;100;1} + {LRCalc;110;1} + {LRCalc;120;1} + {LRCalc;130;1} - {LRCalc;140;1} + {LRCalc;150;1} + {LRCalc;160;1} + {LRCalc;170;1} + {LRCalc;180;1} + {LRCalc;190;1} + {LRCalc;200;1} + {LRCalc;210;1} + {LRCalc;220;1} + {LRCalc;230;1} + {LRCalc;240;1} + {LRCalc;250;1} + {LRCalc;260;1} + {LRCalc;290;1}}
$$

Materiality Thresholds for Derivatives

Institutions with limited derivatives exposures may be exempt from certain reporting requirements.
Derivatives share is calculated using the following formula:
$$
\text{Derivatives share} = \frac{{\text{LRCalc};060;1} + {\text{LRCalc};070;1} + {\text{LRCalc};080;1} + {\text{LRCalc};090;1} + {\text{LRCalc};100;1} + {\text{LRCalc};110;1} + {\text{LRCalc};120;1} + {\text{LRCalc};130;1} + {\text{LRCalc};140;1}}{\text{Total exposure measure}}
$$
Total exposure measure includes all exposure components from Part A of the LRCalc template.
Reporting Conditions:
- If derivatives share exceeds 1.5% on two consecutive reporting dates, or 2.0%, then the fields in paragraph 14 must be reported.
- If the total notional value of derivatives exceeds 10 billion €, the fields must be reported regardless of the derivatives share.
- If credit derivatives volume exceeds 300 million € on two consecutive dates, or 500 million €, then the fields in paragraph 15 must be reported.

Key Data Fields

{010; 1}: SFTs: Exposure according to CRR 429(5) and (8)
{020; 1}: SFTs: Add-on for counterparty credit risk
{030; 1}: Derogation for SFTs: Add-on according to CRR 429b(4) and 222
{040; 1}: Counterparty credit risk of SFT agent transactions
{050; 1}: Exempted CCP leg of client-cleared SFT exposures
{060; 1}: Derivatives: Current replacement cost
{070; 1}: Eligible cash variation margin received offset against derivatives market value
{080; 1}: Exempted CCP leg of client-cleared trade exposures (replacement costs)
{090; 1}: Derivatives: Add-on Mark-to-Market Method
{100; 1}: Exempted CCP leg of client-cleared trade exposures (potential future exposure)
{110; 1}: Derogation for derivatives: Original Exposure Method
{120; 1}: Exempted CCP leg of client-cleared trade exposures (Original Exposure Method)
{130; 1}: Capped notional amount of written credit derivatives
{140; 1}: Eligible purchased credit derivatives offset against written credit derivatives
{150; 1}: Off-balance sheet items with a 10% CCF
{160; 1}: Off-balance sheet items with a 20% CCF
{170; 1}: Off-balance sheet items with a 50% CCF
{180; 1}: Off-balance sheet items with a 100% CCF
{190; 1}: Other assets
{200; 1}: Grossed-up assets for derivatives collateral provided
{210; 1}: Receivables for cash variation margin provided in derivatives transactions
{220; 1}: Exempted CCP leg of client-cleared trade exposures (initial margin)
{230; 1}: Adjustments for SFT sales accounting transactions
{240; 1}: Fiduciary assets
{250; 1}: Exempted intragroup exposures (solo basis)
{260; 1}: Exposures exempted according to CRR 429(14)
{270; 1}: Tier 1 capital - fully phased-in definition
{280; 1}: Tier 1 capital - transitional definition
{290; 1}: Asset amount deducted - Tier 1 - fully phased-in definition