EBA欧洲银行-Annex-5-28Annex-XI-Leverage29_44页_782kb

报告摘要

EN ANNEX V - Leverage Ratio Reporting Summary

Core Content

This document outlines the detailed instructions for reporting on leverage ratios under the Capital Requirements Regulation (CRR). It provides guidance on template labeling, numbering conventions, abbreviations, sign conventions, and the structure and calculation of the leverage ratio. The reporting framework consists of six templates, with Part A and Part B of the templates focusing on different aspects of the leverage ratio calculation.

Main Templates and Their Purposes

C47.00 - Leverage Ratio Calculation (LRCalc)
- Used to calculate the leverage ratio based on capital and exposure measures.
- Includes data items from Part A and B of the templates.
- Institutions report quarterly, with values based on the last calendar day of the third month of the quarter.
C40.00 - Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure
- Used for reporting specific exposure measures related to derivatives and SFTs.
- Includes cells for derivatives share, credit derivatives volume, and exposure breakdowns.
C41.00 - Leverage Ratio Template 2 (LR2): On- and off-balance sheet items - additional breakdown of exposures
- Provides additional breakdown of exposures, including those for SFTs and derivatives.
C42.00 - Leverage Ratio Template 3 (LR3): Alternative definition of capital
- Used for alternative capital definitions, including deductions from Tier 1 capital.
C43.00 - Leverage Ratio Template 4 (LR4): Breakdown of leverage ratio exposure measure components
- Focuses on the breakdown of exposure components.
C44.00 - Leverage Ratio Template 5 (LR5): General information
- Contains general information about the reporting process.

Key Points and Rules

Template Labeling and Numbering

Templates are labeled as C47.00 to C44.00.
The notation {Template;Row;Column} is used to refer to specific cells.
An asterisk (*) refers to the whole row or column.

Sign Convention

All amounts are reported as positive figures, except those specified in certain cells.
Cells that take negative values include:
- {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}.
Cells that take positive values include {LRCalc;310;010}, {LRCalc;320;010}, {LRCalc;330;010}, {LRCalc;340;010}, and {LR3;0:0:0:0}.

Materiality Thresholds for Derivatives

Institutions with a derivatives share of more than 1.5% on two consecutive reporting dates must report specific cells.
If the derivatives share exceeds 2.0%, the same applies.
Institutions with a total notional value of derivatives exceeding 10 billion € must report, regardless of the derivatives share.

Reporting Cells

Cells required under paragraph 11 (derivatives share > 1.5% or > 2.0%):
- {LR1;010;010}, {LR1;010;020}, {LR1;010;050}, {LR1;020;010}, {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}.
Cells required under paragraph 13 (credit derivatives volume > 300M € or > 500M €):
- {LR1;020;075}, {LR1;050;075}, and {LR1;050;085}.

Derivatives and SFTs Exposure Measures

{010;010}: SFTs exposure in accordance with Articles 429(5) and 429(8) of the CRR.
{020;010}: Add-on for counterparty credit risk of SFTs.
{030;010}: Derogation for SFTs using a 20% floor for risk weight.
{040;010}: Counterparty credit risk of SFT agent transactions.
{050;010}: Exempted CCP leg of client-cleared SFT exposures (negative value).
{060;010}: Derivatives current replacement cost (positive value).
{070;010}: Eligible cash variation margin received (negative value).
{080;010}: Exempted CCP leg of client-cleared trade exposures (replacement cost) (negative value).
{090;010}: Add-on under the mark-to-market method (positive value).
{100;010}: Exempted CCP leg of client-cleared trade exposures (potential future exposure) (negative value).
{110;010}: Derivatives original exposure method (positive value).
{120;010}: Exempted CCP leg of client-cleared trade exposures (original exposure method) (negative value).
{130;010}: Capped notional amount of written credit derivatives (positive value).
{140;010}: Eligible purchased credit derivatives offset against written credit derivatives (negative value).
{150;010}: Off-balance sheet items with 10% CCF (positive value).
{160;010}: Off-balance sheet items with 20% CCF (positive value).
{170;010}: Off-balance sheet items with 50% CCF (positive value).
{180;010}: Off-balance sheet items with 100% CCF (positive value).
{190;010}: Other assets, including cash received or securities retained via SFTs (positive value).
{200;010}: Gross-up for derivatives collateral provided (negative value).
{210;010}: Receivables for cash variation margin provided in derivatives transactions (negative value).
{220;010}: Exempted CCP leg of client-cleared trade exposures (initial margin) (negative value).
{230;010}: Adjustments for SFT sales accounting transactions (positive value).
{240;010}: Fiduciary assets (negative value).
{250;010}: Intragroup exposures (solo basis) exempted (negative value).
{260;010}: Exposures exempted under Article 429(14) of the CRR (negative value).
{270;010}: Asset amount deducted from Tier 1 capital (fully phased-in definition) (negative value).
{280;010}: Asset amount deducted from Tier 1 capital (transitional definition) (negative value).
{290;010}: Total leverage ratio exposure, calculated as the sum of several cells.

Calculation Formulas

Leverage Ratio - fully phased-in definition = {LRCalc;310;010} / {LRCalc;290;010}
Leverage Ratio - transitional definition = {LRCalc;320;010} / {LRCalc;300;010}

Reporting Frequency

Institutions report the leverage ratio quarterly.
The value at the reporting reference date is based on the last calendar day of the third month of the quarter.