C — LEVERAGE RATIO CALCULATION (LRCalc) Row Exposure Values LR Exposure: Reporting reference date SFTs: Exposure value SFTs: Add-on for counterparty credit risk Derogation for SFTs: Add-on in accordance with Article 429e(5) and 222 CRR Counterparty credit risk of SFT agent transactions. Exempted CCP leg of client-cleared SFT exposures Derivatives: replacement cost contribution under the SA-CCR (without the effect of collateral on NICA)EN.  L 97/ Row Exposure Values LR Exposure: Reporting reference date. Effect of the recognition of collateral on NICA on QCCP client-cleared trans actions (SA-CCR - replacement cost). Effect of the eligible cash variation margin received offset against derivatives market value (SA-CCR - replacement cost). Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR -replacement cost) Derivatives: Potential future exposure contribution under SA-CCR (multiplier at 1). Effect lower multiplier for QCCP client-cleared transactions on the PFE contribution (SA-CCR - Potential future exposure). Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR approach-potential future exposure) Derogation for derivatives: replacement costs contribution under the simplified standardised approach. Effect of exempted CCP leg of client-cleared trade exposures (simplified stan dardised approach - replacement costs) Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach (multiplier at 1). Effect of exempted CCP leg of client-cleared trade exposures (simplified stan dardised approach - potential future exposure) Derogation for derivatives: original exposure method. Exempted CCP leg of client-cleared trade exposures (original exposure method) Capped notional amount of written credit derivatives. Eligible purchased credit derivatives offset against written credit derivatives Off-balance sheet items with a 10% CCF in accordance with Article 429f CRR Off-balance sheet items with a 20% CCF in accordance with Article 429f CRREN L 97/ . Row Exposure Values LR Exposure: Reporting reference date Off-balance sheet items with a 50% CCF in accordance with Article 429 f CRR Off-balance sheet items with a 100% CCF in accordance with Article 429f CRR. General credit risk adjustments to off balance sheet items Regular-way purchases and sales awaiting settlement: Accounting value under trade date accounting Regular-way sales awaiting settlement: Reverse out of accounting offsetting under trade date accounting. Regular-way sales awaiting settlement: offset in accordance with 429g(2) CRR Regular-way purchases awaiting settlement: Full recognition of commitments to pay under settlement date accounting. Regular-way purchases awaiting settlement: offset to commitments to pay under settlement date accounting in accordance with 429g(3) CRR Other assets. General credit risk adjustments to on balance sheet items Cash pooling arrangements that cannot be netted prudentially: value in the accounting framework Cash pooling arrangements that cannot be netted prudentially: effect of grossing- up the netting applied in the accounting framework Cash pooling arrangements that can be netted prudentially: value in the accounting framework Cash pooling arrangements that can be netted prudentially: effect of grossing-up the netting applied in the accounting framework. Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(2) CRR. Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(3) CRREN.  L 97/ Row Exposure Values LR Exposure: Reporting reference date Gross up for derivatives collateral provided. Receivables for cash variation margin provided in derivatives transactions. Exempted CCP leg of client-cleared trade exposures (initial margin) Adjustments for SFT sales accounting transactions. Reduction of the exposure value of pre-financing or intermediate loans. Fiduciary assets. Intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR. IPS exposures exempted in accordance with point (c) of Article 429a(1) CRR. Excluded guaranteed parts of exposures arising from export credits. Excluded excess collateral deposited at triparty agents. Excluded securitised exposures representing significant risk transfer. Exposures to the central bank exempted in accordance with point (n) of Article 429a(1) CRR. Excluded banking-type ancillary services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR. Excluded banking-type ancillary services of designated institutions in accordance with point (p) of Article 429a(1) CRR. Exposures exempted in accordance with point (j) of Article 429a(1) CRR. Excluded exposures of public development credit institutions - Public sector investments. Excluded exposures of public development credit institutions - Promotional loans granted by a public development credit institution. Excluded exposures of public development credit institutions - Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member StateEN L 97/ . Row Exposure Values LR Exposure: Reporting reference date. Excluded exposures of public development credit institutions - Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution. Excluded passing-through promotional loan exposures by non-public devel opment credit institutions (or units) - Promotional loans granted by a public development credit institution. Excluded passing-through promotional loan exposures by non-public devel opment credit institutions (or units) - Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State. Excluded passing-through promotional loan exposures by non-public devel opment credit institutions (or units) - Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution. Asset amount deducted - Tier 1 capital - fully phased-in definition Asset amount deducted. or added (+) - Tier 1 capital - transitional definition Total Leverage Ratio exposure measure - using a fully phased-in definition of Tier 1 capital Total Leverage Ratio exposure measure - using a transitional definition of Tier 1 capital Row Capital Tier 1 capital -fully phased-in definition Tier 1 capital - transitional definition Row Leverage Ratio Leverage Ratio – using a fully phased-in definition of Tier 1 capital Leverage Ratio - using a transitional definition of Tier 1 capital Row Requirements: amounts Pillar 2 requirement (P2R) to address risks of excessive leverage of which: to be made up of CET1 capital G-SII leverage ratio buffer Pillar 2 guidance (P2G) to address risks of excessive leverageEN.  L 97/ Row Exposure Values LR Exposure: Reporting reference date of which: to be made up of CET1 capital of which: to be made up of Tier 1 capital Row Requirements: ratios Pillar 1 Leverage Ratio requirement Total SREP leverage ratio requirement (TSLRR) TSLRR: to be made up of CET1 capital Overall leverage ratio requirement (OLRR) Overall leverage ratio requirement (OLRR) and Pillar 2 Guidance (P2G) ratio OLRR and P2G: to be made up of CET1 capital OLRR and P2G: to be made up of Tier 1 capital Row Memorandum items Leverage ratio as if IFRS 9 or analogous ECL transitional arrangements had not been applied Leverage ratio as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income have not been applied. 3. C – Leverage ratio calculation (LRCalc) 15. This template collects the data that are needed to calculate the leverage ratio as defined in Part Seven CRR. 16. 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.EN L 97/ . 17. Institutions shall report the items in the Exposure values section with positive sign in accordance with the sign convention in paragraph 9 of Part I of this Annex (excluding {LRCalc;;} and {LRCalc;;}), as if the items with a negative sign (for example exemptions/deductions) in accordance with the sign convention in paragraph 9 of Part I of this Annex did not apply. 18. 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. 19. Where an amount could qualify for deduction on multiple grounds, the amount shall only be reduced from the exposure in one of the rows of template C47.00. Legal references and instructions Row and column Exposure Values {;} SFTs: Exposure value Point (b) of paragraph (1) and paragraphs (4) and (5) of Article 429b CRR The exposure for SFTs calculated in accordance with point (b) of paragraph (1) and paragraphs (4) and (5) of Article 429b CRR. Institutions shall consider in this cell transactions in accordance with point (c) of Article 429e(7) CRR. Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Institutions shall instead include those items in {;}. Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with point (a) of Article 429e(7) CRR. {;} SFTs: Add-on for counterparty credit risk Article 429e(1) CRR The add-on for counterparty credit risk of SFTs, including those that are off-balance sheet, determined in accordance with paragraph (2) or (3) and paragraph (4) of Article 429e CRR, as applicable. Institutions shall consider in this cell transactions in accordance with point (c) Article 429e(7) CRR. Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with point (a) of Article 429e(7) CRR. Institutions shall instead include those items in {;}. {;} Derogation for SFTs: Add-on in accordance with Articles 429e(5) and 222 CRR Article 429e(5) and 222 CRREN.  L 97/ Legal references and instructions Row and column Exposure Values The exposure value for SFTs, including those that are off-balance sheet, calculated in accordance with Article 222 CRR, subject to a 20 % floor for the applicable risk weight. Institutions shall consider in this cell transactions in accordance with point (c) of Article 429e(7) CRR. Institutions shall not consider in this cell transactions for which the add-on part of the leverage ratio exposure value is determined in accordance with the method refer to in Article 429e(1) CRR. {;} Counterparty credit risk of SFT agent transactions Point (a) of paragraph (7) and paragraphs (2) and (3) of Article 429e CRR The exposure value for agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with point (a) of Article 429e(7) CRR, consists only of the add-on determined in accordance with paragraph (2) or (3) of Article 429e CRR, as applicable. Institutions shall not include in this cell transactions in accordance with point (c) of Article 429e(7). Institutions shall instead include those items in {;} and {;} or {;} and {;}, as applicable. {;}. Exempted CCP leg of client-cleared SFT exposures Point (g) of Article 429a(1) and point (c) of Article 306(1) CRR The exempted CCP leg of client-cleared trade exposures of SFTs, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. Where the exempted leg to the CCP is a security it shall not be reported in this cell unless it is a re- pledged security that under the applicable accounting framework (i.e. in accordance with the first sentence of Article 111(1) CRR) is included at full value. Institutions shall, as if no exemption applies, also include the amount reported in this cell in {;}, {;} and {;}, and, if it is a re-pledged security that under the applicable accounting framework is included at full value, additionally in {;}. Where there is initial margin posted by the institution for an exempted leg of an SFT that is reported in {;} and not reported in {;} or {;}, then the institution can report it in this cell. {;} Derivatives: replacement cost contribution under the SA-CCR (without the effect of collateral on NICA) Articles 429c(1) CRR The replacement Cost as per Article 275 CRR without the effect of collateral on NICA, and without the effect of any variation margin. Institutions shall not apply the derogations of paragraph (3) and (4) of Article 429c and point (g) of Article 429a(1) CRR for the purposes of this cell. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR.EN L 97/ . Legal references and instructions Row and column Exposure Values As determined by Article 429c(1) CRR, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (25)(c) of Article 272 CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in Article 295(c) CRR. Institutions shall include all credit derivatives, not solely those in the trading book. Institutions shall not consider in this cell contracts measured by application of the simplified standardised approach or the original exposure method. {;}. Effect of the recognition of collateral on NICA on QCCP client-cleared transactions (SA- CCR – replacement cost) Article 429c(4) CRR Application of the derogation of 429c(4) CRR on the calculation of the replacement cost for derivative contracts with clients where those contracts are cleared by a QCCP. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {;} as if no derogation applies. {;}. Effect of the eligible cash variation margin received offset against derivatives market value (SA-CCR – replacement cost) Article 429c(3) CRR Variation margin received in cash from the counterparty eligible for offsetting against the replacement cost portion of the derivatives exposure in accordance with Article 429c(3) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Any cash variation margin received on an exempted CCP leg in accordance with point (g) of Article 429a(1) CRR shall not be reported. Institutions shall include the amount reported in this cell also in {;} as if no deduction of cash variation margin applies. {;}. Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR -replacement cost) Point (g) of Article 429a(1) CRR The replacement cost portion of exempted trade exposures to a QCCP from client-cleared deri vatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. This amount shall be reported gross of cash variation margin received on this leg. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {;} as if no exemption applies.EN.  L 97/ Legal references and instructions Row and column Exposure Values {;} Derivatives: Potential future exposure contribution under SA-CCR (multiplier at 1) Article 429c(5) CRR Potential future exposure as per Article 278 CRR assuming a multiplier of 1, i.e. without the application of the derogation regarding contracts with clients where those contracts are cleared by a QCCP of 429c(5) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. {;}. Effect lower multiplier for QCCP client-cleared transactions on the PFE contribution (SA- CCR – Potential future exposure) Article 429c(5) CRR Application of the derogation of Article 429c(5) CRR on the calculation of the PFE for derivative contracts with clients where those contracts are cleared by a QCCP. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {;} as if no derogation applies. {;}. Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR approach- potential future exposure) Point (g) of Article 429a(1) CRR The potential future exposure of exempted trade exposures to a QCCP from client-cleared deri vatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {;} as if no exemption applies. {;} Derogation for derivatives: replacement costs contribution under the simplified stan dardised approach Articles 429c(6) and 281 CRR This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II CRR calculated in accordance with the simplified standardised approach set out in Article 281 CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions that apply the simplified standardised approach shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR. Hence the exception for derivative contracts with clients where those contracts are cleared by a QCCP in Article 429c(4) CRR shall not apply. Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the original exposure method.EN L 97/ . Legal references and instructions Row and column Exposure Values {;}. Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach – replacement costs) Point (g) of Article 429a(1) CRR The replacement cost portion of exempted trade exposures to a QCCP from client-cleared deri vatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. This amount shall be reported gross of cash variation margin received on this leg. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {;} as if no exemption applied. {;} Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach (multiplier at 1) Point (f) of Article 281(2) and Article 429c(6) CRR The potential future exposure in accordance with the simplified standardised approach set out in Article 281 CRR, assuming a multiplier of 1. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions that apply the simplified standardised approach shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR. {;}. Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach – potential future exposure) Point (g) of Article 429a(1) CRR The potential future exposure of exempted trade exposures to a QCCP from client-cleared deri vatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. The amount shall be reported with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions shall include the amount reported in this cell also in {;} as if no exemption applied. {;} Derogation for derivatives: original exposure method Articles 429c(6) and 282 CRR This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II CRR calculated in accordance with the original exposure method set out in Article 282 CRR. Institutions that apply the original exposure method shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR. Institutions that do not use the original exposure method shall not report this cell. Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the simplified standardised approach.EN.  L 97/ Legal references and instructions Row and column Exposure Values {;}. Exempted CCP leg of client-cleared trade exposures (original exposure method) Point (g) of Article 429a(1) CRR The exempted CCP leg of client-cleared trade exposures when applying the original exposure method as set out in Article 282 CRR, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. Institutions shall include the amount reported in this cell also in {;} as if no exemption applied. {;} Capped notional amount of written credit derivatives Article 429d CRR Institutions shall determine capped notional amount of written credit derivatives, as defined in Article 429d(1), in accordance with Article 429d CRR. {;}. Eligible purchased credit derivatives offset against written credit derivatives Article 429d CRR Capped notional amount of purchased credit derivatives (i.e. where the institution is buying credit protection from a counterparty) on the same reference names as those credit derivatives written by the institution, where the remaining maturity of the purchased protection is equal to or greater than the remaining maturity of the sold protection. Hence, the value shall not be greater than the value entered in {;} for each reference name. {;} Off-balance sheet items with a 10 % CCF in accordance with Article 429f CRR Article 429f, point (d) of Article 111(1) and Article 166(9) CRR The exposure value, in accordance with Articles 429f and point (d) of Article 111(1) CRR, of low risk off-balance sheet items that would be assigned a 0 % credit conversion factor referred to in points 4(a) to (c) of Annex I CRR (as a reminder the exposure value here shall be 10 % of the nominal value). That is commitments which may be cancelled unconditionally at any time by the institution without prior notice (UCC), or that effectively provide for automatic cancellation due to deterioration in a borrower’s creditworthiness. As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calcu lation is subject to a floor of zero. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) CRR. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR. {;} Off-balance sheet items with a 20 % CCF in accordance with Article 429f CRR Article 429f, point (c) of Article 111(1) and Article 166(9) CRREN L 97/ . Legal references and instructions Row and column Exposure Values The exposure value, in accordance with Articles 429f and point (c) of Article 111(1) CRR, of medium/low risk off-balance-sheet items that would be assigned a 20 % credit conversion factor referred to in points 3(a) and (b) of Annex I CRR (as a reminder the exposure value here shall be 20 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calcu lation is subject to a floor of zero. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) CRR. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR. {;} Off-balance sheet items with a 50 % CCF in accordance with Article 429f CRR Article 429f, point (b) of Article 111(1) and Article 166(9) CRR The exposure value, in accordance with Articles 429f and point (b) of Article 111(1) CRR, of medium risk off-balance sheet items that would be assigned a 50 % credit conversion factor as defined in the Standardised Approach to credit risk referred to in points 2(a) and (b) of Annex I CRR (as a reminder the exposure value here shall be 50 % of the nominal value). As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calcu lation is subject to a floor of zero. This cell includes liquidity facilities and other commitments to securitisations. In other words the CCF for all liquidity facilities in accordance with Article 255 CRR is 50 % regardless of the maturity. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) CRR. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR. {;} Off-balance sheet items with a 100 % CCF in accordance with Article 429f CRR Article 429f, point (a) of Article 111(1) and Article 166(9) CRR The exposure value, in accordance with Articles 429f and point (a) of Article 111(1) CRR, of high risk off-balance sheet items that would be assigned a 100 % credit conversion factor referred to in points 1(a) to (k) of Annex I CRR (as a reminder the exposure value here shall be 100 % of the nominal value).EN.  L 97/ Legal references and instructions Row and column Exposure Values As a reminder the nominal value shall not be reduced by specific credit risk adjustments. Instead, as indicated in Article 429f(2) institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. This calcu lation is subject to a floor of zero. This cell includes liquidity facilities and other commitments to securitisations. Where a commitment refers to the extension of another commitment, the lower of the two conversion factors associated with the individual commitment shall be used in accordance with Article 166(9) CRR. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives, SFTs and positions referred to in Article 429d in accordance with Article 429f CRR. {;}. General credit risk adjustments to off balance sheet items Article 429(4) CRR The amount of general credit risk adjustments corresponding to off-balance sheet items referred to in point (d) of Article 429(4), which institutions deduct in accordance with the last paragraph of Article 429(4) CRR. The amount reported shall not be taken into account as a reduction in the calculation of off- balance sheet items reported in rows from {;} to {;}. {;} Regular-way purchases and sales awaiting settlement: Accounting value under trade date accounting Article 429g(1) CRR The sum of: — The amount of the cash related to regular-way purchases which remain on the balance sheet until the settlement date as assets in accordance with point (a) of Article 429(4) CRR; — The cash receivables related to regular-way sales which remain on the balance sheet as assets until the settlement date in accordance with point (a) of Article 429(4) CRR. This amount is after the effect of offsetting between cash receivables for regular-way sales awaiting settlement and cash payables for regular-way purchases awaiting settlement, as allowed under the applicable accounting framework. Institutions that follow the trade date accounting shall report the abovementioned sum in this cell instead of row “other assets”, while they shall report the securities related to regular-way purchases in row. {;} Regular-way sales awaiting settlement: Reverse out of accounting offsetting under trade date accounting Article 429g(2) CRR The amount offset between cash receivables for regular-way sales awaiting settlement and cash payables for regular-way purchase awaiting settlement allowed under the accounting framework.EN L 97/ . Legal references and instructions Row and column Exposure Values {;}. Regular-way sales awaiting settlement: offset in accordance with 429g(2) CRR Article 429g(2) CRR The amount offset between cash receivables and cash payables where both the related regular-way sales and purchases are settled on a delivery-versus-payment basis in accordance with Article 429g(2) CRR. {;} Regular-way purchases awaiting settlement: Full recognition of commitments to pay under settlement date accounting Article 429g(3) CRR The full nominal value of commitments to pay related to regular-way purchases, for institutions that, in accordance with the applicable accounting framework, apply settlement date accounting to regular-way purchases and sales. Securities related to regular-way sales shall be reported in row “other assets”. {;}. Regular-way purchases awaiting settlement: offset to commitments to pay under settlement date accounting in accordance with 429g(3) CRR Article 429g(3) CRR The part of the amount reported in row offset by the full nominal value of cash receivables related to regular-way sales awaiting settlement in accordance with Article 429g(3) CRR. {;} Other assets Point (a) of Article 429(4) CRR All assets other than derivatives contracts listed in Annex II CRR, credit derivatives and SFTs (e.g. amongst others assets to be reported in this cell are accounting receivables for cash variation margin provided where recognised under the operative accounting framework, liquid assets as defined under the liquidity coverage ratio, failed and unsettled transactions). Institutions shall base valuation on the principles set out in Article 429b(1) and 429(7) CRR. Institutions shall include in this cell cash received or any security that is provided to a counterparty via SFTs and that is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met). Furthermore, institutions shall recognise items that are deducted from CET1 and Additional Tier 1 items (e.g. intangibles, deferred tax assets etc.) here. The amount reported in row {;} shall not be taken into account as a reduction in the calculation of this row. Cash pooling arrangements shall be reported in rows {;}, {;}, {;}, {;}, {;} and {;} and not here.EN.  L 97/ Legal references and instructions Row and column Exposure Values {;}. General credit risk adjustments to on balance sheet items Article 429(4) CRR The amount of general credit risk adjustments corresponding to on-balance sheet items referred to in point (a) of Article 429(4) CRR, which institutions deduct in accordance with the last paragraph of Article 429(4) CRR. The amount reported shall not be taking into account as a reduction in the calculation of other assets reported in {;}. {;} Cash pooling arrangements that cannot be netted prudentially: value in the accounting framework Paragraphs (2) and (3) of Article 429b CRR The accounting value of cash pooling arrangements, i.e. of arrangements whereby the credit or debit balances of several individual accounts are combined for the purposes of cash or liquidity management, that cannot be netted in accordance to paragraphs (2) and (3) of Article 429b CRR. {;} Cash pooling arrangements that cannot be netted prudentially: effect of grossing-up the netting applied in the accounting framework Article 429 (7(b) and paragraph (2) and (3) of 429b CRR The amount netted under the applicable accounting framework on the cash pooling arrangements that cannot be netted prudentially, reported in {;}. {;} Cash pooling arrangements that can be netted prudentially: value in the accounting framework Paragraphs (2) and (3) of Article 429b CRR The accounting value of cash pooling arrangements, i.e. of arrangements whereby the credit or debit balances of several individual accounts are combined for the purposes of cash or liquidity management, that can be netted in accordance to paragraph (2) and (3) of Article 429b CRR. {;} Cash pooling arrangements that can be netted prudentially: effect of grossing-up the netting applied in the accounting framework Paragraphs (2) and (3) of Article 429b CRR The amount netted under the applicable accounting framework on the cash pooling arrangements that can be netted prudentially, reported in {;}. Where the institution meets point (b) of Article 429b(2), they shall not apply the gross-up in this row to balances extinguished on the basis of the process set out in point (a) of Article 429b(2). {;}. Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(2) CRR Article 429b(2) CRR The amount netted from the gross exposure related to cash pooling arrangements (sum of rows and ) in accordance with Article 429b(2).EN L 97/ . Legal references and instructions Row and column Exposure Values {;}. Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(3) CRR Article 429b(3) CRR The amount netted from the gross exposure related to cash pooling arrangements (sum of rows and ) in accordance with Article 429b(3). {;} Gross-up for derivatives collateral provided Article 429c(2) CRR The amount of any derivatives collateral provided where the provision of that collateral reduces the amount of assets under the applicable accounting framework, as set out in Article 429c(2) CRR. Institutions shall not include in this cell initial margin for client-cleared derivative transactions with a qualifying CCP (QCCP) or eligible cash variation margin, as defined in Article 429c(3) CRR. {;}. Receivables for cash variation margin provided in derivatives transactions Point (c) of Article 429c(3) CRR The receivables for variation margin paid in cash to the counterparty in derivatives transactions if the institution is required, under the applicable accounting framework, to recognise these receivables as an asset, provided that the conditions in points (a) to (e) of Article 429c(3) CRR are met. The amount reported shall also be included in the other assets reported in {;}. {;}. Exempted CCP leg of client-cleared trade exposures (initial margin) Point (g) of Article 429a(1) CRR The initial margin (posted) portion of exempted trade exposures to a QCCP from client-cleared derivatives transactions, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. The amount reported shall also be included in the other assets reported in {;}. {;} Adjustments for SFT sales accounting transactions Article 429e(6) CRR The value of securities lent in a repurchase transaction that are derecognised due to a sales accounting transaction under the applicable accounting framework. {;}. Reduction of the exposure value of pre-financing or intermediate loans Article 429(8) CRR The amount reduced from the exposure value of a pre-financing loan or an intermediate loan, in accordance with Article 429(8) CRR. The amount reported shall be included in the other assets reported in {;}.EN.  L 97/ Legal references and instructions Row and column Exposure Values {;}. Fiduciary assets Point (i) of Article 429a(1) CRR The value of fiduciary assets that are recognised on the institution’s balance sheet by national generally accepted accounting principles, meet the IFRS9 criteria for non-recognition and, where applicable, IFRS 10 for non-consolidation, in accordance with point (i) of Article 429a(1) CRR, assuming no accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). The amount reported shall also be included in the other assets reported in {;}. {;}. Intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR Point (c) of Article 429a(1) and Article 113(6) CRR Exposures that have not been consolidated on the applicable level of consolidation, that can benefit from the treatment laid down in Article 113(6) CRR, provided that all the conditions set out in points (a) to (e) of Article 113(6) CRR are met and where the competent authorities have given their approval. The amount reported shall also be included in the applicable cells above as if no exemption applied. {;}. IPS exposures exempted in accordance with point (c) of Article 429a(1) CRR Point (c) of Article 429a(1) and Article 113(7) CRR Exposures that can benefit from the treatment laid down in Article 113(7) CRR, provided that all the conditions set out in points (a) to (i) of Article 113(7) CRR are met and where the competent authorities have given their approval. The amount reported shall also be included in the applicable cells above as if no exemption applied. {;}. Excluded guaranteed parts of exposures arising from export credits Point (f) of Article 429a(1) CRR The guaranteed parts of exposures arising from export credits that can be excluded when the conditions of point (f) of Article 429a(1) CRR are met. The amount reported shall also be included in the applicable cells above as if no exemption applied. {;}. Excluded excess collateral deposited at triparty agents Point (k) of Article 429a(1) CRR The excess collateral deposited at triparty agents that has not been lent out, which can be excluded in accordance with point (k) of Article 429a(1). The amount reported shall also be included in the applicable cells above as if no exemption applied.EN L 97/ . Legal references and instructions Row and column Exposure Values {;}. Excluded securitised exposures representing significant risk transfer Point (m) of Article 429a(1) CRR The securitised exposures from traditional securitisations that meet the conditions for significant risk transfer set out in Article 244(2). The amount reported shall also be included in the applicable cells above as if no exemption applied. {;}. Exposures to the central bank exempted in accordance with point (n) of Article 429a(1) CRR Point (n) of Article 429a(1) CRR The amount reported shall also be included in the applicable cells above as if no exemption applied. {;}. Excluded banking-type ancillary services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR Point (o) of Article 429a(1) CRR The amount reported shall also be included in the applicable cells above as if no exemption applied. {;}. Excluded banking-type ancillary services of designated institutions in accordance with point (p) of Article 429a(1) CRR Point (p) of Article 429a(1) CRR The amount reported shall also be included in the applicable cells above as if no exemption applied. {;}. Exposures exempted in accordance with point (j) of Article 429a(1) CRR Point (j) of Article 429a(1) CRR Exposures exempted in accordance with point (j) of 429a(1) CRR subject to the therein stated conditions being met. The amount reported shall also be included in the applicable cells above as if no exemption applied. {;}. Excluded exposures of public development credit institutions – Public sector investments Point (d) of paragraph (1) and paragraph (2) of Article 429a CRR The exposures arising from assets that constitute claims on central governments, regional govern ments, local authorities or public sector entities in relation to public sector investments, which can be excluded in accordance with point (d) of Article 429a(1) CRR. Where the claim also qualifies as promotional loan under Article 429a(3), it shall not be reported in this cell but under rows - as applicable. The amount reported shall also be included in the applicable cells above as if no exemption applied.EN.  L 97/ Legal references and instructions Row and column Exposure Values {;}. Excluded exposures of public development credit institutions – Promotional loans granted by a public development credit institution Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR The exposures arising from promotional loans, including passing-through promotional loans, granted by a public development credit institution, which can be excluded in accordance with point (d) of Article 429a(1) CRR. The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2) CRR, shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied. {;}. Excluded exposures of public development credit institutions – Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR. The exposures arising from promotional loans, including passing-through promotional loans, granted by an entity directly set up by the central government, regional governments or local authorities of a Member State, which can be excluded in accordance with point (d) of Article 429a(1). The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied. {;}. Excluded exposures of public development credit institutions – Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution Point (d) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR. The exposures arising from promotional loans, including passing-through promotional loans, granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution, which can be excluded in accordance with point (d) of Article 429a(1). The exposures of the unit of an institution that is treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied. {;}. Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by a public development credit insti tution Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by a public development credit institution. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied.EN L 97/ . Legal references and instructions Row and column Exposure Values {;}. Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by an entity directly set up by the central government, regional governments or local authorities of a Member State. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied. {;}. Excluded passing-through promotional loan exposures by non-public development credit institutions (or units) – Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an inter mediate credit institution Point (e) of paragraph (1) and paragraphs (2) and (3) of Article 429a CRR The parts of exposures arising from passing-through promotional loans to other credit institutions, when the promotional loans have been granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit insti tution. The parts of the exposures of the units of an institution that are not treated as a public development credit institution by a competent authority in accordance with the last paragraph of Article 429a(2), shall also be considered. The amount reported shall also be included in the applicable cells above as if no exemption applied. {;}. Asset amount deducted – Tier 1 capital – fully phased-in definition Point (b) of Article 429a(1) and point (a) of Article 499(1) CRR It includes all the adjustments that target the value of an asset and which are required by: — Articles 32 to 35 CRR, or — Articles 36 to 47 CRR, or — Articles 56 to 60 CRR, as applicable. Institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 CRR, without taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 CRR when calculating the exposure value in {;} to {;}, nor shall they report any adjustment that does not deduct the value of a specific asset. As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure.EN.  L 97/ Legal references and instructions Row and column Exposure Values {;} Asset amount deducted. or added (+) – Tier 1 capital – transitional definition Point (b) of Articles 429a(1) and point (a) of Article 499(1) CRR It includes all the adjustments that adjust the value of an asset and which are required by: — Articles 32 to 35 CRR, or — Articles 36 to 47 CRR, or — Articles 56 to 60 CRR, as applicable. Institutions shall take into account exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 CRR, in addition to taking into account the derogations laid down in Chapter 1, 2 and 4 of Title I of Part Ten CRR. To avoid double counting, institutions shall not report adjustments already applied pursuant to Article 111 CRR when calculating the exposure value in {;} to {;} nor shall they report any adjustment that does not deduct the value of a specific asset. As these amounts are already deducted from the capital measure, they reduce the leverage ratio exposure and shall be reported as a negative figure. In addition, institutions shall report in this row as a positive value the amounts to be added back to the leverage ratio exposure measure in accordance with Article 473a(7) CRR and 473a (7a) CRR. {;} Total Leverage Ratio exposure measure- using a fully phased-in definition of Tier 1 capital Institutions shall report the sum of all rows from to and row. {;} Total Leverage Ratio exposure measure – using a transitional definition of Tier 1 capital Institutions shall report the sum of all rows from to and row. Row and column Capital {;} Tier 1 capital – fully phased-in definition Article 429(3) and point (a) of Article 499(1) CRR This is the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, without taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR. {;} Tier 1 capital – transitional definition Articles 429(3) and point (b) of Article 499(1) CRR This shall be the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, after taking into account the derogation laid down in Chapters 1, 2 and 4 of Title I of Part Ten CRR.EN L 97/ . Legal references and instructions Row and column Exposure Values Row and column Leverage Ratio {;} Leverage Ratio – using a fully phased-in definition of Tier 1 capital Articles 429(2) and 499(1) CRR This shall be the leverage ratio as calculated under paragraph 4 of Part II of this Annex. {;} Leverage Ratio – using a transitional definition of Tier 1 capital Articles 429(2) and 499(1) CRR This shall be the leverage ratio as calculated under paragraph 5 of Part II of this Annex. Row and column Requirements: amounts {;} Pillar 2 requirement (P2R) to address risks of excessive leverage Article 104 and 104a CRD; additional own funds required by the competent authority to address risks of excessive leverage, as referred to in Article 104 of the CRD {;} of which: to be made up of CET1 capital The part of the P2R, referred to in row , which is required by the competent authority to be held in the form of CET1 capital {;} G-SII leverage ratio buffer Article 92(1a) CRR G-SIIs shall report the value of the G-SII add-on for the leverage ratio determined in accordance with Article 92(1a) CRR. G-SIIs shall report this amount as of the date of application of the buffer following the CRR. {;} Pillar 2 guidance (P2G) to address risks of excessive leverage Article 104b CRD; additional own funds communicated by the competent authority to address risks of excessive leverage, as referred to in Article 104b of the CRD {;} of which: to be made up of CET1 capital The part of P2G, referred to in row , which is required by the competent authority to be held in the form of CET1 capital {;} of which: to be made up of Tier 1 capital The part of P2G, referred to in row , which is required by the competent authority to be held in the form of Tier 1 capital Row and column Requirements: ratios {;} Pillar 1 Leverage Ratio requirement Point (d) of Article 92(1), Article 429a(7) and point (n) of Article 429a(1) CRR; the leverage ratio required to address risks of excessive leverage, as referred to in point (d) of Article 92(1) CRREN.  L 97/ Legal references and instructions Row and column Exposure Values Institutions that exclude exposures to the institution’s central bank as referred to in point (n) of paragraph 1 of Article 429a shall report the Adjusted Leverage Ratio requirement as per Article 429a(7) CRR. {;} Total SREP leverage ratio requirement (TSLRR) Article 104 and 104a CRD The sum of (i) and (ii) as follows: (i) the Pillar 1 Leverage Ratio Requirement as reported in row ; (ii) the additional own funds ratio required by the competent authority (P2R) to address risks of excessive leverage, as referred to in Article 104 CRD. Institutions shall calculate point (ii) by dividing the value in {;} by that in {;}. If no additional own funds requirements were communicated by the competent authority, then only point (i) shall be reported. {;} TSLRR: to be made up of CET1 capital The part of the additional own funds ratio, referred to in point (ii) of row , that is required by the competent authority to be held in the form of CET1 capital Institutions shall calculate this value by dividing the value in {;} with that in {;}. {;} Overall leverage ratio requirement (OLRR) Article 92(1a) CRR The sum of (i) and (ii) as follows: (i) the TSLRR referred to in row ; (ii) the G-SII leverage ratio buffer in accordance with Article 92(1a) CRR, expressed as a percentage of the total leverage ratio exposure. Institutions shall calculate point (ii) by dividing the value in {;} with that in {;}. Point (ii) shall only be taken into account by G-SIIs as of the date of application of the buffer following the CRR. If no G-SII add-on is applicable, only point (i) shall be reported. {;} Overall leverage ratio requirement (OLRR) and Pillar 2 Guidance (P2G) ratio Article 104b CRD The sum of (i) and (ii) as follows: (i) the OLRR referred to in row ; (ii) additional own funds communicated by the competent authority to address risks of excessive leverage, as referred to in Article 104b of the CRD, expressed as a percentage of the total leverage ratio exposure.EN L 97/ . Legal references and instructions Row and column Exposure Values Institutions shall calculate point (ii) by dividing the value in {;} with that in {;}. If no P2G is communicated by the competent authority, then only point (i) shall be reported. {;} OLRR and P2G: to be made up of CET1 capital The sum of (i) and (ii) as follows: (i) the part of the additional own funds ratio which is required by the competent authority to be held in the form of CET1 capital, as referred to in row ; (ii) the part of the P2G ratio, referred to in point (ii) in row , which is communicated by the competent authority to be held in the form of CET 1 capital. Institutions shall calculate point (ii) by dividing the value in {;} with that in {;}. If no P2G is communicated by the competent authority, then only point (i) shall be reported. {;} OLRR and P2G: to be made up of Tier 1 capital The sum of (i), (ii) and (iii) as follows: (i) the total SREP leverage ratio requirement, as referred to in row ; (ii) the G-SII leverage ratio buffer in accordance with Article 92(1a) CRR, expressed as a percentage of the total leverage ratio exposure. (iii) the part of the P2G ratio, referred to in point (ii) in row , which is required by the competent authority to be held in the form of Tier 1 capital. Institutions shall calculate point (ii) by dividing the value in {;} with that in {;}. Institutions shall calculate point (iii) by dividing the value in {;} with that in {;}. If no G-SII add-on is applicable, only points (i) and (iii) shall be reported. If no P2G is communicated by the competent authority, then only points (i) and (ii) shall be reported. Row and column Memorandum items {;} Leverage ratio as if the IFRS 9 or analogous ECL transitional arrangements had not been applied Articles 473a(8) CRR Institutions that have decided to apply the transitional arrangements set out in Article 473a CRR shall report the leverage ratio they would have in case they were not to apply this Article. {;} Leverage ratio as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income have not been applied Article 468(5) CRR Institutions that have decided to apply the temporary treatment set out in paragraph 1 of Article 468 CRR shall report the leverage ratio they would have in case they were not to apply that treatment.EN.  L 97/