Index
Constraints
DPM Mapboe_tLV47.00.00.01 - LV47.00.00.01 (LRCalc) Leverage ratio calculation
| LV47.00.00.01 | |||||
| LR Exposure: Reporting reference date | Daily/Monthly Average over the reporting quarter (LREQ firms only) | Quarter Low (LREQ firms only) | Quarter high (LREQ firms only) | ||
| 0010 | 0020 | 0030 | 0040 | ||
| Exposure Values | 0009 | ||||
| SFTs: Exposure value | 0010 | ||||
| SFTs: Add-on for counterparty credit risk | 0020 | ||||
| Derogation for SFTs: Add-on in accordance with Article 429e(5) and 222 CRR | 0030 | ||||
| Counterparty credit risk of SFT agent transactions | 0040 | ||||
| (-) Exempted CCP leg of client-cleared SFT exposures | 0050 | ||||
| Derivatives: Replacement cost under the SA-CCR (without the effect of collateral on net independent collateral amount (NICA)) | 0061 | ||||
| (-) Effect of the recognition of collateral on NICA on QCCP client-cleared transactions (SA-CCR - replacement cost) | 0065 | ||||
| (-) Effect of the eligible cash variation margin received offset against derivatives market value (SA-CCR - replacement cost) | 0071 | ||||
| (-) Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR -replacement cost) | 0081 | ||||
| Derivatives: Potential future exposure contribution under SA-CCR (multiplier at 1) | 0091 | ||||
| (-) Effect lower multiplier for QCCP client-cleared transactions on the PFE contribution (SA-CCR - Potential future exposure) | 0092 | ||||
| (-)Effect of the exempted CCP leg of client-cleared trade exposures (SA-CCR approach-potential future exposure) | 0093 | ||||
| Derogation for derivatives: Replacement costs contribution under the simplified standardised approach | 0101 | ||||
| (-) Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach - replacement costs) | 0102 | ||||
| Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach (multiplier at 1) | 0103 | ||||
| (-)Effect of exempted CCP leg of client-cleared trade exposures (simplified standardised approach - potential future exposure) | 0104 | ||||
| Derogation for derivatives: Original exposure method | 0110 | ||||
| (-) Exempted CCP leg of client-cleared trade exposures (original exposure method) | 0120 | ||||
| Capped notional amount of written credit derivatives | 0130 | ||||
| (-) Eligible purchased credit derivatives offset against written credit derivatives | 0140 | ||||
| Off-balance sheet items with a 10% CCF in accordance with Article 429f CRR | 0150 | ||||
| Off-balance sheet items with a 20% CCF in accordance with Article 429f CRR | 0160 | ||||
| Off-balance sheet items with a 50% CCF in accordance with Article 429f CRR | 0170 | ||||
| Off-balance sheet items with a 100% CCF in accordance with Article 429f CRR | 0180 | ||||
| (-) General credit risk adjustments to off balance sheet items | 0181 | ||||
| Regular-way purchases and sales awaiting settlement: Accounting value under trade date accounting | 0185 | ||||
| Regular-way sales awaiting settlement: Reverse out of accounting offsetting under trade date accounting | 0186 | ||||
| (-) Regular-way sales awaiting settlement: Offset in accordance with 429g(2) CRR | 0187 | ||||
| Regular-way purchases awaiting settlement: Full recognition of commitments to pay under settlement date accounting | 0188 | ||||
| (-) Regular-way purchases or sales awaiting settlement: Offset for assets under settlement date accounting in accordance with 429g(3) CRR | 0189 | ||||
| Other assets | 0190 | ||||
| (-) General credit risk adjustments to on balance sheet items | 0191 | ||||
| Cash pooling arrangements that cannot be netted prudentially: Value in the accounting framework | 0193 | ||||
| Cash pooling arrangements that cannot be netted prudentially: Effect of grossing-up the netting applied in the accounting framework | 0194 | ||||
| Cash pooling arrangements that can be netted prudentially: Value in the accounting framework | 0195 | ||||
| Cash pooling arrangements that can be netted prudentially: Effect of grossing-up the netting applied in the accounting framework | 0196 | ||||
| (-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(2) CRR | 0197 | ||||
| (-) Cash pooling arrangements that can be netted prudentially: Recognition of netting in accordance with Article 429b(3) CRR | 0198 | ||||
| Gross up for derivatives collateral provided | 0200 | ||||
| (-) Receivables for cash variation margin provided in derivatives transactions | 0210 | ||||
| (-) Exempted CCP leg of client-cleared trade exposures (initial margin) | 0220 | ||||
| Adjustments for SFT sales accounting transactions | 0230 | ||||
| (-) Fiduciary assets | 0240 | ||||
| (-) Intragroup exposures (solo basis) exempted in accordance with point (c) of Article 429a(1) CRR | 0250 | ||||
| (-) IPS exposures exempted in accordance with point (c) of Article 429a(1) CRR | 0251 | ||||
| (-) Excluded excess collateral deposited at triparty agents | 0253 | ||||
| (-) Excluded securitised exposures representing significant risk transfer | 0254 | ||||
| (-) Exposures exempted in accordance with point (j) of Article 429a(1) CRR | 0260 | ||||
| (-) Asset amount deducted - tier 1 capital (leverage) - fully phased-in definition | 0270 | ||||
| Asset amount deducted (-) or added (+) - tier 1 capital (leverage) - transitional definition | 0280 | ||||
| Total exposure measure including claims on central banks - using a fully phased-in definition of tier 1 capital (leverage) | 0281 | ||||
| Total exposure measure including claims on central banks - using a transitional definition of tier 1 capital (leverage) | 0282 | ||||
| (-) Claims on central banks excluded | 0283 | ||||
| (-) of which claims in sterling to the Bank of England | 0284 | ||||
| Total exposure measure excluding claims on central banks - using a fully phased-in definition of tier 1 capital (leverage) | 0290 | ||||
| Total exposure measure excluding claims on central banks - using a transitional definition of tier 1 capital (leverage) | 0300 | ||||
| Capital | 0309 | ||||
| Tier 1 capital (leverage) - fully phased-in definition | 0310 | ||||
| Tier 1 capital (leverage) - transitional definition | 0320 | ||||
| Leverage Ratio | 0329 | ||||
| Leverage ratio excluding claims on central banks – using a fully phased-in definition of tier 1 capital (leverage) | 0330 | ||||
| Leverage ratio excluding claims on central banks - using a transitional definition of tier 1 capital (leverage) | 0340 | ||||
| Memorandum items | 0339 | ||||
| Leverage Ratio including claims on central banks – using a fully phased-in definition of tier 1 capital (leverage) | 0341 | ||||
| Leverage Ratio including claims on central banks - using a transitional definition of tier 1 capital (leverage) | 0342 | ||||
| Leverage ratio as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income have not been applied | 0490 | ||||
| Tier 1 capital (leverage) - fully phased-in definition but including the benefit of IFRS9 transitional provisions | 0500 | ||||
| Total exposure measure excluding claims on central banks - using, where that is affected by deductions and adjustments from tier 1 capital (leverage), a fully-phased in definition but including the benefit of IFRS9 transitional provisions | 0510 | ||||
| CET1 capital | 0520 | ||||
| Leverage Ratio Buffers (LREQ firms only) | 0529 | ||||
| G-SII or O-SII additional leverage ratio buffer rate, as applicable (%) | 0530 | ||||
| Countercyclical leverage ratio buffer rate (%) | 0540 | ||||
| Capital Surplus / (Shortfall) (LREQ firms only) | 0549 | ||||
| Surplus (Shortfall) CET1 to 2.4375% minimum CET1 requirement | 0550 | ||||
| Surplus (Shortfall) Tier 1 to 3.25% minimum Tier 1 requirement | 0560 | ||||
| Surplus (Shortfall) CET1 to 2.4375% minimum CET1 plus buffers | 0570 | ||||