C 40.00 - LR1 - Alternative treatment of the Exposure Measure





Accounting balance sheet valueAccounting value assuming no netting or other CRMAdd-on for SFTAdd-on under the mark-to-market method (assuming no netting or other CRM)Notional amount / nominal valueCapped notional amountCapped notional amount (same reference name)Leverage ratio exposure amount hypothetically exempted
CodeLabel010 020 040 050 070 075 085 120
010 Derivatives324753895813293337585
020 Credit derivatives (protection sold)324773896013293537587143078
030 Credit derivatives (protection sold), which are subject to a close out clause132937135734
040 Credit derivatives (protection sold), which are not subject to a close out clause132936135733
050 Credit derivatives (protection bought)324763895913293437586143077132940
060 Financial derivatives324803896313293837590
070 SFT covered by a master netting agreement132952135748132922
080 SFT not covered by a master netting agreement132953135749132923
090 Other Assets3248238965
100 Low-risk off-balance sheet items under the RSA; of which:135727
110 Revolving retail exposures; of which135725
120 Unconditionally cancellable credit cards commitments135726
130 Non revolving unconditionally cancellable commitments135728
140 Medium/low risk off-balance sheet items under the RSA135729
150 Medium risk off-balance sheet items under the RSA135730
160 Full risk off-balance sheet items under the RSA135735
170 (memo item) Drawn amount of revolving retail exposures135731
180 (memo item) Drawn amounts on unconditionally cancellable credit cards commitments135732
190 (memo item) Drawn amounts on non revolving unconditionally cancellable commitments37591
210 Cash collateral received in derivatives transactions43853
220 Receivables for cash collateral posted in derivatives transactions99467
230 Securities received in a SFT that are recognised as an asset135747
240 SFT cash conduit lending (cash receivables)43855
250 Exposures that can benefit from treatment under Article 113 (6) of the CRR143080
260 Exposures that meet conditions a), b) and c) of Article 429 (14) of the CRR143079




Dimensions
MetricDetails the data type (e.g. monetary, percentage, string) of the data point. In XBRL, it is the "primary item". Generally, it indicates the "metrics" of the Main category provided (i.e. answers the question: how is measured?). It should be defined for each data point. In the case of monetary values, when the data point is referred to a (change during a) period of time, the member name shall finish in "(flow)". When the member name has other terminations, the data point is a measurement at a date (i.e. "stock").
Metric - Details the data type (e.g. monetary, percentage, string) of the data point. In XBRL, it is the "primary item". Generally, it indicates the "metrics" of the Main category provided (i.e. answers the question: how is measured?). It should be defined for each data point. In the case of monetary values, when the data point is referred to a (change during a) period of time, the member name shall finish in "(flow)". When the member name has other terminations, the data point is a measurement at a date (i.e. "stock").
BaseDefines the basic conceptual meaning of a data point. Identifies the framework in which a data point is included. For FINREP, it indicates in which group of element of the financial statement should be included the data point (e.g. assets, liabilities, equity, income, expenses). For COREP, it indicates whether the data point should be computed in the numerator (own funds) or the denominator (exposures) of the Pillar I solvency ratio. It determines whether the data point has a "debit" or a "credit" attribute.
Base items - Defines the basic conceptual meaning of a data point. Identifies the framework in which a data point is included. For FINREP, it indicates in which group of element of the financial statement should be included the data point (e.g. assets, liabilities, equity, income, expenses). For COREP, it indicates whether the data point should be computed in the numerator (own funds) or the denominator (exposures) of the Pillar I solvency ratio. It may determine whether the data point has a "debit" or a "credit" attribute.
Main categorySpecifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Approach for prudential purposesApproach used for the calculation of capital requirements.
Approach - Approach used for the calculation of capital requirements (or exposure value in LR)
Counterparty sectorDefines the sector of the counterparty of financial instruments (e.g. Central banks or Credit institutions).
Counterparty - Party other than the reporting institution in a contract or transaction.
Main category of collateral or guarantee receivedDefines the main category of collateral or guarantees received
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Conversion factors for off-balance sheet itemsFor off-balance sheet items, it specifies the value of the conversion factors to be applied to calculate their exposure value.
Percentages - Percentages
Exposure classes used for weighting purposesFor Leverage Ratio templates, defines the assimilated EC used for weighting purposes
Exposure classes - Defines the exposure class for capital requirement purposes
Specific contract clauses or netting agreementsDefines specific contract clauses or netting agreements.
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Type of activityDefines the type of activity (e.g. asset management or custody).
Type of activity - Defines the type of activity reported (e.g. asset management or custody)
Type of assets with collateral receivedSpecifies the type of assets for which financial assets have been received as collateral.
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Main category of the source of encumbranceFor encumbered assets, defines the main category of the transaction that entails encumbrance; for liabilities/contingent liabilities, identifies those who are a source of encumbrance
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.