C — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1) Row Accounting balance sheet value Accounting value assuming no netting or other CRM Add-on for SFTs Notional amount/ nominal value Capped notional amount Capped notional amount (same reference name) Leverage ratio exposure amount Derivatives Credit derivatives (protection sold) Credit derivatives (protection sold), which are subject to a close out clause Credit derivatives (protection sold), which are not subject to a close out clauseEN.  L 97/ Row Accounting balance sheet value Accounting value assuming no netting or other CRM Add-on for SFTs Notional amount/ nominal value Capped notional amount Capped notional amount (same reference name) Leverage ratio exposure amount Credit derivatives (protection bought) Financial derivatives Security Financing Transactions Other assets Off-balance sheet items Cash collateral received in derivatives transactions Receivables for cash collateral posted in derivatives transactions Securities received in an SFT that are recognised as an asset SFT cash conduit lending (cash receivables) Public sector investments - Claims on central govern ments Public sector investments - Claims on regional governments Public sector investments - Claims on local authorities Public sector investments - Claims on public sector entities Promotional loans - Claims on central governmentsEN L 97/ . Row Accounting balance sheet value Accounting value assuming no netting or other CRM Add-on for SFTs Notional amount/ nominal value Capped notional amount Capped notional amount (same reference name) Leverage ratio exposure amount Promotional loans - Claims on regional governments Promotional loans - Claims on local authorities Promotional loans - Claims on public sector entities Promotional loans - Claims on non-financial corpor ations Promotional loans - Claims on households Promotional loans - Passing-through Central bank exposures The central bank exposures value used for the calcu lation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR - Leverage ratio exposure amount Leverage ratio exposure measure used for the calcu lation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR - Leverage ratio exposure amount Total assets 4. C – Alternative treatment of the Exposure Measure (LR1) 20. This part of the reporting collects data on an alternative treatment of derivatives, SFTs, off-balance sheet items, exempted public sector investments and exempted exposures to promotional loans. 21. Institutions shall determine the “accounting balance sheet values” in LR1 based on the applicable accounting framework in accordance with point (77) of Article 4(1) CRR. “Accounting value assuming no netting or other CRM” refers to the accounting balance sheet value not taking into account any effects of netting or other credit risk mitigation. 22. Institutions shall report LR1 items as if the items with a negative sign in the LRCalc template (for example exemptions/deductions) in accordance with the sign convention in paragraph 9 of Part I of this Annex, except rows {;} {;}, did not apply. 23. {r0410;c0010} in template shall only be reported by: — large institutions which are either G-SIIs or have issued securities that are admitted to trading on a regulated market with a semi-annual frequency, — large institutions other than G-SIIs that are not-listed institutions with an annual frequency, — other institutions than large institutions and small and non-complex institutions, which have issued securities that are admitted to trading on a regulated with an annual frequency. Row and column Legal references and instructions {;} Derivatives – Accounting balance sheet value This shall be the sum of {;010}, {;} and {;}. {;} Derivatives – Accounting value assuming no netting or other CRM This shall be the sum of {;}, {;} and {;}. {;} Derivatives – Notional amount This shall be the sum of {;}, {;} and {;}. {;} Credit derivatives (protection sold) – Accounting balance sheet value Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet {;} Credit derivatives (protection sold) – Accounting value assuming no netting or other CRM Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is selling credit protection to a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed) {;} Credit derivatives (protection sold) – Notional amount This shall be the sum of cells {;} and {;}EN L 97/ . Row and column Legal references and instructions {;} Credit derivatives (protection sold) – Capped notional amount Institutions shall report the notional amount referenced by the credit derivatives (protection sold) as in {; } after reduction by any negative fair value changes that have been incorporated in Tier 1 capital with respect to the written credit derivative. {;} Credit derivatives (protection sold), which are subject to a close-out clause – Notional amount Institutions shall report the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty subject to a close-out clause. A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book. {;} Credit derivatives (protection sold), which are not subject to a close-out clause – Notional amount Institutions shall report the notional amount referenced by credit derivatives where the institution is selling credit protection to a counterparty not subject to a “close-out clause”. A close-out clause shall be defined as a clause that provides the non-defaulting party the right to terminate and close-out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book. {;} Credit derivatives (protection bought) – Accounting balance sheet value Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet Institutions shall consider all credit derivatives, not just those assigned to the trading book. {;} Credit derivatives (protection bought) – Accounting value assuming no netting or other CRM Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of credit derivatives where the institution is buying credit protection from a counterparty and the contract is recognised as an asset on the balance sheet assuming no prudential or accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed) Institutions shall consider all credit derivatives, not just those assigned to the trading book. {;} Credit derivatives (protection bought) – Notional amount Institutions shall report the notional amount referenced by credit derivatives where the institution is buying credit protection from a counterparty. Institutions shall consider all credit derivatives, not just those assigned to the trading book.EN.  L 97/ Row and column Legal references and instructions {;} Credit derivatives (protection bought) – Capped notional amount Institutions shall report the notional amount referenced by credit derivatives (protection bought) as in {;} after reduction by any positive fair value changes that have been incorporated in Tier 1 capital with respect to the bought credit derivative. {;} Credit derivatives (protection bought) – Capped notional amount (same reference name) Institutions shall report the notional amount referenced by credit derivatives where the institution is buying credit protection on the same underlying reference name as those credit derivatives written by the reporting institution. For the purpose of reporting this cell value, underlying reference names are considered the same if they refer to the same legal entity and level of seniority. Credit protection bought on a pool of reference entities shall be considered the same if this protection is economically equivalent to buying protection separately on each of the individual names in the pool. If an institution is buying credit protection on a pool of reference names, then this credit protection is only considered the same if the bought credit protection covers the entirety of the subsets of the pool on which credit protection has been sold. In other words, offsetting may only be recognised when the pool of reference entities and the level of subordination in both transactions are identical. For each reference name, the notional amounts of credit protection taken into for the reporting purpose in this cell shall not exceed the amounts reported in {;} and {;}. {;} Financial derivatives – Accounting balance sheet value Point (77) of Article 4(1) CRR Institutions shall report the accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II CRR where the contracts are recognised as assets on the balance sheet. {;} Financial derivatives – Accounting value assuming no netting or other CRM Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of contracts listed in Annex II CRR where the contracts are recognised as assets on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed) {;} Financial derivatives – Notional amount This cell shall include the notional amount referenced by contracts listed in Annex II CRR. {;} Security Financing Transactions – Accounting balance sheet value Point (77) of Article 4(1) CRR; the accounting balance sheet value of SFTs under the applicable accounting framework where the contracts are recognised as assets on the balance sheetEN L 97/ . Row and column Legal references and instructions 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 this in {,}. {;} Security Financing Transactions – Accounting value assuming no netting or other CRM Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework where the contracts are recognised as an asset on the balance sheet assuming no prudential or accounting netting or other CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed). Where sale accounting is achieved for an SFT under the applicable accounting framework, insti tutions shall reverse all sales-related accounting entries. 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 this in {,}. {;} Other assets – Accounting balance sheet value Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II CRR, credit derivatives and SFTs. {;} Other assets – Accounting value assuming no netting or other CRM Point (77) of Article 4(1) CRR; the accounting balance sheet value under the applicable accounting framework of all assets other than contracts listed in Annex II CRR, credit derivatives and SFTs 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) {;} Off-balance sheet items Institutions shall report the nominal value of off-balance sheet items. This value shall not be reduced by specific credit risk adjustments. Institutions shall not consider in this cell contracts listed in Annex II CRR, credit derivatives and SFTs in accordance with Article 429f(1) CRR. {;} Cash collateral received in derivatives transactions – Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of cash collateral received in derivatives transactions 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)EN.  L 97/ Row and column Legal references and instructions For the purpose of this cell, cash shall be defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks shall be included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report cash on deposit with other institutions in this cell. {;} Receivables for cash collateral posted in derivatives transactions – Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of receivables for cash collateral posted against derivatives transactions assuming no accounting netting or CRM effects (i.e. any effects of accounting netting or CRM that have affected the accounting value shall be reversed) Institutions that are permitted under the applicable accounting framework to net the receivable for cash collateral posted against the related derivative liability (negative fair value) and that elect to do so shall reverse out the netting and report the net cash receivable. {;} Securities received in an SFT that are recognised as an asset – Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of securities received in an SFT that are recognised as an asset under the applicable accounting framework 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) {;} SFT cash conduit lending (cash receivables) – Accounting value assuming no netting or other CRM The accounting balance sheet value under the applicable accounting framework of the cash receivable for the cash on-lent to the securities owner in a qualifying cash conduit lending trans action (CCLT) 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) For the purpose of this cell, cash shall be defined as the total amount of cash including coins and banknotes/currency. Total amount of deposits held with central banks shall be included to the extent that these deposits can be withdrawn in times of stress. Institutions shall not report in this cell cash on deposit with other institutions. A CCLT shall be defined as a combination of two transactions where an institution borrows securities from the securities owner and on-lends securities to the securities borrower. Concurrently, the institution receives cash collateral from the securities borrower and on-lends the cash received to the securities owner. A qualifying CCLT shall comply with all the following conditions: (a) both of the individual transactions which comprise the qualifying CCLT shall be effected on the same trade date, or for international transactions adjacent business days; (b) where its comprising transactions do not specify a maturity, the institution shall have the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice;EN L 97/ . Row and column Legal references and instructions (c) where its comprising transactions specify a maturity, the CCLT shall not give rise to maturity mismatches for the institution; the institution shall have the legal right to close out either side of the CCLT, that is both of its comprising transactions, at any time and without prior notice; (d) it does not give rise to any other incremental exposures. {;} Public sector investments- Claims on central governments – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on central governments in relation to public sector investments The accounting balance sheet values 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. {;} Public sector investments- Claims on regional governments – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on regional governments in relation to public sector investments The accounting balance sheet values 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. {;} Public sector investments – Claims on local authorities – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on local authorities in relation to public sector investments The accounting balance sheet values 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. {;} Public sector investments- Claims on public sector entities – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on public sector entities in relation to public sector investments The accounting balance sheet values 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. {;} Promotional loans – Claims on central governments – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on central governments in relation to promotional loansEN.  L 97/ Row and column Legal references and instructions The accounting balance sheet values 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. {;} Promotional loans – Claims on central governments – Notional amount/nominal value Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to central governments The nominal amounts 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. {;} Promotional loans – Claims on regional governments – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on regional governments in relation to promotional loans The accounting balance sheet values 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. {;} Promotional loans – Claims on regional governments – Notional amount/nominal value Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to regional governments The nominal amounts 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. {;} Promotional loans – Claims on local authorities – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on local authorities in relation to promotional loans The accounting balance sheet values 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. {;} Promotional loans – Claims on local authorities – Notional amount/nominal value Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to local authorities The nominal amounts 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.EN L 97/ . Row and column Legal references and instructions {;} Promotional loans – Claims on public sector entities – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on public sector entities in relation to promotional loans The accounting balance sheet values 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. {;} Promotional loans – Claims on public sector entities – Notional amount/nominal value Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to public sector entities The nominal amounts 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. {;} Promotional loans – Claims on non-financial corporations – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on non-financial corporations in relation to promotional loans The accounting balance sheet values 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. {;} Promotional loans – Claims on non-financial corporations – Notional amount/nominal value Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to non- financial corporations The nominal amounts 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. {;} Promotional loans – Claims on households – Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of assets that constitute claims on households in relation to promotional loans The accounting balance sheet values 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. {;} Promotional loans – Claims on households – Notional amount/nominal value Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of promotional loans granted to households The nominal amounts 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.EN.  L 97/ Row and column Legal references and instructions {;} Promotional loans – Passing-through- Accounting balance sheet value Where the institution is a public development credit institution, the accounting balance sheet value under the applicable accounting framework of passing-through promotional loans, when the promotional loans have not been granted by the institution itself The accounting balance sheet values 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. {;} Promotional loans – Passing-through- Notional amount/nominal value Where the institution is a public development credit institution, the nominal amount of off balance-sheet items in relation to the undrawn part of passing-through promotional loans, when the promotional loans have not been granted by the institution itself The nominal amounts 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. {;} Central bank exposures – Accounting balance sheet value Institutions shall report, in accordance with the applicable accounting framework, the value of the following exposures to the institution’s central bank: (i) coins and banknotes constituting legal currency in the jurisdiction of the central bank; (ii) assets representing claims on the central bank, including reserves held at the central bank. Institutions shall only include exposures that meet both of the following conditions: (a) they are denominated in the same currency as the deposits taken by the institution; (b) their average maturity does not significantly exceed the average maturity of the deposits taken by the institution. Institutions shall report these exposures irrespectively of whether they are exempted from the total exposure measure following Article 429a(5) and (6) CRR. {;} The central bank exposures value used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR – Leverage ratio exposure amount The daily average total value of the institution’s exposures to its central bank, calculated over the full reserve maintenance period of the central bank just preceding the date referred to in point (c) of Article 429a(5) CRR, that are eligible to be excluded in accordance with point (n) of Article 429a(1) CRR. {;} Leverage ratio exposure measure used for the calculation of the adjusted leverage ratio requirement referred to in Article 429a(7) CRR – Leverage ratio exposure amount The institution’s total exposure measure as defined in Article 429(4) CRR, including any exposures excluded in accordance with point (n) of Article 429(1) CRR, on the date referred to in point (c) of Article 429a(5) CRR {;} Total assets Institutions shall report in this item the total assets following the scope used in the published financial statements.