ANNEX XI

a

Applicable amount

1

Total assets as per published financial statements

2

Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation

3

(Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference)

4

(Adjustment for temporary exemption of exposures to central banks (if applicable))

5

(Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the total exposure measure in accordance with point (i) of Article 429a(1) CRR)

6

Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting

7

Adjustment for eligible cash pooling transactions

8

Adjustment for derivative financial instruments

9

Adjustment for securities financing transactions (SFTs)

10

Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures)

11

(Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital)

EU-11a

(Adjustment for exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR)

EU-11b

(Adjustment for exposures excluded from the total exposure measure in accordance with point (j) of Article 429a(1) CRR)

12

Other adjustments

13

Total exposure measure

CRR leverage ratio exposures

a

b

T

T-1

On-balance sheet exposures (excluding derivatives and SFTs)

1

On-balance sheet items (excluding derivatives, SFTs, but including collateral)

2

Gross-up for derivatives collateral provided, where deducted from the balance sheet assets pursuant to the applicable accounting framework

3

(Deductions of receivables assets for cash variation margin provided in derivatives transactions)

4

(Adjustment for securities received under securities financing transactions that are recognised as an asset)

5

(General credit risk adjustments to on-balance sheet items)

6

(Asset amounts deducted in determining Tier 1 capital)

7

Total on-balance sheet exposures (excluding derivatives and SFTs)

Derivative exposures

8

Replacement cost associated with SA-CCR derivatives transactions (ie net of eligible cash variation margin)

EU-8a

Derogation for derivatives: replacement costs contribution under the simplified standardised approach

9

Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions

EU-9a

Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach

EU-9b

Exposure determined under Original Exposure Method

10

(Exempted CCP leg of client-cleared trade exposures) (SA-CCR)

EU-10a

(Exempted CCP leg of client-cleared trade exposures) (simplified standardised approach)

EU-10b

(Exempted CCP leg of client-cleared trade exposures) (Original Exposure Method)

11

Adjusted effective notional amount of written credit derivatives

12

(Adjusted effective notional offsets and add-on deductions for written credit derivatives)

13

Total derivatives exposures

Securities financing transaction (SFT) exposures

14

Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions

15

(Netted amounts of cash payables and cash receivables of gross SFT assets)

16

Counterparty credit risk exposure for SFT assets

EU-16a

Derogation for SFTs: Counterparty credit risk exposure in accordance with Articles 429e(5) and 222 CRR

17

Agent transaction exposures

EU-17a

(Exempted CCP leg of client-cleared SFT exposure)

18

Total securities financing transaction exposures

Other off-balance sheet exposures

19

Off-balance sheet exposures at gross notional amount

20

(Adjustments for conversion to credit equivalent amounts)

21

(General provisions deducted in determining Tier 1 capital and specific provisions associated associated with off-balance sheet exposures)

22

Off-balance sheet exposures

Excluded exposures

EU-22a

(Exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR)

EU-22b

(Exposures exempted in accordance with point (j) of Article 429a(1) CRR (on and off balance sheet))

EU-22c

(Excluded exposures of public development banks (or units) - Public sector investments)

EU-22d

(Excluded exposures of public development banks (or units) - Promotional loans)

EU-22e

(Excluded passing-through promotional loan exposures by non-public development banks (or units))

EU-22f

(Excluded guaranteed parts of exposures arising from export credits)

EU-22g

(Excluded excess collateral deposited at triparty agents)

EU-22h

(Excluded CSD related services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR)

EU-22i

(Excluded CSD related services of designated institutions in accordance with point (p) of Article 429a(1) CRR)

EU-22j

(Reduction of the exposure value of pre-financing or intermediate loans)

EU-22k

(Total exempted exposures)

Capital and total exposure measure

23

Tier 1 capital

24

Total exposure measure

Leverage ratio

25

Leverage ratio (%)

EU-25

Leverage ratio (excluding the impact of the exemption of public sector investments and promotional loans) (%)

25a

Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) (%)

26

Regulatory minimum leverage ratio requirement (%)

EU-26a

Additional own funds requirements to address the risk of excessive leverage (%)

EU-26b

of which: to be made up of CET1 capital

27

Leverage ratio buffer requirement (%)

EU-27a

Overall leverage ratio requirement (%)

Choice on transitional arrangements and relevant exposures

EU-27b

Choice on transitional arrangements for the definition of the capital measure

Disclosure of mean values

28

Mean of daily values of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivable

29

Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables

30

Total exposure measure (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables)

30a

Total exposure measure (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables)

31

Leverage ratio (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables)

31a

Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables)

a

CRR leverage ratio exposures

EU-1

Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which:

EU-2

Trading book exposures

EU-3

Banking book exposures, of which:

EU-4

Covered bonds

EU-5

Exposures treated as sovereigns

EU-6

Exposures to regional governments, MDB, international organisations and PSE, not treated as sovereigns

EU-7

Institutions

EU-8

Secured by mortgages of immovable properties

EU-9

Retail exposures

EU-10

Corporates

EU-11

Exposures in default

EU-12

Other exposures (eg equity, securitisations, and other non-credit obligation assets)

a

Row

Free format

(a)

Description of the processes used to manage the risk of excessive leverage

(b)

Description of the factors that had an impact on the leverage ratio during the period to which the disclosed leverage ratio refers