Leverage ratio
The leverage ratio (LR) is a regulatory measure (not risk-based) complementing capital designed to guarantee the soundness and financial strength of institutions in terms of indebtedness.
CRR II introduces a mandatory minimum leverage ratio requirement, set at 3% of Tier 1 capital over the total exposure measure.
However, institutions that choose to exclude central bank exposures from the total exposure measure must recalibrate upwards this 3% minimum requirement such that only recently accumulated central bank exposures (only the increase in central bank exposures since the end of 2019) actually benefit from leverage ratio relief. This exclusion applies until March 31, 2022.
The table below shows a breakdown of the items making up the leverage ratio as of December 31, 2021 and December 31, 2020:
EU LR1 - Summary reconciliation of accounting assets and exposure corresponding to the Leverage Ratio (Million euros)
| Summary table of accounting assets and leverage ratio exposure conciliation |
12-31-2021 Phased-In |
12-31-2021 Fully Loaded |
9-30-2021 Phased-In |
9-30-2021 Fully Loaded |
12-31-2020 Phased-In |
12-31-2020 Fully Loaded |
|---|---|---|---|---|---|---|
| (a) Total assets as published financial statements | 662,885 | 662,885 | 651,834 | 651,834 | 736,176 | 736,176 |
| (b) Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation | (21,373) | (21,373) | (21,108) | (21,108) | (20,326) | (20,326) |
| (Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference) | (1,899) | (1,899) | (2,096) | (2,096) | — | — |
| (Adjustment for temporary exemption of exposures to central bank (if applicable)) | (33,747) | (33,747) | (24,382) | (24,382) | (26,456) | (26,456) |
| (Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the leverage ratio total exposure measure in accordance with Article 429a(1)(i) of Regulation (EU) No 575/2013) | — | — | — | — | — | — |
| Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting | — | — | — | — | — | — |
| Adjustment for eligible cash pooling transactions | — | — | — | — | — | — |
| (c) Adjustments for derivative financial instruments | (6,311) | (6,311) | (10,014) | (10,014) | (13,858) | (13,858) |
| (d) Adjustments for securities financing transactions "SFTs" | 12,686 | 12,686 | 10,647 | 10,647 | 1,992 | 1,992 |
| (e) Adjustment for off-balance sheet items(1) | 64,107 | 64,107 | 62,739 | 62,739 | 67,758 | 67,758 |
| (Adjustment for prudent valuation adjustments and general credit risk adjustments which have reduced Tier 1 capital) | — | — | — | — | — | — |
| (f) (Adjustment for intragroup exposures excluded from the leverage ratio exposure measure in accordance with Article 429 (7) of Regulation (EU) No 575/2013) | — | — | — | — | — | — |
| (g) (Adjustment for exposures excluded from the total exposure measure corresponding to the leverage ratio under Article 429(14) of Regulation (EU) No 575/2013) | — | — | — | — | — | — |
| (h) Other adjustments | (4,558) | (5,323) | (3,759) | (4,524) | (4,191) | (5,788) |
| Leverage ratio total exposure measure | 671,790 | 671,025 | 663,861 | 663,096 | 741,095 | 739,497 |
| i) Capital Tier 1 | 45,687 | 44,922 | 50,329 | 49,564 | 49,597 | 48,012 |
| Leverage ratio | 6.80% | 6.69% | 7.58% | 7.47% | 6.69% | 6.49% |
(1) Corresponds to the off-balance sheet exposure after applying the conversion factors obtained in accordance with Article 429(10) of the CRR.