Reporting Leverage Ratio

1.1

The changes to this rule are effective from 23:00 on 31/12/2020.

Unless otherwise stated, this Part applies to:

1. (1) every firm that is a UK bank or a building society that, on the firm’s last accounting reference date, had retail deposits equal to or greater than £50 billion either on:
1. (a) an individual basis;
2. (b) if the firm is a UK parent institution, on the basis of its consolidated situation; or
3. (c) if the firm is controlled by a UK parent financial holding company or by a UK parent mixed financial holding company and the PRA is responsible for supervision of that holding company on a consolidated basis, on the basis of the consolidated situation of that holding company; and
2. (2) a ring-fenced body that is a member of a group containing a firm falling within 1.1(1).

1.2

In this Part, the following definitions shall apply:

average leverage ratio

means the average leverage ratio calculated in accordance with 3.2 or 4.2, as applicable.

leverage ratio

has the meaning given in Leverage Ratio 1.2.

quarterly reference date

means 31 March, 30 June, 30 September and 31 December.

remittance date

means 12 May, 11 August, 11 November or 11 February.

retail deposits

has the meaning given in Leverage Ratio 1.2.

tier 1 capital

has the meaning given in Leverage Ratio 1.2.

total exposure measure

has the meaning given in Leverage Ratio 1.2.

1.3

Unless otherwise defined, any italicised expression used in this Part and in the CRR has the same meaning as in the CRR.

2.1

A firm that is not a member of a consolidation group in relation to which 2.2 or 2.3 applies must comply with this Part on an individual basis.

2.2

The changes to this rule are effective from 23:00 on 31/12/2020.

A firm that is a UK parent institution must comply with this Part on the basis of its consolidated situation.

2.3

The changes to this rule are effective from 23:00 on 31/12/2020.

A firm that is controlled by a UK parent financial holding company or a UK parent mixed financial holding company for which the PRA is responsible for supervision on a consolidated basis must comply with this Part on the basis of the consolidated situation of that holding company.

2.4

A ring-fenced body must comply with this Part on an RFB sub-consolidated basis whether or not under 2.2 or 2.3 it also applies to the ring-fenced body on a consolidated basis.

3.1

Subject to 4.1, a firm must complete the data item FSA083 using the template for the data item set out here.

3.2

When completing the data item in 3.1, the average leverage ratio for a quarter must be calculated by a firm as its capital measure divided by its exposure measure where the:

1. (1) capital measure is the arithmetic mean of the firm’s tier 1 capital on the last day of each month in the quarter ending on the relevant quarterly reference date; and
2. (2) exposure measure is the sum of:
1. (a) the arithmetic mean of the firm’s total exposure measure in relation to on-balance sheet assets on each day in the quarter ending on the relevant quarterly reference date; and
2. (b) the arithmetic mean of the firm’s total exposure measure excluding on-balance sheet assets on the last day of each month in the quarter ending on the relevant quarterly reference date.

4.1

For 12 months from the date that this Part comes into force a firm must, instead of completing the data item referred to in 3.1, complete the data item FSA084 using the template for the data item set out here.

4.2

When completing the data item in 4.1, the average leverage ratio for a quarter must be calculated by a firm as its capital measure divided by its exposure measure where the:

1. (1) capital measure is the arithmetic mean of the firm’s tier 1 capital on the last day of each month in the quarter ending on the relevant quarterly reference date; and
2. (2) exposure measure is the arithmetic mean of the firm’s total exposure measure on the last day of each month in the quarter ending on the relevant quarterly reference date.

5.1

A firm must submit the completed data items referred to in this Part to the PRA by close of business of the remittance date immediately following each quarterly reference date.

5.2

If a remittance date is a public holiday or a Saturday or Sunday, the data item must be submitted on the following business day.

5.3

Data items must be submitted to the PRA by electronic means.