Prudential Regulation Authority Rulebook

1.1

Unless otherwise stated, this Part applies to 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. (1) an individual basis;
2. (2) if the firm is a parent institution in a Member State, on the basis of its consolidated situation; or
3. (3) if the firm is controlled by a parent financial holding company in a Member State or by a parent mixed financial holding company in a Member State and the PRA is responsible for supervision of that holding company on a consolidated basis under Article 111 of the CRD, on the basis of the consolidated situation of that holding company.

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.

data element

means a discrete fact or individual piece of information relating to a particular field within a data item.

data item

means one or more related data elements that are grouped together into a prescribed format and required to be submitted by a firm.

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

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

2.3

A firm that is controlled by a parent financial holding company in a Member State or a parent mixed financial holding company in a Member State for which the PRA is responsible for supervision on a consolidated basis under Article 111 of the CRD must comply with this Part on the basis of the consolidated situation of that holding company.

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.