Prudential Regulation Authority Rulebook

1.

Institutions shall disclose the following information regarding their leverage ratio as calculated in accordance with Article 429 of Chapter 3 of the Leverage Ratio (CRR) Part and their management of the risk of excessive leverage:

1. (a) the leverage ratio;
2. (b) the leverage ratio calculated as if central bank claims were required to be included in the total exposure measure;
3. (c) a breakdown of the total exposure measure, as well as a reconciliation of the total exposure measure with the relevant information disclosed in published financial statements;
4. (d) a description of the processes used to manage the risk of excessive leverage;
5. (e) a description of the factors that had an impact on the leverage ratio during the period to which the disclosed leverage ratio refers;
6. (f) in relation to the quarterly periods up to 31 December 2022, the leverage ratio calculated as if Article 468 of the CRR did not apply for purposes of the capital measure under Article 429(3) of Chapter 3 of the Leverage Ratio (CRR) Part;
7. (g) in relation to the quarterly periods up to 31 December 2024, the leverage ratio calculated as if Article 473a of the CRR did not apply for purposes of the capital measure under Article 429(3) of Chapter 3 of the Leverage Ratio (CRR) Part.

2.

An LREQ firm must disclose each of the following:

1. (a) the average exposure measure;
2. (b) the average leverage ratio;
3. (c) the average leverage ratio calculated as if central bank claims were required to be included in the total exposure measure; and
4. (d) the countercyclical leverage ratio buffer.

3.

An LREQ firm must disclose such information as is necessary to enable users to understand changes in the firm’s total exposure measure and tier 1 capital (leverage) over the quarter that have affected the firm’s average leverage ratio.

4.

Subject to paragraph 5:

1. (a) for the purposes of paragraph 2(a) an LREQ firm must calculate its average exposure measure for a quarter as the sum of:
1. (i) the arithmetic mean of the firm’s total exposure measure in relation to on-balance sheet assets and securities financing transactions on each day in the quarter; and
2. (ii) the arithmetic mean of the firm’s total exposure measure excluding on-balance sheet assets and securities financing transactions on the last day of each month in the quarter; and
2. (b) for the purposes of paragraphs 2(a) and 3, an LREQ firm must calculate its average leverage ratio for a quarter as its capital measure divided by its exposure measure where the:
1. (i) capital measure is the arithmetic mean of the firm’s tier 1 capital (leverage) on the last day of each month in the quarter; and
2. (ii) exposure measure is the sum derived in accordance with (a), unless paragraph 5 applies in which case it shall be the sum derived in accordance with that paragraph.

5.

In relation to the quarterly periods up to 1 January 2023 an LREQ firm must calculate its average exposure measure for a quarter as 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; 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.

[Note: This rule corresponds to Article 451 of the CRR as it applied immediately before revocation by the Treasury.]