Prudential Regulation Authority Rulebook

1.1

This Part applies when a CRR firm or CRR consolidation entity is calculating its leverage ratio, or components of its leverage ratio.

1.2

In this Part, the following definitions shall apply:

central bank claim

means the following exposures of a firm to a central bank, provided these are denominated in the national currency of such central bank:

1. (1) banknotes and coins constituting legal currency in the jurisdiction of the central bank;
2. (2) reserves held by a firm at the central bank; and
3. (3) any assets representing debt claims on the central bank with a maturity of no longer than 3 months

clearing member

means a clearing member as defined in point (14) of Article 2 of Regulation (EU) No 648/2012.

client

means a client as defined in point (15) of Article 2 of Regulation (EU) No 648/2012 or an undertaking that has established indirect clearing arrangements with a clearing member in accordance with Article 4(3) of that Regulation.

deposit

has the meaning given in the Table of Part 2 of Annex II to Regulation (EU) No 1071/2013 of the European Central Bank of 24 September 2013 concerning the balance sheet of the monetary financial institutions sector as it had effect immediately before IP completion day.

higher-level client

means an entity providing clearing services to a lower-level client.

indirect clearing arrangement

means an arrangement that meets the conditions set out in the second subparagraph of Article 4(3) of Regulation (EU) No 648/2012.

long settlement transactions

means transactions where a counterparty undertakes to deliver a security, a commodity, or a foreign exchange amount against cash, other financial instruments, or commodities, or vice versa, at a settlement or delivery date specified by contract that is later than the market standard for this particular type of transaction or five business days after the date on which the institution enters into the transaction, whichever is earlier.

lower-level client

means an entity accessing the services of a central counterparty through a higher-level client.

multi-level client structure

means an indirect clearing arrangement under which clearing services are provided to an institution by an entity which is not a clearing member, but is itself a client of a clearing member or of a higher-level client.

net independent collateral amount

means the sum of the volatility-adjusted value of net collateral received or posted, as applicable, to the netting set other than variation margin.

original exposure method

means the method set out in Section 5 of Chapter 3 of the Counterparty Credit Risk (CRR) Part.

simplified standardised approach for counterparty credit risk

means the method set out in Section 4 of Chapter 3 of the Counterparty Credit Risk (CRR) Part.

standardised approach for counterparty credit risk

means the method set out in Section 3 of Chapter 3 of the Counterparty Credit Risk (CRR) Part.