Prudential Regulation Authority Rulebook

1.

In order to report information on the leverage ratio and the countercyclical leverage ratio buffer in accordance with point (a) of Article 430(1) of the Chapter 4 and, for LREQ firms, the information specified in Article 430(2) and (2A) of Chapter 4, institutions shall submit the information specified in Annex X of Chapter 6, in accordance with the instructions in Annex XI of Chapter 6, with a quarterly frequency and on the basis required by Chapter 2 of this Chapter.

2.

The information specified in cell {r0410;c0010} of template LV 40.00 of Annex X of Chapter 6 shall be reported only by:

1. (a) large institutions that either are G-SIIs or have issued securities that are admitted to trading on a regulated market with a semi-annual frequency;
2. (b) large institutions other than G-SIIs that are not listed institutions with an annual frequency;
3. (c) institutions other than large institutions and small and non-complex institutions that have issued securities that are admitted to trading on a regulated market with an annual frequency.

3.

Institutions shall calculate the leverage ratio at the reporting reference date in accordance with Article 429 of the Leverage Ratio (CRR) Part.

4.

Institutions shall report the information referred to in paragraph 13 of Part II of Annex XI of Chapter 6 if one of the following conditions is met:

1. (a) the derivatives share referred to in paragraph 5 of Part II of Annex XI of Chapter 6 is more than 1.5%;
2. (b) the derivatives share referred to in paragraph 5 of Part II of Annex XI of Chapter 6 exceeds 2.0%.

The entry and exit criteria of Article 4(2) of Chapter 2 of this Chapter shall apply, except in relation to point (b), in which case institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

5.

Institutions for which the total notional value of derivatives as defined in paragraph 8 of Part II of Annex XI exceeds GBP 8.8 billion shall report the information referred to in paragraph 13 of Part II of Annex XI of Chapter 6 even if their derivatives share does not fulfil the conditions set out in paragraph 4.

The entry criteria of Article 4(2) of Chapter 2 of this Chapter shall not apply. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

6.

Institutions are required to report the information referred to in paragraph 14 of Part II of Annex XI of Chapter 6 where one of the following conditions is met:

1. (a) the credit derivatives volume referred to in paragraph 9 of Part II of Annex XI of Chapter 6 is more than GBP 260 million;
2. (b) the credit derivatives volume referred to in paragraph 9 of Part II of Annex XI of Chapter 6 exceeds GBP 440 million.

The entry and exit criteria of Article 4(2) of Chapter 2 of this Chapter shall apply, except in relation to point (b), in which case institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.