October 03, 2017

The PRA published the policy statement PS21/17 titled “UK leverage ratio: treatment of claims on central banks.” The PS21/17 provides feedback to responses to the consultation paper CP11/17 titled “Consultations by the FPC and PRA on changes to the UK leverage ratio framework relating to the treatment of claims on central banks.” The PRA also published an updated version of the supervisory statement SS46/15, which contains updated instructions for completing data items FAS083 and FSA084 in the context of the UK leverage ratio.

In response to the FPC’s recommendation, and in line with CP11/17, the PRA is amending the PRA Rulebook and SS46/15 to:

  • Align them with its July 2016 modification by consent to exclude central bank claims matched by deposits in the same currency and of identical or longer maturity from the definition of the total leverage exposure measure in the UK leverage ratio framework
  • Increase the minimum leverage ratio requirement from 3.00% to 3.25% of total exposures
  • Align the UK leverage ratio reporting and disclosure requirements to the proposed definition of the total exposure measure and the 3.25% minimum leverage ratio requirement

The reporting changes come into effect immediately and will apply to firms’ reporting and disclosure requirements for end-December 2017 onward. The PS21/17 is relevant to PRA-regulated banks and building societies with retail deposits equal to or greater than EUR 50 billion on an individual or a consolidated basis. The SS46/15 is addressed to the Capital Requirements Regulation (CRR) firms regulated by the PRA that are required to submit supervisory reports under the Reporting Leverage Ratio Part of the PRA Rulebook. Its purpose is to set out the PRA’s expectations for how firms should complete the data items. The SS46/15 should be read alongwith PS27/15 and SS45/15.

 

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Keywords: Europe, UK, Banking, PS21/17, SS46/15, Leverage Ratio, Reporting, CP11/17, PRA

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