6
Reporting and disclosure
Reporting
6.1
All firms are required to report their leverage ratios as per the Reporting (CRR) Part of the PRA Rulebook. Firms subject to the leverage ratio minimum capital requirement are subject to additional reporting requirements, at the same level of application as the minimum capital requirement applies, including the calculation of the leverage ratio on an averaged basis, the countercyclical leverage ratio buffer, reporting on trading exposures that may be sources of contingent leverage risk and, where applicable, the additional leverage ratio buffer, and capital surpluses/shortfalls to the requirement.
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6.2
The leverage reporting templates are set out in the following table.
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Table 1 – Description of leverage reporting templates
| Template | Content |
|---|---|
| LV47 | Reporting on the calculation of the leverage ratio, including the calculation of the leverage ratio on an average basis for firms in scope of the UK’s leverage ratio requirement. |
| LV40 | Reporting on an alternative treatment of the exposure measure. |
| LV41 | Reporting on an additional breakdown of on- and off-balance sheet exposures in accordance with the risk weight.[22] |
| LV43 | Reporting on an alternative breakdown of leverage exposure measure components. |
| LV44 | Reporting on general information. |
| LV49 - LV52 |
Reporting on trading exposures that may be sources of contingent leverage risk (additional reporting requirement only) |
Footnotes
- 22. This template is based on COREP template C41. Although the EBA is removing this template as part of the Taxonomy 3.0 changes, the PRA has retained this template. The data helps in monitoring the risk composition of leverage ratio exposures, supports the PRA’s supervisory activities, and provides useful information for future reviews of the leverage ratio framework.
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6.3
The PRA requires firms to report templates LV40 to LV47 on a quarterly basis, and LV49 to LV52 on a semi-annual basis, with a remittance of 42 calendar days, in line with the proposed timelines for quarterly and semi-annual reporting of non-leverage information.[23] Reporting and remittance dates for each quarter of the year are outlined in the table below. Note that where the remittance day is a public holiday or falls on a Saturday or Sunday, the data shall be submitted on the following working day.
Footnotes
- 23. Article 2 of Chapter 5 of the Reporting (CRR) Part.
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Table 2 – Reporting and remittance dates for leverage reporting templates
| Quarter | Reporting date | Remittance date |
|---|---|---|
| 1 | 31 March | 12 May |
| 1 | 30 June | 11 August |
| 3 | 30 September | 11 November |
| 4 | 31 December | 11 February |
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Disclosure
6.4
All firms are required to disclose their leverage ratios as per the Disclosure (CRR) Parts of the PRA Rulebook. Firms subject to the leverage ratio minimum capital requirement are subject to additional disclosure requirements, at the same level of application as the minimum capital requirement applies, in relation to averaging and the countercyclical leverage ratio buffer and, where applicable, the additional leverage ratio buffer.
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6.5
Leverage ratio disclosure frequency requirements are set out within Articles 433(a) – 433(c) of the Disclosure (CRR) part of the PRA Rulebook. Requirements relating to the disclosure of the additional leverage ratio buffer may be set separately. The following table summarises the frequency with which firms are required to disclose leverage ratio templates:
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Table 3 - Frequencies for leverage ratio disclosures
| Template | Frequency large institutions (listed or G-SII) | Frequency large institutions (neither listed nor G-SII) |
Frequency other institutions (listed) |
Frequency SDDTs(1) (listed(2)) |
Frequency other institutions (not listed) |
| UK LR1 - LRSum: Summary reconciliation of accounting assets and leverage ratio exposures |
Semi-annual |
Annual |
Annual |
N/A |
N/A |
| UK LR2 - LRCom: Leverage ratio common disclosure; note row 27 and following are for firms in scope of the leverage ratio minimum requirement |
Annual (for rows 28 to UK-34); Semi-annual (for rows up to row 28) (3) | Annual(4) |
Annual(5) |
N/A |
N/A |
| UK LR3 - LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs, and exempted exposures) |
Semi-annual |
Annual |
Annual |
N/A |
N/A |
| UK LRA: Free format text boxes for disclosure on qualitative items |
Annual | Annual |
Annual |
N/A |
N/A |
| UK KM1 – Key metrics template; rows 13 to 14 |
Quarterly | Semi-annual |
Semi-annual |
Semi-annual |
Annual |
| (Where in scope of the leverage ratio minimum requirement) UK KM1; rows 14a-e | Quarterly | Semi-annual |
Semi-annual |
N/A | N/A |
Footnotes:
(1) From 1 January 2024 to 30 June 2027, transitional arrangements exist for firms which disclosed under the Small and Non-Complex Institution definition prior to 1 January 2024 but which do not meet the SDDT definition. See Articles 433(b) and 433(c) of the PRA Rulebook.
(2) SDDTs which are not listed do not have disclosure obligations in respect of the leverage ratio.
(3),(4),(5) Institutions that are in scope of the leverage ratio minimum requirement shall disclose values in UKL2 – LRCom;25, UKL2 – LRCom;UK-25a, UKL2 – LRCom;UK-25c, UKL2 – LRCom;27, UKL2 – LRCom;UK-27a (this is only relevant for institutions subject to the ALRB – see paragraph 2.3), UKL2 – LRCom;UK-27b, UKL2 – LRCom;UK-32, UKL2-LRCom;UK-33 and UKL2 – LRCom;UK-34 with a quarterly frequency.
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