On 3 July 2018, the PRA published Consultation Paper 14/18: UK leverage ratio: Applying the framework to systemic ring-fenced bodies and reflecting the systemic risk buffer (CP14/18). CP14/18 is relevant to firms in scope of the UK leverage ratio framework that are also systemic risk buffer (SRB) institutions or part of a group containing an SRB institution.

In CP14/18 the PRA proposes to reflect the SRB framework in the UK leverage ratio framework. This includes a proposal to apply leverage ratio requirements on a sub-consolidated basis to those ring-fenced bodies (RFBs) whose groups are already required to meet leverage ratio requirements on a consolidated basis.

Other proposals in CP14/18 include:

  • amending the additional leverage ratio buffer to reflect the SRB; and
  • where applicable, expecting firms to hold capital on a group consolidated basis to address RFB group risk.

To accommodate the changes the PRA also proposes to update:

  • The Leverage Ratio, Public Disclosure, Reporting Leverage Ratio, and Ring-fenced Bodies Parts of the PRA Rulebook (Appendix 1);
  • Supervisory Statement 45/15: The UK leverage ratio framework (Appendix 2);
  • Supervisory Statement 46/15: UK leverage ratio: instructions for completing data items FSA083 and FSA 084 (Appendix 3); and
  • FSA083 Leverage Ratio Reporting template (Appendix 4) and instructions (Appendix 5).

The deadline for comments on CP14/18 is 25 September 2018.