The rule in plain words
The referenced exposure values shall be greater than or equal to zero (this expression replaces boe_b0013)
In Leverage ratio calculation (LRCalc) (LV47.00.00.01): every value in the cells it covers must be zero or more.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02Look for a value below zero in these cells, such as an amount entered as a negative number.
- 03It runs only when your filing indicators mark LV47.00.00 as reported.
- 04This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Leverage ratio calculation (LRCalc) (LV47.00.00.01)
Rows
- R0010SFTs: Exposure value
- R0020SFTs: Add-on for counterparty credit risk
- R0030Derogation for SFTs: Add-on in accordance with Article 429e(5) and 222 CRR
- R0040Counterparty credit risk of SFT agent transactions
- R0061Derivatives: Replacement cost under the SA-CCR (without the effect of collateral on net independent collateral amount (NICA))
- R0091Derivatives: Potential future exposure contribution under SA-CCR (multiplier at 1)
- R0101Derogation for derivatives: Replacement costs contribution under the simplified standardised approach
- R0103Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach (multiplier at 1)
- R0110Derogation for derivatives: Original exposure method
- R0121Derogation for derivatives: the SDDT method in accordance with Article 429c(6)
- R0130Capped notional amount of written credit derivatives
- R0150Off-balance sheet items with a 10% CCF in accordance with Article 429f CRR
- R0160Off-balance sheet items with a 20% CCF in accordance with Article 429f CRR
- R0170Off-balance sheet items with a 50% CCF in accordance with Article 429f CRR
- R0180Off-balance sheet items with a 100% CCF in accordance with Article 429f CRR
- R0185Regular-way purchases and sales awaiting settlement: Accounting value under trade date accounting
- R0186Regular-way sales awaiting settlement: Reverse out of accounting offsetting under trade date accounting
- R0188Regular-way purchases awaiting settlement: Full recognition of commitments to pay under settlement date accounting
- R0190Other assets
- R0193Cash pooling arrangements that cannot be netted prudentially: Value in the accounting framework
- R0194Cash pooling arrangements that cannot be netted prudentially: Effect of grossing-up the netting applied in the accounting framework
- R0195Cash pooling arrangements that can be netted prudentially: Value in the accounting framework
- R0196Cash pooling arrangements that can be netted prudentially: Effect of grossing-up the netting applied in the accounting framework
- R0200Gross up for derivatives collateral provided
- R0230Adjustments for SFT sales accounting transactions
- R0281Total exposure measure including claims on central banks - using a fully phased-in definition of tier 1 capital (leverage)
- R0282Total exposure measure including claims on central banks - using a transitional definition of tier 1 capital (leverage)
- R0290Total exposure measure excluding claims on central banks - using a fully phased-in definition of tier 1 capital (leverage)
- R0300Total exposure measure excluding claims on central banks - using a transitional definition of tier 1 capital (leverage)
- R0310Tier 1 capital (leverage) - fully phased-in definition
- R0320Tier 1 capital (leverage) - transitional definition
- R0330Leverage ratio excluding claims on central banks - using a fully phased-in definition of tier 1 capital (leverage)
- R0340Leverage ratio excluding claims on central banks - using a transitional definition of tier 1 capital (leverage)
- R0341Leverage Ratio including claims on central banks - using a fully phased-in definition of tier 1 capital (leverage)
- R0342Leverage Ratio including claims on central banks - using a transitional definition of tier 1 capital (leverage)
- R0490Leverage ratio as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income have not been applied
- R0500Tier 1 capital (leverage) - fully phased-in definition but including the benefit of IFRS9 transitional provisions
- R0510Total exposure measure excluding claims on central banks - using, where that is affected by deductions and adjustments from tier 1 capital (leverage), a fully-phased in definition but including the benefit of IFRS9 transitional provisions
- R0520CET1 capital
- R0530G-SII or O-SII additional leverage ratio buffer rate, as applicable (%)
And 1 more.
Columns
- C0010LR Exposure: Reporting reference date
- C0020Daily/Monthly Average over the reporting quarter (LREQ firms only)
Which returns it applies to
Line4 Check runs it on the leverage ratio (LVR001) and capital+ forecast annual for SDDTs and SDDT consolidation entities (PRA118) returns on Bank of England banking taxonomy 4.1.1. The Bank of England applies it to capital+ forecast annual for SDDTs and SDDT consolidation entities (PRA118) and leverage ratio (LVR001) returns, as a blocking check.
The Bank’s own words and formula
The first paragraph of the plain words above is the Bank of England’s own, word for word, from its list of validations. The second spells out its formula, with each cell named from its templates.
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: LV47.00.00.01} >= 0Where it applies, in the Bank's words (its scope):
scope({t: LV47.00.00.01, r:0010;0020;0030;0040;0061;0091;0101;0103;0110;0121;0130;0150;0160;0170;0180;0185;0186;0188;0190;0193;0194;0195;0196;0200;0230;0281;0282;0290;0300;0310;0320;0330;0340;0341;0342;0490;0500;0510;0520;0530;0540,c:0010;0020, f: banking, fv: leverage_ratio})The same code in the capital+ forecast annual for SDDTs and SDDT consolidation entities (PRA118) return: another check
The Bank of England uses boe_b0013_ss for a different check in the capital+ forecast annual for SDDTs and SDDT consolidation entities (PRA118) return. There it is a blocking check on own funds for SDDTs (CA1 SDDT) (SC01.00.03.01).
Total capital must equal Tier 1 plus Tier 2
In each of "Q4" (column 0050), "Q8" (column 0090) and "Year-end following Q8" (column 0100) of Own funds for SDDTs (CA1 SDDT) (SC01.00.03.01): "Own funds" (row 0010) must equal the sum of "Tier 1 capital" (row 0015) and "Tier 2 capital" (row 0750).
Own funds for SDDTs (CA1 SDDT) (SC01.00.03.01)
Rows
- R0010Own funds
- R0015Tier 1 capital
- R0750Tier 2 capital
Columns
- C0050Q4
- C0090Q8
- C0100Year-end following Q8
The first paragraph of the plain words above is the Bank of England’s own, word for word, from its list of validations. The second spells out its formula, with each cell named from its templates.
Show the formulaShowHide
The Bank of England's formula. Cells are written as {t: table, r: row, c: column}.
{t: SC01.00.03.01, r: 0010} = sum({t: SC01.00.03.01, r: 0015; 0750})Where it applies, in the Bank's words (its scope):
scope({t: SC01.00.03.01, c:0050;0090;0100, f: banking, fv: capital_plus_sddt})Other rules on Leverage ratio calculation (LRCalc) (LV47.00.00.01)
- Leverage ratio calculation (LRCalc): a value must not be more than another (boe_b0012)Blocking
- Leverage ratio calculation (LRCalc): the value of this exposure must be greater than or equal to zero (boe_b0014)Blocking
- Leverage ratio calculation (LRCalc): a value must not be less than another (boe_b0011)Blocking
- Leverage ratio calculation (LRCalc): a value must not be less than another (boe_b0010)Blocking
- Leverage ratio calculation (LRCalc): a value must not be less than another (boe_b0009)
- Leverage ratio calculation (LRCalc): values must agree (boe_b0017)Blocking
- Leverage ratio calculation (LRCalc): a value must not be less than another (boe_b0008)
- Leverage ratio calculation (LRCalc): values must agree (boe_b0018)Blocking
Every PRA banking rule on LV47.00.00.01
Checks like this one, run at the point of submission, are the first step to real-time supervision. Line4 builds SupTech software for financial regulators that runs checks like these as each return arrives.