Updated 27/07/2024
In force

Version from: 11/07/2023
Amendments
QA2023_6692 - Supervisory reporting - Leverage ratio
Status: Final
Answered: 22/09/2023
Art. 15
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CRR ToolImplementing Regulation 2021/451
Article 15

Article 15 - Reporting on leverage ratio on an individual and a consolidated basis

Article 15

Reporting on leverage ratio on an individual and a consolidated basis

1.  
In order to report information on the leverage ratio in accordance with Article 430(1), point (a), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit the information as specified in Annex X, in accordance with the instructions in Annex XI, with a quarterly frequency. Only large institutions shall submit template 48.00 of Annex X.
2.  

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

(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;

(b) 

large institutions other than G-SIIs that are not listed institutions with an annual frequency;

(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 Regulation (EU) No 575/2013.
4.  

Institutions shall report the information referred to in Annex XI, Part II, point 13, where at least one of the following conditions is met:

(a) 

the derivatives share referred to in Annex XI, Part II, point 5, is more than 1,5 %;

(b) 

the derivatives share referred to in Annex XI, Part II, point 5, exceeds 2 %.

If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply.

If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.

5.  
Institutions for which the total notional value of derivatives as defined in Annex XI, Part II, point 8, exceeds EUR 10 000  million shall report the information referred to in Annex XI, Part II, point 13, even if their derivatives share does not fulfil the conditions set out in paragraph 4 of this Article.

For the purposes of this paragraph, the entry criteria of Article 4(3) 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 Annex XI, Part II, point 14, where at least one of the following conditions is met:

(a) 

the credit derivatives volume referred to in Annex XI, Part II, point 9, is more than EUR 300 million;

(b) 

the credit derivatives volume referred to in Annex XI, Part II, point 9, exceeds EUR 500 million.

If an institution meets only the point (a) condition, the entry and exit criteria of Article 4(3) shall apply. If an institution meets both the point (a) and point (b) conditions, it shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.