Article 15
Reporting on leverage ratio on both an individual and a consolidated basis
1. Institutions that report their leverage ratio as referred to in Article 430(1), point (a), of Regulation (EU) No 575/2013 on both an individual and a consolidated basis shall submit that information as specified in Section 6 – ‘Reporting on the leverage’ of Annex I to this Regulation with a quarterly frequency. Only large institutions shall submit template C 48.00 on information on leverage ratio volatility.
2. The information specified in template C 40.00, cell {r0410;c0010}on the total assets shall be reported only by:
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(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; |
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(b) |
large institutions other than G-SIIs that are not listed institutions with an annual frequency; |
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(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 report the additional information on leverage ratio as specified in template C 40.00, cells {r0010;c0010}, {r0010;c0020}, {r0020;c0010}, {r0020;c0020}, {r0030;c0070}, {r0040;c0070}, {r0050;c0010}, {r0050;c0020}, {r0060;c0010}, {r0060;c0020}, and {r0060;c0070}, where at least one of the following conditions is met:
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(a) |
the derivative share specified as the derivative exposure measure divided by the total exposure measure, is more than 1,5 %; |
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(b) |
the derivative share specified as the derivative exposure measure divided by the total exposure measure, exceeds 2 %. |
Where an institution meets only the condition laid down in point (a) of the first subparagraph, the entry and exit criteria of Article 4(3) of this Regulation shall apply. An institution that meets the conditions laid down in both point (a) and point (b) of the first subparagraph shall start reporting information on leverage ratiofor the reference date following the reporting reference date on which it exceeded the threshold.
4. Institutions for which the total notional value of derivatives as specified in template C 40.00, cell {r0010;c0070}, exceeds EUR 10 000 million shall report the information referred to in template 40.00, cells {r0010;c0010}, {r0010;c0020}, {r0020;c0010}, {r0020;c0020}, {r0030;c0070}, {r0040;c0070}, {r0050;c0010}, {r0050;c0020}, {r0060;c0010}, {r0060;c0020}, and {r0060;c0070}, even if their derivatives share does not fulfil the conditions set out in paragraph 3.
For the purposes of the first subparagraph paragraph, the entry criteria of Article 4(3) of this Regulation 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.
5. Institutions shall report the information referred to in template C 40.00, cells {r0020;c0075}, {r0050;c0075} and {r0050;c0085}, where one of the following conditions is met:
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(a) |
the credit derivatives volume specified in template C 40.00 as {r0020;c0070} + {r0050;c0070}, exceeds EUR 300 million; |
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(b) |
the credit derivatives volume specified in template C 40.00 as {r0020;c0070} + {r0050;c0070}, exceeds EUR 500 million. |
Where an institution meets only the condition laid down in point (a) of the first subparagraph, the entry and exit criteria of Article 4(3) of this Regulation shall apply. An institution that meets the conditions laid down in both point (a) and point (b) of the first subparagraph shall start reporting that information for the reference date following the reporting reference date on which it exceeded the threshold.