Additional Leverage Ratio Buffer Model Requirements

First published in December 2015

As stated in Supervisory Statement (SS) 45/15 ‘The UK leverage ratio framework’, firms subject to an other systemically important institutions (O-SII) buffer to which the UK leverage ratio framework applies will be invited to apply for a voluntary requirement (VREQ) under section 55M of the Financial Services and Market Act (2000) (FSMA). The VREQ would include an Additional Leverage Ratio Buffer (ALRB) based on the O-SII buffer as applicable and the associated reporting and disclosure requirements. From Saturday 1 January 2022, holding companies that are the parents of G-SII groups to which the UK leverage ratio framework applies will be set an ALRB via a PRA direction under section 192C of the Financial Services and Market Act (2000). The Direction will include an Additional Leverage Ratio Buffer (ALRB) based on the G-SII buffer and the associated reporting and disclosure requirements. If a firm or holding company does not hold, or is not likely to hold, an amount and quality of Common Equity Tier 1 (CET1) capital that is equal to or greater than the ALRB to which it is subject, it will be required to notify us immediately and prepare a capital plan and submit it to us.

Current version

Published on 10 December 2021. Effective from 1 January 2022.

For firms subject to a VREQ under FSMA s.55M

Additional Leverage Ratio Buffer Model Requirements (pdf)

For holding companies subject to a Direction under FSMA s.192C

Qualifying Parent Undertakings Additional Leverage Ratio Buffer Model Direction (pdf)

We published the ‘Additional Leverage Ratio Buffer Model Requirements’ and the ‘Qualifying Parent Undertakings Additional Leverage Ratio Buffer Model Direction’, which replace the previous ‘Additional Leverage Ratio Buffer Model Requirements’ from Saturday 1 January 2022.

The amended ‘Additional Leverage Ratio Buffer Model Requirements’ and the new ‘Qualifying Parent Undertakings Additional Leverage Ratio Buffer Model Direction’ reflect the changes to the leverage ratio framework finalised in PS21/21 ‘The UK leverage ratio framework’, which included: (i) making approved holding companies responsible for ensuring compliance with leverage ratio requirements on a consolidated basis; (ii) transferring Capital Requirements Regulation (CRR) leverage provisions to the PRA Rulebook and (iii) implementing Basel 3.1 changes to the leverage exposure measure. These changes are effective in the PRA Rulebook from Saturday 1 January 2022.

Under the new rules:

Where applicable to a firm, the ALRB and related reporting and disclosure requirements will be set by the PRA using its powers under section 55M of the Financial Services and Markets Act (2000), and will incorporate the ALRB Model Requirements.
Where applicable to a holding company, the ALRB and related reporting and disclosure requirements will be set by the PRA using its powers under section 192C of the Financial Services and Markets Act (2000), and will incorporate the Qualifying Parent Undertakings Additional Leverage Ratio Buffer Model Direction.

The text of the current Capital Buffers and Pillar 2A Model Voluntary Requirement (VREQ) and of the Qualifying Parent Undertakings Capital Buffers and Pillar 2A direction are available on the Bank of England website.

Past versions

Published on 9 December 2020. Effective from 11.00pm 31 December 2020.
- Additional Leverage Ratio Buffer Model Requirements (PDF)
We published the ‘Additional Leverage Ratio Buffer Model Requirements’, which replaces the previous ‘Additional Leverage Ratio Buffer Model Requirements’ from 11pm Thursday 31 December 2020. The changes mirror the EU exit related amendments to the Leverage Ratio framework, which we consulted on in Consultation Paper (CP) 13/20 ‘UK withdrawal from the EU: Changes before the end of the transition period’. They are in respect of the level of application provisions, and match the changes to Chapter 2 (Basis of Application) of the Leverage Ratio Part of the Rulebook.

As described in PS26/20 (Capital Requirements Directive V (CRD V)), the PRA has exercised its own initiative powers under s55M(3) and s55Y(4) FSMA to implement the changes to (i) the Capital Buffers and Pillar 2A Model Requirement and (ii) the Additional Leverage Ratio Buffer Model Requirements, as well as, for those firms subject to it, to replace references to the Systemic Risk Buffer with references to the O-SII Buffer. All firms have received Own Initiative Requirement notices from December 2020 to that effect. The text of the current Capital Buffers and Pillar 2A Model Voluntary Requirement (VREQ) and Additional Leverage Ratio Buffer Model Requirements is available on the Bank of England website.

Published on 9 December 2020. Effective from 29 December 2020 until 11.00pm 31 December 2020.
- Additional Leverage Ratio Buffer Model Requirements (PDF)
We published the ‘Additional Leverage Ratio Buffer Model Requirements’, which replaces the previous ‘Additional Leverage Ratio Buffer Model Requirements’ from Tuesday 29 December 2020 until 11pm Thursday 31 December 2020. The changes reflect certain Capital Requirements Directive V (CRD V) changes we consulted on for CRD V transposition. Specifically, we replace references to the ‘Systemic Risk Buffer (SRB) additional leverage ratio buffer’ with references to the ‘Other Systemically Important Institutions (O-SII) additional leverage ratio buffer’. This reflects that, for the risk-weighted capital requirements, the SRB is being replaced by the O-SII buffer.

Published on 14 December 2018. Effective from 1 January 2019 until 28 December 2020.
- Additional Leverage Ratio Buffer Model Requirements (PDF)
The PRA published the ‘Additional Leverage Ratio Buffer Model Requirements’, which replaces the previous ‘Additional Leverage Ratio Buffer Model Requirements for G-SIIs’ from 1 January 2019.

Published on 17 December 2015. Effective from 17 December 2015 until 1 January 2019.
- Additional Leverage Ratio Buffer Model Requirements (PDF)
On 17 December, the PRA published the ‘Additional Leverage Ratio Buffer Model Requirements for G-SIIs.