27. Leverage Ratio
| No: 44047144 | Date(g): 27/12/2022 | Date(h): 4/6/1444 | Status: In-Force |
| 27.1 | The disclosure requirements set out in this chapter are: | |||
| 27.1.1 | Template LR1 - Summary comparison of accounting assets vs leverage ratio exposure measure | |||
| 27.1.2 | Template LR2 - Leverage ratio common disclosure template | |||
| 27.2 | Template LR1 provides a reconciliation of a bank's total assets as published in its financial statements to the leverage ratio exposure measure, and Template LR2 provides a breakdown of the components of the leverage ratio exposure measure. | |||
| Template LR1- Summary comparison of accounting assets vs leverage ratio exposure measure | ||
| Purpose: To reconcile the total assets in the published financial statements with the leverage ratio exposure measure. | ||
| Scope of application: The table is mandatory for all banks. | ||
| Content: Quantitative information. The leverage ratio standard of the Basel framework (SLEV) follows the same scope of regulatory consolidation as used for the risk-based capital requirements standard Basel Framework “Risk-based capital requirements”). Disclosures should be reported on a quarter- end basis. However, banks may, subject to approval from or due to requirements specified by SAMA, use more frequent calculations (eg daily or monthly averaging). Banks are required to include the basis for their disclosures (eg quarter-end, daily averaging or monthly averaging, or a combination thereof). | ||
| Frequency: Quarterly. | ||
| Format: Fixed. | ||
| Accompanying narrative: Banks are required to disclose and detail the source of material differences between their total balance sheet assets, as reported in their financial statements, and their leverage ratio exposure measure. | ||
| a | ||
| 1 | Total consolidated assets as per published financial statements | |
| 2 | Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation | |
| 3 | Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference | |
| 4 | Adjustments for temporary exemption of central bank reserves (if applicable) | |
| 5 | Adjustment for fiduciary assets recognised on the balance sheet pursuant to the operative accounting framework but excluded from the leverage ratio exposure measure | |
| 6 | Adjustments for regular-way purchases and sales of financial assets subject to trade date accounting | |
| 7 | Adjustments for eligible cash pooling transactions | |
| 8 | Adjustments for derivative financial instruments | |
| 9 | Adjustment for securities financing transactions (ie repurchase agreements and similar secured lending) | |
| 10 | Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures) | |
| 11 | Adjustments for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital | |
| 12 | Other adjustments | |
| 13 | Leverage ratio exposure measure | |
| Definitions and instructions | |
| Row Number | Explanation |
| 1 | The bank's total consolidated assets as per published financial statements. |
| 2 | Where a banking, financial, insurance or commercial entity is outside the regulatory scope of consolidation, only the amount of the investment in the capital of that entity (ie only the carrying value of the investment, as opposed to the underlying assets and other exposures of the investee) shall be included in the leverage ratio exposure measure. However, investments in those entities that are deducted from the bank's CET1 capital or from Additional Tier 1 capital in accordance with SACAP4.3 to SACAP4.4 may also be deducted from the leverage ratio exposure measure. As these adjustments reduce the total leverage ratio exposure measure, they shall be reported as a negative amount. |
| 3 | This row shows the reduction of the leverage ratio exposure measure due to the exclusion of securitised exposures that meet the operational requirements for the recognition of risk transference according SCRE18.24. As these adjustments reduce the total leverage ratio exposure measure, they shall be reported as a negative amount. |
| 4 | Adjustments related to the temporary exclusion of central bank reserves from the leverage ratio exposure measure, if enacted by SAMA to facilitate the implementation of monetary policies as per SLEV6.6. As these adjustments reduce the total leverage ratio exposure measure, they shall be reported as a negative amount. |
| 5 | This row shows the reduction of the consolidated assets for fiduciary assets that are recognised on the bank's balance sheet pursuant to the operative accounting framework and which meet the de-recognition criteria of IAS 39 / IFRS 9 or the IFRS 10 de-consolidation criteria. As these adjustments reduce the total leverage ratio exposure measure, they shall be reported as a negative amount. |
| 6 | Adjustments for regular-way purchases and sales of financial assets subject to trade date accounting. The adjustment reflects (i) the reverse- out of any offsetting between cash receivables for unsettled sales and cash payables for unsettled purchases of financial assets that may be recognised under the applicable accounting framework, and (ii) the offset between those cash receivables and cash payables that are eligible per the criteria specified in SLEV7.1.4 (i), (ii). If this adjustment leads to an increase in exposure, it shall be reported as a positive amount. If this adjustment leads to a decrease in exposure, it shall be reported as a negative amount. |
| 7 | Adjustments for eligible cash-pooling transactions. The adjustment is the difference between the accounting value of cash-pooling transactions and the treatments specified in SLEV7.1.5. If this adjustment leads to an increase in exposure, it shall be reported as a positive amount. If this adjustment leads to a decrease in exposure, it shall be reported as a negative amount. |
| 8 | Adjustments related to derivative financial instruments. The adjustment is the difference between the accounting value of the derivatives recognised as assets and the leverage ratio exposure value as determined by application of SLEV7.2.1 to SLEV7.2.2 ((i) to (v)) and SLEV7.2.3 to SLEV7.2.15. If this adjustment leads to an increase in exposure, institutions shall disclose this as a positive amount. If this adjustment leads to a decrease in exposure, institutions shall disclose this as a negative amount. |
| 9 | Adjustments related to Securities Financing Transactions (SFTs) (ie repurchase agreements and other similar secured lending). The adjustment is the difference between the accounting value of the SFTs recognised as assets and the leverage ratio exposure value as determined by application of SLEV7.3.1, SLEV7.3.3 and SLEV7.3.4 to SLEV7.3.5. If this adjustment leads to an increase in the exposure, institutions shall disclose this as a positive amount. If this adjustment leads to a decrease in exposure, institutions shall disclose this as a negative amount. |
| 10 | The credit equivalent amount of off-balance sheet items determined by applying the relevant credit conversion factors to the nominal value of the off-balance sheet item, as specified in SLEV7.4.2. (iii), (iv), and SLEV7.4.3 (x) As these amounts increase the total leverage ratio exposure measure, they shall be reported as a positive amount. |
| 11 | Adjustments for prudent valuation adjustments and specific and general provisions that have reduced Tier 1 capital. This adjustment reduces the leverage ratio exposure measure by the amount of prudent valuation adjustments and by the amount of specific and general provisions that have reduced Tier 1 capital as determined by SLEV6.2 and SLEV7.1.2 and SLEV7.4.2 (iv), respectively. This adjustment shall be reported as a negative amount. |
| 12 | Any other adjustments. If these adjustments lead to an increase in the exposure, institutions shall report this as a positive amount. If these adjustments lead to a decrease in exposure, the institutions shall disclose this as a negative amount. |
| 13 | The leverage ratio exposure, which should be the sum of the previous items. |
Linkages across templates [LR1:13/a] is equal to [LR2:24/a] (depending on basis of calculation) | |
Template LR2- Leverage ratio common disclosure template | |||
| Purpose: To provide a detailed breakdown of the components of the leverage ratio denominator, as well as information on the actual leverage ratio, minimum requirements and buffers. | |||
| Scope of application: The table is mandatory for all banks. | |||
| Content: Quantitative information. Disclosures should be on a quarter-end basis except where explicitly noted in the instructions for certain rows. However, banks may, subject to approval from or due to requirements specified by SAMA, use more frequent calculations (eg daily or monthly averaging). Banks are required to include the frequency of calculation for their disclosures (eg quarter-end, daily averaging or monthly averaging, or a combination thereof). | |||
| Frequency: Quarterly. | |||
| Format: Fixed. | |||
| Accompanying narrative: Banks must describe the key factors that have had a material impact on the leverage ratio for this reporting period compared with the previous reporting period. Banks must also describe the key factors that explain any material differences between the amounts of securities financing transactions (SFTs) that are included in the bank's Pillar 1 leverage ratio exposure measure and the mean values of SFTs that are disclosed in row 28. | |||
| a | b | ||
| T | T-1 | ||
| On-balance sheet exposures | |||
| 1 | On-balance sheet exposures (excluding derivatives and securities financing transactions (SFTs), but including collateral) | ||
| 2 | Gross-up for derivatives collateral provided where deducted from balance sheet assets pursuant to the operative accounting framework | ||
| 3 | (Deductions of receivable assets for cash variation margin provided in derivatives transactions) | ||
| 4 | (Adjustment for securities received under securities financing transactions that are recognised as an asset) | ||
| 5 | (Specific and general provisions associated with on-balance sheet exposures that are deducted from Basel III Tier 1 capital) | ||
| 6 | (Asset amounts deducted in determining Basel III Tier 1 capital and regulatory adjustments) | ||
| 7 | Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of rows 1 to 6) | ||
| Derivative exposures | |||
| 8 | Replacement cost associated with all derivatives transactions (where applicable net of eligible cash variation margin and/or with bilateral netting) | ||
| 9 | Add-on amounts for potential future exposure associated with all derivatives transactions | ||
| 10 | (Exempted central counterparty (CCP) leg of client-cleared trade exposures) | ||
| 11 | Adjusted effective notional amount of written credit derivatives | ||
| 12 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives) | ||
| 13 | Total derivative exposures (sum of rows 8 to 12) | ||
| Securities financing transaction exposures | |||
| 14 | Gross SFT assets (with no recognition of netting), after adjustment for sale accounting transactions | ||
| 15 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | ||
| 16 | Counterparty credit risk exposure for SFT assets | ||
| 17 | Agent transaction exposures | ||
| 18 | Total securities financing transaction exposures (sum of rows 14 to 17) | ||
| Other off-balance sheet exposures | |||
| 19 | Off-balance sheet exposure at gross notional amount | ||
| 20 | (Adjustments for conversion to credit equivalent amounts) | ||
| 21 | (Specific and general provisions associated with off-balance sheet exposures deducted in determining Tier 1 capital) | ||
| 22 | Off-balance sheet items (sum of rows 19 to 21) | ||
| Capital and total exposures | |||
| 23 | Tier 1 capital | ||
| 24 | Total exposures (sum of rows 7, 13, 18 and 22) | ||
| Leverage ratio | |||
| 25 | Leverage ratio (including the impact of any applicable temporary exemption of central bank reserves) | ||
| 25a | Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) | ||
| 26 | National minimum leverage ratio requirement | ||
| 27 | Applicable leverage buffers | ||
| Disclosures of mean values | |||
| 28 | Mean value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables | ||
| 29 | Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables | ||
| 30 | Total exposures (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) | ||
| 30a | Total exposures (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) | ||
| 31 | Basel III leverage ratio (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) | ||
| 31a | Basel III leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) | ||
Definitions and instructions SFTs: transactions such as repurchase agreements, reverse repurchase agreements, securities lending and borrowing, and margin lending transactions, where the value of the transactions depends on market valuations and the transactions are often subject to margin agreements. Capital measure: The capital measure for the leverage ratio is the Tier 1 capital of the risk-based capital framework as defined in the definition of capital standard (SACAP) taking account of the transitional arrangements. | |
| Row Number | Explanation |
| 1 | Banks must include all balance sheet assets in their exposure measure, including on balance sheet derivatives collateral and collateral for SFTs, with the exception of on balance sheet derivative and SFT assets that are included in rows 8 to 18. Derivatives and SFTs collateral refer to either collateral received or collateral provided (or any associated receivable asset) accounted as a balance sheet asset. Amounts are to be reported in accordance with SLEV7.1.1 to SLEV7.1.4 and, where applicable, SLEV6.4 and SLEV6.6. |
| 2 | Grossed-up amount of any collateral provided in relation to derivative exposures where the provision of that collateral has reduced the value of the balance sheet assets under the bank's operative accounting framework, in accordance with SLEV7.2.3(ii). |
| 3 | Deductions of receivable assets in the amount of the cash variation margin provided in derivatives transactions where the posting of cash variation margin has resulted in the recognition of a receivable asset under the bank's operative accounting framework. As the adjustments in this row reduce the exposure measure, they shall be reported as negative figures. |
| 4 | Adjustment for securities received under a securities financing transaction where the bank has recognised the securities as an asset on its balance sheet. These amounts are to be excluded from the exposure measure in accordance with SLEV7.3.3(i). As the adjustments in this row reduce the exposure measure, they shall be reported as negative figures. |
| 5 | Amounts of general and specific provisions that are deducted from Tier 1 capital which may be deducted from the exposure measure in accordance with SLEV7.1.2. As the adjustments in this row reduce the exposure measure, they shall be reported as negative figures. |
| 6 | All other balance sheet asset amounts deducted from Tier 1 capital and other regulatory adjustments associated with on-balance sheet assets as specified in SLEV6.2. As the adjustments in this row reduce the exposure measure, they shall be reported as negative figures. |
| 7 | Sum of rows 1 to 6. |
| 8 | Replacement cost (RC) associated with all derivatives transactions (including exposures resulting from direct transactions between a client and a CCP where the bank guarantees the performance of its clients' derivative trade exposures to the CCP). Where applicable, this amount should be net of cash variation margin received (as set out in SLEV7.2.4(ii), and with bilateral netting (as set out in SLEV7.2.2(vi) to (vii). This amount should be reported with the 1.4 alpha factor applied as specified in SLEV7.2.2 (ii) and (v) |
| 9 | Add-on amount for the potential future exposure (PFE) of all derivative exposures calculated in accordance with SLEV7.2.2 (ii) and (v). This amount should be reported with the 1.4 alpha factor applied as specified in SLEV7.2.2 (ii) and (v). |
| 10 | Trade exposures associated with the CCP leg of derivatives transactions resulting from client-cleared transactions or which the clearing member, based on the contractual arrangements with the client, is not obligated to reimburse the client in respect of any losses suffered due to changes in the value of its transactions in the event that a qualifying central counterparty (QCCP) defaults. As the adjustments in this row reduce the exposure measure, they shall be reported as negative figures. |
| 11 | The effective notional amount of written credit derivatives which may be reduced by the total amount of negative changes in fair value amounts that have been incorporated into the calculation of Tier 1 capital with respect to written credit derivatives according to SLEV7.2.9. |
| 12 | This row comprises:
As the adjustments in this row reduce the exposure measure, they shall be reported as negative figures. |
| 13 | Sum of rows 8 to 12. |
| 14 | The gross amount of SFT assets without recognition of netting, other than novation with QCCPs, determined in accordance with SLEV7.3.3, adjusted for any sales accounting transactions in accordance with SLEV7.3.4. |
| 15 | The cash payables and cash receivables of gross SFT assets with netting determined in accordance with SLEV7.3.3(i)(b). As these adjustments reduce the exposure measure, they shall be reported as negative figures. |
| 16 | The amount of the counterparty credit risk add-on for SFTs determined in accordance with SLEV7.3.3(ii). |
| 17 | The amount for which the bank acting as an agent in a SFT has provided an indemnity or guarantee determined in accordance with SLEV7.3.5. |
| 18 | Sum of rows 14 to 17. |
| 19 | Total off-balance sheet exposure amounts (excluding off-balance sheet exposure amounts associated with SFT and derivative transactions) on a gross notional basis, before any adjustment for credit conversion factors (CCFs). |
| 20 | Reduction in gross amount of off-balance sheet exposures due to the application of CCFs as specified in SLEV7.4.3(iv) to (x). As these adjustments reduce the exposure measure, they shall be reported as negative figures. |
| 21 | Amounts of specific and general provisions associated with off-balance sheet exposures that are deducted from Tier 1 capital, the absolute value of which is not to exceed the sum of rows 19 and 20. As these adjustments reduce the exposure measure, they shall be reported as negative figures. |
| 22 | Sum of rows 19 to 21. |
| 23 | The amount of Tier 1 capital of the risk-based capital framework as defined in the definition of capital standard (SACAP) taking account of the transitional arrangements. |
| 24 | Sum of rows 7, 13, 18 and 22. |
| 25 | The leverage ratio is defined as the Tier 1 capital measure divided by the exposure measure, with this ratio expressed as a percentage. |
| 25a | If a bank's leverage ratio exposure measure is subject to a temporary exemption of central bank reserves, this ratio is defined as the Tier 1 capital measure divided by the sum of the exposure measure and the amount of the central bank reserves exemption, with this ratio expressed as a percentage. If the bank's leverage ratio exposure measure is not subject to a temporary exemption of central bank reserves, this ratio will be identical to the ratio reported in row 25. |
| 26 | The minimum leverage ratio requirement applicable to the bank. |
| 27 | Total applicable leverage buffers. To include the G-SIB leverage ratio buffer requirement and any other applicable buffers. |
| 28 | Mean of the sums of rows 14 and 15, based on the sums calculated as of each day of the reporting quarter |
| 29 | If rows 14 and 15 are based on quarter-end values, this amount is the sum of rows 14 and 15. If rows 14 and 15 are based on averaged values, this amount is the sum of quarter-end values corresponding to the content of rows 14 and 15. |
| 30 | Total exposure measure (including the impact of any applicable temporary exemption of central bank reserves), using mean values calculated as of each day of the reporting quarter for the amounts of the exposure measure associated with gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables). |
| 30a | Total exposure measure (excluding the impact of any applicable temporary exemption of central bank reserves), using mean values calculated as of each day of the reporting quarter for the amounts of the exposure measure associated with gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables). If the bank's leverage ratio exposure measure is not subject to a temporary exemption of central bank reserves, this value will be identical to the value reported in row 30. |
| 31 | Tier 1 capital measure divided by the exposure measure (including the impact of any applicable temporary exemption of central bank reserves), using mean values calculated as of each day of the reporting quarter for the amounts of the exposure measure associated with gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables). |
| 31a | Tier 1 capital measure divided by the exposure measure (excluding the impact of any applicable temporary exemption of central bank reserves), using mean values calculated as of each day of the reporting quarter for the amounts of the exposure measure associated with gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables). If the bank's leverage ratio exposure measure is not subject to a temporary exemption of central bank reserves, this ratio will be identical to the ratio reported in row 31. |
Linkages across templates (valid only if the relevant rows are all disclosed on a quarter-end basis) [LR2:23/a] is equal to [KM1:2/a] [LR2:24/a] is equal to [KM1:13/a] [LR2:25/a] is equal to [KM1:14/a] [LR2:25a/a] is equal to [KM1:14b/a] [LR2:31/a] is equal to [KM1:14c/a] [LR2:31a/a] is equal to [KM1:14d/a] | |