Leverage Ratios and Requirements Flashcards
(18 cards)
What is the Tier 1 leverage ratio formula?
( CET1 + AT1 eie Tier 1) / LBS
What is the maximum amount of the Tier 1 leverage ratio that should come from AT1?
25%
If it exceeds 25%, it will be disallowed
This has happened in a stress test before
What is the Tier 1 leverage ratio reg min (UK)
- 3.25%
+ - GSIB scale at 35%
+ - CCyB Scaled at 35%
What happens to the P2A for the Tier 1 leverage ratio?
Ignored
What happens to the CCB for the Tier 1 leverage ratio?
Ignored
What happens to the CCyB for the Tier 1 leverage ratio?
Scaled at 35%
What happens to the GSIB for the Tier 1 leverage ratio?
Scale at 35%
e.g. 1.5% * 35% = 40bps
what is the MREL leverage ratio formula?
MREL / LBS
MREL = CET1 + AT1 + Tier 2 + Tier 3
What is the MREL Leverage ratio reg min for Group?
6.75% for Group
Do the CRDIV buffers count towards the MREL leverage ratio?
(CCB, CCyB,GSIB)
No
Do the Leverage buffers count towards the MREL leverage ratio?
(CCyB, GSIB)
No
What is the ‘max-max’ approach?
The true requirement of capital held for MREL is the max of either:
- MREL RWAs
2) Leverage plus the max of the CRDIV buffers
What level of capital is used for the leverage ratio calculation?
Tier 1 Capital
But AT1 Capital must have a conversion trigger of at least 7% in order to count towards the leverage ratio minimum
What level of capital must the Leverage ratio additional capital buffers be met by?
CET1
What are the two add-on buffers in the leverage ratio?
1) Counter-cyclical leverage ratio buffer (CCLB)
2) The additional leverage ratio buffer (ALRB) to reflect systemic importance
What are the add-on buffers scaled by?
35%
e.g. CCyB * 35% = CCLB
What percentage of the leverage ratio (pre-buffers) must be met with CET1?
So what percentage of the 3.25% needs to be CET1?
75%
What percentage of the leverage ratio (pre buffer so 3.25%) needs to be AT1?
25%
