• PRU 3.18.3 PRU 3.18.3

    (1) An Authorised Person must maintain the required buffer amount as CET1 Capital at all times, as calculated in accordance with Rule 3.18.4.
    (2) The Countercyclical Capital Buffer requirement applies on both a solo and a consolidated basis, for Authorised Persons forming part of Financial Groups.

    • Guidance

      1. The following Guidance is intended to illustrate how an Authorised Person should calculate its Leverage Ratio in accordance with this section.
      2. The Exposure Measure under Rule 3.18.3 should be calculated as the sum of:
      a. on-balance sheet items; and
      b. off-balance sheet items.
      3. In relation to on-balance sheet items:
      a. for SFTs, the Exposure value should be calculated in accordance with IFRS and the Netting requirements referred to in Rule 4.9.14;
      b. for Derivatives, including credit protection sold, the Exposure value should be calculated as the sum of the on-balance sheet value in accordance with IFRS and an add-on for potential future Exposure calculated in accordance with Rules A4.6.14 to A4.6.21 of App 4; and
      c. for other on-balance sheet items, the Exposure value should be calculated based on their balance sheet values in accordance with Rule 4.9.3.
      4. In relation to off-balance sheet items:
      a. for commitments that are unconditionally cancellable at any time by the Authorised Person without prior notice, the Exposure value should be the notional amount for the item multiplied by a CCF of 10%; and
      b. for other off-balance sheet items, including:
      i. direct credit substitutes;
      ii. certain transaction-related contingent items;
      iii. short-term self-liquidating trade-related contingent items and commitments to underwrite debt and equity Securities;
      iv. note issuance facilities and revolving Underwriting facilities;
      v. transactions, other than SFTs, involving the posting of Securities held by the Authorised Person as Collateral;
      vi. asset sales with recourse, where the Credit Risk remains with the Authorised Person;
      vii. other commitments with certain drawdown;
      viii. any other commitments; and
      ix. Unsettled Transactions,
      the Exposure value should be the notional amount for each of the items multiplied by a CCF of 100%.
      5. For an Islamic Financial Institution, assets corresponding to Unrestricted PSIAs will fall within the Exposure Measure and, therefore, are relevant to the Leverage Ratio calculation.