The Basel Committee has proposed revisions to its Basel III leverage ratio framework and FAQ documents. The proposed are intended:

  • to measure derivative exposures by proposing to use a modified version of the standardised approach for measuring counterparty credit risk exposures (SA-CCR);
  • to ensure consistency across accounting standards by proposing two options for the treatment of regular-way purchases and sales of financial assets;
  • to clarify the treatment of provisions and prudential valuation adjustments for less liquid positions, so as to avoid double-counting; and
  • to align the credit conversion factors for off-balance-sheet items with those proposed for the standardised approach to credit risk under the risk-based framework.

The Committee is consulting on an additional leverage ratio requirement applicable to global systemically important banks until 6 July. (Source: Basel Committee consults on Basel III document revisions).