Basel Committee consults on Leverage Ratio revisions

April 8, 2016

The Basel Committee on Banking Supervision (BCBS) has published a consultative document on revisions to the Basel III Leverage Ratio framework, and responses to a third set of frequently asked questions (FAQs).

The proposed revisions include:

  • using a modified version of the Standardised Approach for Measuring Counterparty Credit Risk Exposures (SA-CCR) instead of the Current Exposure Method (CEM)
  • proposcals for the treatment of regular-way purchases and sales of financial assets
  • clarification of the treatment of provisions and prudential valuation adjustments for less liquid positions
  • alignment of 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 deadline for submitting comments on the proposals is 6 July 2016.

The complete proposals can be found on the website of the Bank for International Settlements (BIS) by clicking here. An outline of AxiomSL’s solution for the Leverage Ratio is available here.