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.