OCC BULLETIN 2014-47
Subject: Regulatory Capital - Supplementary Leverage Ratio
Date: September 26, 2014
To: Chief Executive Officers of National Banks and Federal Savings Associations, All Department and Division Heads, All Examining Personnel, and Other Interested Parties
Description: Final Rule
The Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, and the Federal Deposit Insurance Corporation (collectively, the agencies) have adopted a final rule that revises the calculation of total leverage exposure (the denominator of the supplementary leverage ratio) in a manner generally consistent with revisions to the international leverage ratio framework published by the Basel Committee on Banking Supervision in January 2014. The supplementary leverage ratio applies to all banking organizations subject to the agencies’ advanced approaches risk-based capital framework.1
The final rule
The measure of total leverage exposure will continue to include the carrying value of a banking organization’s on-balance-sheet assets (less amounts deducted from tier 1 capital) and a potential future exposure amount calculated for each derivative contract (or each single-product netting set thereof).
The supplementary leverage ratio is the ratio of a banking organization’s tier 1 capital to its total leverage exposure, which includes all on-balance-sheet assets and many off-balance-sheet exposures. The most significant changes relate to the treatment of written credit derivatives and the application of credit conversion factors to the amount of certain off-balance-sheet items.
Banking organizations subject to the supplementary leverage ratio requirements are required to calculate and publicly report their supplementary leverage ratios beginning in the first quarter of 2015. The minimum supplementary leverage ratio requirements are not effective until 2018.
Direct questions or comments to Nicole Billick, Risk Expert, or Margot Schwadron, Senior Risk Expert, Capital Policy Division, at (202) 649-6370; or Carl Kaminski, Counsel, or Henry Barkhausen, Attorney, Legislative and Regulatory Activities Division, at (202) 649-5490.
Jennifer C. Kelly
1 Advanced approaches banking organizations generally include those with $250 billion or more in total consolidated assets or $10 billion or more in on-balance-sheet foreign exposure; other banking organizations that opt in to the advanced approaches; and depository institution subsidiaries of banking organizations that trigger one of the aforementioned thresholds.