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Revisions to leverage ratio disclosure requirements

Summary of document history   Previous version Previousconsultation This version Subsequentconsultation Subsequentversion Pillar 3 disclosure requirements - updated framework 11 Dec 2018 Type:  Standards Status:  Forthcoming This version BCBS  |  Consultative  |  13 December 2018  |  Status:  Open [Upload comments] PDF full text (242kb)  |  13 pages

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Summary of document history  

This version

BCBS  | 
13 December 2018
Status:  Open [Upload comments]
PDF full text
 |  13 pages

The Basel III leverage ratio standard comprises a 3% minimum level that banks must meet at all times, a buffer for global systemically-important banks and a set of public disclosure requirements. For the purpose of disclosure requirements, banks must report the leverage ratio on a quarter-end basis or, subject to approval by national supervisors, report a measure based on averaging (eg using an average of exposure amounts based on daily or month-end values).

Heightened volatility in various segments of money and derivatives markets around key reference dates (eg quarter-end) has alerted the Basel Committee to potential regulatory arbitrage by banks. A particular concern is "window-dressing", in the form of temporary reductions of transaction volumes in key financial markets around reference dates resulting in the reporting and public disclosure of elevated leverage ratios. In this regard, the Committee published a newsletter in October 2018 in which it indicated that window-dressing by banks is unacceptable, as it undermines the intended policy objectives of the leverage ratio requirement and risks disrupting the operations of financial markets.

This consultative document seeks comments on revisions to leverage ratio Pillar 3 disclosure requirements to include, in addition to current requirements, mandatory disclosure of the leverage ratio exposure measure amounts of securities financing transactions, derivatives replacement cost and central bank reserves as calculated using daily averages over the reporting quarter.

The Committee welcomes comments on all aspects of the consultative document here by Wednesday 13 March 2019. All comments will be published on the Bank for International Settlements website unless a respondent specifically requests confidential treatment.

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International Settlement
The Bank for International Settlements (BIS) is an international company limited by shares owned by central banks which "fosters international monetary and financial cooperation and serves as a bank for central banks". The BIS carries out its work through subcommittees, the secretariats it hosts and through an annual general meeting of all member banks. It also provides banking services, but only to central banks and other international organizations. It is based in Basel, Switzerland, with representative offices in Hong Kong and Mexico City.

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