[Federal Register Volume 79, Number 84 (Thursday, May 1, 2014)]
[Proposed Rules]
[Pages 24596-24618]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2014-09357]


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DEPARTMENT OF TREASURY

Office of the Comptroller of the Currency

12 CFR Part 3

[Docket ID OCC-2014-0008]
RIN 1557-AD81

FEDERAL RESERVE SYSTEM

12 CFR Part 217

[Regulation Q; Docket No. R-1487]
RIN 7100-AD AD16

FEDERAL DEPOSIT INSURANCE CORPORATION

12 CFR Part 324

RIN 3064-AE12


Regulatory Capital Rules: Regulatory Capital, Proposed Revisions 
to the Supplementary Leverage Ratio

AGENCIES:  Office of the Comptroller of the Currency, Treasury; the 
Board of Governors of the Federal Reserve System; and the Federal 
Deposit Insurance Corporation.

ACTION: Proposed rule.

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SUMMARY: The Office of the Comptroller of the Currency (OCC), the Board 
of Governors of the Federal Reserve System (Board), and the Federal 
Deposit Insurance Corporation (FDIC) (collectively, the agencies) are 
issuing a notice of proposed rulemaking (proposed rule) that would 
revise the denominator of the supplementary leverage ratio (total 
leverage exposure) that the agencies adopted in July 2013 as part of 
comprehensive revisions to the agencies' regulatory capital rules (2013 
revised capital rule). Specifically, the proposed rule would revise the 
treatment of on- and off-balance sheet exposures for purposes of 
determining total leverage exposure, and more closely align the 
agencies' rules on the calculation of total leverage exposure with 
international leverage ratio standards.
    The proposed rule would incorporate in total leverage exposure the 
effective notional principal amount of credit derivatives and other 
similar instruments through which a banking organization provides 
credit protection (sold credit protection), modify the calculation of 
total leverage exposure for derivatives and repo-style transactions, 
and revise the credit conversion factors (CCFs) applied to certain off-
balance sheet exposures. The proposed rule also would make changes to 
the methodology for calculating the supplementary leverage ratio and to 
the public disclosure requirements for the supplementary leverage 
ratio.
    The proposed rule would apply to all banks, savings associations, 
bank holding companies, and savings and loan holding companies (banking 
organizations) that are subject to the agencies' advanced approaches 
risk-based capital rules (advanced approaches banking organizations), 
as defined in the 2013 revised capital rule, including advanced 
approaches banking organizations that are subject to the enhanced 
supplementary leverage ratio standards that the agencies have adopted 
in final form and published elsewhere in today's Federal Register (the 
eSLR standards). Consistent with the 2013 revised capital rule, 
advanced approaches banking organizations will be required to disclose 
their supplementary leverage ratios beginning January 1, 2015, and will 
be required to comply with a minimum supplementary leverage ratio 
capital requirement of 3 percent and, as applicable, the eSLR standards 
beginning January 1, 2018. The agencies are seeking comment on all 
aspects of the proposed rule.

DATES: Comments must be received no later than June 13, 2014.

ADDRESSES: Comments should be directed to:
    OCC: Because paper mail in the Washington, DC area and at the OCC 
is subject to delay, commenters are encouraged to submit comments by 
the Federal eRulemaking Portal or email, if possible. Please use the 
title ``Regulatory Capital Rules: Regulatory Capital, Proposed 
Revisions to the Supplementary Leverage Ratio'' to facilitate the 
organization and distribution of the comments. You may submit comments 
by any of the following methods:
     Federal eRulemaking Portal--``regulations.gov'': Go to 
http://www.regulations.gov. Enter ``Docket ID OCC-2014-0008'' in the 
Search Box and click ``Search''. Results can be filtered using the 
filtering tools on the left side of the screen. Click on ``Comment 
Now'' to submit public comments.
     Click on the ``Help'' tab on the Regulations.gov home page 
to get information on using Regulations.gov, including instructions for 
submitting public comments.
     Email: regs.comments@occ.treas.gov.
     Mail: Legislative and Regulatory Activities Division, 
Office of the Comptroller of the Currency, 400 7th Street SW., Suite 
3E-218, Mail Stop 9W-11, Washington, DC 20219.

[[Page 24597]]

     Hand Delivery/Courier: 400 7th Street SW., Suite 3E-218, 
Mail Stop 9W-11, Washington, DC 20219.
     Fax: (571) 465-4326.
    Instructions: You must include ``OCC'' as the agency name and 
``Docket ID OCC-2014-0008'' in your comment. In general, OCC will enter 
all comments received into the docket and publish them on the 
Regulations.gov Web site without change, including any business or 
personal information that you provide such as name and address 
information, email addresses, or phone numbers. Comments received, 
including attachments and other supporting materials, are part of the 
public record and subject to public disclosure. Do not enclose any 
information in your comment or supporting materials that you consider 
confidential or inappropriate for public disclosure.
    You may review comments and other related materials that pertain to 
this rulemaking action by any of the following methods:
     Viewing Comments Electronically: Go to http://www.regulations.gov. Enter ``Docket ID OCC-2014-0008'' in the Search 
box and click ``Search''. Comments can be filtered by Agency using the 
filtering tools on the left side of the screen.
     Click on the ``Help'' tab on the Regulations.gov home page 
to get information on using Regulations.gov, including instructions for 
viewing public comments, viewing other supporting and related 
materials, and viewing the docket after the close of the comment 
period.
     Viewing Comments Personally: You may personally inspect 
and photocopy comments at the OCC, 400 7th Street SW., Washington, DC. 
For security reasons, the OCC requires that visitors make an 
appointment to inspect comments. You may do so by calling (202) 649-
6700. Upon arrival, visitors will be required to present valid 
government-issued photo identification and to submit to security 
screening in order to inspect and photocopy comments.
     Docket: You may also view or request available background 
documents and project summaries using the methods described above.
    Board: When submitting comments, please consider submitting your 
comments by email or fax because paper mail in the Washington, DC area 
and at the Board may be subject to delay. You may submit comments, 
identified by Docket No. R-1487 RIN AE-16, by any of the following 
methods:
     Agency Web site:http://www.federalreserve.gov. Follow the 
instructions for submitting comments at http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm. 
     Federal eRulemaking Portal: http://www.regulations.gov. 
Follow the instructions for submitting comments.
     Email: regs.comments@federalreserve.gov. Include docket 
number in the subject line of the message.
     Fax: (202) 452-3819 or (202) 452-3102.
     Mail: Robert de V. Frierson, Secretary, Board of Governors 
of the Federal Reserve System, 20th Street and Constitution Avenue NW., 
Washington, DC 20551.
    All public comments are available from the Board's Web site at 
http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm as 
submitted, unless modified for technical reasons. Accordingly, your 
comments will not be edited to remove any identifying or contact 
information. Public comments may also be viewed electronically or in 
paper form in Room MP-500 of the Board's Martin Building (20th and C 
Street NW., Washington, DC 20551) between 9:00 a.m. and 5:00 p.m. on 
weekdays.
    FDIC: You may submit comments, identified by RIN 3064-AE12, by any 
of the following methods:
    Agency Web site: http://www.fdic.gov/regulations/laws/federal/propose.html. Follow instructions for submitting comments on the Agency 
Web site.
     Email: Comments@fdic.gov. Include the RIN 3064-AE12 on the 
subject line of the message.
     Mail: Robert E. Feldman, Executive Secretary, Attention: 
Comments, Federal Deposit Insurance Corporation, 550 17th Street NW., 
Washington, DC 20429.
     Hand Delivery: Comments may be hand delivered to the guard 
station at the rear of the 550 17th Street Building (located on F 
Street) on business days between 7:00 a.m. and 5:00 p.m.
    Public Inspection: All comments received must include the agency 
name and RIN 3064-AE12 for this rulemaking. All comments received will 
be posted without change to http://www.fdic.gov/regulations/laws/federal/propose.html, including any personal information provided. 
Paper copies of public comments may be ordered from the FDIC Public 
Information Center, 3501 North Fairfax Drive, Room E-1002, Arlington, 
VA 22226 by telephone at (877) 275-3342 or (703) 562-2200.

FOR FURTHER INFORMATION CONTACT: OCC: Roger Tufts, Senior Economic 
Advisor, (202) 649-6981; or Nicole Billick, Risk Expert, (202) 649-
7932, Capital Policy; or Carl Kaminski, Counsel; or Henry Barkhausen, 
Attorney, Legislative and Regulatory Activities Division, (202) 649-
5490, Office of the Comptroller of the Currency, 400 7th Street SW., 
Washington, DC 20219.
    Board: Constance M. Horsley, Assistant Director, (202) 452-5239; 
Thomas Boemio, Manager, (202) 452-2982; or Sviatlana Phelan, Senior 
Financial Analyst, (202) 912-4306, Capital and Regulatory Policy, 
Division of Banking Supervision and Regulation; or Benjamin McDonough, 
Senior Counsel, (202) 452-2036; April C. Snyder, Senior Counsel, (202) 
452-3099; or Mark Buresh, Attorney, (202) 452-5270, Legal Division, 
Board of Governors of the Federal Reserve System, 20th and C Streets 
NW., Washington, DC 20551. For the hearing impaired only, 
Telecommunication Device for the Deaf (TDD), (202) 263-4869.
    FDIC: George French, Deputy Director, gfrench@fdic.gov; Bobby R. 
Bean, Associate Director, bbean@fdic.gov; Ryan Billingsley, Chief, 
Capital Policy Section, rbillingsley@fdic.gov; Karl Reitz, Chief, 
Capital Markets Strategies Section, kreitz@fdic.gov; Capital Markets 
Branch, Division of Risk Management Supervision, 
regulatorycapital@fdic.gov or (202) 898-6888; or Mark Handzlik, 
Counsel, mhandzlik@fdic.gov; Michael Phillips, Counsel, 
mphillips@fdic.gov; or Rachel Ackmann, Attorney, rackmann@fdic.gov; 
Supervision Branch, Legal Division, Federal Deposit Insurance 
Corporation, 550 17th Street NW., Washington, DC 20429.

SUPPLEMENTARY INFORMATION: 

I. Background

    In 2013, the Office of the Comptroller of the Currency (OCC), the 
Board of Governors of the Federal Reserve System (Board), and the 
Federal Deposit Insurance Corporation (FDIC) (collectively, the 
agencies) comprehensively revised and strengthened the capital 
regulations applicable to banking organizations (2013 revised capital 
rule). The 2013 revised capital rule included a new minimum 
supplementary leverage ratio requirement of 3 percent.\1\ The 
supplementary leverage ratio applies to banking organizations that are 
subject to the agencies' advanced approaches risk-based capital rules 
(advanced approaches banking organizations), as defined in the 2013 
revised capital rule,

[[Page 24598]]

and is the arithmetic mean of the ratio of tier 1 capital to total 
leverage exposure calculated as of the last day of each month in the 
reporting quarter.
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    \1\ The Board and the OCC published a joint final rule in the 
Federal Register on October 11, 2013 (78 FR 62018) and the FDIC 
published a substantially identical interim final rule on September 
10, 2013 (78 FR 55340).
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    The supplementary leverage ratio included in the 2013 revised 
capital rule is generally consistent with the international leverage 
ratio introduced by the Basel Committee on Banking Supervision (BCBS) 
in 2010 (Basel III leverage ratio).\2\ The agencies indicated in the 
preamble to the 2013 revised capital rule that they would consider 
revising the supplementary leverage ratio to take into account 
subsequent changes made by the BCBS to the Basel III leverage ratio.
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    \2\ See BCBS, ``Basel III: A Global Regulatory Framework for 
More Resilient Banks and Banking Systems'' (December 2010 and 
revised in June 2011), available at http://www.bis.org/publ/bcbs189.htm. The BCBS is a committee of banking supervisory 
authorities, which was established by the central bank governors of 
the G-10 countries in 1975. More information regarding the BCBS and 
its membership is available at http://www.bis.org/bcbs/about.htm. 
Documents issued by the BCBS are available through the Bank for 
International Settlements Web site at http://www.bis.org.
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    In January 2014, the BCBS adopted revisions to the Basel III 
leverage ratio, which include the recognition in the denominator of the 
effective notional principal amount of credit derivatives or similar 
instruments through which a banking organization provides credit 
protection, modifications to the measure of exposure for derivatives 
and repo-style transactions, and revisions to the credit conversion 
factors (CCFs) for certain off-balance sheet exposures (BCBS 2014 
revisions).\3\
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    \3\ See BCBS, ``Basel III leverage ratio framework and 
disclosure requirements'' (January 2014), available at http://www.bis.org/publ/bcbs270.htm. See also BCBS, ``Revised Basel III 
leverage ratio framework and disclosure requirements--consultative 
document'' (June 2013), available at http://www.bis.org/publ/bcbs251.htm.
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    The agencies believe that revising the supplementary leverage ratio 
in a manner consistent with the BCBS 2014 revisions would strengthen 
the definition of total leverage exposure and improve the measure of a 
banking organization's on- and off-balance sheet exposures. The 
agencies believe that the BCBS 2014 revisions would promote consistency 
in the calculation of this ratio across jurisdictions and are 
responsive to a number of specific concerns expressed by commenters on 
the supplementary leverage ratio in the 2013 revised capital rule and 
on the enhanced supplementary leverage ratio standards proposal (eSLR 
standards proposal).\4\ In addition, the agencies are proposing 
additional supplementary leverage ratio disclosure requirements, 
consistent with the BCBS 2014 revisions. The agencies believe that the 
proposed disclosures would enhance transparency and provide market 
participants with important information related to the supplementary 
leverage ratio.
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    \4\ See 78 FR 51101 (August 20, 2013).
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    Elsewhere in today's Federal Register, the agencies have published 
a final rule that applies enhanced supplementary leverage ratio 
standards to the largest, most interconnected U.S. banking 
organizations (eSLR standards final rule).
    The agencies seek comment on all aspects of the proposed rule, 
including its interactions with the eSLR standards final rule, as the 
proposed changes to total leverage exposure and the methodology for 
calculating the supplementary leverage ratio also would, if adopted, 
affect banking organizations subject to the eSLR standards final rule.

II. Proposed Rule

    As discussed in further detail below, the proposed rule would 
revise the calculation of the supplementary leverage ratio and the 
definition of total leverage exposure. The proposed rule also would 
address some of the comments the agencies received regarding the 
interaction of the BCBS agreements and the agencies' eSLR standards 
proposal. In general, the changes are designed to strengthen the 
supplementary leverage ratio by more appropriately capturing the 
exposure of a banking organization's on- and off-balance sheet items. 
For example, the proposed rule would capture in total leverage exposure 
the effective notional principal amount of credit derivatives and other 
similar instruments through which a banking organization provides 
credit protection (sold credit protection), which has the effect of 
increasing total leverage exposure associated with these credit 
derivatives, and introduce graduated CCFs in the treatment of off-
balance sheet commitments that would reduce the portion of total 
leverage exposure associated with these commitments. The proposed rule 
also would modify the total leverage exposure calculation for 
derivative contracts and repo-style transactions in a manner that is 
intended to ensure that the supplementary leverage ratio appropriately 
reflects the economic exposure of these activities.
    Consistent with the 2013 revised capital rule, total leverage 
exposure would continue to include:
    (i) The balance sheet carrying value of a banking organization's 
on-balance sheet assets, less amounts deducted from tier 1 capital 
under sections 22(a), 22(c), and 22(d) of the 2013 revised capital 
rule;
    (ii) The potential future exposure (PFE) for each derivative 
contract, including for certain cleared transactions, to which the 
banking organization is a counterparty (or each single-product netting 
set of such transactions) determined in accordance with the treatment 
of derivative contracts under the standardized approach for risk-
weighted assets, and as set forth in section 34 of the 2013 revised 
capital rule. However, for purposes of determining total leverage 
exposure, a banking organization would not be permitted to reduce the 
PFE by the amount of any collateral under section 34(b) of the 2013 
revised capital rule; \5\ and
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    \5\ A banking organization may choose to adjust the PFE for 
certain sold credit protection as described in part II.b of this 
preamble.
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    (iii) 10 percent of the notional amount of unconditionally 
cancellable commitments made by the banking organization.
    Under the proposed rule, total leverage exposure also would 
include:
     Adjustments to exposure amounts associated with derivative 
contracts if cash collateral received from, or posted to, a 
counterparty for derivative contracts does not meet specified 
conditions;
     The effective notional principal amount, subject to 
certain reductions, of sold credit protection that is not offset by 
purchased credit protection on the same underlying reference exposure 
that meets specified conditions;
     Adjustments to the on-balance sheet asset amounts for 
repo-style transactions (including securities lending, securities 
borrowing, repurchase and reverse repurchase transactions), including a 
requirement to include in total leverage exposure the gross value of 
receivables associated with repo-style transactions that do not meet 
specified conditions;
     A measure of counterparty credit risk for repo-style 
transactions; and
     The notional amount of all other off-balance sheet 
exposures (excluding off-balance sheet exposures associated with 
securities lending, securities borrowing, reverse repurchase 
transactions, and derivatives) multiplied by the appropriate CCF under 
the standardized approach for risk-weighted assets, and as set forth in 
section 33 of the 2013 revised capital rule. However, for purposes of 
determining total leverage exposure, the minimum CCF that may be 
assigned to an off-balance sheet exposure is 10 percent.
    The proposed rule also would clarify the calculation of total 
leverage

[[Page 24599]]

exposure for a clearing member banking organization with regard to 
cleared derivative contracts that are intermediated on behalf of a 
clearing member client with a central counterparty (CCP) to ensure that 
the clearing member banking organization does not double count these 
exposures.
    Finally, the proposed rule would revise the calculation of the 
supplementary leverage ratio to address some of the comments received 
on the eSLR standards proposal. Specifically, under the proposed rule, 
a banking organization would calculate tier 1 capital as of the last 
day of each reporting quarter, consistent with the calculation of tier 
1 capital for purposes of the generally applicable leverage ratio 
requirement,\6\ and total leverage exposure would be calculated as the 
arithmetic mean of the total leverage exposure calculated as of each 
day of the reporting quarter.
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    \6\ The generally applicable leverage ratio under the 2013 
revised capital rule is the ratio of a banking organization's tier 1 
capital to its average total consolidated assets as reported on the 
banking organization's regulatory report minus amounts deducted from 
tier 1 capital.
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a. Cash Variation Margin

    Under the 2013 revised capital rule, total leverage exposure 
includes a banking organization's on-balance sheet assets, including 
the carrying value, if any, of derivative contracts on the banking 
organization's balance sheet. For purposes of determining the carrying 
value of derivative contracts, U.S. generally accepted accounting 
principles (GAAP) provide a banking organization the option to reduce 
any positive mark-to-fair value of a derivative contract by the amount 
of any cash collateral received from the counterparty, provided the 
relevant GAAP criteria for offsetting are met (the GAAP offset 
option).\7\ Similarly, under the GAAP offset option, a banking 
organization has the option to offset the negative mark-to-fair value 
of a derivative contract with a counterparty by the amount of any cash 
collateral posted to the counterparty. Essentially, the GAAP offset 
option allows a banking organization to treat cash collateral that the 
banking organization receives or posts as a form of pre-settlement of 
an obligation between itself and its counterparty to the derivative 
contract. In addition, regardless of whether a banking organization 
uses the GAAP offset option to calculate the on-balance sheet amount of 
derivatives contracts, the banking organization includes the amount of 
cash collateral received from the counterparty in its on-balance sheet 
assets, and thus in its total leverage exposure.
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    \7\ See Accounting Standards Codification paragraphs 815-10-45-1 
through 7.
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    The proposed rule would specify the conditions that a banking 
organization's cash collateral received from or posted to a 
counterparty to a derivative contract (cash variation margin) would be 
required to satisfy in order for the cash collateral to not be included 
in the organization's total leverage exposure. The proposed conditions 
are generally similar to the criteria for the GAAP offset option, and 
therefore, to the treatment under the 2013 revised capital rule. 
However, if a banking organization reduces the positive mark-to-fair 
value of a derivative contract with a counterparty as permitted under 
the GAAP offset option, but the cash collateral received does not meet 
the specified conditions for cash variation margin, the banking 
organization would be required to include the positive mark-to-fair 
value of the derivative contract gross of any cash collateral in its 
total leverage exposure. Similarly, if a banking organization offsets 
the net negative mark-to-fair value of derivative contracts with a 
counterparty by the amount of any cash collateral posted to the 
counterparty, and does not include that cash collateral posted to the 
counterparty in its on-balance sheet assets, as permitted under the 
GAAP offset option, but the cash collateral posted does not meet the 
specified conditions for cash variation margin, the banking 
organization would be required to include such cash collateral in its 
total leverage exposure.
    The agencies believe that the regular and timely exchange of cash 
variation margin is an effective way of protecting both counterparties 
from the effects of a counterparty default. The proposed criteria that 
must be satisfied for cash variation margin to not be included in total 
leverage exposure were developed to ensure that such cash collateral 
is, in substance, a form of pre-settlement payment on a derivative 
contract. This approach is consistent with the design of the 
supplementary leverage ratio, which generally does not permit 
collateral to reduce exposures for purposes of calculating total 
leverage exposure.
    Under the proposed rule, cash variation margin that satisfies the 
requirements described below may be used to reduce only the current 
credit exposure amount (i.e., the replacement cost) of a derivative 
contract, described in section 34(a)(i) of the 2013 revised capital 
rule, and may not be used to reduce the PFE. Accordingly, the proposed 
rule would prohibit a banking organization from using cash variation 
margin to reduce the net-to-gross ratio (NGR) described in section 
34(a)(2)(ii)(B) of the 2013 revised capital rule. Specifically, in the 
calculation of the NGR, cash variation margin may not reduce the net 
current credit exposure or the gross current credit exposure. In 
addition, the current credit exposure amount of all derivative 
contracts with a counterparty would not be allowed to be negative.
    Under the proposed rule, if a banking organization applies the GAAP 
offset option to the cash collateral exchanged between the banking 
organization and its counterparty to a derivative contract, the banking 
organization would be required to reverse the effect of the GAAP offset 
option for purposes of determining total leverage exposure, unless the 
cash collateral is cash variation margin that satisfies all of the 
following conditions:
    (1) For derivative contracts that are not cleared through a 
qualifying central counterparty (QCCP), the cash collateral received by 
the recipient counterparty is not segregated;
    (2) Variation margin is calculated and transferred on a daily basis 
based on the mark-to-fair value of the derivative contract;
    (3) The variation margin transferred under the derivative contract 
or the governing rules for a cleared transaction is the full amount 
that is necessary to fully extinguish the current credit exposure 
amount to the counterparty of the derivative contract, subject to the 
threshold and minimum transfer amounts applicable to the counterparty 
under the terms of the derivative contract or the governing rules for a 
cleared transaction;
    (4) The variation margin is in the form of cash in the same 
currency as the currency of settlement set forth in the derivative 
contract, provided that, for purposes of this paragraph, currency of 
settlement means any currency for settlement specified in the 
qualifying master netting agreement,\8\ the credit support annex to the 
qualifying master netting agreement, or in the governing rules for a 
cleared transaction; and
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    \8\ Qualifying master netting agreement is defined in section 2 
of the 2013 revised capital rule.
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    (5) The derivative contract and the variation margin are governed 
by a qualifying master netting agreement between the legal entities 
that are the counterparties to the derivative contract or the governing 
rules for a cleared transaction. The qualifying master netting 
agreement or the governing rules for a cleared transaction must 
explicitly stipulate that the counterparties agree to settle any 
payment obligations on a net

[[Page 24600]]

basis, taking into account any variation margin received or provided 
under the contract if a credit event involving either counterparty 
occurs.
    Question 1: What are the benefits and drawbacks of the proposed 
treatment of cash variation margin for purposes of calculating total 
leverage exposure?
    Question 2: What differences, if any, exist between the proposed 
criteria for cash variation margin for purposes of the supplementary 
leverage ratio and the treatment of cash collateral under GAAP? 
Commenters are encouraged to provide quantitative information regarding 
the magnitude of any such differences. In addition, what are 
commenters' views on an alternative approach for cash collateral 
transferred in derivative transactions that would use only the GAAP 
offset option for purposes of taking into account cash collateral in 
calculation of total leverage exposure?
    Question 3: What are the operational implications of the proposed 
criteria for cash variation margin, as well as the proposed definition 
of the currency of settlement? What other concerns, if any, do 
commenters have with regard to banking organizations' ability to 
satisfy the specified criteria for cash variation margin in light of 
the requirements for qualifying master netting agreements and cleared 
transactions?

b. Credit Derivatives

    Under the 2013 revised capital rule, credit derivatives are treated 
in the same manner as other derivative contracts for purposes of 
determining total leverage exposure. As such, a banking organization 
would calculate the exposure amount associated with a credit derivative 
using the current exposure methodology as described in section 34 of 
the 2013 revised capital rule. This methodology captures the 
counterparty credit risk arising from the creditworthiness of the 
counterparty, but not the credit risk of the underlying reference 
exposure.
    A banking organization that provides credit protection in the form 
of a credit derivative agrees to assume the credit risk of the 
reference exposure, similar to providing a guarantee. As such, a 
provider of credit protection on an underlying reference exposure has a 
credit exposure to the underlying reference exposure, in addition to 
the counterparty credit risk exposure associated with the counterparty. 
For this reason, the agencies believe that it is appropriate to revise 
the measure of exposure for sold credit protection in a manner that is 
more consistent with the treatment of guarantees. Sold credit 
protection would include, but not be limited to, credit default swaps 
and total return swaps that reference instruments with credit risk 
(e.g., a bond). This proposed change is consistent with the 2014 BCBS 
revisions.
    Accordingly, in addition to the exposure amount calculated for sold 
credit protection under the current exposure methodology, the proposed 
rule would include in total leverage exposure the effective notional 
principal amount (that is, the apparent or stated notional principal 
amount multiplied by any multiplier in the derivative contract) of sold 
credit protection, subject to certain reductions described below. The 
use of the effective notional principal amount is designed to capture 
the potential exposure of contracts that are leveraged or otherwise 
enhanced by the structure of the transaction. For example, a credit 
default swap with a stated notional amount of $50 that pays the 
purchaser of protection twice the difference between the par value of 
the reference exposure and the value of the reference exposure at 
default would have an effective notional principal amount equal to 
$100.
    Under the proposed rule, a banking organization would be permitted 
to reduce the effective notional principal amount of sold credit 
protection by any reduction in the mark-to-fair value of the sold 
credit protection if the reduction is recognized in common equity tier 
1 capital.
    A banking organization would be permitted to further reduce the 
effective notional principal amount of sold credit protection by the 
effective notional principal amount of a credit derivative or similar 
instrument through which the banking organization has purchased credit 
protection from a third party (purchased credit protection), provided 
certain requirements are satisfied as described below.
    First, the purchased credit protection would need to have a 
remaining maturity that is equal to or greater than the remaining 
maturity of the sold credit protection.
    Second, to reduce the effective notional principal amount of sold 
credit protection that references a single reference exposure, the 
reference exposure of the purchased credit protection would need to 
refer to the same legal entity and rank pari passu with, or be junior 
to,\9\ the reference exposure of the sold credit protection.
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    \9\ A credit event on the senior reference exposure must result 
in a credit event on the junior reference exposure.
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    In addition, a banking organization may reduce the effective 
notional principal amount of sold credit protection that references a 
single reference exposure by a purchased credit protection that 
references multiple exposures if the purchased credit protection is 
economically equivalent to buying credit protection separately on each 
of the individual reference exposures of the sold credit protection. 
For example, this would be the case if a banking organization were to 
purchase credit protection on an entire securitization structure or on 
an entire index that includes the reference exposure of the sold credit 
protection. However, if banking organization purchases credit 
protection that references multiple exposures, but the purchased credit 
protection does not cover all of the sold credit protection's reference 
exposures (that is, the purchased credit protection covers only a 
subset of the sold credit protection's reference exposures, as in the 
case of an n\th\-to-default credit derivative or a tranche of a 
securitization), the proposed rule would not allow the banking 
organization to reduce the effective notional principal amount of the 
sold credit protection that references a single exposure.
    To reduce the effective notional principal amount of sold credit 
protection that references multiple exposures, the reference exposures 
of the purchased credit protection would need to refer to the same 
legal entities and rank pari passu with the reference exposures of the 
sold credit protection. In addition, the level of seniority of the 
purchased credit protection would need to rank pari passu to the level 
of seniority of the sold credit protection. Therefore, offsetting would 
be recognized only when all of the reference exposures and the level of 
subordination of protection sold and protection purchased are 
identical. For example, a banking organization may reduce the effective 
notional principal amount of the sold credit protection on an index 
(e.g., the CDX), or a tranche of an index, with purchased credit 
protection on such index, or a tranche of equal seniority of such 
index, respectively.
    When a banking organization reduces the effective notional 
principal amount of sold credit protection by (i) a reduction in the 
mark-to-fair value of the sold credit protection (through common equity 
tier 1 capital) and (ii) purchased credit protection as described 
above, the banking organization must reduce the effective notional 
principal amount of purchased credit protection by the amount of any 
increase in the mark-to-fair value of the purchased credit protection 
that is recognized in common equity tier 1 capital. Further, if

[[Page 24601]]

a banking organization purchases credit protection through a total 
return swap and records the net payments received as net income but 
does not record offsetting deterioration in the mark-to-fair value of 
the sold credit protection on the reference exposure (either through 
reductions in fair value or by additions to reserves) in common equity 
tier 1 capital, the banking organization would not be allowed to reduce 
the effective notional principal amount of the sold credit protection.
    Under the proposed rule, because sold credit protection is included 
in total leverage exposure through the effective notional principal 
amount, the current credit exposure and the PFE, a banking organization 
would be permitted to adjust the PFE for sold credit protection to 
avoid double-counting of the notional amounts of these exposures. For 
example, if the sold credit protection is governed by a qualifying 
master netting agreement, a banking organization may adjust the PFE for 
sold credit protection covered by the qualifying master netting 
agreement. However, a banking organization would be allowed to adjust 
only the amount Agross of the PFE calculation for sold 
credit derivatives and would not be allowed to adjust the NGR of the 
PFE calculation. Finally, a banking organization that elects to adjust 
the PFE for sold credit derivatives would be required to do so 
consistently over time.
    Question 4: What are commenters' views on incorporating the 
effective notional principal amount of sold credit protection in total 
leverage exposure and on the proposed criteria for determining the 
exposure amount of such sold credit protection, including the 
operational burden of the calculation?
    Question 5: What specific modifications, if any, should the 
agencies consider with respect to the proposed measure of exposure for 
sold credit protection?
    Question 6: What are commenters' views on the proposed optional 
adjustment of the PFE calculation for sold credit protection?

c. Repo-Style Transactions

    Under the 2013 revised capital rule, total leverage exposure 
includes the on-balance sheet carrying value of repo-style 
transactions, but not any related off-balance sheet exposure for such 
transactions. For the purpose of determining the on-balance sheet 
carrying value of a repo-style transaction with a counterparty, GAAP 
permits the offset of gross values of receivables due from a 
counterparty under reverse repurchase agreements by the amount of the 
payments due to the counterparty (that is, amounts recognized as 
payables to the same counterparty under repurchase agreements), 
provided the relevant accounting criteria are met (GAAP offset for 
repo-style transactions).\10\
---------------------------------------------------------------------------

    \10\ See Accounting Standards Codification paragraph 210-20-45-
11.
---------------------------------------------------------------------------

    Consistent with the approach in the BCBS 2014 revisions, the 
proposed rule would specify the criteria for when a banking 
organization would be required to reverse the GAAP offset for repo-
style transactions and include a measure of counterparty credit risk 
for repo-style transactions in the calculation of total leverage 
exposure to better capture a banking organization's exposure to repo-
style transaction counterparties. The proposed rule would also clarify 
the calculation of exposure for repo-style transactions where a banking 
organization acts as an agent.
    Under the proposed rule, if a banking organization sells securities 
under a repo-style transaction and the transaction is treated as a sale 
(rather than a secured borrowing) for accounting purposes, the banking 
organization would be required to add the value of such securities to 
total leverage exposure for as long as the repo-style arrangement is 
outstanding. While the agencies believe that such repo-style 
arrangements are not common in the United States, the agencies are 
proposing this treatment, consistent with the BCBS 2014 revisions, to 
capture a banking organization's economic exposure, even if an 
accounting sales treatment is achieved, in cases when the banking 
organization may have future contractual obligations arising under the 
repo-style arrangement.
    Question 7: What are commenters' views on the proposed treatment of 
repo-style arrangements where an accounting sales treatment is 
achieved?
    Under the proposed rule, when a banking organization acts as a 
principal in a repo-style transaction, it generally would include in 
total leverage exposure the amount of any on-balance sheet assets 
recognized for repo-style transactions (that is, after applying the 
GAAP offset for repo-style transactions). However, if the criteria 
described below are not satisfied, the banking organization would be 
required to replace the on-balance sheet assets for those repo-style 
transactions with the gross value of receivables associated with those 
repo-style transactions in calculating its total leverage exposure. 
That is, if a banking organization enters into repurchase and reverse 
repurchase transactions with the same counterparty and applies the GAAP 
offset for repo-style transactions but does not meet the below 
criteria, the banking organization would be required to replace the on-
balance sheet assets of the reverse repurchase transactions with the 
gross value of receivables for those reverse repurchase transactions.
    Specifically, under the proposed rule, the gross value of 
receivables associated with the repo-style transactions would be 
included in total leverage exposure unless all of the following 
criteria are met:
    (A) The offsetting transactions have the same explicit final 
settlement date under their governing agreements;
    (B) The right to offset the amount owed to the counterparty with 
the amount owed by the counterparty is legally enforceable in the 
normal course of business and in the event of receivership, insolvency, 
liquidation, or similar proceeding; and
    (C) Under the governing agreements, the counterparties intend to 
settle net, settle simultaneously, or settle according to a process 
that is the functional equivalent of net settlement. That is, the cash 
flows of the transactions are equivalent, in effect, to a single net 
amount on the settlement date. To achieve this result, both 
transactions must be settled through the same settlement system and the 
settlement arrangements must be supported by cash or intraday credit 
facilities intended to ensure that settlement of both transactions will 
occur by the end of the business day, and the settlement of the 
underlying securities does not interfere with the net cash settlement.
    The proposed criteria have been developed by the BCBS to ensure 
that banking organizations subject to different accounting frameworks 
and using different settlement mechanisms measure the exposure of repo-
style transactions in a consistent manner. For example, the third 
proposed criterion is designed to ensure that the cash flows between 
the counterparties to repo-style transactions are equivalent, in 
effect, to a single net amount on the settlement date. This criterion 
would be met if the counterparties use securities transfer systems or 
central settlement systems, supported by cash or intraday credit 
facilities, that offset repo-style transactions using gross amounts for 
each counterparty, but require the counterparties to transfer only a 
net amount owed at the end of the business day.
    The agencies observe that, as compared to a potentially more 
encompassing measure of exposure that

[[Page 24602]]

would include the gross values of receivables in reverse repurchase 
transactions, the proposed approach of allowing a limited offsetting of 
such assets gives some recognition to the arrangements that banking 
organizations have to limit their effective economic exposure from 
these transactions. Based on supervisory experience with current 
industry practices, the agencies believe that the proposed criteria for 
repo-style transactions would result in repo-style transaction amounts 
in total leverage exposure that are somewhat greater than the on-
balance sheet amounts and, as a result, would increase the regulatory 
capital requirement for such transactions. The agencies also 
acknowledge that there may be some costs to banking organizations 
associated with developing information systems to ensure that banking 
organizations meet the proposed criteria for repo-style transactions.
    Question 8: What are the operational implications of the proposed 
netting criteria for repo-style transactions compared to GAAP, and the 
magnitude of the change in total leverage exposure for these 
transactions compared to GAAP?
    Question 9: What are the potential costs of developing the 
necessary systems to offset amounts recognized as receivables due from 
a counterparty under reverse repurchase agreements?
    In a security-for-security repo-style transaction, rather than 
receiving cash as collateral against securities loaned, a banking 
organization receives securities as collateral for the securities that 
it lends. Under GAAP, the receiver of the securities lent (a securities 
borrower) does not include a security borrowed on its balance sheet 
unless the securities borrower sells the security or its lender 
defaults under the terms of the transaction.\11\ The security that a 
securities borrower transfers to its lender (a securities lender) as 
collateral would remain on the securities borrower's balance sheet. 
Consistent with GAAP, under the proposed rule, a securities borrower 
would include the security transferred to a securities lender in total 
leverage exposure and would not include the security borrowed in total 
leverage exposure, unless it sells the security or the lender defaults.
---------------------------------------------------------------------------

    \11\ The accounting treatment of security-for-security 
transactions is in Accounting Standards Codification 860-30, Secured 
Borrowing and Collateral.
---------------------------------------------------------------------------

    From the securities lender's perspective, under GAAP, a security 
received as collateral from a securities borrower is included on the 
security lender's balance sheet as an asset. The securities lender also 
would continue to include the security that it lent on its balance 
sheet, if it is treated as a secured borrowing. Under the proposed 
rule, in a security-for-security repo-style transaction, a securities 
lender would be allowed to exclude the security received as collateral 
from total leverage exposure, unless and until the securities lender 
sells or re-hypothecates the security. If the securities lender sells 
or re-hypothecates the security, the securities lender would include 
the amount of cash received or, in the case of re-hypothecation, the 
value of the security pledged as collateral in total leverage exposure. 
This approach is designed to ensure that a securities lender does not 
include both a security lent and a security received in total leverage 
exposure, until the securities lender sells or re-hypothecates the 
security received, to achieve a consistent treatment of security-for-
security repo-style transactions under different accounting frameworks.
    Question 10: What are commenters' views regarding the operational 
burden of the proposed exclusion of securities received in a security-
for-security transaction from total leverage exposure?
    Question 11: How quantitatively different is the proposed treatment 
of repo-style transactions in total leverage exposure compared to the 
treatment under GAAP?
    The proposed rule also would include a counterparty credit risk 
measure in total leverage exposure to capture a banking organization's 
exposure to the counterparty in repo-style transactions. To determine 
the counterparty exposure for a repo-style transaction, including a 
transaction in which a banking organization acts as an agent for a 
customer and indemnifies the customer against loss, the banking 
organization would subtract the fair value of the instruments, gold, 
and cash received from a counterparty from the fair value of any 
instruments, gold and cash lent to the counterparty. If the resulting 
amount is greater than zero, it would be included in total leverage 
exposure. For repo-style transactions that are not subject to a 
qualifying master netting agreement or that are not cleared 
transactions, the counterparty exposure measure must be calculated on a 
transaction-by-transaction basis. However, if a qualifying master 
netting agreement is in place, or the transaction is a cleared 
transaction, the banking organization could net the total fair value of 
instruments, gold, and cash lent to a counterparty against the total 
fair value of instruments, gold and cash received from the counterparty 
for those transactions.
    The agencies believe that the proposed approach recognizes that any 
positive, uncollateralized portion of a repo-style transaction (or a 
netting set thereof) is, in effect, an economic exposure for a banking 
organization that warrants inclusion in total leverage exposure.
    Question 12: What are commenters' views on the proposed treatment 
of counterparty credit risk for repo-style transactions?
    Finally, consistent with the BCBS 2014 revisions, where a banking 
organization acts as agent for a repo-style transaction and provides a 
guarantee (indemnity) to a customer with regard to the performance of 
the customer's counterparty that is greater than the difference between 
the fair value of the security or cash lent and the fair value of the 
security or cash borrowed, the banking organization must include the 
amount of the guarantee that is greater than this difference in its 
total leverage exposure. The agencies believe that this treatment 
recognizes that such indemnifications are effectively full or partial 
guarantees of the security or cash that is lent or borrowed.
    Question 13: What clarifications may be warranted in any final rule 
with regard to the proposed treatment for agency repo-style 
transactions?

d. Credit Conversion Factors for Off-Balance Sheet Exposures

    Under the 2013 revised capital rule, banking organizations must 
apply a 100 percent CCF to all off-balance sheet items to calculate 
total leverage exposure, except for unconditionally cancellable 
commitments, which are subject to a 10 percent CCF. The proposed rule 
would revise this treatment, consistent with the BCBS 2014 revisions. 
The proposed rule would retain the 10 percent CCF for unconditionally 
cancellable commitments, but it would replace the uniform 100 percent 
CCF for other off-balance sheet items with the CCFs applicable under 
the standardized approach for risk-weighted assets in section 33 of the 
2013 revised capital rule.
    For example, under the proposed rule, a banking organization would 
apply a 20 percent CCF to a commitment with an original maturity of one 
year or less that is not unconditionally cancellable, as provided by 
section 33 of the 2013 revised capital rule. However, for a commitment 
that is unconditionally cancellable, a banking organization would apply 
a 10 percent CCF even

[[Page 24603]]

though such commitment receives a zero percent CCF under the 2013 
revised capital rule.
    The agencies weighed a number of supervisory and prudential 
considerations in proposing this approach. The fixed 100 percent CCF in 
the 2013 revised capital rule is a conservative measure of economic 
exposure that does not differentiate across types of off-balance sheet 
commitments. However, because a uniform 100 percent CCF treats all off-
balance sheet exposures identically to on-balance sheet exposures, such 
an approach likely overstates the relative magnitude of the effective 
economic exposure created by most off-balance sheet exposures as 
compared to on-balance sheet exposures. The proposed approach is 
designed to incorporate off-balance sheet exposures in total leverage 
exposure without overstating the effective exposure amounts for these 
items.
    In addition, to ensure that all unfunded commitments are included 
in a banking organization's total leverage exposure, unconditionally 
cancellable commitments (such as credit card lines) would continue to 
be subject to a CCF of 10 percent, consistent with the 2013 revised 
capital rule, rather than the zero percent specified in the 
standardized approach for risk-weighted assets. The agencies believe 
that the proposed CCFs, which are also consistent with the 
internationally agreed approach of standardized CCFs, are appropriate 
for measuring total leverage exposure.
    Question 14: What are commenters' views on the proposed CCFs for 
off-balance sheet items? What, if any, modifications should be made to 
the proposed CCFs for any specific off-balance sheet items?

e. Central Clearing of Derivative Transactions

    The 2013 revised capital rule incorporates over-the-counter (OTC) 
derivatives and cleared derivative transactions in total leverage 
exposure in a uniform manner. The agencies are clarifying that the 
calculation of total leverage exposure must include the PFE for both 
non-cleared and certain cleared derivative transactions.
    The 2013 revised capital rule provides that a banking organization 
must include in total leverage exposure the PFE for each derivative 
contract to which the banking organization is a counterparty (or each 
single-product netting set of such transactions) calculated in 
accordance with section 34 (OTC derivative contracts), but without 
regard to any collateral used to reduce risk-based capital requirements 
pursuant to section 34(b) of the 2013 revised capital rule. Although 
cleared transactions are generally addressed in section 35 of the 2013 
revised capital rule, section 35 refers to section 34 for the purpose 
of determining the PFE of cleared derivative transactions. Thus, for 
the purpose of measuring total leverage exposure, the PFE for each 
derivative transaction to which a banking organization is a 
counterparty, including cleared derivative transactions, should be 
determined pursuant to section 34. The agencies are proposing to revise 
the description of total leverage exposure to make this point more 
clear.
    In addition, the agencies are clarifying the treatment of a cleared 
transaction on behalf of a clearing member client (client-cleared 
transaction). There are two models for client-cleared transactions--the 
agency model, which is common in the United States, and the principal 
model. In the agency model, a clearing member client enters into a 
derivative transaction directly with the CCP and the clearing member 
banking organization provides a guarantee of its clearing member 
client's performance to the CCP. If the clearing member client 
defaults, the clearing member banking organization must assume its 
clearing member client's obligations to the CCP with respect to the 
transaction (the guaranteed amount). The agencies are clarifying that 
the clearing member banking organization must include the guaranteed 
amount in its total leverage exposure.
    In the principal model, the clearing member banking organization 
serves as an intermediary between the clearing member client and the 
CCP. The principal model client-cleared transaction generally has two 
separate components--the clearing member client leg between the 
clearing member client and the clearing member banking organization, 
and the CCP leg between the clearing member banking organization and 
the CCP. The net effect is that, in the absence of a default, the 
clearing member banking organization is an intermediary for the 
exchange of cash flows between the clearing member client and the CCP, 
who are the effective counterparties to the transaction. If the 
clearing member client defaults in the principal model, the clearing 
member banking organization must generally continue to honor the 
clearing member client's contract with the CCP (that is, the guaranteed 
amount). The agencies are clarifying that the clearing member banking 
organization must include the guaranteed amount in its total leverage 
exposure.
    In addition, in either model for client-cleared transactions, a 
banking organization may or may not guarantee the performance of the 
CCP to a clearing member client. When the clearing member banking 
organization does not guarantee the performance of the CCP, the 
clearing member banking organization has no payment obligation to the 
clearing member client in the event of a CCP default. In these 
circumstances, requiring the clearing member banking organization to 
include an exposure to the CCP in its total leverage exposure generally 
would result in an overstatement of total leverage exposure. Therefore, 
under the proposed rule, and consistent with the BCBS 2014 revisions, a 
clearing member banking organization would not be required to include 
in its total leverage exposure an exposure to the CCP for client-
cleared transactions if the clearing member banking organization does 
not guarantee the performance of the CCP to the clearing member client. 
However, if a clearing member banking organization does guarantee the 
performance of the CCP to the clearing member client, then a clearing 
member banking organization would be required to include an exposure to 
the CCP for the client-cleared transactions in its total leverage 
exposure under the proposed rule.
    Question 15: What are commenters' views on the proposed total 
leverage exposure measurement of client-cleared transactions entered 
into by a clearing member banking organization? What other additional 
clarifications, if any, are necessary to clarify the exposure amount 
for client-cleared transactions?

f. Daily Averaging

    The 2013 revised capital rule defines the supplementary leverage 
ratio as the arithmetic mean of the ratio of tier 1 capital to total 
leverage exposure calculated as of the last day of each month in the 
reporting quarter. The agencies are proposing to revise the calculation 
of the supplementary leverage ratio as described below.
    Under the proposed rule, the numerator of the supplementary 
leverage ratio, tier 1 capital, would be calculated as of the last day 
of each reporting quarter. This approach is consistent with the 
calculation of the numerator of the generally applicable leverage ratio 
and would ensure that banking organizations use the same tier 1 
calculation for all of their leverage ratio calculations as well as 
their tier 1 capital ratio. However, total leverage exposure would be 
defined as the arithmetic mean of the total leverage exposure 
calculated for each day of the

[[Page 24604]]

reporting quarter. In other words, banking organizations would use the 
average of the daily calculations throughout the quarter of their total 
leverage exposure without applying any deductions. After calculating 
quarter-end tier 1 capital, banking organizations would subtract from 
the measure of total leverage exposure the applicable deductions from 
the previous quarter, for purposes of calculating the quarter-end 
supplementary leverage ratio.
    Some commenters on the eSLR standards proposal stated that using an 
average of three month-end balances to calculate total leverage 
exposure could lead to an artificial and temporary increase of the 
supplementary leverage ratio at the end of the month. These commenters 
argued that certain banking organizations, such as custody banks, can 
experience sudden substantial deposit inflows at the end of reporting 
periods or during times of financial stress, potentially causing a 
temporary increase of balance sheet assets. The proposed rule is 
designed to address this concern regarding sudden deposit inflows and 
result in measuring total leverage exposure more consistently over 
time.
    Question 16: What are commenters' views on the operational burden 
associated with the daily averaging of off-balance sheet exposures, 
including the PFE of derivatives, and do the benefits of such a 
calculation outweigh the costs?
    Question 17: What are commenters' views on the operational burden 
and integrity of an approach where daily averaging is required for on-
balance sheet assets only? Under such an approach, banking 
organizations would use the daily average of on-balance sheet exposures 
and the quarter-end calculation of off-balance sheet exposures when 
computing total leverage exposure.
    Question 18: Are there any alternative methods of calculating total 
leverage exposure that would be appropriate for the supplementary 
leverage ratio?

III. Estimated Capital Impact

    Quantitatively, compared to the 2013 revised capital rule, the most 
important changes in total leverage exposure in the proposed rule are 
(i) the proposed use of standardized CCFs for certain off-balance sheet 
activities, which should lead to a reduction in total leverage exposure 
and (ii) the proposed treatment of sold credit derivatives, which 
should lead to an increase in total leverage exposure. The actual total 
leverage exposure under the proposed rule would be especially sensitive 
to the volume of sold credit derivatives activities and whether those 
activities are hedged in a manner recognized under the proposal. Other 
regulatory changes, including the implementation of sections 619 and 
716 of the Dodd-Frank Wall Street Reform and Consumer Protection 
Act,\12\ also may reduce the volume of credit derivatives generally, in 
addition to increasing the extent to which credit derivatives are 
hedged.
---------------------------------------------------------------------------

    \12\ The Dodd-Frank Wall Street Reform and Consumer Protection 
Act, Public Law 111-203, 124 Stat. 136. Section 619 prohibits 
banking entities from engaging in proprietary trading and having 
ownership interests in or sponsoring hedge funds or private equity 
funds. 12 U.S.C. 1851. Section 716 restricts the ability of insured 
depository institutions to engage in swaps. 12 U.S.C. 8305.
---------------------------------------------------------------------------

    Supervisory estimates suggest that the proposed changes to the 
definition of total leverage exposure would result in an approximately 
5.5 percent aggregate increase in total leverage exposure compared to 
the definition of total leverage exposure in the 2013 revised capital 
rule for all banking organizations subject to the revised 
definition.\13\ This is an average figure and could vary materially 
from institution to institution. Additionally, these estimates are 
especially sensitive to the volume of credit derivatives activities and 
whether those activities are hedged. For some banking organizations, 
the proposed total leverage exposure may increase by less than the 
amount estimated above, and in some cases may result in a decrease in 
total leverage exposure.
---------------------------------------------------------------------------

    \13\ The estimates were generated by using December 2013 CCAR 
data, December Y-9C data, and June 2013 Quantitative Impact Study 
data.
---------------------------------------------------------------------------

    For the eight bank holding companies subject to the eSLR standards, 
supervisory estimates suggest that the proposed changes to the 
definition of total leverage exposure would result in an approximately 
8.5 percent aggregate increase in total leverage exposure compared to 
the definition of total leverage exposure in the 2013 revised capital 
rule. In order to avoid being subject to limitations on capital 
distributions and discretionary bonus payments, these institutions 
would need to raise in the aggregate over $46 billion in tier 1 capital 
to exceed a 5 percent supplementary leverage ratio under the proposed 
definition of total leverage exposure, over and above the amount they 
would need to raise if the definition of total leverage exposure in the 
2013 revised capital rule remained unchanged.
    The agencies are seeking comment on the regulatory capital impact 
of the proposed changes to total leverage exposure on advanced 
approaches banking organizations subject to the supplementary leverage 
ratio standard and banking organizations subject to the eSLR standards.
    Question 19: How does the commenters' estimate of the potential 
regulatory capital impact under the proposed rule, compared to the 
regulatory capital impact under the eSLR standards final rule and the 
2013 revised capital rule, differ from the agencies' impact estimate of 
the proposed rule?
    Question 20: Do the proposed changes to the definition of total 
leverage exposure warrant any changes to the calibration of the minimum 
ratios, or the well-capitalized or buffer levels of the supplementary 
leverage ratio?

IV. Disclosures

    The agencies have long supported meaningful public disclosure by 
banking organizations about their regulatory capital with a goal of 
improving market discipline and disclosing information in a comparable 
and consistent manner. The agencies' regulatory reports already 
incorporate reporting of the supplementary leverage ratio under the 
2013 rule, effective January 1, 2015. Consistent with the BCBS 2014 
revisions, the agencies are proposing to apply additional disclosure 
requirements for the calculation of the supplementary leverage ratio to 
top-tier advanced approaches banking organizations. The agencies 
believe that the proposed disclosures would enhance the transparency 
and consistency of reporting requirements for the supplementary 
leverage ratio by all internationally active banking organizations.
    Specifically, under the proposed rule, banking organizations would 
complete two parts of a supplementary leverage ratio disclosure table. 
Part 1 is designed to summarize the differences between the total 
consolidated accounting assets reported on a banking organization's 
published financial statements and regulatory reports and the 
calculation of total leverage exposure. Part 2 is designed to collect 
information on the components of total leverage exposure in more 
detail, similar to the version of FFIEC 101, Schedule A taking effect 
in March 2014. The agencies plan to reconsider the regulatory reporting 
requirements of the supplementary leverage ratio on FFIEC 101, Schedule 
A, in the future, to reflect these disclosures.

[[Page 24605]]



 Table 13 to Section 173 of the 2013 Revised Capital Rule--Supplementary
                             Leverage Ratio
------------------------------------------------------------------------
                                      Dollar amounts in thousands
                             -------------------------------------------
                                 Tril       Bil        Mil        Thou
------------------------------------------------------------------------
 Part 2: Summary comparison
  of accounting assets and
   total leverage exposure
------------------------------------------------------------------------
 
1 Total consolidated assets
 as reported in published
 financial statements.......
2 Adjustment for investments
 in banking, financial,
 insurance or commercial
 entities that are
 consolidated for accounting
 purposes but outside the
 scope of regulatory
 consolidation..............
3 Adjustment for fiduciary
 assets recognized on
 balance sheet but excluded
 from total leverage
 exposure...................
4 Adjustment for derivative
 exposures..................
5 Adjustment for repo-style
 transactions...............
6 Adjustment for off-balance
 sheet exposures (that is,
 conversion to credit
 equivalent amounts of off-
 balance sheet exposures)...
7 Other adjustments.........
8 Total leverage exposure...
------------------------------------------------------------------------
    Part 2: Supplementary
       leverage ratio
------------------------------------------------------------------------
 On-balance sheet exposures
------------------------------------------------------------------------
 
1 On-balance sheet assets
 (excluding on-balance sheet
 assets for repo-style
 transactions and derivative
 exposures, but including
 cash collateral received in
 derivative transactions)...
2 LESS: Amounts deducted
 from tier 1 capital........
3 Total on-balance sheet
 exposures (excluding on-
 balance sheet assets for
 repo-style transactions and
 derivative exposures, but
 including cash collateral
 received in derivative
 transactions) (sum of lines
 1 and 2)...................
------------------------------------------------------------------------
    Derivative exposures
------------------------------------------------------------------------
4 Replacement cost for
 derivative exposures (that
 is, net of cash variation
 margin)....................
5 Add-on amounts for
 potential future exposure
 (PFE) for derivatives
 exposures..................
6 Gross-up for cash
 collateral posted if
 deducted from the on-
 balance sheet assets,
 except for cash variation
 margin.....................
7 LESS: Deductions of
 receivable assets for cash
 variation margin posted in
 derivatives transactions,
 if included in on-balance
 sheet assets...............
8 LESS: Exempted CCP leg of
 client-cleared transactions
9 Effective notional
 principal amount of sold
 credit protection..........
10 LESS: Effective notional
 principal amount offsets
 and PFE adjustments for
 sold credit protection.....
11 Total derivative
 exposures (sum of lines 4
 to 10).....................
------------------------------------------------------------------------
   Repo-style transactions
------------------------------------------------------------------------
12 On-balance sheet assets
 for repo-style
 transactions, except
 include the gross value of
 receivables for reverse
 repurchase transactions.
 Exclude from this item the
 value of securities
 received in a security-for-
 security repo-style
 transaction where the
 securities lender has not
 sold or re-hypothecated the
 securities received.
 Include in this item the
 value of securities sold
 under a repo-style
 arrangement................
13 LESS: Reduction of the
 gross value of receivables
 in reverse repurchase
 transactions by cash
 payables in repurchase
 transactions under netting
 agreements.................
14 Counterparty credit risk
 for all repo-style
 transactions...............
15 Exposure for repo-style
 transactions where a
 banking organization acts
 as an agent................
16 Total exposures for repo-
 style transactions (sum of
 lines 12 to 15)............
------------------------------------------------------------------------
   Other off-balance sheet
          exposures
------------------------------------------------------------------------
 
17 Off-balance sheet
 exposures at gross notional
 amounts....................
18 LESS: Adjustments for
 conversion to credit
 equivalent amounts.........
19 Off-balance sheet
 exposures (sum of lines 17
 and 18)....................
------------------------------------------------------------------------
 Capital and total leverage
          exposure
------------------------------------------------------------------------
 
20 Tier 1 capital...........
21 Total leverage exposure
 (sum of lines 3, 11, 16 and
 19)........................
------------------------------------------------------------------------
Supplementary leverage ratio
------------------------------------------------------------------------
22 Supplementary leverage
 ratio......................                 (in percent)
------------------------------------------------------------------------


[[Page 24606]]

    Consistent with the BCBS 2014 revisions, if a banking organization 
has material differences between its total consolidated assets as 
reported in published financial statements and regulatory reports and 
its reported on-balance sheet assets for purposes of calculating the 
supplementary leverage ratio, the banking organization would be 
required to disclose and explain the source of the material 
differences. In addition, if a banking organization's supplementary 
leverage ratio changes significantly from one reporting period to 
another, the banking organization would be required to explain the key 
drivers of the material changes. Banking organizations would be 
required to disclose this information quarterly, using the exact 
template proposed in Table 13, and make the disclosures publicly 
available.
    Question 21: Would any of the disclosure items in the table not be 
relevant for U.S. banking organizations?
    Question 22: What is the operational burden of the proposed 
disclosure requirements?
    Question 23: What, if any, modifications to the disclosure 
requirements should the agencies consider in order to reduce 
operational burden, clarify disclosure items, or align with other 
disclosure and reporting requirements?

V. Regulatory Analyses

A. Paperwork Reduction Act (PRA)

    Certain provisions of the proposed rule contain ``collection of 
information'' requirements within the meaning of the Paperwork 
Reduction Act (PRA) of 1995 (44 U.S.C. 3501-3521). In accordance with 
the requirements of the PRA, the agencies may not conduct or sponsor, 
and a respondent is not required to respond to, an information 
collection unless it displays a currently valid Office of Management 
and Budget (OMB) control number. The OCC and FDIC will obtain OMB 
control numbers. The OMB control number for the Board is 7100-0313 and 
will be extended, with revision. The information collection 
requirements contained in this joint notice of proposed rulemaking have 
been submitted to OMB for review and approval by the OCC and FDIC under 
section 3507(d) of the PRA and section 1320.11 of OMB's implementing 
regulations (5 CFR part 1320). The Board reviewed the proposed rule 
under the authority delegated to the Board by OMB.
    The proposed rule contains requirements subject to the PRA. The 
disclosure requirements are found in section ----.173. The disclosure 
requirements in section ----.172 are accounted for in section ----.173. 
This information collection requirement would be consistent with the 
BCBS 2014 revisions to the Basel III leverage ratio, as mentioned in 
the Abstract below. The respondents are for-profit financial 
institutions, not including small businesses (see the agencies' 
Regulatory Flexibility Analysis).
    Comments are invited on:
    (a) Whether the collections of information are necessary for the 
proper performance of the agencies' functions, including whether the 
information has practical utility;
    (b) The accuracy of the estimates of the burden of the information 
collections, including the validity of the methodology and assumptions 
used;
    (c) Ways to enhance the quality, utility, and clarity of the 
information to be collected;
    (d) Ways to minimize the burden of the information collections on 
respondents, including through the use of automated collection 
techniques or other forms of information technology; and
    (e) Estimates of capital or start-up costs and costs of operation, 
maintenance, and purchase of services to provide information.
    All comments will become a matter of public record. Comments on 
aspects of this proposed rule that may affect reporting, recordkeeping, 
or disclosure requirements and burden estimates should be sent to the 
addresses listed in the ADDRESSES section. A copy of the comments may 
also be submitted to the OMB desk officer for the agencies: By mail to 
U.S. Office of Management and Budget, 725 17th Street NW., 
10235, Washington, DC 20503; by facsimile to 202-395-6974; or 
by email to: oira_submission@omb.eop.gov, Attention, Federal Banking 
Agency Desk Officer.
Proposed Information Collection
    Title of Information Collection: Disclosure Requirements Associated 
with Supplementary Leverage Ratio.
    Frequency of Response: Quarterly.
    Affected Public: Businesses or other for-profit.
Respondents
    OCC: National banks and federal savings associations that are 
subject to the OCC's advanced approaches risk-based capital rules.
    Board: State member banks, bank holding companies, and savings and 
loan holding companies that are subject to the Board' advanced 
approaches risk-based capital rules.
    FDIC: Insured state nonmember banks and state savings associations 
that are subject to the FDIC's advanced approaches risk-based capital 
rules.
    Abstract: All banking organizations that are subject to the 
agencies' advanced approaches risk-based capital rules (advanced 
approaches banking organizations), as defined in the 2013 revised 
capital rule, are required to disclose their supplementary leverage 
ratios beginning January 1, 2015. Advanced approaches banking 
organizations must report their supplementary leverage ratios on the 
applicable regulatory reports. Under the proposed rule, advanced 
approaches banking organizations would disclose two parts of a 
supplementary leverage ratio table beginning January 1, 2015. The 
proposed disclosure requirements are consistent with the proposed 
calculation of the supplementary leverage ratio in the proposed rule 
and with the 2014 BCBS revisions to the Basel III leverage ratio. The 
agencies believe that the proposed disclosures would enhance the 
transparency and consistency of reporting requirements for the 
supplementary leverage ratio by all internationally active 
organizations.
Disclosure Requirements
    Section ----.173 states that advanced approaches banking 
organizations that have successfully completed parallel run must make 
the disclosures described in Tables 1 through 12. Under the proposed 
rule, advanced approaches banking organizations would be required to 
make the disclosures described in the proposed Table 13 beginning 
January 1, 2015, regardless of the parallel run status. The agencies do 
not anticipate an additional initial setup burden for complying with 
the proposed disclosure requirements because advanced approaches 
banking organizations are already subject to reporting the 
supplementary leverage ratio on the applicable regulatory reports.
Estimated Burden per Response
    Disclosure Burden
    Section ----.173--5 hours.
OCC
    Number of respondents: 14.
    Total estimated annual burden: 280 hours.
Board
    Number of respondents: 20.
    Current estimated annual burden: 413,986 hours.
    Proposed revisions only estimated annual burden: 400 hours.
    Total estimated annual burden: 414,386 hours.

[[Page 24607]]

FDIC
    Number of respondents: 8.
    Total estimated annual burden: 160 hours.

B. Regulatory Flexibility Act Analysis

    OCC: The Regulatory Flexibility Act, 5 U.S.C. 601 et seq. (RFA), 
requires an agency, in connection with a notice of proposed rulemaking, 
to prepare an Initial Regulatory Flexibility Act analysis describing 
the impact of the rule on small entities (defined by the Small Business 
Administration for purposes of the RFA to include banking entities with 
total assets of $500 million or less) or to certify that the rule will 
not have a significant economic impact on a substantial number of small 
entities.
    Using the SBA's size standards, as of December 31, 2013, the OCC 
supervised 1,195 small entities.\14\
---------------------------------------------------------------------------

    \14\ The OCC calculated the number of small entities using the 
SBA's size thresholds for commercial banks and savings institutions, 
and trust companies, which are $500 million and $35.5 million, 
respectively. 78 FR 37409 (June 20, 2013). Consistent with the 
General Principles of Affiliation, 13 CFR 121.103(a), the OCC 
counted the assets of affiliated financial institutions when 
determining whether to classify a national bank or Federal savings 
association as a small entity. The OCC used December 31, 2013, to 
determine size because a ``financial institution's assets are 
determined by averaging the assets reported on its four quarterly 
financial statements for the preceding year.'' See footnote 8 of the 
U.S. Small Business Administration's Table of Size Standards.
---------------------------------------------------------------------------

    As described in the SUPPLEMENTARY INFORMATION section of the 
preamble, the proposed rule would apply only to advanced approaches 
banking organizations. Advanced approaches banking organization is 
defined to include a national bank or Federal savings associations that 
has, or is a subsidiary of a bank holding company or savings and loan 
holding company that has, total consolidated assets of $250 billion or 
more, total consolidated on-balance sheet foreign exposure of $10 
billion or more, or that has elected to use the advanced approaches 
framework. After considering the SBA's size standards and General 
Principals of Affiliation to identify small entities, the OCC 
determined that no small national banks or Federal savings associations 
are advanced approaches banking organizations. Because the proposed 
rule applies only to advanced approaches banking organizations, it does 
not impact any OCC-supervised small entities. Therefore, the OCC 
certifies that the proposed rule will not have a significant economic 
impact on a substantial number of OCC-supervised small entities.
    Board: The Board is providing an initial regulatory flexibility 
analysis with respect to this proposed rule. As discussed above, this 
proposed rule would amend the calculation of total leverage exposure in 
sections 2 and 10 of the 2013 revised capital rule, and amend sections 
172 and 173 of the rule by adding additional disclosure requirements. 
These amendments would implement changes in line with the BCBS 2014 
revisions.
    Under regulations issued by the Small Business Administration, a 
small entity includes a depository institution, bank holding company, 
or savings and loan holding company with total assets of $500 million 
or less (a small banking organization).\15\ As of December 31, 2013, 
there were approximately 627 small state member banks. As of December 
31, 2013, there were approximately 3,676 small bank holding companies 
and approximately 268 small savings and loan holding companies.\16\
---------------------------------------------------------------------------

    \15\ See 13 CFR 121.201. Effective July 22, 2013, the Small 
Business Administration revised the size standards for banking 
organizations to $500 million in assets from $175 million in assets. 
78 FR 37409 (June 20, 2013).
    \16\ Under the prior Small Business Administration threshold of 
$175 million in assets, as of March 31, 2013 the Board supervised 
approximately 369 small state member banks. As of December 31, 2013, 
there were approximately 2,259 small bank holding companies.
---------------------------------------------------------------------------

    The proposed rule would apply only to advanced approaches banking 
organizations, which, generally, are banking organizations with total 
consolidated assets of $250 billion or more, that have total 
consolidated on-balance sheet foreign exposure of $10 billion or more, 
are a subsidiary of an advanced approaches depository institution, or 
that elect to use the advanced approaches framework. Currently, no 
small top-tier bank holding company, top-tier savings and loan holding 
company, or state member bank is an advanced approaches banking 
organization, so there would be no additional projected compliance 
requirements imposed on small bank holding companies, savings and loan 
holding companies, or state member banks. The Board expects that any 
small bank holding companies, savings and loan holding companies, or 
state member banks that would be covered by this proposed rule would 
rely on its parent banking organization for compliance and would not 
bear additional costs.
    The Board is aware of no other Federal rules that duplicate, 
overlap, or conflict with the proposed rule. The Board believes that 
the proposed rule will not have a significant economic impact on small 
banking organizations supervised by the Board and therefore believes 
that there are no significant alternatives to the proposed rule that 
would reduce the economic impact on small banking organizations 
supervised by the Board.
    The Board welcomes comment on all aspects of its analysis. A final 
regulatory flexibility analysis will be conducted after consideration 
of comments received during the public comment period.
    FDIC: The RFA requires an agency to provide an IRFA with a proposed 
rule or to certify that the rule will not have a significant economic 
impact on a substantial number of small entities (defined for purposes 
of the RFA to include banking entities with total assets of $500 
million or less).\17\
---------------------------------------------------------------------------

    \17\ Effective July 22, 2013, the SBA revised the size standards 
for banking organizations to $500 million in assets from $175 
million in assets. 78 FR 37409 (June 20, 2013).
---------------------------------------------------------------------------

    As described above in this preamble, the proposed rule would amend 
the definition of total leverage exposure in section 2 of the 2013 
revised capital rule, the methodology for determining total leverage 
exposure under section 10 of the 2013 revised capital rule, and add an 
additional disclosure requirement in sections 172 and 173 of the 2013 
revised capital rule. All of these changes would apply only to advanced 
approaches banking organizations. Generally, the advanced approaches 
framework applies to banking organizations that have consolidated total 
assets equal to $250 billion or more; have consolidated total on-
balance sheet foreign exposure equal to $10 billion or more; are a 
subsidiary of a depository institution that uses the advanced 
approaches framework; or elects to use the advanced approaches 
framework.
    As of December 31, 2013, based on a $500 million threshold, 1 (out 
of 3,394) small state nonmember banks and no (out of 303) small state 
savings associations were under the advanced approaches framework. 
Therefore, the FDIC does not believe that the proposed rule will result 
in a significant economic impact on a substantial number of small 
entities under its supervisory jurisdiction.
    The FDIC certifies that the proposed rule would not have a 
significant economic impact on a substantial number of small FDIC-
supervised institutions.

C. OCC Unfunded Mandates Reform Act of 1995 Determination

    Section 202 of the Unfunded Mandates Reform Act of 1995, Public Law 
104-4 (Unfunded Mandates Reform Act) provides that an agency that is 
subject to the Unfunded Mandates Act

[[Page 24608]]

must prepare a budgetary impact statement before promulgating a rule 
that includes a Federal mandate that may result in expenditure by 
State, local, and tribal governments, in the aggregate, or by the 
private sector, of $100 million (adjusted for inflation) or more in any 
one year. The current inflation-adjusted expenditure threshold is $141 
million. If a budgetary impact statement is required, section 205 of 
the UMRA also requires an agency to identify and consider a reasonable 
number of regulatory alternatives before promulgating a rule. The OCC 
has determined this proposed rule is likely to result in the 
expenditure by the private sector of $141 million or more. The OCC has 
prepared a budgetary impact analysis and identified and considered 
alternative approaches. When the proposed rule is published in the 
Federal Register, the full text of the OCC's analyses will available 
at: http://www.regulations.gov, Docket ID: OCC-2014-0008.

D. Plain Language

    Section 722 of the Gramm-Leach-Bliley Act requires the Federal 
banking agencies to use plain language in all proposed and final rules 
published after January 1, 2000. The agencies have sought to present 
the proposed rule in a simple and straightforward manner, and invite 
comment on the use of plain language. For example:
     Have the agencies organized the material to suit your 
needs? If not, how could they present the proposed rule more clearly?
     Are the requirements in the proposed rule clearly stated? 
If not, how could the proposed rule be more clearly stated?
     Do the regulations contain technical language or jargon 
that is not clear? If so, which language requires clarification?
     Would a different format (grouping and order of sections, 
use of headings, paragraphing) make the regulation easier to 
understand? If so, what changes would achieve that?
     Is this section format adequate? If not, which of the 
sections should be changed and how?
     What other changes can the agencies incorporate to make 
the regulation easier to understand?

List of Subjects

12 CFR Part 3

    Administrative practice and procedure, Capital, National banks, 
Reporting and recordkeeping requirements, Risk.

12 CFR Part 217

    Administrative practice and procedure, Banks, Banking, Capital, 
Federal Reserve System, Holding companies, Reporting and recordkeeping 
requirements, Securities.

12 CFR Part 324

    Administrative practice and procedure, Banks, banking, Capital 
Adequacy, Reporting and recordkeeping requirements, Savings 
associations, State non-member banks.

DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency

12 CFR Chapter I

Authority and Issuance

    For the reasons set forth in the preamble and under the authority 
of 12 U.S.C. 93a, 1462, 1462a, 1463, 1464, 3907, 3909, 1831o, and 
5412(b)(2)(B), the Office of the Comptroller of the Currency proposes 
to amend part 3 of chapter I of title 12, Code of Federal Regulations 
as follows:

PART 3--CAPITAL ADEQUACY STANDARDS

0
1. The authority citation for part 3 continues to read as follows:

    Authority: 12 U.S.C. 93a, 161, 1462, 1462a, 1463, 1464, 1818, 
1828(n), 1828 note, 1831n note, 1835, 3907, 3909, and 5412(b)(2)(B).

0
2. In Sec.  3.2, revise the definition of ``total leverage exposure'' 
to read as follows:


Sec.  3.2  Definitions.

* * * * *
    Total leverage exposure is defined in Sec.  3.10(c)(4)(ii).
* * * * *
0
3. Revise Sec.  3.10(c)(4) to read as follows:


Sec.  3.10.  Minimum capital requirements.

* * * * *
    (c) * * *
    (4) Supplementary leverage ratio. (i) An advanced approaches 
national bank's or Federal savings association's supplementary leverage 
ratio is the ratio of its tier 1 capital calculated as of the last day 
of each reporting quarter to total leverage exposure calculated as the 
simple arithmetic mean of the total leverage exposure calculated as of 
each day of the reporting quarter, using the applicable deductions 
under Sec.  3.22(a), (c), and (d) as of the last day of the previous 
reporting quarter.
    (ii) For purposes of this part, total leverage exposure means the 
sum of the items described as follows in paragraphs (c)(4)(ii)(A) 
through (c)(4)(ii)(H) of this section, as adjusted by any applicable 
requirement for clearing member national banks and Federal savings 
associations described in paragraph (c)(4)(ii)(I):
    (A) The balance sheet carrying value of all of the national bank or 
Federal savings association's on-balance sheet assets, plus the value 
of securities sold under a repo-style arrangement that are not included 
on-balance sheet, less amounts deducted from tier 1 capital under Sec.  
3.22(a), (c), and (d), and less the value of securities received in 
security-for-security repo-style transactions, where the national bank 
or Federal savings association acts as a securities lender and includes 
the securities received in its on-balance sheet assets but has not sold 
or re-hypothecated the securities received;
    (B) The PFE for each derivative contract (including cleared 
transactions except as provided in paragraph (c)(4)(ii)(I) of this 
section) to which the national bank or Federal savings association is a 
counterparty (or each single-product netting set of such transactions) 
as determined under Sec.  3.34, but without regard to Sec.  3.34(b). A 
national bank or Federal savings association may choose to adjust the 
PFE for all credit derivatives or other similar instruments through 
which it provides credit protection, as included in paragraph 
(c)(4)(ii)(D) of this section, when calculating the PFE under Sec.  
3.34, but without regard to Sec.  3.34(b), provided that it does not 
adjust the net-to-gross ratio (NGR). A national bank or Federal savings 
association that makes such election must do so consistently over time 
for the calculation of the PFE for all credit derivative contracts or 
similar instruments through which it provides credit protection;
    (C) The amount of cash collateral that is received from a 
counterparty to a derivative contract and that has offset the mark-to-
fair value of the derivative asset, or cash collateral that is posted 
to a counterparty to a derivative contract and that has reduced the 
national bank or Federal savings association's on-balance sheet assets, 
except if such cash collateral is all or part of variation margin that 
satisfies the following requirements in paragraphs (c)(4)(ii)(C)(1) 
through (c)(4)(ii)(C)(5) of this section. Cash variation margin that 
satisfies the requirements in paragraphs (c)(4)(ii)(C)(1) through 
(c)(4)(ii)(C)(5) of this section may only be used to reduce the current 
credit exposure of the derivative contract, calculated as described in 
Sec.  3.34(a), and not the PFE. In the calculation of the NGR described 
in Sec.  3.34(a)(2)(ii)(B), cash variation

[[Page 24609]]

margin that satisfies the requirements in paragraphs (c)(4)(ii)(C)(1) 
through (5) of this section may not reduce the net current credit 
exposure or the gross current credit exposure.
    (1) For derivative contracts that are not cleared through a QCCP, 
the cash collateral received by the recipient counterparty is not 
segregated;
    (2) Variation margin is calculated and transferred on a daily basis 
based on the mark-to-fair value of the derivative contract;
    (3) The variation margin transferred under the derivative contract 
or the governing rules for a cleared transaction is the full amount 
that is necessary to fully extinguish the net current credit exposure 
to the counterparty of the derivative contracts, subject to the 
threshold and minimum transfer amounts applicable to the counterparty 
under the terms of the derivative contract or the governing rules for a 
cleared transaction;
    (4) The variation margin is in the form of cash in the same 
currency as the currency of settlement set forth in the derivative 
contract, provided that for the purposes of this paragraph, currency of 
settlement means any currency for settlement specified in the governing 
qualifying master netting agreement, the credit support annex to the 
qualifying master netting agreement, or in the governing rules for a 
cleared transaction; and
    (5) The derivative contract and the variation margin are governed 
by a qualifying master netting agreement between the legal entities 
that are the counterparties to the derivative contract or by the 
governing rules for a cleared transaction. The qualifying master 
netting agreement or the governing rules for a cleared transaction must 
explicitly stipulate that the counterparties agree to settle any 
payment obligations on a net basis, taking into account any variation 
margin received or provided under the contract if a credit event 
involving either counterparty occurs;
    (D) The effective notional principal amount (that is, the apparent 
or stated notional principal amount multiplied by any multiplier in the 
derivative contract) of a credit derivative, or other similar 
instrument, through which the national bank or Federal savings 
association provides credit protection, provided that:
    (1) The national bank or Federal savings association may reduce the 
effective notional principal amount of the credit derivative by the 
amount of any reduction in the mark-to-fair value of the credit 
derivative if the reduction is recognized in common equity tier 1 
capital;
    (2) The national bank or Federal savings association may reduce the 
effective notional principal amount of the credit derivative by the 
effective notional principal amount of a purchased credit derivative or 
other similar instrument, provided that the remaining maturity of the 
purchased credit derivative is equal to or greater than the remaining 
maturity of the credit derivative through which the national bank or 
Federal savings association provides credit protection and that:
    (i) With respect to a credit derivative that references a single 
exposure, the reference exposure of the purchased credit derivative is 
to the same legal entity and ranks pari passu with, or is junior to, 
the reference exposure of the credit derivative through which the 
national bank or Federal savings association provides credit 
protection; or
    (ii) With respect to a credit derivative that references multiple 
exposures, such as securitization exposures, the reference exposures of 
the purchased credit derivative are to the same legal entities and rank 
pari passu with the reference exposures of the credit derivative 
through which the national bank or Federal savings association provides 
credit protection, and the level of seniority of the purchased credit 
derivative ranks pari passu to the level of seniority of the credit 
derivative through which the national bank or Federal savings 
association provides credit protection.
    (iii) Where a national bank or Federal savings association has 
reduced the effective notional amount of a credit derivative through 
which the national bank or Federal savings association provides credit 
protection in accordance with paragraph (c)(4)(ii)(D)(1) of this 
section, the national bank or Federal savings association must also 
reduce the effective notional principal amount of a purchased credit 
derivative, used to offset the credit derivative through which the 
national bank or Federal savings association provides credit 
protection, by the amount of any increase in the mark-to-fair value of 
the purchased credit derivative that is recognized in common equity 
tier 1 capital; and
    (iv) Where the national bank or Federal savings association 
purchases credit protection through a total return swap and records the 
net payments received on a credit derivative through which the national 
bank or Federal savings association provides credit protection in net 
income, but does not record offsetting deterioration in the mark-to-
fair value of the credit derivative through which the national bank or 
Federal savings association provides credit protection in net income 
(either through reductions in fair value or by additions to reserves), 
the national bank or Federal savings association may not use the 
purchased credit protection to offset the effective notional principal 
amount of the credit derivative through which the national bank or 
Federal savings association provides credit protection.
    (E) Where a national bank or Federal savings association acting as 
a principal has more than one repo-style transaction with the same 
counterparty and has applied the GAAP offset for repo-style 
transactions, and the criteria in paragraphs (c)(4)(ii)(E)(1) through 
(3) of this section are not satisfied, the gross value of receivables 
associated with the repo-style transactions less any on-balance sheet 
receivables amount associated with these repo-style transactions 
included under paragraph (c)(4)(ii)(A) of this section.
    (1) The offsetting transactions have the same explicit final 
settlement date under their governing agreements;
    (2) The right to offset the amount owed to the counterparty with 
the amount owed by the counterparty is legally enforceable in the 
normal course of business and in the event of receivership, insolvency, 
liquidation, or similar proceeding; and
    (3) Under the governing agreements, the counterparties intend to 
settle net, settle simultaneously, or settle according to a process 
that is the functional equivalent of net settlement. That is, the cash 
flows of the transactions are equivalent, in effect, to a single net 
amount on the settlement date. To achieve this result, both 
transactions must be settled through the same settlement system and the 
settlement arrangements must be supported by cash or intraday credit 
facilities intended to ensure that settlement of both transactions will 
occur by the end of the business day, and the settlement of the 
underlying securities does not interfere with the net cash settlement.
    (F) The counterparty credit risk of a repo-style transaction, 
including where the national bank or Federal savings association acts 
as an agent for a repo-style transaction, calculated as follows:
    (1) If the transaction is not subject to a qualifying master 
netting agreement, the counterparty credit risk (E*) for transactions 
with a counterparty must be calculated on a transaction by transaction 
basis, such that each transaction i is treated as its own netting set, 
in accordance with the following formula, where Ei is the 
fair value of the

[[Page 24610]]

instruments, gold, or cash that the national bank or Federal savings 
association has lent, sold subject to repurchase, or provided as 
collateral to the counterparty, and Ci is the fair value of 
the instruments, gold, or cash that the national bank or Federal 
savings association has borrowed, purchased subject to resale, or 
received as collateral from the counterparty:

{time} Ei* = max {0, [Ei - Ci]{time} ; 
and

    (2) If the transaction is subject to a qualifying master netting 
agreement, the counterparty credit risk (E*) must be calculated as the 
greater of zero and the total fair value of the instruments, gold, or 
cash that the national bank or Federal savings association has lent, 
sold subject to repurchase or provided as collateral to a counterparty 
for all transactions included in the qualifying master netting 
agreement ([sum]Ei), less the total fair value of the 
instruments, gold, or cash that the national bank or Federal savings 
association borrowed, purchased subject to resale or received as 
collateral from the counterparty for those transactions 
([sum]Ci), in accordance with the following formula:

E* = max {0, [[sum]Ei - [sum]Ci]{time} 

    (G) If a national bank or Federal savings association acting as an 
agent for a repo-style transaction provides a guarantee to a customer 
of the security or cash its customer has lent or borrowed with respect 
to the performance of the customer's counterparty and the guarantee is 
not limited to the difference between the fair value of the security or 
cash its customer has lent and the fair value of the collateral the 
borrower has provided, the amount of the guarantee that is greater than 
the difference between the fair value of the security or cash its 
customer has lent and the value of the collateral the borrower has 
provided.
    (H) The credit equivalent amount of all off-balance sheet exposures 
of the national bank or Federal savings association, excluding repo-
style transactions and derivatives, determined using the applicable 
credit conversation factor under Sec.  3.33(b), provided, however, that 
the minimum credit conversion factor that may be assigned to an off-
balance sheet exposure under this paragraph is 10 percent.
    (I) Requirements for a national bank or Federal savings association 
that is a clearing member:
    (1) A clearing member national bank or Federal savings association 
that guarantees the performance of a clearing member client with 
respect to a cleared transaction must treat its exposure to the 
clearing member client as a derivative contract for purposes of 
determining its total leverage exposure.
    (2) A clearing member national bank or Federal savings association 
that guarantees the performance of a CCP with respect to a transaction 
cleared on behalf of a clearing member client must treat its exposure 
to the CCP as a derivative contract for purposes of determining its 
total leverage exposure. A clearing member national bank or Federal 
savings association that does not guarantee the performance of a CCP 
with respect to a transaction cleared on behalf of a clearing member 
client may exclude its exposure to the CCP for purposes of determining 
its total leverage exposure.
* * * * *
0
4. Section 3.172 is amended by adding paragraph (d) to read as follows:


Sec.  3.172  Disclosure requirements.

* * * * *
    (d) Except as otherwise provided in paragraph (b) of this section, 
an advanced approaches national bank or Federal savings association 
must publicly disclose each quarter its supplementary leverage ratio 
and its components as calculated under subpart B of this part in 
compliance with paragraph (c) of this section; provided, however, the 
disclosures required under this paragraph are required without regard 
to whether the national bank or Federal savings association has 
completed the parallel run process and has received notification from 
the OCC pursuant to Sec.  3.121(d).
0
5. Section 3.173 is amended by:
0
a. Revising the introductory text of paragraph (a); and
0
b. Adding paragraph (c) and Table 13 to Sec.  3.173.
    The revision and additions are set forth below.


Sec.  3.173  Disclosures by certain advanced approaches national banks 
and Federal savings associations.

    (a) Except as provided in Sec.  3.172(b), a national bank or 
Federal savings association described in Sec.  3.172(b) must make the 
disclosures described in Tables 1 through 13 to Sec.  3.173. The 
national bank or Federal savings association must make the disclosures 
required under Tables 1 through 12 publicly available for each of the 
last three years (that is, twelve quarters) or such shorter period 
beginning on January 1, 2014. The national bank or Federal savings 
association must make the disclosures required under Table 13 publicly 
available beginning on January 1, 2015.
* * * * *
    (c) Except as provided in Sec.  3.172(b), a national bank or 
Federal savings association described in Sec.  3.172(d) must make the 
disclosure described in Table 13 to Sec.  3.173; provided, however, the 
disclosures required under this paragraph are required without regard 
to whether the national bank or Federal savings association has 
completed the parallel run process and has received notification from 
the OCC pursuant to Sec.  3.121(d). The national bank or Federal 
savings association must make these disclosures publicly available 
beginning on January 1, 2015.

                        Table 13 to Sec.   3.173
------------------------------------------------------------------------
                                      Dollar amounts in thousands
                             -------------------------------------------
                                 Tril       Bil        Mil        Thou
------------------------------------------------------------------------
 Part 1: Summary comparison
  of accounting assets and
   total leverage exposure
------------------------------------------------------------------------
1 Total consolidated assets
 as reported in published
 financial statements.......
2 Adjustment for investments
 in banking, financial,
 insurance or commercial
 entities that are
 consolidated for accounting
 purposes but outside the
 scope of regulatory
 consolidation..............
3 Adjustment for fiduciary
 assets recognized on
 balance sheet but excluded
 from total leverage
 exposure...................
4 Adjustment for derivative
 exposures..................
5 Adjustment for repo-style
 transactions...............
6 Adjustment for off-balance
 sheet exposures (that is,
 conversion to credit
 equivalent amounts of off-
 balance sheet exposures)...
7 Other adjustments.........

[[Page 24611]]

 
8 Total leverage exposure...
------------------------------------------------------------------------
    Part 2: Supplementary
       leverage ratio
------------------------------------------------------------------------
 On-balance sheet exposures
------------------------------------------------------------------------
1 On-balance sheet assets
 (excluding on-balance sheet
 assets for repo-style
 transactions and derivative
 exposures, but including
 cash collateral received in
 derivative transactions)...
2 LESS: Amounts deducted
 from tier 1 capital........
3 Total on-balance sheet
 exposures (excluding on-
 balance sheet assets for
 repo-style transactions and
 derivative exposures, but
 including cash collateral
 received in derivative
 transactions) (sum of lines
 1 and 2)...................
------------------------------------------------------------------------
    Derivative exposures
------------------------------------------------------------------------
4 Replacement cost for
 derivative exposures (that
 is, net of cash variation
 margin)....................
5 Add-on amounts for
 potential future exposure
 (PFE) for derivatives
 exposures..................
6 Gross-up for cash
 collateral posted if
 deducted from the on-
 balance sheet assets,
 except for cash variation
 margin.....................
7 LESS: Deductions of
 receivable assets for cash
 variation margin posted in
 derivatives transactions,
 if included in on-balance
 sheet assets...............
8 LESS: Exempted CCP leg of
 client-cleared transactions
9 Effective notional
 principal amount of sold
 credit protection..........
10 LESS: Effective notional
 principal amount offsets
 and PFE adjustments for
 sold credit protection.....
11 Total derivative
 exposures (sum of lines 4
 to 10).....................
------------------------------------------------------------------------
   Repo-style transactions
------------------------------------------------------------------------
12 On-balance sheet assets
 for repo-style
 transactions, except
 include the gross value of
 receivables for reverse
 repurchase transactions.
 Exclude from this item the
 value of securities
 received in a security-for-
 security repo-style
 transaction where the
 securities lender has not
 sold or re-hypothecated the
 securities received.
 Include in this item the
 value of securities sold
 under a repo-style
 arrangement................
13 LESS: Reduction of the
 gross value of receivables
 in reverse repurchase
 transactions by cash
 payables in repurchase
 transactions under netting
 agreements.................
14 Counterparty credit risk
 for all repo-style
 transactions...............
15 Exposure for repo-style
 transactions where a
 banking organization acts
 as an agent................
16 Total exposures for repo-
 style transactions (sum of
 lines 12 to 15)............
------------------------------------------------------------------------
   Other off-balance sheet
          exposures
------------------------------------------------------------------------
17 Off-balance sheet
 exposures at gross notional
 amounts....................
18 LESS: Adjustments for
 conversion to credit
 equivalent amounts.........
19 Off-balance sheet
 exposures (sum of lines 17
 and 18)....................
------------------------------------------------------------------------
 Capital and total leverage
          exposure
------------------------------------------------------------------------
20 Tier 1 capital...........
21 Total leverage exposure
 (sum of lines 3, 11, 16 and
 19)........................
------------------------------------------------------------------------
Supplementary leverage ratio
------------------------------------------------------------------------
22 Supplementary leverage
 ratio......................                 (in percent)
------------------------------------------------------------------------

Board of Governors of the Federal Reserve System

12 CFR Chapter II
Authority and Issuance
    For the reasons set forth in the preamble, part 217 of chapter II 
of title 12 of the Code of Federal Regulations is proposed to be 
amended as follows:

PART 217--CAPITAL ADEQUACY OF BOARD-RELATED INSTITUTIONS

0
6. The authority citation for part 217 continues to read as follows:

    Authority: 12 U.S.C. 248(a), 321-338a, 481-486, 1462a, 1467a, 
1818, 1828, 1831n, 1831o, 1831p-l, 1831w, 1835, 1844(b), 1851, 3904, 
3906-3909, 4808, 5365, 5368, 5371.

0
7. In Sec.  217.2, revise the definition of ``total leverage exposure'' 
to read as follows:


Sec.  217.2  Definitions.

* * * * *
    Total leverage exposure is defined in Sec.  217.10(c)(4)(ii).
* * * * *
0
8. Revise Sec.  217.10(c)(4) to read as follows:


Sec.  217.10  Minimum capital requirements.

* * * * *
    (c) * * *

[[Page 24612]]

    (4) Supplementary leverage ratio. (i) An advanced approaches Board-
regulated institution's supplementary leverage ratio is the ratio of 
its tier 1 capital calculated as of the last day of each reporting 
quarter to total leverage exposure calculated as the arithmetic mean of 
the total leverage exposure calculated as of each day of the reporting 
quarter, using the applicable deductions under Sec.  217.22(a), (c), 
and (d) as of the last day of the previous reporting quarter.
    (ii) For purposes of this part, total leverage exposure means the 
sum of the items described as follows in paragraphs (c)(4)(ii)(A) 
through (H) of this section, as adjusted by any applicable requirement 
for a clearing member Board-regulated institution described in 
paragraph (c)(4)(ii)(I):
    (A) The balance sheet carrying value of all of the Board-regulated 
institution's on-balance sheet assets, plus the value of securities 
sold under a repo-style arrangement that are not included on balance 
sheet, less amounts deducted from tier 1 capital under Sec.  217.22 
(a), (c), and (d), and less the value of securities received in 
security-for-security repo-style transactions, where the Board-
regulated institution acts as a securities lender and includes the 
securities received in its on-balance sheet assets but has not sold or 
re-hypothecated the securities received;
    (B) The PFE for each derivative contract (including cleared 
transactions except as provided in paragraph (c)(4)(ii)(I) of this 
section) to which the Board-regulated institution is a counterparty (or 
each single-product netting set of such transactions) as determined 
under Sec.  217.34, but without regard to Sec.  217.34(b). A Board-
regulated institution may choose to adjust the PFE for all credit 
derivatives or other similar instruments through which it provides 
credit protection, as included in paragraph (c)(4)(ii)(D) of this 
section, when calculating the PFE under Sec.  217.34, but without 
regard to Sec.  217.34(b), provided that it does not adjust the net-to-
gross ratio (NGR). A Board-regulated institution that makes such 
election must do so consistently over time for the calculation of the 
PFE for all credit derivative contracts or similar instruments through 
which it provides credit protection;
    (C) The amount of cash collateral that is received from a 
counterparty to a derivative contract and that has offset the mark-to-
fair value of the derivative asset, or cash collateral that is posted 
to a counterparty to a derivative contract and that has reduced the 
banking organization's on-balance sheet assets, except if such cash 
collateral is all or part of variation margin that satisfies the 
following requirements in paragraphs (c)(4)(ii)(C)(1) through (5) of 
this section. Cash variation margin that satisfies the requirements in 
paragraphs (c)(4)(ii)(C)(1) through (5) of this section may only be 
used to reduce the current credit exposure of the derivative contract, 
calculated as described in Sec.  217.34(a), and not the PFE. In the 
calculation of the NGR described in Sec.  217.34(a)(2)(ii)(B), cash 
variation margin that satisfies the requirements in paragraphs 
(c)(4)(ii)(C)(1) through (5) of this section may not reduce the net 
current credit exposure or the gross current credit exposure.
    (1) For derivative contracts that are not cleared through a QCCP, 
the cash collateral received by the recipient counterparty is not 
segregated;
    (2) Variation margin is calculated and transferred on a daily basis 
based on the mark-to-fair value of the derivative contract;
    (3) The variation margin transferred under the derivative contract 
or the governing rules for a cleared transaction is the full amount 
that is necessary to fully extinguish the net current credit exposure 
to the counterparty of the derivative contract, subject to the 
threshold and minimum transfer amounts applicable to the counterparty 
under the terms of the derivative contract or the governing rules for a 
cleared transaction;
    (4) The variation margin is in the form of cash in the same 
currency as the currency of settlement set forth in the derivative 
contract. For purposes of this paragraph, currency of settlement means 
any currency for settlement specified in the governing qualifying 
master netting agreement, the credit support annex to the qualifying 
master netting agreement, or in the governing rules for a cleared 
transaction; and
    (5) The derivative contract and the variation margin are governed 
by a qualifying master netting agreement between the legal entities 
that are the counterparties to the derivative contract or by the 
governing rules for a cleared transaction. The qualifying master 
netting agreement or the governing rules for a cleared transaction must 
explicitly stipulate that the counterparties agree to settle any 
payment obligations on a net basis, taking into account any variation 
margin received or provided under the contract if a credit event 
involving either counterparty occurs;
    (D) The effective notional principal amount (that is, the apparent 
or stated notional principal amount multiplied by any multiplier in the 
derivative contract) of a credit derivative, or other similar 
instrument, through which the Board-regulated institution provides 
credit protection, provided that:
    (1) The Board-regulated institution may reduce the effective 
notional principal amount of the credit derivative by the amount of any 
reduction in the mark-to-fair value of the credit derivative if the 
reduction is recognized in common equity tier 1 capital;
    (2) The Board-regulated institution may reduce the effective 
notional principal amount of the credit derivative by the effective 
notional principal amount of a purchased credit derivative, or other 
similar instrument, provided that the remaining maturity of the 
purchased credit derivative is equal to or greater than the remaining 
maturity of the credit derivative through which the Board-regulated 
institution provides credit protection and that:
    (i) With respect to a credit derivative that references a single 
exposure, the reference exposure of the purchased credit derivative is 
to the same legal entity and ranks pari passu with, or is junior to, 
the reference exposure of the credit derivative through which the 
Board-regulated institution provides credit protection; or
    (ii) With respect to a credit derivative that references multiple 
exposures, such as securitization exposures, the reference exposures of 
the purchased credit derivative are to the same legal entities and rank 
pari passu with the reference exposures of the credit derivative 
through which the Board-regulated institution provides credit 
protection, and the level of seniority of the purchased credit 
derivative ranks pari passu to the level of seniority of the credit 
derivative under which the Board-regulated institution provides credit 
protection.
    (iii) Where a Board-regulated institution has reduced the effective 
notional principal amount of a credit derivative through which the 
Board-regulated institution provides credit protection in accordance 
with paragraph (c)(4)(ii)(D)(1) of this section, the Board-regulated 
institution must also reduce the effective notional principal amount of 
a purchased credit derivative, used to offset the credit derivative 
through which the Board-regulated institution provides credit 
protection, by the amount of any increase in the mark-to-fair value of 
the purchased credit derivative that is recognized in common equity 
tier 1 capital; and
    (iv) Where the Board-regulated institution purchases credit 
protection through a total return swap and records the net payments 
received on a credit derivative through which the Board-regulated 
institution provides credit

[[Page 24613]]

protection in net income, but does not record offsetting deterioration 
in the mark-to-fair value of the credit derivative through which the 
Board-regulated institution provides credit protection in net income 
(either through reductions in fair value or by additions to reserves), 
the Board-regulated institution may not use the purchased credit 
protection to offset the effective notional principal amount of the 
credit derivative through which the Board-regulated institution 
provides credit protection.
    (E) Where a Board-regulated institution acting as a principal has 
more than one repo-style transaction with the same counterparty and has 
applied the GAAP offset for repo-style transactions, and the criteria 
in paragraphs (c)(4)(ii)(E)(1) through (c)(4)(ii)(E)(3) of this section 
are not satisfied, the gross value of receivables associated with the 
repo-style transactions less any on-balance sheet receivables amount 
associated with these repo-style transactions included under paragraph 
(c)(4)(ii)(A) of this section.
    (1) The offsetting transactions have the same explicit final 
settlement date under their governing agreements;
    (2) The right to offset the amount owed to the counterparty with 
the amount owed by the counterparty is legally enforceable in the 
normal course of business and in the event of receivership, insolvency, 
liquidation, or similar proceeding; and
    (3) Under the governing agreements, the counterparties intend to 
settle net, settle simultaneously, or settle according to a process 
that is the functional equivalent of net settlement. That is, the cash 
flows of the transactions are equivalent, in effect, to a single net 
amount on the settlement date. To achieve this result, both 
transactions must be settled through the same settlement system and the 
settlement arrangements must be supported by cash or intraday credit 
facilities intended to ensure that settlement of both transactions will 
occur by the end of the business day, and the settlement of the 
underlying securities does not interfere with the net cash settlement.
    (F) The counterparty credit risk of a repo-style transaction, 
including where the Board-regulated institution acts as an agent for a 
repo-style transaction, calculated as follows:
    (1) If the transaction is not subject to a qualifying master 
netting agreement, the counterparty credit risk (E*) for transactions 
with a counterparty must be calculated on a transaction by transaction 
basis, such that each transaction i is treated as its own netting set, 
in accordance with the following formula, where Ei is the 
fair value of the instruments, gold, or cash that the Board-regulated 
institution has lent, sold subject to repurchase, or provided as 
collateral to the counterparty, and Ci is the fair value of 
the instruments, gold, or cash that the Board-regulated institution has 
borrowed, purchased subject to resale, or received as collateral from 
the counterparty:

    Ei* = max {0, [Ei - Ci]{time} ; 
and

    (2) If the transaction is subject to a qualifying master netting 
agreement, the counterparty credit risk (E*) must be calculated as the 
greater of zero and the total fair value of the instruments, gold, or 
cash that the Board-regulated institution has lent, sold subject to 
repurchase or provided as collateral to a counterparty for all 
transactions included in the qualifying master netting agreement 
([sum]Ei), less the total fair value of the instruments, 
gold, or cash that the Board-regulated institution borrowed, purchased 
subject to resale or received as collateral from the counterparty for 
those transactions ([sum]Ci), in accordance with the 
following formula:

    E* = max {0, [[sum]Ei - [sum]Ci]{time} 

    (G) If a Board-regulated institution acting as an agent for a repo-
style transaction provides a guarantee to a customer of the security or 
cash its customer has lent or borrowed with respect to the performance 
of the customer's counterparty and the guarantee is not limited to the 
difference between the fair value of the security or cash its customer 
has lent and the fair value of the collateral the borrower has 
provided, the amount of the guarantee that is greater than the 
difference between the fair value of the security or cash its customer 
has lent and the value of the collateral the borrower has provided.
    (H) The credit equivalent amount of all off-balance sheet exposures 
of a Board-regulated institution, excluding repo-style transactions and 
derivatives, determined using the applicable credit conversation factor 
under Sec.  217.33(b), provided, however, that the minimum credit 
conversion factor that may be assigned to an off-balance sheet exposure 
under this paragraph is 10 percent.
    (I) Requirements for a Board-regulated institution that is a 
clearing member:
    (1) A clearing member Board-regulated institution that guarantees 
the performance of a clearing member client with respect to a cleared 
transaction must treat its exposure to the clearing member client as a 
derivative contract for purposes of determining its total leverage 
exposure.
    (2) A clearing member Board-regulated institution that guarantees 
the performance of a CCP with respect to a transaction cleared on 
behalf of a clearing member client must treat its exposure to the CCP 
as a derivative contract for purposes of determining its total leverage 
exposure. A clearing member Board-regulated institution that does not 
guarantee the performance of a CCP with respect to a transaction 
cleared on behalf of a clearing member client may exclude its exposure 
to the CCP for purposes of determining its total leverage exposure.
* * * * *
0
9. Amend Sec.  217.172 by adding a new paragraph (d) to read as 
follows:


Sec.  217.172  Disclosure requirements.

* * * * *
    (d) Except as otherwise provided in Sec.  217.2 (b), an advanced 
approaches Board-regulated institution must publicly disclose each 
quarter its supplementary leverage ratio and its components as 
calculated under subpart B of this part in compliance with paragraph 
(c) of this section; provided, however, the disclosures required under 
this paragraph are required without regard to whether the Board-
regulated institution has completed the parallel run process and has 
received notification from the Board pursuant to Sec.  217.121(d).
0
10. Amend Sec.  217.173 by adding a new paragraph (c) and Table 13 to 
Sec.  217.173 to read as follows:


Sec.  217.173  Disclosures by certain advanced approaches Board-
regulated institutions.

* * * * *
    (c) Except as otherwise provided in Sec.  217.172(b), a Board-
regulated institution described in Sec.  217.172(d) must make the 
disclosures described in Table 13 to Sec.  217.173; provided, however, 
the disclosures required under this paragraph are required without 
regard to whether the Board-regulated institution has completed the 
parallel run process and has received notification from the Board 
pursuant to Sec.  217.121(d). The Board-regulated institution must make 
these disclosures publicly available beginning on January 1, 2015.

[[Page 24614]]



        Table 13 to Sec.   217.173--Supplementary Leverage Ratio
------------------------------------------------------------------------
                                      Dollar amounts in thousands
                             -------------------------------------------
                                 Tril       Bil        Mil        Thou
------------------------------------------------------------------------
 Part 1: Summary comparison
  of accounting assets and
   total leverage exposure
------------------------------------------------------------------------
1 Total consolidated assets
 as reported in published
 financial statements.......
2 Adjustment for investments
 in banking, financial,
 insurance or commercial
 entities that are
 consolidated for accounting
 purposes but outside the
 scope of regulatory
 consolidation..............
3 Adjustment for fiduciary
 assets recognized on
 balance sheet but excluded
 from total leverage
 exposure...................
4 Adjustment for derivative
 exposures..................
5 Adjustment for repo-style
 transactions...............
6 Adjustment for off-balance
 sheet exposures (that is,
 conversion to credit
 equivalent amounts of off-
 balance sheet exposures)...
7 Other adjustments.........
8 Total leverage exposure...
------------------------------------------------------------------------
    Part 2: Supplementary
       leverage ratio
------------------------------------------------------------------------
 On-balance sheet exposures
------------------------------------------------------------------------
1 On-balance sheet assets
 (excluding on-balance sheet
 assets for repo-style
 transactions and derivative
 exposures, but including
 cash collateral received in
 derivative transactions)...
2 LESS: Amounts deducted
 from tier 1 capital........
3 Total on-balance sheet
 exposures (excluding on-
 balance sheet assets for
 repo-style transactions and
 derivative exposures, but
 including cash collateral
 received in derivative
 transactions) (sum of lines
 1 and 2)...................
------------------------------------------------------------------------
    Derivative exposures
------------------------------------------------------------------------
4 Replacement cost for
 derivative exposures (that
 is, net of cash variation
 margin)....................
5 Add-on amounts for
 potential future exposure
 (PFE) for derivatives
 exposures..................
6 Gross-up for cash
 collateral posted if
 deducted from the on-
 balance sheet assets,
 except for cash variation
 margin.....................
7 LESS: Deductions of
 receivable assets for cash
 variation margin posted in
 derivatives transactions,
 if included in on-balance
 sheet assets...............
8 LESS: Exempted CCP leg of
 client-cleared transactions
9 Effective notional
 principal amount of sold
 credit protection..........
10 LESS: Effective notional
 principal amount offsets
 and PFE adjustments for
 sold credit protection.....
11 Total derivative
 exposures (sum of lines 4
 to 10).....................
------------------------------------------------------------------------
   Repo-style transactions
------------------------------------------------------------------------
12 On-balance sheet assets
 for repo-style
 transactions, except
 include the gross value of
 receivables for reverse
 repurchase transactions.
 Exclude from this item the
 value of securities
 received in a security-for-
 security repo-style
 transaction where the
 securities lender has not
 sold or re-hypothecated the
 securities received.
 Include in this item the
 value of securities sold
 under a repo-style
 arrangement................
13 LESS: Reduction of the
 gross value of receivables
 in reverse repurchase
 transactions by cash
 payables in repurchase
 transactions under netting
 agreements.................
14 Counterparty credit risk
 for all repo-style
 transactions...............
15 Exposure for repo-style
 transactions where a
 banking organization acts
 as an agent................
16 Total exposures for repo-
 style transactions (sum of
 lines 12 to 15)............
------------------------------------------------------------------------
   Other off-balance sheet
          exposures
------------------------------------------------------------------------
17 Off-balance sheet
 exposures at gross notional
 amounts....................
18 LESS: Adjustments for
 conversion to credit
 equivalent amounts.........
19 Off-balance sheet
 exposures (sum of lines 17
 and 18)....................
------------------------------------------------------------------------
 Capital and total leverage
          exposure
------------------------------------------------------------------------
20 Tier 1 capital...........
21 Total leverage exposure
 (sum of lines 3, 11, 16 and
 19)........................
------------------------------------------------------------------------
Supplementary leverage ratio
------------------------------------------------------------------------
22 Supplementary leverage
 ratio......................                 (in percent)
------------------------------------------------------------------------


[[Page 24615]]

Federal Deposit Insurance Corporation

12 CFR Chapter III
Authority and Issuance
    For the reasons stated in the preamble, the Federal Deposit 
Insurance Corporation proposes to amend part 324 of chapter III of 
Title 12, Code of Federal Regulations as follows:

PART 324--CAPITAL ADEQUACY

0
11. The authority citation for part 324 continues to read as follows:

    Authority: 12 U.S.C. 1815(a), 1815(b), 1816, 1818(a), 1818(b), 
1818(c), 1818(t), 1819(Tenth), 1828(c), 1828(d), 1828(i), 1828(n), 
1828(o), 1831o, 1835, 3907, 3909, 4808; 5371; 5412; Pub. L. 102-233, 
105 Stat. 1761, 1789, 1790 (12 U.S.C. 1831n note); Pub. L. 102-242, 
105 Stat. 2236, 2355, as amended by Pub. L. 103-325, 108 Stat. 2160, 
2233 (12 U.S.C. 1828 note); Pub. L. 102-242, 105 Stat. 2236, 2386, 
as amended by Pub. L. 102-550, 106 Stat. 3672, 4089 (12 U.S.C. 1828 
note); Pub. L. 111-203, 124 Stat. 1376, 1887 (15 U.S.C. 78o-7 note).

0
12. In Sec.  324.2, revise the definition of ``total leverage 
exposure'' to read as follows:


Sec.  324.2  Definitions.

* * * * *
    Total leverage exposure is defined in Sec.  324.10(c)(4)(ii).
* * * * *
0
13. Revise Sec.  324.10(c)(4) to read as follows:


Sec.  324.10  Minimum capital requirements.

* * * * *
    (c) * * *
    (4) Supplementary leverage ratio. (i) An advanced approaches FDIC-
supervised institution's supplementary leverage ratio is the ratio of 
its tier 1 capital calculated as of the last day of each reporting 
quarter to total leverage exposure calculated as the arithmetic mean of 
the total leverage exposure calculated as of each day of the reporting 
quarter, using the applicable deductions under Sec.  324.22(a), (c), 
and (d) as of the last day of the previous reporting quarter.
    (ii) For purposes of this part, total leverage exposure means the 
sum of the items described as follows in paragraphs (c)(4)(ii)(A) 
through (H) of this section, as adjusted by any applicable requirement 
for clearing member FDIC-supervised institutions described in paragraph 
(c)(4)(ii)(I):
    (A) The balance sheet carrying value of all of the FDIC-supervised 
institution's on-balance sheet assets, plus the value of securities 
sold under a repo-style arrangement that are not included on-balance 
sheet, less amounts deducted from tier 1 capital under Sec.  324.22(a), 
(c), and (d), and less the value of securities received in security-
for-security repo-style transactions, where the FDIC-supervised 
institution acts as a securities lender and includes the securities 
received in its on-balance sheet assets but has not sold or re-
hypothecated the securities received;
    (B) The PFE for each derivative contract (including cleared 
transactions except as provided in paragraph (c)(4)(ii)(I) of this 
section) to which the FDIC-supervised institution is a counterparty (or 
each single-product netting set of such transactions) as determined 
under Sec.  324.34, but without regard to Sec.  324.34(b). An FDIC-
supervised institution may choose to adjust the PFE for all credit 
derivatives or other similar instruments through which it provides 
credit protection, as included in paragraph (c)(4)(ii)(D) of this 
section, when calculating the PFE under Sec.  324.34, but without 
regard to Sec.  324.34(b), provided that it does not adjust the net-to-
gross ratio (NGR). An FDIC-supervised institution that makes such 
election must do so consistently over time for the calculation of the 
PFE for all credit derivative contracts or similar instruments through 
which it provides credit protection;
    (C) The amount of cash collateral that is received from a 
counterparty to a derivative contract and that has offset the mark-to-
fair value of the derivative asset, or cash collateral that is posted 
to a counterparty to a derivative contract and that has reduced the 
FDIC-supervised institution's on-balance sheet assets, except if such 
cash collateral is all or part of variation margin that satisfies the 
following requirements in paragraphs (c)(4)(ii)(C)(1) through (5) of 
this section. Cash variation margin that satisfies the requirements in 
paragraphs (c)(4)(ii)(C)(1) through (5) of this section may only be 
used to reduce the current credit exposure of the derivative contract, 
calculated as described in section 324.34(a)(2)(ii)(B), and not the 
PFE. In the calculation of the NGR described in Sec.  
324.34(a)(2)(ii)(B), cash variation margin that satisfies the 
requirements in paragraphs (a)(2)(ii)(C)(1) through (5) of this section 
may not reduce the net current credit exposure or the gross current 
credit exposure.
    (1) For derivative contracts that are not cleared through a QCCP, 
the cash collateral received by the recipient counterparty is not 
segregated;
    (2) Variation margin is calculated and transferred on a daily basis 
based on the mark-to-fair value of the derivative contract;
    (3) The variation margin transferred under the derivative contract 
or the governing rules for a cleared transaction is the full amount 
that is necessary to fully extinguish the net current credit exposure 
to the counterparty of the derivative contracts, subject to the 
threshold and minimum transfer amounts applicable to the counterparty 
under the terms of the derivative contract or the governing rules for a 
cleared transaction;
    (4) The variation margin is in the form of cash in the same 
currency as the currency of settlement set forth in the derivative 
contract, provided that for the purposes of this paragraph, currency of 
settlement means any currency for settlement specified in the governing 
qualifying master netting agreement and the credit support annex to the 
qualifying master netting agreement, or in the governing rules for a 
cleared transaction; and
    (5) The derivative contract and the variation margin are governed 
by a qualifying master netting agreement between the legal entities 
that are the counterparties to the derivative contract or by the 
governing rules for a cleared transaction. The qualifying master 
netting agreement or the governing rules for a cleared transaction must 
explicitly stipulate that the counterparties agree to settle any 
payment obligations on a net basis, taking into account any variation 
margin received or provided under the contract if a credit event 
involving either counterparty occurs;
    (D) The effective notional principal amount (that is, the apparent 
or stated notional principal amount multiplied by any multiplier in the 
derivative contract) of a credit derivative, or other similar 
instrument, through which the FDIC-supervised institution provides 
credit protection, provided that:
    (1) The FDIC-supervised institution may reduce the effective 
notional principal amount of the credit derivative by the amount of any 
reduction in the mark-to-fair value of the credit derivative if the 
reduction is recognized in common equity tier 1 capital;
    (2) The FDIC-supervised institution may reduce the effective 
notional principal amount of the credit derivative by the effective 
notional principal amount of a purchased credit derivative or other 
similar instrument, provided that the remaining maturity of the 
purchased credit derivative is equal to or greater than the remaining 
maturity of the credit derivative through which the FDIC-supervised 
institution provides credit protection and that:
    (i) With respect to a credit derivative that references a single 
exposure, the

[[Page 24616]]

reference exposure of the purchased credit derivative is to the same 
legal entity and ranks pari passu with, or is junior to, the reference 
exposure of the credit derivative through which the FDIC-supervised 
institution provides credit protection; or
    (ii) With respect to a credit derivative that references multiple 
exposures, such as securitization exposures, the reference exposures of 
the purchased credit derivative are to the same legal entities and rank 
pari passu with the reference exposures of the credit derivative 
through which the FDIC-supervised institution provides credit 
protection, and the level of seniority of the purchased credit 
derivative ranks pari passu to the level of seniority of the credit 
derivative through which the FDIC-supervised institution provides 
credit protection.
    (iii) Where an FDIC-supervised institution has reduced the 
effective notional amount of a credit derivative through which the 
FDIC-supervised institution provides credit protection in accordance 
with paragraph (c)(4)(ii)(D)(1) of this section, the FDIC-supervised 
institution must also reduce the effective notional principal amount of 
a purchased credit derivative, used to offset the credit derivative 
through which the FDIC-supervised institution provides credit 
protection, by the amount of any increase in the mark-to-fair value of 
the purchased credit derivative that is recognized in common equity 
tier 1 capital; and
    (iv) Where the FDIC-supervised institution purchases credit 
protection through a total return swap and records the net payments 
received on a credit derivative through which the FDIC-supervised 
institution provides credit protection in net income, but does not 
record offsetting deterioration in the mark-to-fair value of the credit 
derivative through which the FDIC-supervised institution provides 
credit protection in net income (either through reductions in fair 
value or by additions to reserves), the FDIC-supervised institution may 
not use the purchased credit protection to offset the effective 
notional principal amount of the related credit derivative through 
which the FDIC-supervised institution provides credit protection.
    (E) Where an FDIC-supervised institution acting as a principal has 
more than one repo-style transaction with the same counterparty and has 
applied the GAAP offset for repo-style transactions, and the criteria 
in paragraphs (c)(4)(ii)(E)(1) through (3) of this section are not 
satisfied, the gross value of receivables associated with the repo-
style transactions less any on-balance sheet receivables amount 
associated with these repo-style transactions included under paragraph 
(c)(4)(ii)(A) of this section.
    (1) The offsetting transactions have the same explicit final 
settlement date under their governing agreements;
    (2) The right to offset the amount owed to the counterparty with 
the amount owed by the counterparty is legally enforceable in the 
normal course of business and in the event of receivership, insolvency, 
liquidation, or similar proceeding; and
    (3) Under the governing agreements, the counterparties intend to 
settle net, settle simultaneously, or settle according to a process 
that is the functional equivalent of net settlement. That is, the cash 
flows of the transactions are equivalent, in effect, to a single net 
amount on the settlement date. To achieve this result, both 
transactions must be settled through the same settlement system and the 
settlement arrangements must be supported by cash or intraday credit 
facilities intended to ensure that settlement of both transactions will 
occur by the end of the business day, and the settlement of the 
underlying securities does not interfere with the net cash settlement.
    (F) The counterparty credit risk of a repo-style transaction, 
including where the FDIC-supervised institution acts as an agent for a 
repo-style transaction, calculated as follows:
    (1) If the transaction is not subject to a qualifying master 
netting agreement, the counterparty credit risk (E*) for transactions 
with a counterparty must be calculated on a transaction by transaction 
basis, such that each transaction i is treated as its own netting set, 
in accordance with the following formula, where Ei is the 
fair value of the instruments, gold, or cash that the FDIC-supervised 
institution has lent, sold subject to repurchase, or provided as 
collateral to the counterparty, and Ci is the fair value of 
the instruments, gold, or cash that the FDIC-supervised institution has 
borrowed, purchased subject to resale, or received as collateral from 
the counterparty:

Ei* = max {0, [Ei - Ci]{time} ; and

    (2) If the transaction is subject to a qualifying master netting 
agreement, the counterparty credit risk (E*) must be calculated as the 
greater of zero and the total fair value of the instruments, gold, or 
cash that the FDIC-supervised institution has lent, sold subject to 
repurchase or provided as collateral to a counterparty for all 
transactions included in the qualifying master netting agreement 
([sum]Ei), less the total fair value of the instruments, 
gold, or cash that the FDIC-supervised institution borrowed, purchased 
subject to resale or received as collateral from the counterparty for 
those transactions ([sum]Ci), in accordance with the 
following formula:

E* = max {0, [[sum]Ei - [sum]Ci]{time} 

    (G) If an FDIC-supervised institution acting as an agent for a 
repo-style transaction provides a guarantee to a customer of the 
security or cash its customer has lent or borrowed with respect to the 
performance of the customer's counterparty and the guarantee is not 
limited to the difference between the fair value of the security or 
cash its customer has lent and the fair value of the collateral the 
borrower has provided, the amount of the guarantee that is greater than 
the difference between the fair value of the security or cash its 
customer has lent and the value of the collateral the borrower has 
provided.
    (H) The credit equivalent amount of all off-balance sheet exposures 
of the FDIC-supervised institution, excluding repo-style transactions 
and derivatives, determined using the applicable credit conversation 
factor under Sec.  324.33(b), provided, however, that the minimum 
credit conversion factor that may be assigned to an off-balance sheet 
exposure under this paragraph is 10 percent.
    (I) Requirements for an FDIC-supervised institution that is a 
clearing member:
    (1) A clearing member FDIC-supervised institution that guarantees 
the performance of a clearing member client with respect to a cleared 
transaction must treat its exposure to the clearing member client as a 
derivative contract for purposes of determining its total leverage 
exposure.
    (2) A clearing member FDIC-supervised institution that guarantees 
the performance of a CCP with respect to a transaction cleared on 
behalf of a clearing member client must treat its exposure to the CCP 
as a derivative contract for purposes of determining its total leverage 
exposure. A clearing member FDIC-supervised institution that does not 
guarantee the performance of a CCP with respect to a transaction 
cleared on behalf of a clearing member client may exclude its exposure 
to the CCP for purposes of determining its total leverage exposure.
0
14. Section 324.172 is amended by adding paragraph (d) to read as 
follows:


Sec.  324.172  Disclosure requirements.

* * * * *
    (d) Except as otherwise provided in paragraph (b) of this section, 
an

[[Page 24617]]

advanced approaches FDIC-supervised institution must publicly disclose 
each quarter its supplementary leverage ratio and its components as 
calculated under subpart B of this part in compliance with paragraph 
(c) of this section; provided, however, the disclosures required under 
this paragraph are required without regard to whether the FDIC-
supervised institution has completed the parallel run process and has 
received notification from the FDIC pursuant to Sec.  324.121(d).
0
15. Amend Sec.  324.173 as follows:
0
a. Revise the introductory text of paragraph (a); and
0
b. Add paragraph (c) and Table 13 to Sec.  3.173.
    The revision and additions are set forth below.


Sec.  324.173  Disclosures by certain advanced approaches FDIC-
supervised institutions.

    (a) Except as provided in Sec.  324.172(b), an FDIC-supervised 
institution described in Sec.  324.172(b) must make the disclosures 
described in Tables 1 through 13 to Sec.  324.173. The FDIC-supervised 
institution must make the disclosures required under Tables 1 through 
12 publicly available for each of the last three years (that is, twelve 
quarters) or such shorter period beginning on January 1, 2014. The 
FDIC-supervised institution must make the disclosures required under 
Table 13 publicly available beginning on January 1, 2015.
* * * * *
    (c) Except as provided in Sec.  324.172(b), an FDIC-supervised 
institution described in Sec.  324.172(d) must make the disclosures 
described in Table 13 to Sec.  324.173; provided, however, the 
disclosures required under this paragraph are required without regard 
to whether the FDIC-supervised institution has completed the parallel 
run process and has received notification from the FDIC pursuant to 
Sec.  324.121(d). The FDIC-supervised institution must make these 
disclosures publicly available beginning on January 1, 2015.

         Table 13 to Sec.   324.173 Supplementary Leverage Ratio
------------------------------------------------------------------------
                                      Dollar amounts in thousands
                             -------------------------------------------
                                 Tril       Bil        Mil        Thou
------------------------------------------------------------------------
 Part 1: Summary comparison
  of accounting assets and
   total leverage exposure
------------------------------------------------------------------------
 
1 Total consolidated assets
 as reported in published
 financial statements.......
2 Adjustment for investments
 in banking, financial,
 insurance or commercial
 entities that are
 consolidated for accounting
 purposes but outside the
 scope of regulatory
 consolidation..............
3 Adjustment for fiduciary
 assets recognized on
 balance sheet but excluded
 from total leverage
 exposure...................
4 Adjustment for derivative
 exposures..................
5 Adjustment for repo-style
 transactions...............
6 Adjustment for off-balance
 sheet exposures (that is,
 conversion to credit
 equivalent amounts of off-
 balance sheet exposures)...
7 Other adjustments.........
8 Total leverage exposure...
------------------------------------------------------------------------
    Part 2: Supplementary
       leverage ratio
------------------------------------------------------------------------
 
 On-balance sheet exposures
------------------------------------------------------------------------
 
1 On-balance sheet assets
 (excluding on-balance sheet
 assets for repo-style
 transactions and derivative
 exposures, but including
 cash collateral received in
 derivative transactions)...
2 LESS: Amounts deducted
 from tier 1 capital........
3 Total on-balance sheet
 exposures (excluding on-
 balance sheet assets for
 repo-style transactions and
 derivative exposures, but
 including cash collateral
 received in derivative
 transactions) (sum of lines
 1 and 2)...................
------------------------------------------------------------------------
    Derivative exposures
------------------------------------------------------------------------
 
4 Replacement cost for
 derivative exposures (that
 is, net of cash variation
 margin)....................
5 Add-on amounts for
 potential future exposure
 (PFE) for derivatives
 exposures..................
6 Gross-up for cash
 collateral posted if
 deducted from the on-
 balance sheet assets,
 except for cash variation
 margin.....................
7 LESS: Deductions of
 receivable assets for cash
 variation margin posted in
 derivatives transactions,
 if included in on-balance
 sheet assets...............
8 LESS: Exempted CCP leg of
 client-cleared transactions
9 Effective notional
 principal amount of sold
 credit protection..........
10 LESS: Effective notional
 principal amount offsets
 and PFE adjustments for
 sold credit protection.....
11 Total derivative
 exposures (sum of lines 4
 to 10).....................
------------------------------------------------------------------------
   Repo-style transactions
------------------------------------------------------------------------
 
12 On-balance sheet assets
 for repo-style
 transactions, except
 include the gross value of
 receivables for reverse
 repurchase transactions.
 Exclude from this item the
 value of securities
 received in a security-for-
 security repo-style
 transaction where the
 securities lender has not
 sold or re-hypothecated the
 securities received.
 Include in this item the
 value of securities sold
 under a repo-style
 arrangement................
13 LESS: Reduction of the
 gross value of receivables
 in reverse repurchase
 transactions by cash
 payables in repurchase
 transactions under netting
 agreements.................
14 Counterparty credit risk
 for all repo-style
 transactions...............

[[Page 24618]]

 
15 Exposure for repo-style
 transactions where a
 banking organization acts
 as an agent................
16 Total exposures for repo-
 style transactions (sum of
 lines 12 to 15)............
------------------------------------------------------------------------
   Other off-balance sheet
          exposures
------------------------------------------------------------------------
 
17 Off-balance sheet
 exposures at gross notional
 amounts....................
18 LESS: Adjustments for
 conversion to credit
 equivalent amounts.........
19 Off-balance sheet
 exposures (sum of lines 17
 and 18)....................
------------------------------------------------------------------------
 Capital and total leverage
          exposure
------------------------------------------------------------------------
 
20 Tier 1 capital...........
21 Total leverage exposure
 (sum of lines 3, 11, 16 and
 19)........................
------------------------------------------------------------------------
Supplementary leverage ratio
------------------------------------------------------------------------
 
22 Supplementary leverage
 ratio......................                 (in percent)
------------------------------------------------------------------------


    Dated: April 8, 2014.
Thomas J. Curry,
Comptroller of the Currency.
    By Order of the Board of Governors of the Federal Reserve 
System, April 10, 2014.
Robert deV. Frierson,
Secretary of the Board.
    Dated at Washington, DC, this 8th day of April, 2014.
    By order of the Board of Directors.

Federal Deposit Insurance Corporation.
Robert E. Feldman,
Executive Secretary.
[FR Doc. 2014-09357 Filed 4-30-14; 8:45 am]
BILLING CODE P