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Supplementary Leverage Ratio (SLR): Visual Memorandum

The U.S. banking agencies have finalized revisions to the denominator of the supplementary leverage ratio (SLR), which include a number of key changes and clarifications to their April 2014 proposal. The SLR represents the U.S. implementation of the Basel III leverage ratio. Under the U.S. banking agencies’ SLR framework, advanced approaches firms must maintain a minimum SLR of 3%, while the 8 U.S. bank holding companies that have been identified as global systemically important banks (U.S. G-SIBs) and their U.S. insured depository institution subsidiaries are subject to enhanced SLR standards.…  Read More

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U.S. Basel III Liquidity Coverage Ratio (LCR) Final Rule: Visual Memorandum

The U.S. banking agencies have issued a final rule to implement the Basel III liquidity coverage ratio (LCR) in the United States. The LCR requires large banking organizations to maintain a minimum amount of liquid assets to withstand a 30-day standardized stress scenario. The U.S. LCR final rule is more stringent than the Basel Committee’s LCR framework in several significant respects. In addition, the final rule makes a number of key changes to the proposed rule.

Davis Polk’s visual memorandum uses diagrams, flowcharts, timelines, examples and comparison tables to illustrate key aspects of the U.S.…  Read More

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Fed Governor Tarullo Discusses G-SIB Surcharge Implementation

Today, Federal Reserve Governor Daniel K. Tarullo delivered a speech that, among other things, provided a preview of the forthcoming proposal to implement the GSIB risk-based capital surcharge.

 

While our proposal will use the GSIB risk-based capital surcharge framework developed by the BCBS as a starting point, it will strengthen the BCBS framework in two important respects. First, the surcharge levels for U.S. GSIBs will be higher than the levels required by the BCBS, noticeably so for some firms. Second, the surcharge formula will directly take into account each U.S. Read More

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Blackline of Supplementary Leverage Ratio (SLR) Denominator Final Rule

Today, the U.S. banking agencies issued a final rule regarding the denominator of the Basel III supplementary leverage ratio (SLR).  We have prepared a blackline that compares the text of the final rule against the proposed rule that was issued in April 2014.

View Davis Polk SLR Denominator Final Rule Blackline

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Blackline of U.S. Liquidity Coverage Ratio Final Rule

Today, the U.S. banking agencies issued a final rule to implement the Basel III liquidity coverage ratio (LCR).  We have prepared a blackline that compares the text of the final rule against the proposed rule that was issued in 2013.

View Davis Polk LCR Final Rule Blackline

 

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Overview of Basel Committee’s Pillar 3 Disclosure Proposal

The Basel Committee has published a proposal to significantly revise the Pillar 3 capital disclosure standards for internationally active banks.  By way of background, Pillar 3 of the Basel framework aims to promote market discipline through qualitative and quantitative regulatory disclosure requirements.

The main objectives of today’s proposed changes include further enhancing the comparability and consistency of disclosures (both across time and across banks) and providing greater transparency of banks’ internal capital calculation models and methodologies.

Overall themes.  The new disclosure requirements embody, among others, the following overall themes:

  • Longer and more detailed disclosures. 
  •  Read More

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