Supplementary leverage ratio Clause Samples
Supplementary leverage ratio. (i) An advanced approaches Board-regulated institution’s or a Category III Board- regulated institution’s supplementary leverage ratio is the ratio of its tier 1 capital to total leverage exposure, the latter which is calculated as the sum of:
(A) The mean of the on-balance sheet assets calculated as of each day of the reporting quarter; and
(B) The mean of the off-balance sheet exposures calculated as of the last day of each of the most recent three months, minus the applicable deduc- tions under § 217.22(a), (c), and (d).
(ii) For purposes of this part, total ▇▇- ▇▇▇▇▇▇ exposure means the sum of the items described in paragraphs (c)(4)(ii)(A) through (H) of this section, as adjusted pursuant to paragraph (c)(4)(ii)(I) for a clearing member Board-regulated institution:
(A) The balance sheet carrying value of all of the Board-regulated institu- tion’s on-balance sheet assets, plus the value of securities sold under a repur- chase transaction or a securities lend- ing transaction that qualifies for sales treatment under U.S. GAAP, less amounts deducted from tier 1 capital under § 217.22(a), (c), and (d), and less the value of securities received in secu- rity-for-security repo-style trans- actions, where the Board-regulated in- stitution 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 con- tract or each single-product netting set of derivative contracts (including a cleared transaction except as provided in paragraph (c)(4)(ii)(I) of this section and, at the discretion of the Board-su- pervised institution, excluding a for- ▇▇▇▇ agreement treated as a derivative contract that is part of a repurchase or reverse repurchase or a securities bor- rowing or lending transaction that qualifies for sales treatment under U.S. GAAP), to which the Board-regulated institution is a counterparty as deter- mined under § 217.34, but without re- gard to § 217.34(b), provided that:
(1) A Board-regulated institution may choose to exclude the PFE of all credit derivatives or other similar in- struments through which it provides credit protection when calculating the PFE under § 217.34, but without regard to § 217.34(b), provided that it does not adjust the net-to-gross ratio (NGR); and
(2) A Board-regulated institution that chooses to exclude the PFE of credit derivatives or other similar in- struments through which it provides credit prot...