Revisions to leverage ratio disclosure requirements

The publication Revisions to leverage ratio disclosure requirements sets out additional requirements for banks to disclose their leverage ratios based on quarter-end and on daily average values of securities financing transactions. A comparison of the two sets of values will allow market participants to better assess banks' actual leverage throughout the reporting period.

The Basel Committee has finalised this disclosure requirement to address concerns expressed in a newsletter regarding potential regulatory arbitrage by banks in the form of "window-dressing", whereby temporary reductions of transaction volumes around reference dates result in the reporting and public disclosure of artificially elevated leverage ratios. The Committee will continue to carefully monitor potential window-dressing behaviour by banks.

These revisions are applicable to the Pillar 3 disclosure requirements associated with the version of the leverage ratio standard that serves as the Pillar 1 minimum capital requirement as of 1 January 2022.