TCH has joined a trades comment letter along with, GFMA, IIF, ISDA, and the JFMC (Associations) responding to the BCBS proposed revisions to the Basel III leverage ratio framework. The Associations commend the BCBS for consulting on various issues that improve the harmonization of the exposure measure, take into account developments elsewhere in the regulatory agenda and acknowledge that accounting treatment of certain assets may not be appropriate for prudential regulation and the LR framework. However, many of the changes to the framework contemplated in the BCBS’s consultation paper may further increase the number of firms that allocate capital according to the non-risk based LR rather than the risks associated with the business activity. The letter provides detailed feedback and recommendations including with respect to the trade vs. settlement date accounting proposals, cash pooling, calibration of credit conversion factors, and treatment of securitizations and derivatives.
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