With regard to panel A (row 10), on balance sheet items, should unused liquidity commitments be included?
No, panel A is only for on-balance sheet items. Line 37 of the Leverage Ratio tab asks firms to provide the regulatory potential exposure (current exposure method; applying Basel II netting rules). Page 24 of the instructions for these items includes a footnote that states “banks should always apply the netting rules as defined in the Basel II framework, irrespective of their actual approach to credit risk.” Should banks provide potential exposure as currently calculated, or as calculated if Basel II netting rules were applied? For historical data, please provide the regulatory potential exposure as calculated at that time. For the most current/recent data requests, please provide potential exposure as calculated under Basel II netting rules if possible. If you do not have a sufficient degree of confidence about the Basel II calculation, please provide the potential exposure measure as you currently calculate it and supplement this with a best efforts qualitative sense of what the diff
