Leverage Ratio Framework

Securities financing transaction exposures calculation: (i) The effects of bilateral netting agreements 20 for covering SFTs will be recognized on a counterparty-by-counterparty basis if the agreements are legally enforceable in each relevant jurisdiction upon the occurrence of an event of default and regardless of whether the counterparty is insolvent or bankrupt. In addition, netting agreements must: a. Provide the non-defaulting party with the right to terminate and close out in a timely manner all transactions under the agreement upon an event of default, including in the event of insolvency or bankruptcy of the counterparty; b. Provide for the netting of gains and losses on transactions (including the value of any collateral) terminated and closed out under it so that a single net amount is owed by one party to the other; c. Allow for the prompt liquidation or setoff of collateral upon the event of default; and d. Be together with the rights arising from provisions required in (a) and (c) above, legally enforceable in each relevant jurisdiction upon the occurrence of an event of default regardless of the counterparty's insolvency or bankruptcy. (ii) Netting across positions held in the banking book and trading book will only be recognized when the netted transactions fulfil the following conditions: a. All transactions are marked to market daily; and b. The collateral instruments used in the transactions are recognized as eligible financial collateral in the banking book 7.3.5 Sale accounting transactions: Leverage may remain with the lender of the security in an SFT whether or not sale accounting is achieved under the operative accounting framework. If the sale accounting is achieved for an SFT under the bank's operative accounting framework, the bank must reverse all sales-related accounting entries, and then calculate its exposure as if the SFT had been treated as a financing transaction under the operative accounting framework. I.e. the bank must include the sum of amounts in subparagraphs (i) and (ii) of paragraph 7.3.3 for such an SFT) for the purpose of determining its Leverage ratio exposure measure.