The leverage exposure measure includes two separate amounts for securities financing transactions: the fair value of assets on the balance sheet, and an addon that captures uncovered counterparty exposure. This page shows how each is calculated and what changes when a master netting agreement is in place or when cash legs qualify for balance sheet netting.

A derivative carries exposure even when its current market value is zero, because the market can move before the position is closed out. The exposure value is built in two pieces: the replacement cost, the loss the bank would take if the counterparty defaulted today, and the potential future exposure, an estimate of how much the position could move against the bank before it is unwound. Their sum, scaled up by a fixed factor, is the exposure value of the netting set. For the

The leverage ratio is a bank's capital divided by the total size of its balance sheet and the commitments behind it. That denominator is the leverage exposure measure. Unlike the risk-based framework, it does not weight exposures by how risky they are, and it does not let collateral, guarantees, or netting shrink the figure except in a few narrowly defined cases. It is a deliberately blunt backstop: a limit on how large a bank can grow relative to its capital, regardless of h