This section provides simple examples to help clarify the calculation of adjusted gross SFT assets for the leverage ratio exposure measure. These examples are for guidance only; banks should consult the actual Leverage Ratio Standards for the specific requirements. Note that the SFT examples do not include the calculation of CCR exposure for the SFTs, which is required under the leverage ratio standards.
For purposes of these examples, consider a bank with a simple initial balance sheet consisting of assets of 200 cash and 400 in investment securities, funded by 600 in equity, with no other initial liabilities. In simple T-account format, the bank’s initial position is the following:

Example 1: Single Repurchase Agreement

A customer obtains financing from the bank through a repurchase agreement. The customer provides securities to the bank of 110, receives cash of 100, and commits to repurchase the securities at a specified future date. This is the bank’s only SFT.
After the transaction, the bank’s balance sheet appears as follows:

For purposes of the leverage ratio, gross SFT assets would be the sum of the cash receivable created and the investment securities received, 100+110, for a total of 210. However, this total is reduced by the value of the securities received under the SFT because the bank has recognized the securities as an asset on its balance sheet, leading to an adjusted gross SFT asset value of 100 for inclusion in the leverage ratio exposure measure.
Note that in this example, the net effect on leverage ratio exposure would be zero, since on-balance-sheet assets exclusive of SFT assets decline by 100.

Example 2: Single Reverse Repurchase Agreement

A bank obtains funding by reversing out securities in exchange for cash. The bank receives 100 cash, repos out 110 in securities, and will repurchase the securities at a specified future date. This is the bank’s only SFT.
After the transaction, the bank’s balance sheet appears as follows:

For purposes of the leverage ratio, gross SFT assets would be simply the 100 cash received. Note that in this example, the net effect would be to increase the measured leverage ratio exposure by 100.

Example 3: Simple Repo Portfolio

The bank has two SFTs, the repo from Example 1 above, and the reverse repo from Example 2 above. Both SFTs are with the same counterparty, and are subject to a qualifying master netting agreement under which cash payables and receivables qualify for netting. These are the bank’s only SFTs.
After the transaction, the bank’s balance sheet appears as follows:

Because the SFT transactions have matching terms, there are offsetting accounting entries for Repo Encumbered Securities, Investment Securities, and Cash. In this case, gross SFT assets would be 310, consisting of 100 cash receivable, 110 investment securities received, and 100 cash received. However, this total is adjusted down by the amount of the securities received and held on the balance sheet (110), and by another 100 due to the netting of the cash payable and the cash receivable, leaving an adjusted total gross SFT assets of 100 to be included in the leverage ratio exposure measure.