AOCI rule effects – nine banks affected.

I just checked the Basel III AOCI rule – discussed by Reuters last week – using real data from bank holding companies.

This is what inclusion would amount to, using 12/31/2012 data from US bank holdings, including the unrealized gains currently excluded from capital:

Name Leverage
UR Gains
LR w.o.
bank of ny mellon corp 5.30% 0.43% 5.72%
hsbc north amer hold 6.79% 0.31% 7.10%
jpmorgan chase & co 7.13% 0.31% 7.44%
bank of amer corp 7.37% 0.24% 7.61%
citigroup 7.48% 0.03% 7.51%
capital one fc 8.66% 0.24% 8.90%
u s bc 9.22% 0.23% 9.45%
wells fargo & co 9.47% 0.56% 10.0%
pnc fncl svc group 10.4% 0.36% 10.7%

I will check this again after downloading data on ForEx exposures, but it looks as if the mere nine banks that may have to include AOCI in regulatory capital benefit from the Basel III implementation too.

Note that this is no small fry, the amounts that banks could add by including unrealized gains into capital is $25bn; assuming a conservative leverage ratio of 10%, this could support $250bn of new business.