12 CFR Part 249 — Liquidity Risk Measurement, Standards, and Monitoring (Regulation WW)

PART 249—LIQUIDITY RISK MEASUREMENT, STANDARDS, AND MONITORING (REGULATION WW) Authority: 12 U.S.C. 248(a), 321-38a, 481-486, 1467a(g)(1), 1818, 1828, 1831p-1, 1831o-1, 1844(b), 5365, 5366, 5368; 12 U.S.C. 3101 et seq. Source: 79 FR 61523, 61539, Oct. 10, 2014, unless otherwise noted. Editorial Note: Nomenclature changes to part 249 appear at 79 FR 61539, Oct. 10, 2014. Subpart A—General Provisions § 249.1 Purpose and applicability. (a) Purpose. (b) Applicability. (i) It is a: (A) Global systemically important BHC; (B) GSIB depository institution; (C) Category II Board-regulated institution; (D) Category III Board-regulated institution; or (E) Category IV Board-regulated institution with $50 billion or more in average weighted short-term wholesale funding; (ii) It is a covered nonbank company; or (iii) The Board has determined that application of this part is appropriate in light of the Board-regulated institution's asset size, level of complexity, risk profile, scope of operations, affiliation with foreign or domestic covered entities, or risk to the financial system. (2) This part does not apply to: (i) A bridge financial company as defined in 12 U.S.C. 5381(a)(3), or a subsidiary of a bridge financial company; or (ii) A new depository institution or a bridge depository institution, as defined in 12 U.S.C. 1813(i). (3) In making a determination under paragraph (b)(1)(iii) of this section, the Board will apply, as appropriate, notice and response procedures in the same manner and to the same extent as the notice and response procedures set forth in 12 CFR 263.202. (c) Covered nonbank companies. [86 FR 9210, Feb. 11, 2021] § 249.2 Reservation of authority. (a) The Board may require a Board-regulated institution to hold an amount of high-quality liquid assets (HQLA) greater than otherwise required under this part, or to take any other measure to improve the Board-regulated institution's liquidity risk profile, if the Board determines that the Board-regulated institution's liquidity requirements as calculated under this part are not commensurate with the Board-regulated institution's liquidity risks. In making determinations under this section, the Board will apply notice and response procedures as set forth in 12 CFR 263.202. (b) The Board may require a Board-regulated institution to maintain an amount of available stable funding greater than otherwise required under this part, or to take any other measure to improve the Board-regulated institution's stable funding, if the Board determines that the Board-regulated institution's stable funding requirements as calculated under this part are not commensurate with the Board-regulated institution's funding risks. In making determinations under this section, the Board will apply notice and response procedures as set forth in 12 CFR 263.202. (c) Nothing in this part limits the authority of the Board under any other provision of law or regulation to take supervisory or enforcement action, including action to address unsafe or unsound practices or conditions, deficient liquidity levels, deficient stable funding levels, or violations of law. [79 FR 61523, 61539, Oct. 10, 2014, as amended at 86 FR 9211, Feb. 11, 2021] § 249.3 Definitions. For the purposes of this part: Affiliated depository institution Asset exchange Average weighted short-term wholesale funding Bank holding company et seq. Board Board-regulated institution Brokered deposit Brokered reciprocal deposit (1) For any deposit received, the Board-regulated institution (as agent for the depositors) places the same amount with other depository institutions through the network; and (2) Each member of the network sets the interest rate to be paid on the entire amount of funds it places with other network members. Calculation date Call Report Carrying value Category II Board-regulated institution (1) A covered depository institution holding company that is identified as a Category II banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10; (2) A U.S. intermediate holding company that is identified as a Category II banking organization pursuant to 12 CFR 252.5; (3)(i) A state member bank that: (A) Is a consolidated subsidiary of: ( 1 ( 2 (B) That has total consolidated assets, calculated based on the average of the state member bank's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, equal to $10 billion or more. (ii) If the state member bank has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets is calculated based on its total consolidated assets, as reported on the Call Report, for the most recent quarter or the average of the most recent quarters, as applicable. After meeting the criteria under this paragraph (3), a state member bank continues to be a Category II Board-regulated institution until the state member bank has less than $10 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters, or the state member bank is no longer a consolidated subsidiary of a company described in paragraph (3)(i)(A)( 1 2 (4) A state member bank that: (i) Is not a subsidiary of a depository institution holding company; and (ii)(A) Has total consolidated assets, calculated based on the average of the depository institution's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, equal to $700 billion or more. If the depository institution has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets is calculated based on its total consolidated assets, as reported on the Call Report, for the most recent quarter or the average of the most recent quarters, as applicable; or (B) Has: ( 1 ( 2 (iii) After meeting the criteria in paragraphs (4)(i) and (ii) of this definition, a state member bank continues to be a Category II Board-regulated institution until the state member bank: (A)( 1 ( 2 (B) Has less than $100 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters; or (C) Is a GSIB depository institution. Category III Board-regulated institution (1) A covered depository institution holding company that is identified as a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10, as applicable; (2) A U.S. intermediate holding company that is identified as a Category III banking organization pursuant to 12 CFR 252.5; (3)(i) A state member bank that is: (A) A consolidated subsidiary of: ( 1 ( 2 (B) Has total consolidated assets, calculated based on the average of the state member bank's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, equal to $10 billion or more. (ii) If the state member bank has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means its total consolidated assets, as reported on the Call Report, for the most recent quarter or the average of the most recent quarters, as applicable. After meeting the criteria under this paragraph (3), a state member bank continues to be a Category III Board-regulated institution until the state member bank has less than $10 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters, or the state member bank is no longer a consolidated subsidiary of a company described in paragraph (3)(i)(A)( 1 2 (4) A state member bank that: (i) Is not a depository institution holding company; and (ii)(A) Has total consolidated assets, calculated based on the average of the depository institution's total consolidated assets in the four most recent quarters as reported on the most recent Call Report, equal to $250 billion or more. If the depository institution has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means its total consolidated assets, as reported on the Call Report, for the most recent quarter or the average of the most recent quarters, as applicable; or (B) Has: ( 1 ( 2 2 i iii ( i ( ii ( iii (iii) After meeting the criteria in paragraphs (4)(i) and (ii) of this definition, a state member bank continues to be a Category III Board-regulated institution until the state member bank: (A)( 1 ( 2 ( 3 ( 4 (B) Has less than $100 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters; (C) Is a Category II Board-regulated institution; or (D) Is a GSIB depository institution. Category IV Board-regulated institution (1) A covered depository institution holding company that is identified as a Category IV banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10, as applicable; or (2) A U.S. intermediate holding company that is identified as a Category IV banking organization pursuant to 12 CFR 252.5. Client pool security Collateralized deposit (1) A deposit of a public sector entity held at the Board-regulated institution that is required to be secured under applicable law by a lien on assets owned by the Board-regulated institution and that gives the depositor, as holder of the lien, priority over the assets in the event the Board-regulated institution enters into receivership, bankruptcy, insolvency, liquidation, resolution, or similar proceeding; (2) A deposit of a fiduciary account awaiting investment or distribution held at the Board-regulated institution for which the Board-regulated institution is a fiduciary and is required under 12 CFR 9.10(b) (national banks), 12 CFR 150.300 through 150.320 (Federal savings associations), or applicable state law (state member and nonmember banks, and state savings associations) to set aside assets owned by the Board-regulated institution as security, which gives the depositor priority over the assets in the event the Board-regulated institution enters into receivership, bankruptcy, insolvency, liquidation, resolution, or similar proceeding; or (3) A deposit of a fiduciary account awaiting investment or distribution held at the Board-regulated institution for which the Board-regulated institution's affiliated insured depository institution is a fiduciary and where the Board-regulated institution under 12 CFR 9.10(c) (national banks), 12 CFR 150.310 (Federal savings associations), or applicable state law (state member and nonmember banks, state savings associations) has set aside assets owned by the Board-regulated institution as security, which gives the depositor priority over the assets in the event the Board-regulated institution enters into receivership, bankruptcy, insolvency, liquidation, resolution, or similar proceeding. Committed Company Consolidated subsidiary Controlled subsidiary Covered depository institution holding company (1) A top-tier savings and loan holding company that is: (i) A grandfathered unitary savings and loan holding company as defined in section 10(c)(9)(A) of the Home Owners' Loan Act (12 U.S.C. 1461 et seq. (ii) As of June 30 of the previous calendar year, derived 50 percent or more of its total consolidated assets or 50 percent of its total revenues on an enterprise-wide basis (as calculated under GAAP) from activities that are not financial in nature under section 4(k) of the Bank Holding Company Act (12 U.S.C. 1843(k)); (2) A top-tier depository institution holding company that is an insurance underwriting company; (3)(i) A top-tier depository institution holding company that, as of June 30 of the previous calendar year, held 25 percent or more of its total consolidated assets in subsidiaries that are insurance underwriting companies (other than assets associated with insurance for credit risk); and (ii) For purposes of paragraph (3)(i) of this definition, the company must calculate its total consolidated assets in accordance with GAAP, or if the company does not calculate its total consolidated assets under GAAP for any regulatory purpose (including compliance with applicable securities laws), the company may estimate its total consolidated assets, subject to review and adjustment by the Board of Governors of the Federal Reserve System; or (4) A U.S. intermediate holding company. Covered Federal Reserve Facility Funding 1 1 Covered nonbank company Credit facility See liquidity facility. Customer short position Deposit l l Depository institution Depository institution holding company Deposit insurance et seq. Derivative transaction Designated company Dodd-Frank Act Eligible HQLA Encumbered (1) Is subject to legal, regulatory, contractual, or other restriction on the ability of the Board-regulated institution to monetize the asset; or (2) Is pledged, explicitly or implicitly, to secure or to provide credit enhancement to any transaction, not including when the asset is pledged to a central bank or a U.S. government-sponsored enterprise where: (i) Potential credit secured by the asset is not currently extended to the Board-regulated institution or its consolidated subsidiaries; and (ii) The pledged asset is not required to support access to the payment services of a central bank. Fair value Financial sector entity Foreign withdrawable reserves FR Y-9LP FR Y-15 GAAP Global systemically important BHC GSIB depository institution High-quality liquid asset (HQLA) HQLA amount Identified company Individual Investment adviser et seq. Investment company et seq. Liquid and readily-marketable (1) More than two committed market makers; (2) A large number of non-market maker participants on both the buying and selling sides of transactions; (3) Timely and observable market prices; and (4) A high trading volume. Liquidity facility See credit facility. Multilateral development bank Municipal obligation (1) A state or any political subdivision thereof; or (2) Any agency or instrumentality of a state or any political subdivision thereof. Non-regulated fund et seq. Nonperforming exposure NSFR liability NSFR regulatory capital element Operational deposit Operational services (1) Payment remittance; (2) Administration of payments and cash flows related to the safekeeping of investment assets, not including the purchase or sale of assets; (3) Payroll administration and control over the disbursement of funds; (4) Transmission, reconciliation, and confirmation of payment orders; (5) Daylight overdraft; (6) Determination of intra-day and final settlement positions; (7) Settlement of securities transactions; (8) Transfer of capital distributions and recurring contractual payments; (9) Customer subscriptions and redemptions; (10) Scheduled distribution of customer funds; (11) Escrow, funds transfer, stock transfer, and agency services, including payment and settlement services, payment of fees, taxes, and other expenses; and (12) Collection and aggregation of funds. Pension fund et seq. Public sector entity Publicly traded (1) Any exchange registered with the SEC as a national securities exchange under section 6 of the Securities Exchange Act of 1934 (15 U.S.C. 78f); or (2) Any non-U.S.-based securities exchange that: (i) Is registered with, or approved by, a national securities regulatory authority; and (ii) Provides a liquid, two-way market for the security in question. QMNA netting set Qualifying master netting agreement (1) The agreement creates a single legal obligation for all individual transactions covered by the agreement upon an event of default following any stay permitted by paragraph (2) of this definition, including upon an event of receivership, conservatorship, insolvency, liquidation, or similar proceeding, of the counterparty; (2) The agreement provides the Board-regulated institution the right to accelerate, terminate, and close-out on a net basis all transactions under the agreement and to liquidate or set-off collateral promptly upon an event of default, including upon an event of receivership, conservatorship, insolvency, liquidation, or similar proceeding, of the counterparty, provided that, in any such case: (i) Any exercise of rights under the agreement will not be stayed or avoided under applicable law in the relevant jurisdictions, other than: (A) In receivership, conservatorship, or resolution under the Federal Deposit Insurance Act, Title II of the Dodd-Frank Act, or under any similar insolvency law applicable to GSEs, or laws of foreign jurisdictions that are substantially similar 2 2 (B) Where the agreement is subject by its terms to, or incorporates, any of the laws referenced in paragraph (2)(i)(A) of this definition; and (ii) The agreement may limit the right to accelerate, terminate, and close-out on a net basis all transactions under the agreement and to liquidate or set-off collateral promptly upon an event of default of the counterparty to the extent necessary for the counterparty to comply with the requirements of subpart I of the Board's Regulation YY (part 252 of this chapter), part 47 of this title, or part 382 of this title, as applicable; Regulated financial company (1) A depository institution holding company or designated company; (2) A company included in the organization chart of a depository institution holding company on the Form FR Y-6, as listed in the hierarchy report of the depository institution holding company produced by the National Information Center (NIC) website, 3 3 http://www.ffiec.gov/nicpubweb/nicweb/NicHome.aspx. (3) A depository institution; foreign bank; credit union; industrial loan company, industrial bank, or other similar institution described in section 2 of the Bank Holding Company Act of 1956, as amended (12 U.S.C. 1841 et seq. (4) An insurance company; (5) A securities holding company as defined in section 618 of the Dodd-Frank Act (12 U.S.C. 1850a); broker or dealer registered with the SEC under section 15 of the Securities Exchange Act (15 U.S.C. 78o); futures commission merchant as defined in section 1a of the Commodity Exchange Act of 1936 (7 U.S.C. 1a); swap dealer as defined in section 1a of the Commodity Exchange Act (7 U.S.C. 1a); or security-based swap dealer as defined in section 3 of the Securities Exchange Act (15 U.S.C. 78c); (6) A designated financial market utility, as defined in section 803 of the Dodd-Frank Act (12 U.S.C. 5462); (7) A U.S. intermediate holding company; and (8) Any company not domiciled in the United States (or a political subdivision thereof) that is supervised and regulated in a manner similar to entities described in paragraphs (1) through (7) of this definition ( e.g., (9) A regulated financial company does not include: (i) U.S. government-sponsored enterprises; (ii) Small business investment companies, as defined in section 102 of the Small Business Investment Act of 1958 (15 U.S.C. 661 et seq. (iii) Entities designated as Community Development Financial Institutions (CDFIs) under 12 U.S.C. 4701 et seq. (iv) Central banks, the Bank for International Settlements, the International Monetary Fund, or multilateral development banks. Reserve Bank balances (1) Balances held in a master account of the Board-regulated institution at a Federal Reserve Bank, less any balances that are attributable to any respondent of the Board-regulated institution if the Board-regulated institution is a correspondent for a pass-through account as defined in section 204.2(l) of Regulation D (12 CFR 204.2(l)); (2) Balances held in a master account of a correspondent of the Board-regulated institution that are attributable to the Board-regulated institution if the Board-regulated institution is a respondent for a pass-through account as defined in section 204.2(l) of Regulation D; (3) “Excess balances” of the Board-regulated institution as defined in section 204.2(z) of Regulation D (12 CFR 204.2(z)) that are maintained in an “excess balance account” as defined in section 204.2(aa) of Regulation D (12 CFR 204.2(aa)) if the Board-regulated institution is an excess balance account participant; or (4) “Term deposits” of the Board-regulated institution as defined in section 204.2(dd) of Regulation D (12 CFR 204.2(dd)) if such term deposits are offered and maintained pursuant to terms and conditions that: (i) Explicitly and contractually permit such term deposits to be withdrawn upon demand prior to the expiration of the term, or that (ii) Permit such term deposits to be pledged as collateral for term or automatically-renewing overnight advances from the Federal Reserve Bank. Retail customer or counterparty (1) An individual; (2) A business customer, but solely if and to the extent that: (i) The Board-regulated institution manages its transactions with the business customer, including deposits, unsecured funding, and credit facility and liquidity facility transactions, in the same way it manages its transactions with individuals; (ii) Transactions with the business customer have liquidity risk characteristics that are similar to comparable transactions with individuals; and (iii) The total aggregate funding raised from the business customer is less than $1.5 million; or (3) A living or testamentary trust that: (i) Is solely for the benefit of natural persons; (ii) Does not have a corporate trustee; and (iii) Terminates within 21 years and 10 months after the death of grantors or beneficiaries of the trust living on the effective date of the trust or within 25 years, if applicable under state law. Retail deposit Retail mortgage Savings and loan holding company SEC Secured funding transaction Secured lending transaction Securities Exchange Act et seq. Sovereign entity Special purpose entity Stable retail deposit (1) Is held by the depositor in a transactional account; or (2) The depositor that holds the account has another established relationship with the Board-regulated institution such as another deposit account, a loan, bill payment services, or any similar service or product provided to the depositor that the Board-regulated institution demonstrates to the satisfaction of the Board would make deposit withdrawal highly unlikely during a liquidity stress event. State State member bank Structured security Structured transaction Sweep deposit Two-way market U.S. government-sponsored enterprise U.S. intermediate holding company Unconditionally cancelable Unsecured wholesale funding Unsecured wholesale lending Wholesale customer or counterparty Wholesale deposit means [79 FR 61523, 61539, Oct. 10, 2014, as amended at 79 FR 78296, Dec. 30, 2014; 81 FR 21232, Apr. 11, 2016; 82 FR 42919, Sept. 12, 2017; 83 FR 44455, Aug. 31, 2018; 84 FR 59272, Nov. 1, 2019; 85 FR 26841, May 6, 2020; 86 FR 9211, Feb. 11, 2021] § 249.4 Certain operational requirements. (a) Qualifying master netting agreements. (1) Conduct sufficient legal review to conclude with a well-founded basis (and maintain sufficient written documentation of that legal review) that: (i) The agreement meets the requirements of the definition of qualifying master netting agreement in § 249.3; and (ii) In the event of a legal challenge (including one resulting from default or from receivership, bankruptcy, insolvency, liquidation, resolution, or similar proceeding) the relevant judicial and administrative authorities would find the agreement to be legal, valid, binding, and enforceable under the law of the relevant jurisdictions; and (2) Establish and maintain written procedures to monitor possible changes in relevant law and to ensure that the agreement continues to satisfy the requirements of the definition of qualifying master netting agreement in § 249.3. (b) Operational deposits. (1) The related operational services must be performed pursuant to a legally binding written agreement, and: (i) The termination of the agreement must be subject to a minimum 30 calendar-day notice period; or (ii) As a result of termination of the agreement or transfer of services to a third-party provider, the customer providing the deposit would incur significant contractual termination costs or switching costs (switching costs include significant technology, administrative, and legal service costs incurred in connection with the transfer of the operational services to a third-party provider); (2) The deposit must be held in an account designated as an operational account; (3) The customer must hold the deposit at the Board-regulated institution for the primary purpose of obtaining the operational services provided by the Board-regulated institution; (4) The deposit account must not be designed to create an economic incentive for the customer to maintain excess funds therein through increased revenue, reduction in fees, or other offered economic incentives; (5) The Board-regulated institution must demonstrate that the deposit is empirically linked to the operational services and that it has a methodology that takes into account the volatility of the average balance for identifying any excess amount, which must be excluded from the operational deposit amount; (6) The deposit must not be provided in connection with the Board-regulated institution's provision of prime brokerage services, which, for the purposes of this part, are a package of services offered by the Board-regulated institution whereby the Board-regulated institution, among other services, executes, clears, settles, and finances transactions entered into by the customer or a third-party entity on behalf of the customer (such as an executing broker), and where the Board-regulated institution has a right to use or rehypothecate assets provided by the customer, including in connection with the extension of margin and other similar financing of the customer, subject to applicable law, and includes operational services provided to a non-regulated fund; and (7) The deposits must not be for arrangements in which the Board-regulated institution (as correspondent) holds deposits owned by another depository institution bank (as respondent) and the respondent temporarily places excess funds in an overnight deposit with the Board-regulated institution. Subpart B—Liquidity Coverage Ratio § 249.10 Liquidity coverage ratio. (a) Minimum liquidity coverage ratio requirement. (b) Transition from monthly calculation to daily calculation. (c) Calculation of the liquidity coverage ratio. (1) The Board-regulated institution's HQLA amount as of the calculation date, calculated under subpart C of this part; divided by (2) The Board-regulated institution's total net cash outflow amount as of the calculation date, calculated under subpart D of this part. [79 FR 61523, 61539, Oct. 10, 2014, as amended at 84 FR 59275, Nov. 1, 2019] Subpart C—High-Quality Liquid Assets § 249.20 High-quality liquid asset criteria. (a) Level 1 liquid assets. (1) Reserve Bank balances; (2) Foreign withdrawable reserves; (3) A security that is issued by, or unconditionally guaranteed as to the timely payment of principal and interest by, the U.S. Department of the Treasury; (4) A security that is issued by, or unconditionally guaranteed as to the timely payment of principal and interest by, a U.S. government agency (other than the U.S. Department of the Treasury) whose obligations are fully and explicitly guaranteed by the full faith and credit of the U.S. government, provided that the security is liquid and readily-marketable; (5) A security that is issued by, or unconditionally guaranteed as to the timely payment of principal and interest by, a sovereign entity, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community, or a multilateral development bank, that is: (i) Assigned a zero percent risk weight under subpart D of Regulation Q (12 CFR part 217) as of the calculation date; (ii) Liquid and readily-marketable; (iii) Issued or guaranteed by an entity whose obligations have a proven record as a reliable source of liquidity in repurchase or sales markets during stressed market conditions; and (iv) Not an obligation of a financial sector entity and not an obligation of a consolidated subsidiary of a financial sector entity; or (6) A security issued by, or unconditionally guaranteed as to the timely payment of principal and interest by, a sovereign entity that is not assigned a zero percent risk weight under subpart D of Regulation Q (12 CFR part 217), where the sovereign entity issues the security in its own currency, the security is liquid and readily-marketable, and the Board-regulated institution holds the security in order to meet its net cash outflows in the jurisdiction of the sovereign entity, as calculated under subpart D of this part. (b) Level 2A liquid assets. (1) A security issued by, or guaranteed as to the timely payment of principal and interest by, a U.S. government-sponsored enterprise, that is investment grade under 12 CFR part 1 as of the calculation date, provided that the claim is senior to preferred stock; or (2) A security that is issued by, or guaranteed as to the timely payment of principal and interest by, a sovereign entity or multilateral development bank that is: (i) Not included in level 1 liquid assets; (ii) Assigned no higher than a 20 percent risk weight under subpart D of Regulation Q (12 CFR part 217) as of the calculation date; (iii) Issued or guaranteed by an entity whose obligations have a proven record as a reliable source of liquidity in repurchase or sales markets during stressed market conditions, as demonstrated by: (A) The market price of the security or equivalent securities of the issuer declining by no more than 10 percent during a 30 calendar-day period of significant stress, or (B) The market haircut demanded by counterparties to secured lending and secured funding transactions that are collateralized by the security or equivalent securities of the issuer increasing by no more than 10 percentage points during a 30 calendar-day period of significant stress; and (iv) Not an obligation of a financial sector entity, and not an obligation of a consolidated subsidiary of a financial sector entity. (c) Level 2B liquid assets. (1) A corporate debt security that is: (i) Investment grade under 12 CFR part 1 as of the calculation date; (ii) Issued or guaranteed by an entity whose obligations have a proven record as a reliable source of liquidity in repurchase or sales markets during stressed market conditions, as demonstrated by: (A) The market price of the corporate debt security or equivalent securities of the issuer declining by no more than 20 percent during a 30 calendar-day period of significant stress, or (B) The market haircut demanded by counterparties to secured lending and secured funding transactions that are collateralized by the corporate debt security or equivalent securities of the issuer increasing by no more than 20 percentage points during a 30 calendar-day period of significant stress; and (iii) Not an obligation of a financial sector entity and not an obligation of a consolidated subsidiary of a financial sector entity; (2) A publicly traded common equity share that is: (i) Included in: (A) The Russell 1000 Index; or (B) An index that a Board-regulated institution's supervisor in a foreign jurisdiction recognizes for purposes of including equity shares in level 2B liquid assets under applicable regulatory policy, if the share is held in that foreign jurisdiction; (ii) Issued in: (A) U.S. dollars; or (B) The currency of a jurisdiction where the Board-regulated institution operates and the Board-regulated institution holds the common equity share in order to cover its net cash outflows in that jurisdiction, as calculated under subpart D of this part; (iii) Issued by an entity whose publicly traded common equity shares have a proven record as a reliable source of liquidity in repurchase or sales markets during stressed market conditions, as demonstrated by: (A) The market price of the security or equivalent securities of the issuer declining by no more than 40 percent during a 30 calendar-day period of significant stress, or (B) The market haircut demanded by counterparties to securities borrowing and lending transactions that are collateralized by the publicly traded common equity shares or equivalent securities of the issuer increasing by no more than 40 percentage points, during a 30 calendar day period of significant stress; (iv) Not issued by a financial sector entity and not issued by a consolidated subsidiary of a financial sector entity; (v) If held by a depository institution, is not acquired in satisfaction of a debt previously contracted (DPC); and (vi) If held by a consolidated subsidiary of a depository institution, the depository institution can include the publicly traded common equity share in its level 2B liquid assets only if the share is held to cover net cash outflows of the depository institution's consolidated subsidiary in which the publicly traded common equity share is held, as calculated by the Board-regulated institution under subpart D of this part; or (3) A municipal obligation that is investment grade under 12 CFR part 1 as of the calculation date. [79 FR 61523, 61539, Oct. 10, 2014, as amended at 81 FR 21232, Apr. 11, 2016; 83 FR 44455, Aug. 31, 2018] § 249.21 High-quality liquid asset amount. (a) Calculation of the HQLA amount. (1) The level 1 liquid asset amount; plus (2) The level 2A liquid asset amount; plus (3) The level 2B liquid asset amount; minus (4) The greater of: (i) The unadjusted excess HQLA amount; and (ii) The adjusted excess HQLA amount. (b) Calculation of liquid asset amounts Level 1 liquid asset amount. (2) Level 2A liquid asset amount. (3) Level 2B liquid asset amount. (c) Calculation of the unadjusted excess HQLA amount. (1) The level 2 cap excess amount; plus (2) The level 2B cap excess amount. (d) Calculation of the level 2 cap excess amount. (1) The level 2A liquid asset amount plus the level 2B liquid asset amount minus 0.6667 times the level 1 liquid asset amount; and (2) 0. (e) Calculation of the level 2B cap excess amount. (1) The level 2B liquid asset amount minus the level 2 cap excess amount minus 0.1765 times the sum of the level 1 liquid asset amount and the level 2A liquid asset amount; and (2) 0. (f) Calculation of adjusted liquid asset amounts Adjusted level 1 liquid asset amount. (2) Adjusted level 2A liquid asset amount. (3) Adjusted level 2B liquid asset amount. (g) Calculation of the adjusted excess HQLA amount. (1) The adjusted level 2 cap excess amount; plus (2) The adjusted level 2B cap excess amount. (h) Calculation of the adjusted level 2 cap excess amount. (1) The adjusted level 2A liquid asset amount plus the adjusted level 2B liquid asset amount minus 0.6667 times the adjusted level 1 liquid asset amount; and (2) 0. (i) Calculation of the adjusted level 2B excess amount. (1) The adjusted level 2B liquid asset amount minus the adjusted level 2 cap excess amount minus 0.1765 times the sum of the adjusted level 1 liquid asset amount and the adjusted level 2A liquid asset amount; and (2) 0. [79 FR 61523, 61539, Oct. 10, 2014, as amended at 81 FR 21232, Apr. 11, 2016; 83 FR 44455, Aug. 31, 2018] § 249.22 Requirements for eligible high-quality liquid assets. (a) Operational requirements for eligible HQLA. (1) The Board-regulated institution must demonstrate the operational capability to monetize the HQLA by: (i) Implementing and maintaining appropriate procedures and systems to monetize any HQLA at any time in accordance with relevant standard settlement periods and procedures; and (ii) Periodically monetizing a sample of HQLA that reasonably reflects the composition of the Board-regulated institution's eligible HQLA, including with respect to asset type, maturity, and counterparty characteristics; (2) The Board-regulated institution must implement policies that require eligible HQLA to be under the control of the management function in the Board-regulated institution that is charged with managing liquidity risk, and this management function must evidence its control over the HQLA by either: (i) Segregating the HQLA from other assets, with the sole intent to use the HQLA as a source of liquidity; or (ii) Demonstrating the ability to monetize the assets and making the proceeds available to the liquidity management function without conflicting with a business or risk management strategy of the Board-regulated institution; (3) The fair value of the eligible HQLA must be reduced by the outflow amount that would result from the termination of any specific transaction hedging eligible HQLA; (4) The Board-regulated institution must implement and maintain policies and procedures that determine the composition of its eligible HQLA on each calculation date, by: (i) Identifying its eligible HQLA by legal entity, geographical location, currency, account, or other relevant identifying factors as of the calculation date; (ii) Determining that eligible HQLA meet the criteria set forth in this section; and (iii) Ensuring the appropriate diversification of the eligible HQLA by asset type, counterparty, issuer, currency, borrowing capacity, or other factors associated with the liquidity risk of the assets; and (5) The Board-regulated institution must have a documented methodology that results in a consistent treatment for determining that the Board-regulated institution's eligible HQLA meet the requirements set forth in this section. (b) Generally applicable criteria for eligible HQLA. (1) The assets are not encumbered. (2) The asset is not: (i) A client pool security held in a segregated account; or (ii) An asset received from a secured funding transaction involving client pool securities that were held in a segregated account; (3) For eligible HQLA held in a legal entity that is a U.S. consolidated subsidiary of a Board-regulated institution: (i) If the U.S. consolidated subsidiary is subject to a minimum liquidity standard under this part, 12 CFR part 50, or 12 CFR part 329, the Board-regulated institution may include the eligible HQLA of the U.S. consolidated subsidiary in its HQLA amount up to: (A) The amount of net cash outflows of the U.S. consolidated subsidiary calculated by the U.S. consolidated subsidiary for its own minimum liquidity standard under this part, 12 CFR part 50, or 12 CFR part 329; plus (B) Any additional amount of assets, including proceeds from the monetization of assets, that would be available for transfer to the top-tier Board-regulated institution during times of stress without statutory, regulatory, contractual, or supervisory restrictions, including sections 23A and 23B of the Federal Reserve Act (12 U.S.C. 371c and 12 U.S.C. 371c-1) and Regulation W (12 CFR part 223); (ii) If the U.S. consolidated subsidiary is not subject to a minimum liquidity standard under this part, or 12 CFR part 50, or 12 CFR part 329, the Board-regulated institution may include the eligible HQLA of the U.S. consolidated subsidiary in its HQLA amount up to: (A) The amount of the net cash outflows of the U.S. consolidated subsidiary as of the 30th calendar day after the calculation date, as calculated by the Board-regulated institution for the Board-regulated institution's minimum liquidity standard under this part; plus (B) Any additional amount of assets, including proceeds from the monetization of assets, that would be available for transfer to the top-tier Board-regulated institution during times of stress without statutory, regulatory, contractual, or supervisory restrictions, including sections 23A and 23B of the Federal Reserve Act (12 U.S.C. 371c and 12 U.S.C. 371c-1) and Regulation W (12 CFR part 223); and (4) For HQLA held by a consolidated subsidiary of the Board-regulated institution that is organized under the laws of a foreign jurisdiction, the Board-regulated institution may include the eligible HQLA of the consolidated subsidiary organized under the laws of a foreign jurisdiction in its HQLA amount up to: (i) The amount of net cash outflows of the consolidated subsidiary as of the 30th calendar day after the calculation date, as calculated by the Board-regulated institution for the Board-regulated institution's minimum liquidity standard under this part; plus (ii) Any additional amount of assets that are available for transfer to the top-tier Board-regulated institution during times of stress without statutory, regulatory, contractual, or supervisory restrictions; (5) The Board-regulated institution must not include as eligible HQLA any assets, or HQLA resulting from transactions involving an asset that the Board-regulated institution received with rehypothecation rights, if the counterparty that provided the asset or the beneficial owner of the asset has a contractual right to withdraw the assets without an obligation to pay more than de minimis remuneration at any time during the 30 calendar days following the calculation date; and (6) The Board-regulated institution has not designated the assets to cover operational costs. (c) Maintenance of U.S. eligible HQLA. [79 FR 61523, 61539, Oct. 10, 2014, as amended at 81 FR 21232, Apr. 11, 2016; 83 FR 44455, Aug. 31, 2018; 86 FR 9212, Feb. 11, 2021] Subpart D—Total Net Cash Outflow § 249.30 Total net cash outflow amount. (a) Calculation of total net cash outflow amount. (1) The sum of the outflow amounts calculated under § 249.32(a) through (l); minus (2) The lesser of: (i) The sum of the inflow amounts calculated under § 249.33(b) through (g); and (ii) 75 percent of the amount calculated under paragraph (a)(1) of this section; plus (3) The maturity mismatch add-on as calculated under paragraph (b) of this section. (b) Calculation of maturity mismatch add-on. (i) The net cumulative maturity outflow amount for any of the 30 calendar days following the calculation date is equal to the sum of the outflow amounts for instruments or transactions identified in § 249.32(g), (h)(1), (h)(2), (h)(5), (j), (k), and (l) that have a maturity date prior to or on that calendar day minus (ii) The net day 30 cumulative maturity outflow amount is equal to, as of the 30th day following the calculation date, the sum of the outflow amounts for instruments or transactions identified in § 249.32(g), (h)(1), (h)(2), (h)(5), (j), (k), and (l) that have a maturity date 30 calendar days or less from the calculation date minus (2) As of the calculation date, a Board-regulated institution's maturity mismatch add-on is equal to: (i) The greater of: (A) 0; and (B) The largest net cumulative maturity outflow amount as calculated under paragraph (b)(1)(i) of this section for any of the 30 calendar days following the calculation date; minus (ii) The greater of: (A) 0; and (B) The net day 30 cumulative maturity outflow amount as calculated under paragraph (b)(1)(ii) of this section. (3) Other than the transactions identified in § 249.32(h)(2), (h)(5), or (j) or § 249.33(d) or (f), the maturity of which is determined under § 249.31(a), transactions that have an open maturity are not included in the calculation of the maturity mismatch add-on. (c) Outflow adjustment percentage. Table 1 to § 249.30( c Percent Outflow adjustment percentage Global systemically important BHC or GSIB depository institution 100 Category II Board-regulated institution 100 Category III Board-regulated institution with $75 billion or more in average weighted short-term wholesale funding and any Category III Board-regulated institution that is a consolidated subsidiary of such a Category III Board-regulated institution 100 Category III Board-regulated institution with less than $75 billion in average weighted short-term wholesale funding and any Category III Board-regulated institution that is a consolidated subsidiary of such a Category III Board-regulated institution 85 Category IV Board-regulated institution with $50 billion or more in average weighted short-term wholesale funding 70 (d) Transition into a different outflow adjustment percentage. (2) A Board-regulated institution whose outflow adjustment percentage decreases from a higher to a lower outflow adjustment percentage must continue to use its previous higher outflow adjustment percentage until the first day of the first calendar quarter after the outflow adjustment percentage decreases. [79 FR 61523, 61539, Oct. 10, 2014, as amended at 84 FR 59275, Nov. 1, 2019; 86 FR 9212, Feb. 11, 2021] § 249.31 Determining maturity. (a) For purposes of calculating its liquidity coverage ratio and the components thereof under this subpart, a Board-regulated institution shall assume an asset or transaction matures: (1) With respect to an instrument or transaction subject to § 249.32, on the earliest possible contractual maturity date or the earliest possible date the transaction could occur, taking into account any option that could accelerate the maturity date or the date of the transaction, except that when considering the earliest possible contractual maturity date or the earliest possible date the transaction could occur, the Board-regulated institution should exclude any contingent options that are triggered only by regulatory actions or changes in law or regulation, as follows: (i) If an investor or funds provider has an option that would reduce the maturity, the Board-regulated institution must assume that the investor or funds provider will exercise the option at the earliest possible date; (ii) If an investor or funds provider has an option that would extend the maturity, the Board-regulated institution must assume that the investor or funds provider will not exercise the option to extend the maturity; (iii) If the Board-regulated institution has an option that would reduce the maturity of an obligation, the Board-regulated institution must assume that the Board-regulated institution will exercise the option at the earliest possible date, except if either of the following criteria are satisfied, in which case the maturity of the obligation for purposes of this part will be the original maturity date at issuance: (A) The original maturity of the obligation is greater than one year and the option does not go into effect for a period of 180 days following the issuance of the instrument; or (B) The counterparty is a sovereign entity, a U.S. government-sponsored enterprise, or a public sector entity. (iv) If the Board-regulated institution has an option that would extend the maturity of an obligation it issued, the Board-regulated institution must assume the Board-regulated institution will not exercise that option to extend the maturity; and (v) If an option is subject to a contractually defined notice period, the Board-regulated institution must determine the earliest possible contractual maturity date regardless of the notice period. (2) With respect to an instrument or transaction subject to § 249.33, on the latest possible contractual maturity date or the latest possible date the transaction could occur, taking into account any option that could extend the maturity date or the date of the transaction, except that when considering the latest possible contractual maturity date or the latest possible date the transaction could occur, the Board-regulated institution may exclude any contingent options that are triggered only by regulatory actions or changes in law or regulation, as follows: (i) If the borrower has an option that would extend the maturity, the Board-regulated institution must assume that the borrower will exercise the option to extend the maturity to the latest possible date; (ii) If the borrower has an option that would reduce the maturity, the Board-regulated institution must assume that the borrower will not exercise the option to reduce the maturity; (iii) If the Board-regulated institution has an option that would reduce the maturity of an instrument or transaction, the Board-regulated institution must assume the Board-regulated institution will not exercise the option to reduce the maturity; (iv) If the Board-regulated institution has an option that would extend the maturity of an instrument or transaction, the Board-regulated institution must assume the Board-regulated institution will exercise the option to extend the maturity to the latest possible date; and (v) If an option is subject to a contractually defined notice period, the Board-regulated institution must determine the latest possible contractual maturity date based on the borrower using the entire notice period. (3) With respect to a transaction subject to § 249.33(f)(1)(iii) through (vii) (secured lending transactions) or § 249.33(f)(2)(ii) through (x) (asset exchanges), to the extent the transaction is secured by collateral that has been pledged in connection with either a secured funding transaction or asset exchange that has a remaining maturity of 30 calendar days or less as of the calculation date, the maturity date is the later of the maturity date determined under paragraph (a)(2) of this section for the secured lending transaction or asset exchange or the maturity date determined under paragraph (a)(1) of this section for the secured funding transaction or asset exchange for which the collateral has been pledged. (4) With respect to a transaction that has an open maturity, is not an operational deposit, and is subject to the provisions of § 249.32(h)(2), (h)(5), (j), or (k) or § 249.33(d) or (f), the maturity date is the first calendar day after the calculation date. Any other transaction that has an open maturity and is subject to the provisions of § 249.32 shall be considered to mature within 30 calendar days of the calculation date. (5) With respect to a transaction subject to the provisions of § 249.33(g), on the date of the next scheduled calculation of the amount required under applicable legal requirements for the protection of customer assets with respect to each broker-dealer segregated account, in accordance with the Board-regulated institution's normal frequency of recalculating such requirements. (b) [Reserved] [79 FR 61523, 61539, Oct. 10, 2014, as amended at 86 FR 9212, Feb. 11, 2021] § 249.32 Outflow amounts. (a) Retail funding outflow amount. (1) 3 percent of all stable retail deposits held at the Board-regulated institution; (2) 10 percent of all other retail deposits held at the Board-regulated institution; (3) 20 percent of all deposits placed at the Board-regulated institution by a third party on behalf of a retail customer or counterparty that are not brokered deposits, where the retail customer or counterparty owns the account and the entire amount is covered by deposit insurance; (4) 40 percent of all deposits placed at the Board-regulated institution by a third party on behalf of a retail customer or counterparty that are not brokered deposits, where the retail customer or counterparty owns the account and where less than the entire amount is covered by deposit insurance; and (5) 40 percent of all funding from a retail customer or counterparty that is not: (i) A retail deposit; (ii) A brokered deposit provided by a retail customer or counterparty; or (iii) A debt instrument issued by the Board-regulated institution that is owned by a retail customer or counterparty (see paragraph (h)(2)(ii) of this section). (b) Structured transaction outflow amount. (1) 100 percent of the amount of all debt obligations of the issuing entity that mature 30 calendar days or less from such calculation date and all commitments made by the issuing entity to purchase assets within 30 calendar days or less from such calculation date; and (2) The maximum contractual amount of funding the Board-regulated institution may be required to provide to the issuing entity 30 calendar days or less from such calculation date through a liquidity facility, a return or repurchase of assets from the issuing entity, or other funding agreement. (c) Net derivative cash outflow amount. (1) The amount, if greater than zero, of contractual payments and collateral that the Board-regulated institution will make or deliver to the counterparty 30 calendar days or less from the calculation date under derivative transactions other than transactions described in paragraph (c)(2) of this section, less the contractual payments and collateral that the Board-regulated institution will receive from the counterparty 30 calendar days or less from the calculation date under derivative transactions other than transactions described in paragraph (c)(2) of this section, provided that the derivative transactions are subject to a qualifying master netting agreement; and (2) The amount, if greater than zero, of contractual principal payments that the Board-regulated institution will make to the counterparty 30 calendar days or less from the calculation date under foreign currency exchange derivative transactions that result in the full exchange of contractual cash principal payments in different currencies within the same business day, less the contractual principal payments that the Board-regulated institution will receive from the counterparty 30 calendar days or less from the calculation date under foreign currency exchange derivative transactions that result in the full exchange of contractual cash principal payments in different currencies within the same business day. (d) Mortgage commitment outflow amount. (e) Commitment outflow amount. (i) Zero percent of the undrawn amount of all committed credit and liquidity facilities extended by a Board-regulated institution that is a depository institution to an affiliated depository institution that is subject to a minimum liquidity standard under this part; (ii) 5 percent of the undrawn amount of all committed credit and liquidity facilities extended by the Board-regulated institution to retail customers or counterparties; (iii) 10 percent of the undrawn amount of all committed credit facilities extended by the Board-regulated institution to a wholesale customer or counterparty that is not a financial sector entity or a consolidated subsidiary thereof, including a special purpose entity (other than those described in paragraph (e)(1)(viii) of this section) that is a consolidated subsidiary of such wholesale customer or counterparty; (iv) 30 percent of the undrawn amount of all committed liquidity facilities extended by the Board-regulated institution to a wholesale customer or counterparty that is not a financial sector entity or a consolidated subsidiary thereof, including a special purpose entity (other than those described in paragraph (e)(1)(viii) of this section) that is a consolidated subsidiary of such wholesale customer or counterparty; (v) 50 percent of the undrawn amount of all committed credit and liquidity facilities extended by the Board-regulated institution to depository institutions, depository institution holding companies, and foreign banks, but excluding commitments described in paragraph (e)(1)(i) of this section; (vi) 40 percent of the undrawn amount of all committed credit facilities extended by the Board-regulated institution to a financial sector entity or a consolidated subsidiary thereof, including a special purpose entity (other than those described in paragraph (e)(1)(viii) of this section) that is a consolidated subsidiary of a financial sector entity, but excluding other commitments described in paragraph (e)(1)(i) or (v) of this section; (vii) 100 percent of the undrawn amount of all committed liquidity facilities extended by the Board-regulated institution to a financial sector entity or a consolidated subsidiary thereof, including a special purpose entity (other than those described in paragraph (e)(1)(viii) of this section) that is a consolidated subsidiary of a financial sector entity, but excluding other commitments described in paragraph (e)(1)(i) or (v) of this section and liquidity facilities included in paragraph (b)(2) of this section; (viii) 100 percent of the undrawn amount of all committed credit and liquidity facilities extended to a special purpose entity that issues or has issued commercial paper or securities (other than equity securities issued to a company of which the special purpose entity is a consolidated subsidiary) to finance its purchases or operations, and excluding liquidity facilities included in paragraph (b)(2) of this section; and (ix) 100 percent of the undrawn amount of all other committed credit or liquidity facilities extended by the Board-regulated institution. (2) For the purposes of this paragraph (e), the undrawn amount of a committed credit facility or committed liquidity facility is the entire unused amount of the facility that could be drawn upon within 30 calendar days of the calculation date under the governing agreement, less the amount of level 1 liquid assets and the amount of level 2A liquid assets securing the facility. (3) For the purposes of this paragraph (e), the amount of level 1 liquid assets and level 2A liquid assets securing a committed credit or liquidity facility is the fair value of level 1 liquid assets and 85 percent of the fair value of level 2A liquid assets that are required to be pledged as collateral by the counterparty to secure the facility, provided that: (i) The assets pledged upon a draw on the facility would be eligible HQLA; and (ii) The Board-regulated institution has not included the assets as eligible HQLA under subpart C of this part as of the calculation date. (f) Collateral outflow amount. (1) Changes in financial condition. (2) Derivative collateral potential valuation changes. (3) Potential derivative valuation changes. (4) Excess collateral. (i) The Board-regulated institution could be required by contract to return to a counterparty because the collateral pledged to the Board-regulated institution exceeds the current collateral requirement of the counterparty under the governing contract; (ii) Is not segregated from the Board-regulated institution's other assets such that it cannot be rehypothecated; and (iii) Is not already excluded as eligible HQLA by the Board-regulated institution under § 249.22(b)(5); (5) Contractually required collateral. (6) Collateral substitution. (ii) 15 percent of the fair value of collateral pledged to the Board-regulated institution by a counterparty, where the collateral qualifies as level 1 liquid assets and eligible HQLA and where, under the contract governing the transaction, the counterparty may replace the pledged collateral with assets that qualify as level 2A liquid assets, without the consent of the Board-regulated institution; (iii) 50 percent of the fair value of collateral pledged to the Board-regulated institution by a counterparty where the collateral qualifies as level 1 liquid assets and eligible HQLA and where under, the contract governing the transaction, the counterparty may replace the pledged collateral with assets that qualify as level 2B liquid assets, without the consent of the Board-regulated institution; (iv) 100 percent of the fair value of collateral pledged to the Board-regulated institution by a counterparty where the collateral qualifies as level 1 liquid assets and eligible HQLA and where, under the contract governing the transaction, the counterparty may replace the pledged collateral with assets that do not qualify as HQLA, without the consent of the Board-regulated institution; (v) Zero percent of the fair value of collateral pledged to the Board-regulated institution by a counterparty where the collateral qualifies as level 2A liquid assets and eligible HQLA and where, under the contract governing the transaction, the counterparty may replace the pledged collateral with assets that qualify as level 1 or level 2A liquid assets, without the consent of the Board-regulated institution; (vi) 35 percent of the fair value of collateral pledged to the Board-regulated institution by a counterparty where the collateral qualifies as level 2A liquid assets and eligible HQLA and where, under the contract governing the transaction, the counterparty may replace the pledged collateral with assets that qualify as level 2B liquid assets, without the consent of the Board-regulated institution; (vii) 85 percent of the fair value of collateral pledged to the Board-regulated institution by a counterparty where the collateral qualifies as level 2A liquid assets and eligible HQLA and where, under the contract governing the transaction, the counterparty may replace the pledged collateral with assets that do not qualify as HQLA, without the consent of the Board-regulated institution; (viii) Zero percent of the fair value of collateral pledged to the Board-regulated institution by a counterparty where the collateral qualifies as level 2B liquid assets and eligible HQLA and where, under the contract governing the transaction, the counterparty may replace the pledged collateral with other assets that qualify as HQLA, without the consent of the Board-regulated institution; and (ix) 50 percent of the fair value of collateral pledged to the Board-regulated institution by a counterparty where the collateral qualifies as level 2B liquid assets and eligible HQLA and where, under the contract governing the transaction, the counterparty may replace the pledged collateral with assets that do not qualify as HQLA, without the consent of the Board-regulated institution. (g) Brokered deposit outflow amount for retail customers or counterparties. (1) 100 percent of all brokered deposits at the Board-regulated institution provided by a retail customer or counterparty that are not described in paragraphs (g)(5) through (9) of this section and which mature 30 calendar days or less from the calculation date; (2) 10 percent of all brokered deposits at the Board-regulated institution provided by a retail customer or counterparty that are not described in paragraphs (g)(5) through (9) of this section and which mature later than 30 calendar days from the calculation date; (3) 20 percent of all brokered deposits at the Board-regulated institution provided by a retail customer or counterparty that are not described in paragraphs (g)(5) through (9) of this section and which are held in a transactional account with no contractual maturity date, where the entire amount is covered by deposit insurance; (4) 40 percent of all brokered deposits at the Board-regulated institution provided by a retail customer or counterparty that are not described in paragraphs (g)(5) through (9) of this section and which are held in a transactional account with no contractual maturity date, where less than the entire amount is covered by deposit insurance; (5) 10 percent of all brokered reciprocal deposits at the Board-regulated institution provided by a retail customer or counterparty, where the entire amount is covered by deposit insurance; (6) 25 percent of all brokered reciprocal deposits at the Board-regulated institution provided by a retail customer or counterparty, where less than the entire amount is covered by deposit insurance; (7) 10 percent of all sweep deposits at the Board-regulated institution provided by a retail customer or counterparty: (i) That are deposited in accordance with a contract between the retail customer or counterparty and the Board-regulated institution, a controlled subsidiary of the Board-regulated institution, or a company that is a controlled subsidiary of the same top-tier company of which the Board-regulated institution is a controlled subsidiary; and (ii) Where the entire amount of the deposits is covered by deposit insurance; (8) 25 percent of all sweep deposits at the Board-regulated institution provided by a retail customer or counterparty: (i) That are not deposited in accordance with a contract between the retail customer or counterparty and the Board-regulated institution, a controlled subsidiary of the Board-regulated institution, or a company that is a controlled subsidiary of the same top-tier company of which the Board-regulated institution is a controlled subsidiary; and (ii) Where the entire amount of the deposits is covered by deposit insurance; and (9) 40 percent of all sweep deposits at the Board-regulated institution provided by a retail customer or counterparty where less than the entire amount of the deposit balance is covered by deposit insurance. (h) Unsecured wholesale funding outflow amount. (1) For unsecured wholesale funding that is not an operational deposit and is not provided by a financial sector entity or consolidated subsidiary of a financial sector entity: (i) 20 percent of all such funding, where the entire amount is covered by deposit insurance and the funding is not a brokered deposit; (ii) 40 percent of all such funding, where: (A) Less than the entire amount is covered by deposit insurance; or (B) The funding is a brokered deposit; (2) 100 percent of all unsecured wholesale funding that is not an operational deposit and is not included in paragraph (h)(1) of this section, including: (i) Funding provided by a company that is a consolidated subsidiary of the same top-tier company of which the Board-regulated institution is a consolidated subsidiary; and (ii) Debt instruments issued by the Board-regulated institution, including such instruments owned by retail customers or counterparties; (3) 5 percent of all operational deposits, other than operational deposits that are held in escrow accounts, where the entire deposit amount is covered by deposit insurance; (4) 25 percent of all operational deposits not included in paragraph (h)(3) of this section; and (5) 100 percent of all unsecured wholesale funding that is not otherwise described in this paragraph (h). (i) Debt security buyback outflow amount. (1) 3 percent of all such debt securities that are not structured securities; and (2) 5 percent of all such debt securities that are structured securities. (j) Secured funding and asset exchange outflow amount. (i) Zero percent of all funds the Board-regulated institution must pay pursuant to secured funding transactions, to the extent that the funds are secured by level 1 liquid assets; (ii) 15 percent of all funds the Board-regulated institution must pay pursuant to secured funding transactions, to the extent that the funds are secured by level 2A liquid assets; (iii) 25 percent of all funds the Board-regulated institution must pay pursuant to secured funding transactions with sovereign entities, multilateral development banks, or U.S. government-sponsored enterprises that are assigned a risk weight of 20 percent under subpart D of Regulation Q (12 CFR part 217), to the extent that the funds are not secured by level 1 or level 2A liquid assets; (iv) 50 percent of all funds the Board-regulated institution must pay pursuant to secured funding transactions, to the extent that the funds are secured by level 2B liquid assets; (v) 50 percent of all funds received from secured funding transactions that are customer short positions where the customer short positions are covered by other customers' collateral and the collateral does not consist of HQLA; and (vi) 100 percent of all other funds the Board-regulated institution must pay pursuant to secured funding transactions, to the extent that the funds are secured by assets that are not HQLA. (2) If an outflow rate specified in paragraph (j)(1) of this section for a secured funding transaction is greater than the outflow rate that the Board-regulated institution is required to apply under paragraph (h) of this section to an unsecured wholesale funding transaction that is not an operational deposit with the same counterparty, the Board-regulated institution may apply to the secured funding transaction the outflow rate that applies to an unsecured wholesale funding transaction that is not an operational deposit with that counterparty, except in the case of: (i) Secured funding transactions that are secured by collateral that was received by the Board-regulated institution under a secured lending transaction or asset exchange, in which case the Board-regulated institution must apply the outflow rate specified in paragraph (j)(1) of this section for the secured funding transaction; and (ii) Collateralized deposits that are operational deposits, in which case the Board-regulated institution may apply to the operational deposit amount, as calculated in accordance with § 249.4(b), the operational deposit outflow rate specified in paragraph (h)(3) or (4) of this section, as applicable, if such outflow rate is lower than the outflow rate specified in paragraph (j)(1) of this section. (3) A Board-regulated institution's asset exchange outflow amount, for all transactions that mature within 30 calendar days or less of the calculation date, as of the calculation date includes: (i) Zero percent of the fair value of the level 1 liquid assets the Board-regulated institution must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the Board-regulated institution will receive level 1 liquid assets from the asset exchange counterparty; (ii) 15 percent of the fair value of the level 1 liquid assets the Board-regulated institution must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the Board-regulated institution will receive level 2A liquid assets from the asset exchange counterparty; (iii) 50 percent of the fair value of the level 1 liquid assets the Board-regulated institution must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the Board-regulated institution will receive level 2B liquid assets from the asset exchange counterparty; (iv) 100 percent of the fair value of the level 1 liquid assets the Board-regulated institution must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the Board-regulated institution will receive assets that are not HQLA from the asset exchange counterparty; (v) Zero percent of the fair value of the level 2A liquid assets that Board-regulated institution must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where Board-regulated institution will receive level 1 or level 2A liquid assets from the asset exchange counterparty; (vi) 35 percent of the fair value of the level 2A liquid assets the Board-regulated institution must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the Board-regulated institution will receive level 2B liquid assets from the asset exchange counterparty; (vii) 85 percent of the fair value of the level 2A liquid assets the Board-regulated institution must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the Board-regulated institution will receive assets that are not HQLA from the asset exchange counterparty; (viii) Zero percent of the fair value of the level 2B liquid assets the Board-regulated institution must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the Board-regulated institution will receive HQLA from the asset exchange counterparty; and (ix) 50 percent of the fair value of the level 2B liquid assets the Board-regulated institution must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the Board-regulated institution will receive assets that are not HQLA from the asset exchange counterparty; (x) Zero percent of the fair value of the level 1 liquid assets the Board-regulated institution will receive from a counterparty pursuant to an asset exchange where the Board-regulated institution has rehypothecated the assets posted by the asset exchange counterparty, and, as of the calculation date, the assets will not be returned to the Board-regulated institution within 30 calendar days; (xi) 15 percent of the fair value of the level 2A liquid assets the Board-regulated institution will receive from a counterparty pursuant to an asset exchange where the Board-regulated institution has rehypothecated the assets posted by the asset exchange counterparty, and, as of the calculation date, the assets will not be returned to the Board-regulated institution within 30 calendar days; (xii) 50 percent of the fair value of the level 2B liquid assets the Board-regulated institution will receive from a counterparty pursuant to an asset exchange where the Board-regulated institution has rehypothecated the assets posted by the asset exchange counterparty, and, as of the calculation date, the assets will not be returned to the Board-regulated institution within 30 calendar days; and (xiii) 100 percent of the fair value of the non-HQLA the Board-regulated institution will receive from a counterparty pursuant to an asset exchange where the Board-regulated institution has rehypothecated the assets posted by the asset exchange counterparty, and, as of the calculation date, the assets will not be returned to the Board-regulated institution within 30 calendar days. (k) Foreign central bank borrowing outflow amount. (l) Other contractual outflow amount. (m) Excluded amounts for intragroup transactions. (1) The Board-regulated institution and a consolidated subsidiary of the Board-regulated institution; or (2) A consolidated subsidiary of the Board-regulated institution and another consolidated subsidiary of the Board-regulated institution. [79 FR 61523, 61539, Oct. 10, 2014, as amended at 86 FR 9212, Feb. 11, 2021] § 249.33 Inflow amounts. (a) The inflows in paragraphs (b) through (g) of this section do not include: (1) Amounts the Board-regulated institution holds in operational deposits at other regulated financial companies; (2) Amounts the Board-regulated institution expects, or is contractually entitled to receive, 30 calendar days or less from the calculation date due to forward sales of mortgage loans and any derivatives that are mortgage commitments subject to § 249.32(d); (3) The amount of any credit or liquidity facilities extended to the Board-regulated institution; (4) The amount of any asset that is eligible HQLA and any amounts payable to the Board-regulated institution with respect to that asset; (5) Any amounts payable to the Board-regulated institution from an obligation of a customer or counterparty that is a nonperforming asset as of the calculation date or that the Board-regulated institution has reason to expect will become a nonperforming exposure 30 calendar days or less from the calculation date; and (6) Amounts payable to the Board-regulated institution with respect to any transaction that has no contractual maturity date or that matures after 30 calendar days of the calculation date (as determined by § 249.31). (b) Net derivative cash inflow amount. (1) The amount, if greater than zero, of contractual payments and collateral that the Board-regulated institution will receive from the counterparty 30 calendar days or less from the calculation date under derivative transactions other than transactions described in paragraph (b)(2) of this section, less the contractual payments and collateral that the Board-regulated institution will make or deliver to the counterparty 30 calendar days or less from the calculation date under derivative transactions other than transactions described in paragraph (b)(2) of this section, provided that the derivative transactions are subject to a qualifying master netting agreement; and (2) The amount, if greater than zero, of contractual principal payments that the Board-regulated institution will receive from the counterparty 30 calendar days or less from the calculation date under foreign currency exchange derivative transactions that result in the full exchange of contractual cash principal payments in different currencies within the same business day, less the contractual principal payments that the Board-regulated institution will make to the counterparty 30 calendar days or less from the calculation date under foreign currency exchange derivative transactions that result in the full exchange of contractual cash principal payments in different currencies within the same business day. (c) Retail cash inflow amount. (d) Unsecured wholesale cash inflow amount. (1) 100 percent of all payments contractually payable to the Board-regulated institution from financial sector entities, or from a consolidated subsidiary thereof, or central banks; and (2) 50 percent of all payments contractually payable to the Board-regulated institution from wholesale customers or counterparties that are not financial sector entities or consolidated subsidiaries thereof, provided that, with respect to revolving credit facilities, the amount of the existing loan is not included in the unsecured wholesale cash inflow amount and the remaining undrawn balance is included in the outflow amount under § 249.32(e)(1). (e) Securities cash inflow amount. (f) Secured lending and asset exchange cash inflow amount. (i) Zero percent of all contractual payments due to the Board-regulated institution pursuant to secured lending transactions, including margin loans extended to customers, to the extent that the payments are secured by collateral that has been rehypothecated in a transaction and, as of the calculation date, will not be returned to the Board-regulated institution within 30 calendar days; (ii) 100 percent of all contractual payments due to the Board-regulated institution pursuant to secured lending transactions not described in paragraph (f)(1)(vii) of this section, to the extent that the payments are secured by assets that are not eligible HQLA, but are still held by the Board-regulated institution and are available for immediate return to the counterparty at any time; (iii) Zero percent of all contractual payments due to the Board-regulated institution pursuant to secured lending transactions not described in paragraphs (f)(1)(i) or (ii) of this section, to the extent that the payments are secured by level 1 liquid assets; (iv) 15 percent of all contractual payments due to the Board-regulated institution pursuant to secured lending transactions not described in paragraphs (f)(1)(i) or (ii) of this section, to the extent that the payments are secured by level 2A liquid assets; (v) 50 percent of all contractual payments due to the Board-regulated institution pursuant to secured lending transactions not described in paragraphs (f)(1)(i) or (ii) of this section, to the extent that the payments are secured by level 2B liquid assets; (vi) 100 percent of all contractual payments due to the Board-regulated institution pursuant to secured lending transactions not described in paragraphs (f)(1)(i), (ii), or (vii) of this section, to the extent that the payments are secured by assets that are not HQLA; and (vii) 50 percent of all contractual payments due to the Board-regulated institution pursuant to collateralized margin loans extended to customers, not described in paragraph (f)(1)(i) of this section, provided that the loans are secured by assets that are not HQLA. (2) A Board-regulated institution's asset exchange inflow amount as of the calculation date includes: (i) Zero percent of the fair value of assets the Board-regulated institution will receive from a counterparty pursuant to asset exchanges, to the extent that the asset received by the Board-regulated institution from the counterparty has been rehypothecated in a transaction and, as of the calculation date, will not be returned to the Board-regulated institution within 30 calendar days; (ii) Zero percent of the fair value of level 1 liquid assets the Board-regulated institution will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the Board-regulated institution must post level 1 liquid assets to the asset exchange counterparty; (iii) 15 percent of the fair value of level 1 liquid assets the Board-regulated institution will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the Board-regulated institution must post level 2A liquid assets to the asset exchange counterparty; (iv) 50 percent of the fair value of level 1 liquid assets the Board-regulated institution will receive from counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the Board-regulated institution must post level 2B liquid assets to the asset exchange counterparty; (v) 100 percent of the fair value of level 1 liquid assets the Board-regulated institution will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the Board-regulated institution must post assets that are not HQLA to the asset exchange counterparty; (vi) Zero percent of the fair value of level 2A liquid assets the Board-regulated institution will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the Board-regulated institution must post level 1 or level 2A liquid assets to the asset exchange counterparty; (vii) 35 percent of the fair value of level 2A liquid assets the Board-regulated institution will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the Board-regulated institution must post level 2B liquid assets to the asset exchange counterparty; (viii) 85 percent of the fair value of level 2A liquid assets the Board-regulated institution will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the Board-regulated institution must post assets that are not HQLA to the asset exchange counterparty; (ix) Zero percent of the fair value of level 2B liquid assets the Board-regulated institution will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the Board-regulated institution must post assets that are HQLA to the asset exchange counterparty; and (x) 50 percent of the fair value of level 2B liquid assets the Board-regulated institution will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the Board-regulated institution must post assets that are not HQLA to the asset exchange counterparty. (g) Broker-dealer segregated account inflow amount. (1) In calculating the broker-dealer segregated account inflow amount, the Board-regulated institution must calculate the fair value of the required balance of the customer reserve account as of 30 calendar days from the calculation date by assuming that customer cash and collateral positions have changed consistent with the outflow and inflow calculations required under §§ 249.32 and 249.33. (2) If the fair value of the required balance of the customer reserve account as of 30 calendar days from the calculation date, as calculated consistent with the outflow and inflow calculations required under §§ 249.32 and 249.33, is less than the fair value of the required balance as of the calculation date, the difference is the segregated account inflow amount. (3) If the fair value of the required balance of the customer reserve account as of 30 calendar days from the calculation date, as calculated consistent with the outflow and inflow calculations required under §§ 249.32 and 249.33, is more than the fair value of the required balance as of the calculation date, the segregated account inflow amount is zero. (h) Other cash inflow amounts. (i) Excluded amounts for intragroup transactions. (1) The Board-regulated institution and a consolidated subsidiary of the Board-regulated institution; or (2) A consolidated subsidiary of the Board-regulated institution and another consolidated subsidiary of the Board-regulated institution. § 249.34 Cash flows related to Covered Federal Reserve Facility Funding. (a) Treatment of Covered Federal Reserve Facility Funding. (b) Exception. [85 FR 26841, May 6, 2020] Subpart E—Liquidity Coverage Shortfall § 249.40 Liquidity coverage shortfall: Supervisory framework. (a) Notification requirements. (b) Liquidity plan. (2) For the period during which a Board-regulated institution must calculate a liquidity coverage ratio each business day under subpart F of this part, if a Board-regulated institution's liquidity coverage ratio is below the minimum requirement in § 249.10 for three consecutive business days, or if the Board has determined that the Board-regulated institution is otherwise materially noncompliant with the requirements of this part, the Board-regulated institution must promptly provide to the Board a plan for achieving compliance with the minimum liquidity requirement in § 249.10 and all other requirements of this part. (3) The plan must include, as applicable: (i) An assessment of the Board-regulated institution's liquidity position; (ii) The actions the Board-regulated institution has taken and will take to achieve full compliance with this part, including: (A) A plan for adjusting the Board-regulated institution's risk profile, risk management, and funding sources in order to achieve full compliance with this part; and (B) A plan for remediating any operational or management issues that contributed to noncompliance with this part; (iii) An estimated time frame for achieving full compliance with this part; and (iv) A commitment to report to the Board no less than weekly on progress to achieve compliance in accordance with the plan until full compliance with this part is achieved. (c) Supervisory and enforcement actions. [79 FR 61523, 61539, Oct. 10, 2014, as amended at 79 FR 61540, Oct. 10, 2014] Subpart F—Transitions § 249.50 Transitions. (a) No transitions for certain Board-regulated institutions. (b) Transitions for certain U.S. intermediate holding companies. (c) Initial application. (i) For the first two calendar quarters after the Board-regulated institution begins complying with the minimum liquidity standard and other requirements of this part, calculate and maintain a liquidity coverage ratio monthly, on each calculation date that is the last business day of the applicable calendar month; and (ii) Beginning the first day of the fifth calendar quarter after the Board-regulated institution becomes subject to the minimum liquidity standard and other requirements of this part and continuing thereafter, calculate and maintain a liquidity coverage ratio on each calculation date. (2) A Board-regulated institution that becomes subject to the minimum liquidity standard and other requirements of this part under § 249.1(b)(1)(iii) must comply with the requirements of this part subject to a transition period specified by the Board. (d) Transition into a different outflow adjustment percentage. (2) A Board-regulated institution that is no longer subject to the minimum liquidity standard and other requirements of this part pursuant to § 249.1(b)(1)(i) or (ii) based on the size of total consolidated assets, cross-jurisdictional activity, total nonbank assets, weighted short-term wholesale funding, or off-balance sheet exposure calculated in accordance with the Call Report, instructions to the FR Y-9LP or the FR Y-15 or equivalent reporting form, as applicable, for each of the four most recent calendar quarters may cease compliance with this part as of the first day of the first quarter after it is no longer subject to § 249.1(b). (e) Reservation of authority. [84 FR 59275, Nov. 1, 2019] Subparts G-I [Reserved] Subpart J—Disclosures Source: 81 FR 94929, Dec. 27, 2016, unless otherwise noted. § 249.90 Timing, method and retention of disclosures. (a) Applicability. (b) Timing of disclosure. (2) A covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company that is subject to this subpart must provide the disclosures required by this subpart beginning with the first calendar quarter that includes the date that is 18 months after the covered depository institution holding company or U.S. intermediate holding company first became subject to this subpart. (c) Disclosure method. (d) Availability. [81 FR 94929, Dec. 27, 2016, as amended at 84 FR 59276, Nov. 1, 2019] § 249.91 Disclosure requirements. (a) General. Table 1 to § 249.91( a XX/XX/XXXX to YY/YY/YYYY Average Average High-Quality Liquid Assets 1. Total eligible high-quality liquid assets (HQLA), of which: 2. Eligible level 1 liquid assets 3. Eligible level 2A liquid assets 4. Eligible level 2B liquid assets Cash Outflow Amounts 5. Deposit outflow from retail customers and counterparties, of which: 6. Stable retail deposit outflow 7. Other retail funding 8. Brokered deposit outflow 9. Unsecured wholesale funding outflow, of which: 10. Operational deposit outflow 11. Non-operational funding outflow 12. Unsecured debt outflow 13. Secured wholesale funding and asset exchange outflow 14. Additional outflow requirements, of which: 15. Outflow related to derivative exposures and other collateral requirements 16. Outflow related to credit and liquidity facilities including unconsolidated structured transactions and mortgage commitments 17. Other contractual funding obligation outflow 18. Other contingent funding obligations outflow 19. Total Cash Outflow Cash Inflow Amounts 20. Secured lending and asset exchange cash inflow 21. Retail cash inflow 22. Unsecured wholesale cash inflow 23. Other cash inflows, of which: 24. Net derivative cash inflow 25. Securities cash inflow 26. Broker-dealer segregated account inflow 27. Other cash inflow 28. Total Cash Inflow Average 1 29. HQLA Amount 30. Total Net Cash Outflow Amount Excluding The Maturity Mismatch Add-On 31. Maturity Mismatch Add-On 32. Total Unadusted Net Cash Outflow Amount 33. Outflow Adjustment Percentage 34. Total Adjusted Net Cash Outflow Amount 35. Liquidity Coverage Ratio (%) 1 (b) Calculation of disclosed average amounts General. (A) On a consolidated basis and presented in millions of U.S. dollars or as a percentage, as applicable; and (B) With the exception of amounts disclosed pursuant to paragraphs (c)(1), (5), (9), (14), (19), (23), and (28) of this section, as simple averages of daily amounts over the calendar quarter. (ii) A covered depository institution holding company or covered nonbank company subject to this subpart must disclose the beginning date and end date for each calendar quarter. (2) Calculation of average unweighted amounts. (ii) A covered depository institution holding company or covered nonbank company subject to this subpart must calculate the average unweighted amount of cash outflows and cash inflows before applying the outflow and inflow rates specified in §§ 249.32 and 249.33, respectively. (3) Calculation of average weighted amounts. (ii) A covered depository institution holding company or covered nonbank company subject to this subpart must calculate the average weighted amount of cash outflows and cash inflows after applying the outflow and inflow rates specified in §§ 249.32 and 249.33, respectively. (c) Quantitative disclosures. (1) The sum of the average unweighted amounts and average weighted amounts calculated under paragraphs (c)(2) through (4) of this section (row 1); (2) The average unweighted amount and average weighted amount of level 1 liquid assets that are eligible HQLA under § 249.21(b)(1) (row 2); (3) The average unweighted amount and average weighted amount of level 2A liquid assets that are eligible HQLA under § 249.21(b)(2) (row 3); (4) The average unweighted amount and average weighted amount of level 2B liquid assets that are eligible HQLA under § 249.21(b)(3) (row 4); (5) The sum of the average unweighted amounts and average weighted amounts of cash outflows calculated under paragraphs (c)(6) through (8) of this section (row 5); (6) The average unweighted amount and average weighted amount of cash outflows under § 249.32(a)(1) (row 6); (7) The average unweighted amount and average weighted amount of cash outflows under § 249.32(a)(2) through (5) (row 7); (8) The average unweighted amount and average weighted amount of cash outflows under § 249.32(g) (row 8); (9) The sum of the average unweighted amounts and average weighted amounts of cash outflows calculated under paragraphs (c)(10) through (12) of this section (row 9); (10) The average unweighted amount and average weighted amount of cash outflows under § 249.32(h)(3) and (4) (row 10); (11) The average unweighted amount and average weighted amount of cash outflows under § 249.32(h)(1), (2), and (5), excluding (h)(2)(ii) (row 11); (12) The average unweighted amount and average weighted amount of cash outflows under § 249.32(h)(2)(ii) (row 12); (13) The average unweighted amount and average weighted amount of cash outflows under § 249.32(j) and (k) (row 13); (14) The sum of the average unweighted amounts and average weighted amounts of cash outflows calculated under paragraphs (c)(15) and (16) of this section (row 14); (15) The average unweighted amount and average weighted amount of cash outflows under § 249.32(c) and (f) (row 15); (16) The average unweighted amount and average weighted amount of cash outflows under § 249.32(b), (d), and (e) (row 16); (17) The average unweighted amount and average weighted amount of cash outflows under § 249.32(l) (row 17); (18) The average unweighted amount and average weighted amount of cash outflows under § 249.32(i) (row 18); (19) The sum of average unweighted amounts and average weighted amounts of cash outflows calculated under paragraphs (c)(5), (9), (13), (14), (17), and (18) of this section (row 19); (20) The average unweighted amount and average weighted amount of cash inflows under § 249.33(f) (row 20); (21) The average unweighted amount and average weighted amount of cash inflows under § 249.33(c) (row 21); (22) The average unweighted amount and average weighted amount of cash inflows under § 249.33(d) (row 22); (23) The sum of average unweighted amounts and average weighted amounts of cash inflows calculated under paragraphs (c)(24) through (27) of this section (row 23); (24) The average unweighted amount and average weighted amount of cash inflows under § 249.33(b) (row 24); (25) The average unweighted amount and average weighted amount of cash inflows under § 249.33(e) (row 25); (26) The average unweighted amount and average weighted amount of cash inflows under § 249.33(g) (row 26); (27) The average unweighted amount and average weighted amount of cash inflows under § 249.33(h) (row 27); (28) The sum of average unweighted amounts and average weighted amounts of cash inflows reported under paragraphs (c)(20) through (23) of this section (row 28); (29) The average amount of the HQLA amounts as calculated under § 249.21(a) (row 29); (30) The average amount of the total net cash outflow amounts excluding the maturity mismatch add-on as calculated under § 249.30(a)(1) and (2) (row 30); (31) The average amount of the maturity mismatch add-ons as calculated under § 249.30(b) (row 31); (32) The average amount of the total net cash outflow amount as calculated under § 249.30 prior to the application of the applicable outflow adjustment percentage described in Table 1 to § 249.30(c) (row 32); (33) The applicable outflow adjustment percentage described in Table 1 to § 249.30(c) (row 33); (34) The average amount of the total net cash outflow as calculated under § 249.30 (row 34); and (35) The average of the liquidity coverage ratios as calculated under § 249.10(b) (row 35). (d) Qualitative disclosures. (i) The main drivers of the liquidity coverage ratio; (ii) Changes in the liquidity coverage ratio over time and causes of such changes; (iii) The composition of eligible HQLA; (iv) Concentration of funding sources; (v) Derivative exposures and potential collateral calls; (vi) Currency mismatch in the liquidity coverage ratio; or (vii) The centralized liquidity management function of the covered depository institution holding company or covered nonbank company and its interaction with other functional areas of the covered depository institution holding company or covered nonbank company. (2) If a covered depository institution holding company or covered nonbank company subject to this subpart believes that the qualitative discussion required in paragraph (d)(1) of this section would prejudice seriously its position by resulting in public disclosure of specific commercial or financial information that is either proprietary or confidential in nature, the covered depository institution holding company or covered nonbank company is not required to include those specific items in its qualitative discussion, but must provide more general information about the items that had a significant effect on its liquidity coverage ratio, together with the fact that, and the reason why, more specific information was not discussed. [81 FR 94929, Dec. 27, 2016, as amended at 84 FR 59276, Nov. 1, 2019] Subpart K—Net Stable Funding Ratio Source: 86 FR 9202, 9212, Feb. 11, 2021, unless otherwise noted. § 249.100 Net stable funding ratio. (a) Minimum net stable funding ratio requirement. (b) Calculation of the net stable funding ratio. (1) The Board-regulated institution's available stable funding (ASF) amount, calculated pursuant to § 249.103, as of the calculation date; divided by (2) The Board-regulated institution's required stable funding (RSF) amount, calculated pursuant to § 249.105, as of the calculation date. § 249.101 Determining maturity. For purposes of calculating its net stable funding ratio, including its ASF amount and RSF amount, under subparts K through N, a Board-regulated institution shall assume each of the following: (a) With respect to any NSFR liability, the NSFR liability matures according to § 249.31(a)(1) of this part without regard to whether the NSFR liability is subject to § 249.32; (b) With respect to an asset, the asset matures according to § 249.31(a)(2) of this part without regard to whether the asset is subject to § 249.33 of this part; (c) With respect to an NSFR liability or asset that is perpetual, the NSFR liability or asset matures one year or more after the calculation date; (d) With respect to an NSFR liability or asset that has an open maturity, the NSFR liability or asset matures on the first calendar day after the calculation date, except that in the case of a deferred tax liability, the NSFR liability matures on the first calendar day after the calculation date on which the deferred tax liability could be realized; and (e) With respect to any principal payment of an NSFR liability or asset, such as an amortizing loan, that is due prior to the maturity of the NSFR liability or asset, the payment matures on the date on which it is contractually due. § 249.102 Rules of construction. (a) Balance-sheet metric. (b) Netting of certain transactions. (c) Treatment of Securities Received in an Asset Exchange by a Securities Lender. (1) The security received by the Board-regulated institution is not assigned an RSF factor; and (2) The obligation to return the security received by the Board-regulated institution is not assigned an ASF factor. § 249.103 Calculation of available stable funding amount. A Board-regulated institution's ASF amount equals the sum of the carrying values of the Board-regulated institution's NSFR regulatory capital elements and NSFR liabilities, in each case multiplied by the ASF factor applicable in § 249.104 or § 249.107(c) and consolidated in accordance with § 249.109. § 249.104 ASF factors. (a) NSFR regulatory capital elements and NSFR liabilities assigned a 100 percent ASF factor. (1) An NSFR regulatory capital element; or (2) An NSFR liability that has a maturity of one year or more from the calculation date, is not described in paragraph (d)(9) of this section, and is not a retail deposit or brokered deposit provided by a retail customer or counterparty. (b) NSFR liabilities assigned a 95 percent ASF factor. (1) A stable retail deposit (regardless of maturity or collateralization) held at the Board-regulated institution; or (2) A sweep deposit that: (i) Is deposited in accordance with a contract between the retail customer or counterparty and the Board-regulated institution, a controlled subsidiary of the Board-regulated institution, or a company that is a controlled subsidiary of the same top-tier company of which the Board-regulated institution is a controlled subsidiary; (ii) Is entirely covered by deposit insurance; and (iii) The Board-regulated institution demonstrates to the satisfaction of the Board that a withdrawal of such deposit is highly unlikely to occur during a liquidity stress event. (c) NSFR liabilities assigned a 90 percent ASF factor. (1) A retail deposit (regardless of maturity or collateralization) other than a stable retail deposit or brokered deposit; (2) A brokered reciprocal deposit where the entire amount is covered by deposit insurance; (3) A sweep deposit that is deposited in accordance with a contract between the retail customer or counterparty and the Board-regulated institution, a controlled subsidiary of the Board-regulated institution, or a company that is a controlled subsidiary of the same top-tier company of which the Board-regulated institution is a controlled subsidiary, where the sweep deposit does not meet the requirements of paragraph (b)(2) of this section; or (4) A brokered deposit that is not a brokered reciprocal deposit or a sweep deposit, that is not held in a transactional account, and that matures one year or more from the calculation date. (d) NSFR liabilities assigned a 50 percent ASF factor. (1) Unsecured wholesale funding that: (i) Is not provided by a financial sector entity, a consolidated subsidiary of a financial sector entity, or a central bank; (ii) Matures less than one year from the calculation date; and (iii) Is not a security issued by the Board-regulated institution or an operational deposit placed at the Board-regulated institution; (2) A secured funding transaction with the following characteristics: (i) The counterparty is not a financial sector entity, a consolidated subsidiary of a financial sector entity, or a central bank; (ii) The secured funding transaction matures less than one year from the calculation date; and (iii) The secured funding transaction is not a collateralized deposit that is an operational deposit placed at the Board-regulated institution; (3) Unsecured wholesale funding that: (i) Is provided by a financial sector entity, a consolidated subsidiary of a financial sector entity, or a central bank; (ii) Matures six months or more, but less than one year, from the calculation date; and (iii) Is not a security issued by the Board-regulated institution or an operational deposit; (4) A secured funding transaction with the following characteristics: (i) The counterparty is a financial sector entity, a consolidated subsidiary of a financial sector entity, or a central bank; (ii) The secured funding transaction matures six months or more, but less than one year, from the calculation date; and (iii) The secured funding transaction is not a collateralized deposit that is an operational deposit; (5) A security issued by the Board-regulated institution that matures six months or more, but less than one year, from the calculation date; (6) An operational deposit placed at the Board-regulated institution; (7) A brokered deposit provided by a retail customer or counterparty that is not described in paragraphs (c) or (e)(2) of this section; (8) A sweep deposit provided by a retail customer or counterparty that is not described in paragraphs (b) or (c) of this section; (9) An NSFR liability owed to a retail customer or counterparty that is not a deposit and is not a security issued by the Board-regulated institution; or (10) Any other NSFR liability that matures six months or more, but less than one year, from the calculation date and is not described in paragraphs (a) through (c) or (d)(1) through (d)(9) of this section. (e) NSFR liabilities assigned a zero percent ASF factor. (1) A trade date payable that results from a purchase by the Board-regulated institution of a financial instrument, foreign currency, or commodity that is contractually required to settle within the lesser of the market standard settlement period for the particular transaction and five business days from the date of the sale; (2) A brokered deposit provided by a retail customer or counterparty that is not a brokered reciprocal deposit or sweep deposit, is not held in a transactional account, and matures less than six months from the calculation date; (3) A security issued by the Board-regulated institution that matures less than six months from the calculation date; (4) An NSFR liability with the following characteristics: (i) The counterparty is a financial sector entity, a consolidated subsidiary of a financial sector entity, or a central bank; (ii) The NSFR liability matures less than six months from the calculation date or has an open maturity; and (iii) The NSFR liability is not a security issued by the Board-regulated institution or an operational deposit placed at the Board-regulated institution; or (5) Any other NSFR liability that matures less than six months from the calculation date and is not described in paragraphs (a) through (d) or (e)(1) through (4) of this section. § 249.105 Calculation of required stable funding amount. (a) Required stable funding amount. (1) The carrying values of a Board-regulated institution's assets (other than amounts included in the calculation of the derivatives RSF amount pursuant to § 249.107(b)) and the undrawn amounts of a Board-regulated institution's credit and liquidity facilities, in each case multiplied by the RSF factors applicable in § 249.106; and (2) The Board-regulated institution's derivatives RSF amount calculated pursuant to § 249.107(b). (b) Required stable funding adjustment percentage. Table 1 to Paragraph ( b Required stable funding adjustment percentage Percent Global systemically important BHC or GSIB depository institution 100 Category II Board-regulated institution 100 Category III Board-regulated institution with $75 billion or more in average weighted short-term wholesale funding and Category III Board-regulated institution that is a consolidated subsidiary of such a Board-regulated institution 100 Category III Board-regulated institution with less than $75 billion in average weighted short-term wholesale funding and any Category III Board-regulated institution that is a consolidated subsidiary of such a Category III Board-regulated institution 85 Category IV Board-regulated institution with $50 billion or more in average weighted short-term wholesale funding 70 (c) Transition into a different required stable funding adjustment percentage. (2) A Board-regulated institution whose required stable funding adjustment percentage decreases from a higher to a lower required stable funding adjustment percentage must continue to use its previous higher required stable funding adjustment percentage until the first day of the first calendar quarter after the required stable funding adjustment percentage decreases. § 249.106 RSF factors. (a) Unencumbered assets and commitments. (1) Unencumbered assets assigned a zero percent RSF factor. (i) Currency and coin; (ii) A cash item in the process of collection; (iii) A Reserve Bank balance or other claim on a Reserve Bank that matures less than six months from the calculation date; (iv) A claim on a foreign central bank that matures less than six months from the calculation date; (v) A trade date receivable due to the Board-regulated institution resulting from the Board-regulated institution's sale of a financial instrument, foreign currency, or commodity that is required to settle no later than the market standard, without extension, for the particular transaction, and that has yet to settle but is not more than five business days past the scheduled settlement date; (vi) Any other level 1 liquid asset not described in paragraphs (a)(1)(i) through (a)(1)(v) of this section; or (vii) A secured lending transaction with the following characteristics: (A) The secured lending transaction matures less than six months from the calculation date; (B) The secured lending transaction is secured by level 1 liquid assets; (C) The borrower is a financial sector entity or a consolidated subsidiary thereof; and (D) The Board-regulated institution retains the right to rehypothecate the collateral provided by the counterparty for the duration of the secured lending transaction. (2) Unencumbered assets and commitments assigned a 5 percent RSF factor. (3) Unencumbered assets assigned a 15 percent RSF factor. (i) A level 2A liquid asset; or (ii) A secured lending transaction or unsecured wholesale lending with the following characteristics: (A) The asset matures less than six months from the calculation date; (B) The borrower is a financial sector entity or a consolidated subsidiary thereof; and (C) The asset is not described in paragraph (a)(1)(vii) of this section and is not an operational deposit described in paragraph (a)(4)(iii) of this section. (4) Unencumbered assets assigned a 50 percent RSF factor. (i) A level 2B liquid asset; (ii) A secured lending transaction or unsecured wholesale lending with the following characteristics: (A) The asset matures six months or more, but less than one year, from the calculation date; (B) The borrower is a financial sector entity, a consolidated subsidiary thereof, or a central bank; and (C) The asset is not an operational deposit described in paragraph (a)(4)(iii) of this section; (iii) An operational deposit placed by the Board-regulated institution at a financial sector entity or a consolidated subsidiary thereof; or (iv) An asset that is not described in paragraphs (a)(1) through (a)(3) or (a)(4)(i) through (a)(4)(iii) of this section that matures less than one year from the calculation date, including: (A) A secured lending transaction or unsecured wholesale lending where the borrower is a wholesale customer or counterparty that is not a financial sector entity, a consolidated subsidiary thereof, or a central bank; or (B) Lending to a retail customer or counterparty. (5) Unencumbered assets assigned a 65 percent RSF factor. (i) A retail mortgage that matures one year or more from the calculation date and is assigned a risk weight of no greater than 50 percent under subpart D of Regulation Q (12 CFR part 217); or (ii) A secured lending transaction, unsecured wholesale lending, or lending to a retail customer or counterparty with the following characteristics: (A) The asset is not described in paragraphs (a)(1) through (a)(5)(i) of this section; (B) The borrower is not a financial sector entity or a consolidated subsidiary thereof; (C) The asset matures one year or more from the calculation date; and (D) The asset is assigned a risk weight of no greater than 20 percent under subpart D of Regulation Q (12 CFR part 217). (6) Unencumbered assets assigned an 85 percent RSF factor. (i) A retail mortgage that matures one year or more from the calculation date and is assigned a risk weight of greater than 50 percent under subpart D of Regulation Q (12 CFR part 217); (ii) A secured lending transaction, unsecured wholesale lending, or lending to a retail customer or counterparty with the following characteristics: (A) The asset is not described in paragraphs (a)(1) through (a)(6)(i) of this section; (B) The borrower is not a financial sector entity or a consolidated subsidiary thereof; (C) The asset matures one year or more from the calculation date; and (D) The asset is assigned a risk weight of greater than 20 percent under subpart D of Regulation Q (12 CFR part 217); (iii) A publicly traded common equity share that is not HQLA; (iv) A security, other than a publicly traded common equity share, that matures one year or more from the calculation date and is not HQLA; or (v) A commodity for which derivative transactions are traded on a U.S. board of trade or trading facility designated as a contract market under sections 5 and 6 of the Commodity Exchange Act (7 U.S.C. 7 and 8) or on a U.S. swap execution facility registered under section 5h of the Commodity Exchange Act (7 U.S.C. 7b-3) or on another exchange, whether located in the United States or in a jurisdiction outside of the United States. (7) Unencumbered assets assigned a 100 percent RSF factor. (b) Nonperforming assets. (c) Encumbered assets. (1)(i) Encumbered assets with less than six months remaining in the encumbrance period. (ii) Encumbered assets with six months or more, but less than one year, remaining in the encumbrance period. (A) If the asset would be assigned an RSF factor of 50 percent or less under paragraphs (a)(1) through (a)(4) of this section if the asset were not encumbered, an RSF factor of 50 percent is assigned to the asset. (B) If the asset would be assigned an RSF factor of greater than 50 percent under paragraphs (a)(5) through (a)(7) of this section if the asset were not encumbered, the same RSF factor is assigned to the asset as would be assigned if it were not encumbered. (iii) Encumbered assets with one year or more remaining in the encumbrance period. (2) Assets encumbered for period longer than remaining maturity. (3) Segregated account assets. (d) Off-balance sheet rehypothecated assets. (1) If the Board-regulated institution received the off-balance sheet asset under a lending transaction, an RSF factor is assigned to the lending transaction as if it were encumbered for the longer of: (i) The remaining maturity of the NSFR liability; and (ii) Any other encumbrance period applicable to the lending transaction; (2) If the Board-regulated institution received the off-balance sheet asset under an asset exchange, an RSF factor is assigned to the asset provided by the Board-regulated institution in the asset exchange as if the provided asset were encumbered for the longer of: (i) The remaining maturity of the NSFR liability; and (ii) Any other encumbrance period applicable to the provided asset; or (3) If the Board-regulated institution did not receive the off-balance sheet asset under a lending transaction or asset exchange, an RSF factor is assigned to the on-balance sheet asset resulting from the rehypothecation of the off-balance sheet asset as if the on-balance sheet asset were encumbered for the longer of: (i) The remaining maturity of the NSFR liability; and (ii) Any other encumbrance period applicable to the transaction through which the off-balance sheet asset was received. § 249.107 Calculation of NSFR derivatives amounts. (a) General requirement. (b) Calculation of required stable funding amount relating to derivative transactions. (1) Current derivative transaction values. (2) Variation margin provided. (3) Excess variation margin provided. (4) Variation margin received. (5) Potential valuation changes. (ii) For purposes of paragraph (5)(i) of this section, the gross derivative value of a derivative transaction not subject to a qualifying master netting agreement or of a QMNA netting set is equal to the value to the Board-regulated institution, calculated as if no variation margin had been exchanged and no settlement payments had been made based on changes in the value of the derivative transaction or QMNA netting set. (6) Contributions to central counterparty mutualized loss sharing arrangements. (7) Initial margin provided. (c) Calculation of available stable funding amount relating to derivative transactions. (1) The Board-regulated institution's NSFR derivatives liability amount, as calculated under paragraph (d)(2) of this section; and (2) The carrying value of NSFR liabilities in the form of an obligation to return initial margin or variation margin received by the Board-regulated institution. (d) Calculation of NSFR derivatives asset or liability amount. (i) Zero; and (ii) The Board-regulated institution's total derivatives asset amount, as calculated under paragraph (e)(1) of this section, less the Board-regulated institution's total derivatives liability amount, as calculated under paragraph (e)(2) of this section. (2) A Board-regulated institution's NSFR derivatives liability amount is the greater of: (i) Zero; and (ii) The Board-regulated institution's total derivatives liability amount, as calculated under paragraph (e)(2) of this section, less the Board-regulated institution's total derivatives asset amount, as calculated under paragraph (e)(1) of this section. (e) Calculation of total derivatives asset and liability amounts. (2) A Board-regulated institution's total derivatives liability amount is the sum of the Board-regulated institution's derivatives liability values, as calculated under paragraph (f)(2) of this section, for each derivative transaction not subject to a qualifying master netting agreement and each QMNA netting set. (f) Calculation of derivatives asset and liability values. (1) The derivatives asset value is equal to the asset value to the Board-regulated institution, after taking into account: (i) Any variation margin received by the Board-regulated institution that is in the form of cash and meets the following conditions: (A) The variation margin is not segregated; (B) The variation margin is received in connection with a derivative transaction that is governed by a QMNA or other contract between the counterparties to the derivative transaction, which stipulates that the counterparties agree to settle any payment obligations on a net basis, taking into account any variation margin received or provided; (C) The variation margin is calculated and transferred on a daily basis based on mark-to-fair value of the derivative contract; and (D) The variation margin is in a currency specified as an acceptable currency to settle obligations in the relevant governing contract; and (ii) Any variation margin received by the Board-regulated institution that is in the form of level 1 liquid assets and meets the conditions of paragraph (f)(1)(i) of this section provided the Board-regulated institution retains the right to rehypothecate the asset for the duration of time that the asset is posted as variation margin to the Board-regulated institution; or (2) The derivatives liability value is equal to the liability value of the Board-regulated institution, after taking into account any variation margin provided by the Board-regulated institution. § 249.108 Funding related to Covered Federal Reserve Facility Funding. (a) Treatment of Covered Federal Reserve Facility Funding. (b) Exception. § 249.109 Rules for consolidation. (a) Consolidated subsidiary available stable funding amount. (1) The RSF amount of the consolidated subsidiary, as calculated by the Board-regulated institution for the Board-regulated institution's net stable funding ratio under this part; plus (2) Any amount in excess of the RSF amount of the consolidated subsidiary, as calculated by the Board-regulated institution for the Board-regulated institution's net stable funding ratio under this part, to the extent the consolidated subsidiary may transfer assets to the top-tier Board-regulated institution, taking into account statutory, regulatory, contractual, or supervisory restrictions, such as sections 23A and 23B of the Federal Reserve Act (12 U.S.C. 371c and 12 U.S.C. 371c-1) and Regulation W (12 CFR part 223). (b) Required consolidation procedures. Subpart L—Net Stable Funding Shortfall Source: 86 FR 9202, 9212, Feb. 11, 2021, unless otherwise noted. § 249.110 NSFR shortfall: Supervisory framework. (a) Notification requirements. (b) Liquidity Plan. (i) The Board-regulated institution has or should have provided notice, pursuant to § 249.110(a), that the Board-regulated institution's net stable funding ratio is, or will become, less than 1.0 as required under § 249.100; (ii) The Board-regulated institution's reports or disclosures to the Board indicate that the Board-regulated institution's net stable funding ratio is less than 1.0 as required under § 249.100; or (iii) The Board notifies the Board-regulated institution in writing that a plan is required and provides a reason for requiring such a plan. (2) The plan must include, as applicable: (i) An assessment of the Board-regulated institution's liquidity profile; (ii) The actions the Board-regulated institution has taken and will take to achieve a net stable funding ratio equal to or greater than 1.0 as required under § 249.100, including: (A) A plan for adjusting the Board-regulated institution's liquidity profile; (B) A plan for remediating any operational or management issues that contributed to noncompliance with subpart K of this part; and (iii) An estimated time frame for achieving full compliance with § 249.100. (3) The Board-regulated institution must report to the Board at least monthly, or such other frequency as required by the Board, on progress to achieve full compliance with § 249.100. (c) Supervisory and enforcement actions. Subpart M—Transitions § 249.120 Transitions. (a) Initial application. (2) A Board-regulated institution that becomes subject to the minimum net stable funding requirement under § 249.1(b)(1)(iii) must comply with the requirements of subparts K through N of this part subject to a transition period specified by the Board. (b) Transition to a different required stable funding adjustment percentage. (2) A Board-regulated institution that is no longer subject to the minimum stable funding requirement of this part pursuant to § 249.1(b)(1)(i) or (ii) based on the size of total consolidated assets, cross-jurisdictional activity, total nonbank assets, weighted short-term wholesale funding, or off-balance sheet exposure calculated in accordance with the Call Report, or instructions to the FR Y-9LP, the FR Y-15, or equivalent reporting form, as applicable, for each of the four most recent calendar quarters may cease compliance with the requirements of subparts K through N of this part as of the first day of the first calendar quarter after it is no longer subject to § 249.1(b). (c) Reservation of authority. [86 FR 9213, Feb. 11, 2021] Subpart N—NSFR Public Disclosure Source: 86 FR 9213, Feb. 11, 2021, unless otherwise noted. § 249.130 Timing, method, and retention of disclosures. (a) Applicability. (b) Timing of disclosure. (2) A covered depository institution holding company, U.S. intermediate holding company, or covered nonbank holding company that is subject to this subpart must provide the disclosures required by this subpart beginning with the first calendar quarter that includes the date that is 18 months after the covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company first became subject to the minimum stable funding requirement in § 249.100 of this part. (c) Disclosure method. (d) Availability. § 249.131 Disclosure requirements. (a) General. (b) Calculation of disclosed average amounts General. (A) On a consolidated basis and presented in millions of U.S. dollars or as a percentage, as applicable; and (B) As simple averages of daily amounts for each calendar quarter. (ii) A covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company must disclose the beginning date and end date for each calendar quarter. (2) Calculation of unweighted amounts. (ii) For each component of a covered depository institution holding company's, U.S. intermediate holding company's, or covered nonbank company's RSF amount calculation, other than amounts included in paragraphs (c)(2)(xvi) through (xix) of this section, the “unweighted amount” means the sum of the carrying values of the covered depository institution holding company's, U.S. intermediate holding company's, or covered nonbank company's assets and undrawn amounts of committed credit facilities and committed liquidity facilities extended by the covered depository institution holding company, or U.S. intermediate holding company, or covered nonbank company, as applicable, determined before applying the appropriate RSF factors, and subdivided by maturity into the following maturity categories, as applicable: Open maturity; less than six months after the calculation date; six months or more, but less than one year, after the calculation date; one year or more after the calculation date; and perpetual. (3) Calculation of weighted amounts. (ii) For each component of a covered depository institution holding company's, U.S. intermediate holding company's, or covered nonbank company's RSF amount calculation, other than amounts included in paragraphs (c)(2)(xvi) through (xix) of this section, the “weighted amount” means the sum of the carrying values of the covered depository institution holding company's, U.S. intermediate holding company's, or covered nonbank company's assets and undrawn amounts of committed credit facilities and committed liquidity facilities extended by the covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company, multiplied by the appropriate RSF factors. (c) Quantitative disclosures. (1) Disclosures of ASF amount calculations: (i) The sum of the average weighted amounts and, for each applicable maturity category, the sum of the average unweighted amounts of paragraphs (c)(1)(ii) and (iii) of this section (row 1); (ii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of NSFR regulatory capital elements described in § 249.104(a)(1) (row 2); (iii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of securities described in §§ 249.104(a)(2), 249.104(d)(5), and 249.104(e)(3) (row 3); (iv) The sum of the average weighted amounts and, for each applicable maturity category, the sum of the average unweighted amounts of paragraphs (c)(1)(v) through (viii) of this section (row 4); (v) The average weighted amount and, for each applicable maturity category, the average unweighted amount of stable retail deposits and sweep deposits held at the covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company described in § 249.104(b) (row 5); (vi) The average weighted amount and, for each applicable maturity category, the average unweighted amount of retail deposits other than stable retail deposits or brokered deposits, described in § 249.104(c)(1) (row 6); (vii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of sweep deposits, brokered reciprocal deposits, and brokered deposits provided by a retail customer or counterparty described in §§ 249.104(c)(2), 249.104(c)(3), 249.104(c)(4), 249.104(d)(7), 249.104(d)(8) and 249.104(e)(2) (row 7); (viii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of other funding provided by a retail customer or counterparty described in § 249.104(d)(9) (row 8); (ix) The sum of the average weighted amounts and, for each applicable maturity category, the sum of the average unweighted amounts of paragraphs (c)(1)(x) and (xi) of this section (row 9); (x) The average weighted amount and, for each applicable maturity category, the average unweighted amount of operational deposits placed at the covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company described in § 249.104(d)(6) (row 10); (xi) The average weighted amount and, for each applicable maturity category, the average unweighted amount of other wholesale funding described in §§ 249.104(a)(2), 249.104(d)(1), 249.104(d)(2), 249.104(d)(3), 249.104(d)(4), 249.104(d)(10), and 249.104(e)(4) (row 11); (xii) In the “unweighted” cell, the average amount of the NSFR derivatives liability amount described in § 249.107(d)(2) (row 12); (xiii) In the “unweighted” cell, the average amount of the total derivatives liability amount described in § 249.107(e)(2) (row 13); (xiv) The average weighted amount and, for each applicable maturity category, the average unweighted amount of all other liabilities not included in amounts disclosed under paragraphs (c)(1)(i) through (xiii) of this section (row 14); (xv) The average amount of the ASF amount described in § 249.103 (row 15); (2) Disclosures of RSF amount calculations, including to reflect any encumbrances under §§ 249.106(c) and 249.106(d): (i) The sum of the average weighted amounts and the sum of the average unweighted amounts of paragraphs (c)(2)(ii) through (iv) of this section (row 16); (ii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of level 1 liquid assets described in §§ 249.106(a)(1) (row 17); (iii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of level 2A liquid assets described in § 249.106(a)(3)(i) (row 18); (iv) The average weighted amount and, for each applicable maturity category, the average unweighted amount of level 2B liquid assets described in § 249.106(a)(4)(i) (row 19); (v) The average weighted amount and, for each applicable maturity category, the average unweighted amount of assets described in § 249.106(a)(1), other than level 1 liquid assets included in amounts disclosed under paragraph (c)(2)(ii) of this section or secured lending transactions included in amounts disclosed under paragraph (c)(2)(viii) of this section (row 20); (vi) The average weighted amount and, for each applicable maturity category, the average unweighted amount of operational deposits placed at financial sector entities or consolidated subsidiaries thereof described in § 249.106(a)(4)(iii) (row 21); (vii) The sum of the average weighted amounts and, for each applicable maturity category, the sum of the average unweighted amounts of paragraphs (c)(2)(viii), (ix), (x), (xii), and (xiv) of this section (row 22); (viii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of secured lending transactions where the borrower is a financial sector entity or a consolidated subsidiary of a financial sector entity and the secured lending transaction is secured by level 1 liquid assets, described in §§ 249.106(a)(1)(vii), 249.106(a)(3)(ii), 249.106(a)(4)(ii), and 249.106(a)(7) (row 23); (ix) The average weighted amount and, for each applicable maturity category, the average unweighted amount of secured lending transactions that are secured by assets other than level 1 liquid assets and unsecured wholesale lending, in each case where the borrower is a financial sector entity or a consolidated subsidiary of a financial sector entity, described in §§ 249.106(a)(3)(ii), 249.106(a)(4)(ii), and 249.106(a)(7) (row 24); (x) The average weighted amount and, for each applicable maturity category, the average unweighted amount of secured lending transactions and unsecured wholesale lending to wholesale customers or counterparties that are not financial sector entities or consolidated subsidiaries thereof, and lending to retail customers and counterparties other than retail mortgages, described in §§ 249.106(a)(4)(iv), 249.106(a)(5)(ii), and 249.106(a)(6)(ii) (row 25); (xi) The average weighted amount and, for each applicable maturity category, the average unweighted amount of secured lending transactions, unsecured wholesale lending, and lending to retail customers or counterparties that are assigned a risk weight of no greater than 20 percent under subpart D of Regulation Q (12 CFR part 217) described in §§ 249.106(a)(4)(ii), 249.106(a)(4)(iv), and 249.106(a)(5)(ii) (row 26); (xii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of retail mortgages described in §§ 249.106(a)(4)(iv), 249.106(a)(5)(i), and 249.106(a)(6)(i) (row 27); (xiii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of retail mortgages assigned a risk weight of no greater than 50 percent under subpart D of Regulation Q (12 CFR part 217) described in §§ 249.106(a)(4)(iv) and 249.106(a)(5)(i) (row 28); (xiv) The average weighted amount and, for each applicable maturity category, the average unweighted amount of publicly traded common equity shares and other securities that are not HQLA and are not nonperforming assets described in §§ 249.106(a)(6)(iii), and 249.106(a)(6)(iv) (row 29); (xv) The average weighted amount and average unweighted amount of commodities described in §§ 249.106(a)(6)(v) and 249.106(a)(7) (row 30); (xvi) The average unweighted amount and average weighted amount of the sum of (A) assets contributed by the covered depository institution holding company to a central counterparty's mutualized loss-sharing arrangement described in § 249.107(b)(6) (in which case the “unweighted amount” shall equal the fair value and the “weighted amount” shall equal the unweighted amount multiplied by 85 percent) and (B) assets provided as initial margin by the covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company for derivative transactions described in § 249.107(b)(7) (in which case the “unweighted amount” shall equal the fair value and the “weighted amount” shall equal the unweighted amount multiplied by the higher of 85 percent or the RSF factor assigned to the asset pursuant to § 249.106) (row 31); (xvii) In the “unweighted” cell, the covered depository institution holding company's, U.S. intermediate holding company's, or covered nonbank company's average amount of the NSFR derivatives asset amount under § 249.107(d)(1) and in the “weighted” cell, the covered depository institution holding company's, U.S. intermediate holding company's, or covered nonbank company's average amount of the NSFR derivatives asset amount under § 249.107(d)(1) multiplied by 100 percent (row 32); (xviii) In the “unweighted” cell, the covered depository institution holding company's, U.S. intermediate holding company's, or covered nonbank company's average amount of the total derivatives asset amount described in § 249.107(e)(1) (row 33); (xix) (A) In the “unweighted” cell, the average amount of the sum of the gross derivative liability values of the covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company that are liabilities for each of its derivative transactions not subject to a qualifying master netting agreement and each of its QMNA netting sets, described in § 249.107(b)(5), and (B) in the “weighted” cell, such sum multiplied by 5 percent, as described in § 249.107(b)(5) (row 34); (xx) The average weighted amount and, for each applicable maturity category, the average unweighted amount of all other asset amounts not included in amounts disclosed under paragraphs (c)(2)(i) through (xix) of this section, including nonperforming assets (row 35); (xxi) The average weighted and unweighted amount of undrawn credit and liquidity facilities described in § 249.106(a)(2) (row 36); (xxii) The average amount of the RSF amount as calculated in § 249.105(a) prior to the application of the applicable required stable funding adjustment percentage in § 249.105(b) (row 37); (xxiii) The applicable required stable funding adjustment percentage described in Table 1 to § 249.105(b) (row 38); (xxiv) The average amount of the RSF amount as calculated under § 249.105 (row 39); (3) The average of the net stable funding ratios as calculated under § 249.100(b) (row 40); (d) Qualitative disclosures. (i) The main drivers of the net stable funding ratio; (ii) Changes in the net stable funding ratio results over time and the causes of such changes (for example, changes in strategies and circumstances); (iii) Concentrations of funding sources and changes in funding structure; or (iv) Concentrations of available and required stable funding within a covered company's corporate structure (for example, across legal entities). (2) If a covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company subject to this subpart believes that the qualitative discussion required in paragraph (d)(1) of this section would prejudice seriously its position by resulting in public disclosure of specific commercial or financial information that is either proprietary or confidential in nature, the covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company is not required to include those specific items in its qualitative discussion, but must provide more general information about the items that had a significant effect on its net stable funding ratio, together with the fact that, and the reason why, more specific information was not discussed.

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