§ 50.104 ASF factors. ( a ) *NSFR regulatory capital elements and NSFR liabilities assigned a 100 percent ASF factor.* An NSFR regulatory capital element or NSFR liability of a national bank or Federal savings association is assigned a 100 percent ASF factor if it is one of the following: ( 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.* An NSFR liability of a national bank or Federal savings association is assigned a 95 percent ASF factor if it is one of the following: ( 1 ) A stable retail deposit (regardless of maturity or collateralization) held at the national bank or Federal savings association; or
( 2 ) A sweep deposit that: ( i ) Is deposited in accordance with a contract between the retail customer or counterparty and the national bank or Federal savings association, a controlled subsidiary of the national bank or Federal savings association, or a company that is a controlled subsidiary of the same top-tier company of which the national bank or Federal savings association is a controlled subsidiary;
( ii ) Is entirely covered by deposit insurance; and
( iii ) The national bank or Federal savings association demonstrates to the satisfaction of the OCC 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.* An NSFR liability of a national bank or Federal savings association is assigned a 90 percent ASF factor if it is funding provided by a retail customer or counterparty that is: ( 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 national bank or Federal savings association, a controlled subsidiary of the national bank or Federal savings association, or a company that is a controlled subsidiary of the same top-tier company of which the national bank or Federal savings association 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.* An NSFR liability of a national bank or Federal savings association is assigned a 50 percent ASF factor if it is one of the following: ( 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 national bank or Federal savings association or an operational deposit placed at the national bank or Federal savings association;
( 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 national bank or Federal savings association;
( 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 national bank or Federal savings association 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 national bank or Federal savings association that matures six months or more, but less than one year, from the calculation date;
( 6 ) An operational deposit placed at the national bank or Federal savings association;
( 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 national bank or Federal savings association; 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.* An NSFR liability of a national bank or Federal savings association is assigned a zero percent ASF factor if it is one of the following: ( 1 ) A trade date payable that results from a purchase by the national bank or Federal savings association 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 national bank or Federal savings association 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 national bank or Federal savings association or an operational deposit placed at the national bank or Federal savings association; 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.