[Federal Register Volume 77, Number 68 (Monday, April 9, 2012)]
[Proposed Rules]
[Pages 21057-21065]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2012-8467]


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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the Currency

12 CFR Part 9

[Docket No. OCC-2011-0023]
RIN 1557-AD37


Short-Term Investment Funds

AGENCY: Office of the Comptroller of the Currency, Treasury (OCC).

ACTION: Notice of proposed rulemaking.

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SUMMARY: The OCC is requesting comment on a proposal that would revise 
the requirements imposed on banks pursuant to 12 CFR 9.18(b)(4)(ii)(B), 
the short-term investment fund (STIF) rule (STIF Rule). The proposal 
would add safeguards designed to address the risk of loss to a STIF's 
principal, including measures governing the nature of a STIF's 
investments, ongoing monitoring of its mark-to-market value and 
forecasting of potential changes in its mark-to-market value under 
adverse market conditions, greater transparency and regulatory 
reporting about a STIF's holdings, and procedures to protect fiduciary 
accounts from undue dilution of their participating interests in the 
event that the STIF loses the ability to maintain a stable net asset 
value (NAV).

DATES: Comments should be received on or before June 8, 2012.

ADDRESSES: Because paper mail in the Washington, DC area and at the OCC 
is subject to delay, commenters are encouraged to submit comments by 
the Federal eRulemaking Portal or email, if possible. Please use the 
title ``Short-Term Investment Funds'' to facilitate the organization 
and distribution of the comments. You may submit comments by any of the 
following methods:
    <bullet> Federal eRulemaking Portal--``regulations.gov'': Go to 
http://www.regulations.gov. Click ``Advanced Search''. Select 
``Document Type'' of ``Proposed Rule'', and in ``By Keyword or ID'' 
box, enter Docket ID ``OCC-2011-0023'', and click ``Search''. If 
proposed rules for more than one agency are listed, in the ``Agency'' 
column, locate the notice of proposed rulemaking for the OCC. Comments 
can be filtered by Agency using the filtering tools on the left side of 
the screen. In the ``Actions'' column, click on ``Submit a Comment'' or 
``Open Docket Folder'' to submit or view public comments and to view 
supporting and related materials for this rulemaking action.
    <bullet> Click on the ``Help'' tab on the Regulations.gov home page 
to get information on using Regulations.gov, including instructions for 
submitting or viewing public comments, viewing other supporting and 
related materials, and viewing the docket after the close of the 
comment period.
    <bullet> Email: <a href="/cdn-cgi/l/email-protection#89fbeceefaa7eae6e4e4ece7fdfac9e6eaeaa7fdfbece8faa7eee6ff"><span class="__cf_email__" data-cfemail="e193848692cf828e8c8c848f9592a18e8282cf9593848092cf868e97">[email protected]</span></a>.
    <bullet> Mail: Office of the Comptroller of the Currency, 250 E 
Street SW., Mail Stop 2-3, Washington, DC 20219.
    <bullet> Fax: (202) 874-5274.
    <bullet> Hand Delivery/Courier: 250 E Street SW., Mail Stop 2-3, 
Washington, DC 20219.
    Instructions: You must include ``OCC'' as the agency name and 
``Docket ID OCC-2011-0023'' in your comment. In general, OCC will enter 
all comments received into the docket and publish them on the 
Regulations.gov Web site without change, including any business or 
personal information that you provide such as name and address 
information, email addresses, or phone numbers. Comments received, 
including attachments and other supporting materials, are part of the 
public record and subject to public disclosure. Do not enclose any 
information in your comment or supporting materials that you consider 
confidential or inappropriate for public disclosure.
    You may review comments and other related materials that pertain to 
this notice of proposed rulemaking by any of the following methods:
    <bullet> Viewing Comments Electronically: Go to http://www.regulations.gov. Click ``Advanced Search''. Select ``Document 
Type'' of ``Public Submission'', and in ``By Keyword or ID'' box enter 
Docket ID ``OCC-2011-0023'', and click ``Search''. If comments from 
more than one agency are listed, the ``Agency'' column will indicate 
which comments were received by the OCC. Comments can be filtered by 
Agency using the filtering tools on the left side of the screen.
    <bullet> Viewing Comments Personally: You may personally inspect 
and photocopy comments at the OCC, 250 E Street SW., Washington, DC. 
For security reasons, the OCC requires that visitors make an 
appointment to inspect comments. You may do so by calling (202) 874-
4700. Upon arrival, visitors will be required to present valid 
government-issued photo identification and to submit to security 
screening in order to inspect and photocopy comments.
    <bullet> Docket: You may also view or request available background 
documents and project summaries using the methods described above.

FOR FURTHER INFORMATION CONTACT: OCC: Joel Miller, Group Leader, Asset 
Management (202) 874-4493, David

[[Page 21058]]

Barfield, NBE, Market Risk (202) 874-1829, Patrick T. Tierney, Counsel, 
Legislative and Regulatory Activities Division (202) 874-5090, or Adam 
Trost, Senior Attorney, Securities and Corporate Practices Division 
(202) 874-5210, Office of the Comptroller of the Currency, 250 E Street 
SW., Washington, DC 20219.

SUPPLEMENTARY INFORMATION:

I. Background

A. Short-Term Investment Funds (STIFs)

    A Collective Investment Fund (CIF) is a bank-managed fund that 
holds pooled fiduciary assets that meet specific criteria established 
by the OCC fiduciary activities regulation at 12 CFR 9.18. Each CIF is 
established under a ``Plan'' that details the terms under which the 
bank manages and administers the fund's assets. The bank acts as a 
fiduciary for the CIF and holds legal title to the fund's assets. 
Participants in a CIF are the beneficial owners of the fund's assets. 
Each participant owns an undivided interest in the aggregate assets of 
a CIF; a participant does not directly own any specific asset held by a 
CIF.\1\
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    \1\ 12 CFR 9.18.
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    CIFs are designed to enhance investment management capabilities by 
combining assets from different accounts into a single fund with a 
specific investment strategy. By pooling fiduciary assets, a bank may 
lower the operational and administrative expenses associated with 
investing fiduciary assets and enhance risk management and investment 
performance for the participating accounts.
    A fiduciary account's investment in a CIF is called a 
``participating interest.'' Participating interests in a CIF are not 
FDIC-insured and are not subject to potential claims by a bank's 
creditors. In addition, a participating interest in a CIF cannot be 
pledged or otherwise encumbered in favor of a third party.
    The general rule for valuation of a CIF's assets specifies that a 
CIF admitting a fiduciary account (that is, allowing the fiduciary 
account, in effect, to purchase its proportionate interest in the 
assets of the CIF) or withdrawing the fiduciary account (that is, 
allowing the fiduciary account, in effect, to redeem the value of its 
proportionate interest in the CIF) may only do so on the basis of a 
valuation of the CIF's assets, as of the admission or withdrawal date, 
based on the mark-to-market value of the CIF's assets.\2\ This general 
valuation rule is designed to protect all fiduciary accounts 
participating in the CIF from the risk that other accounts will be 
admitted or withdrawn at valuations that dilute the value of existing 
participating interests in the CIF.
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    \2\ 12 CFR 9.18(b)(5)(i). If the bank cannot readily ascertain 
market value as of the valuation date, the bank generally must use a 
fair value for the asset, determined in good faith. 12 CFR 
9.18(b)(4)(ii)(A).
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    A STIF is a type of CIF that permits a bank to value the STIF's 
assets on an amortized cost basis, rather than at mark-to-market value, 
for purposes of admissions and withdrawals. This is an exception to the 
general rule of market valuation. In order to qualify for this 
exception, a STIF's Plan must require the bank to: (1) Maintain a 
dollar-weighted average portfolio maturity of 90 days or less; (2) 
accrue on a straight-line or amortized basis the difference between the 
cost and anticipated principal receipt on maturity; and (3) hold the 
fund's assets until maturity under usual circumstances.\3\ These 
conditions are designed to protect fiduciary accounts from the risk of 
dilution of the value of their participating interests. In particular, 
by limiting the STIF's investments to shorter-term assets and generally 
requiring those assets to be held to maturity, realized differences 
between the amortized cost and mark-to-market value of the assets will 
be rare, absent atypical market conditions or an impaired asset. As 
further discussed in this SUPPLEMENTARY INFORMATION section, the 
amortized cost approach is beneficial for many fiduciary accounts, 
because some participants require that a certain percentage of the 
assets held in these accounts be in a liquid, low risk investment.
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    \3\ 12 CFR 9.18(b)(4)(ii)(B).
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    The OCC's STIF Rule governs STIFs managed by national banks. In 
addition, regulations adopted by the Office of Thrift Supervision, now 
recodified as OCC rules pursuant to Title III of the Dodd-Frank Wall 
Street Reform and Consumer Protection Act,\4\ have long required 
federal savings associations (FSAs) to comply with the requirements of 
the OCC's STIF Rule.\5\ Thus, the proposed revisions to the national 
bank STIFs Rule would apply to a federal savings association that 
establishes and administers a STIF fund. As of December 31, 2011, there 
was approximately $112 billion invested in STIFs administered by 
national banks and there were no STIFs administered by FSAs 
reported.\6\
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    \4\ 76 FR 48950 (2011).
    \5\ 12 CFR 150.260.
    \6\ Fifteen national banks collectively reported STIF 
investments that they administer. Based on thrift financial report 
data, federal savings associations administered no STIFs as of 
December 31, 2011. Other types of institutions managing certain 
types of CIFs may also observe the requirements of the OCC's STIF 
Rule. For example, New York state law provides that all investments 
in short-term investment common trust funds may be valued at cost, 
if the plan of operation requires that: (i) The type or category of 
investments of the fund shall comply with the rules and regulations 
of the Comptroller of the Currency pertaining to short-term 
investment funds and (ii) in computing income, the difference 
between cost of investment and anticipated receipt on maturity of 
investment shall be accrued on a straight-line basis. See N.Y. Comp. 
Codes R. & Regs. Tit. 3, Sec.  22.23 (2010). Additionally, in order 
to retain their tax-exempt status, common trust funds must operate 
in compliance with Sec.  9.18 as well as the federal tax laws. See 
26 U.S.C. 584. The OCC does not have access to comprehensive data 
quantifying investments held by STIF funds administered by other 
types of institutions pursuant to legal requirements incorporating 
the OCC's STIF Rule. Although the direct scope of the STIF Rule 
provisions in section 9.18 of the OCC's regulations is national 
banks and Federal branches and agencies of foreign banks acting in a 
fiduciary capacity (12 CFR 9.1(c)), the nomenclature of the STIF 
Rule refers simply to ``banks.'' For the sake of convenience, the 
OCC proposes to continue this approach and also applies the same 
convention to the discussion of the STIF Rule in this Notice of 
Proposed Rulemaking.
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    The OCC is proposing to revise the requirements of the STIF Rule. 
While fiduciary accounts participating in a STIF have an interest in 
the fund maintaining a stable net asset value (NAV), ultimately the 
participating interests remain subject to the risk of loss to a STIF's 
principal. The OCC is proposing additional safeguards designed to 
address this risk in several ways. These include measures governing the 
nature of a STIF's investments, ongoing monitoring of the STIF's mark-
to-market value and assessment of potential changes in its mark-to-
market value under adverse market conditions, greater transparency and 
regulatory reporting about the STIF's holdings, and procedures to 
protect fiduciary accounts from undue dilution of their participating 
interests in the event that the STIF loses the ability to maintain a 
stable NAV.

B. Comparison to Other Products That Seek To Maintain a Stable NAV

    There are other types of funds that seek to maintain a stable NAV. 
By far, the most significant of these from a financial market presence 
standpoint are ``money market mutual funds'' (MMMFs). These funds are 
organized as open-ended management investment companies and are 
regulated by the U.S. Securities and Exchange Commission (``SEC'') 
pursuant to the Investment Company Act of 1940, particularly pursuant 
to the provisions of SEC Rule 2a-7 thereunder (``Rule 2a-7'').\7\

[[Page 21059]]

MMMFs seek to maintain a stable share price, typically $1.00 a share. 
In this regard, they are similar to STIFs.
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    \7\ 15 U.S.C. 80a; 17 CFR 270.2a-7. Because STIFs are a form of 
collective investment fund, they are generally exempt from the SEC's 
rules under the Investment Company Act. STIFs used exclusively for 
(1) the collective investment of money by a bank in its fiduciary 
capacity as trustee, executor, administrator, or guardian and (2) 
the collective investment of assets of certain employee benefit 
plans are exempt from the Investment Company Act under 15 U.S.C. 
80a-3(c)(3) and (c)(11), respectively. MMMFs are not subject to 
comparable restrictions as to the type of participant who may invest 
in the fund or the purpose of such investment.
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    However, there are a number of important differences between MMMFs 
and STIFs; most significantly, MMMFs are open to retail investors, 
whereas, STIFs only are available to authorized fiduciary accounts. 
MMMFs may be offered to the investing public and have become a popular 
product with retail investors, corporate money managers, and 
institutional investors seeking returns equivalent to current short-
term interest rates in exchange for high liquidity and the prospect of 
protection against the loss of principal. In contrast to the 
approximately $112 billion currently held in STIFs administered by 
national banks, MMMFs, as of December 2011, held approximately $2.7 
trillion dollars of investor assets.\8\
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    \8\ See http://www.ici.org/info/mm_data_2011.xls.
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    During the recent period of financial market stress, beginning in 
2007 and stretching into 2009, certain types of short-term debt 
securities frequently held by MMMFs experienced unusually high 
volatility. Concerns by investors that their MMMFs could not maintain a 
stable NAV eventually led to investor redemptions out of those funds, 
and some funds needed to liquidate sizeable portions of their 
securities to meet investor redemption requests. This flood of 
redemption requests depressed market prices for short-term debt 
instruments, exacerbating the problem for all types of stable NAV 
funds.
    The President's Working Group on Financial Markets (``PWG''),\9\ 
after reviewing the market turmoil during the period 2007 through 2009, 
recommended that the SEC strengthen the regulation and monitoring of 
MMMFs and also recommended that bank regulators consider strengthening 
the regulation and monitoring of other types of products that seek to 
maintain a stable NAV. The October 2010 report from the PWG states: 
``[b]anking and state insurance regulators might consider additional 
restrictions to mitigate systemic risk for bank common and collective 
funds and other investment pools that seek a stable NAV but that are 
exempt from registration under sections 3(c)(3) and 3(c)(11) of the 
ICA.'' \10\
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    \9\ The PWG is comprised of the Secretary of the Treasury, the 
Chairman of the Board of Governors of the Federal Reserve System, 
the Chairman of the Securities and Exchange Commission, and the 
Chairman of the Commodity Futures Trading Commission.
    \10\ Report of the President's Working Group on Financial 
Markets, Money Market Fund Reform Options, p. 35 (Oct. 2010), see 
http://www.treasury.gov/press-center/press-releases/Documents/10.21%20PWG%20Report%20Final.pdf. See also Financial Stability 
Oversight Council 2011 Annual Report, p. 13 (July 2011) available at 
http://www.treasury.gov/initiatives/fsoc/Documents/FSOCAR2011.pdf.
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    Based on the market turmoil from 2007 through 2009 and the work 
done by the PWG, among others, the SEC adopted amendments to Rule 2a-7 
to strengthen the resilience of MMMFs.\11\ The OCC's proposed changes 
to the STIF Rule are informed by the SEC's revisions to Rule 2a-7, but 
differ in certain respects in light of the differences between the 
money market mutual fund as an investment product and the STIF, e.g., a 
bank's fiduciary responsibility to a STIF and requirements limiting 
STIF participation to eligible accounts under the OCC's fiduciary 
account regulation at 12 CFR part 9.
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    \11\ See Money Market Fund Reform, 75 FR 10060 (Mar. 4, 2010).
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II. Description of Proposed Changes to the STIF Rule

    The proposed changes to the STIF Rule would enhance protections 
provided to STIF participants and reduce risks to banks that administer 
STIFs. The proposed changes add new requirements or amend existing 
requirements that a CIF must meet to be considered a STIF and value 
assets on an amortized cost basis. The OCC believes many banks that 
offer STIFs are already engaged in the risk mitigation efforts set 
forth in this proposed rule.
    The proposed changes do not affect the obligation that STIFs meet 
the CIF requirements described in 12 CFR part 9, which allows national 
banks to maintain and invest fiduciary assets, consistent with 
applicable law. Applicable law is defined as the law of a state or 
other jurisdiction governing a national bank's fiduciary relationships, 
any applicable Federal law governing those relationships (e.g., ERISA, 
federal tax, and securities laws), the terms of the instrument 
governing a fiduciary relationship, or any court order pertaining to 
the relationship.\12\ Also, national banks managing CIFs are required 
to adopt and follow written policies and procedures that are adequate 
to maintain their fiduciary activities in compliance with applicable 
law.\13\ Additionally, the STIF Rule requires a STIF's bank manager, at 
least once during each calendar year, to conduct a review of all assets 
of each fiduciary account for which the bank has investment discretion 
to evaluate whether they are appropriate, individually and 
collectively, for the account.\14\ These examples of CIF requirements 
applicable to STIFs are not exclusive. Other requirements apply, and a 
bank must comply will all applicable requirements of 12 CFR part 9 when 
acting as a fiduciary for a CIF.
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    \12\ 12 CFR 9.2(b).
    \13\ 12 CFR 9.5.
    \14\ 12 CFR 9.6(c).
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    Banks administering a STIF would need to revise the written plan 
required by 12 CFR 9.18(b)(1) if this proposal is adopted as a final 
rule.

A. Section 9.18(b)(4)(iii)(A)

    STIFs typically maintain stable NAVs in order to meet the 
expectations of the fund's bank managers and participating fiduciary 
accounts.\15\ To the extent a bank fiduciary offers a STIF with a fund 
objective of maintaining a stable NAV, participating accounts and the 
OCC expect those STIFs to maintain a stable NAV using amortized cost. 
The proposal would require a Plan to have as a primary objective that 
the STIF operate with a stable NAV of $1.00 per participating 
interest.\16\
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    \15\ For example, many STIF plan participants (e.g., pensions) 
have policies, procedures, and operational systems that presume a 
stable NAV.
    \16\ The OCC would expect banks to normalize and treat stable 
NAVs operating at a multiple of a $1.00 (e.g., $10 NAV) or fraction 
of $1.00 (e.g., $0.5) as operating with a NAV of $1.00 per 
participating interest.
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B. Section 9.18(b)(4)(iii)(B)

    The current STIF Rule requires the bank managing the STIF \17\ to 
maintain a dollar-weighted average portfolio maturity of 90 days or 
less. The current STIF Rule restricts the weighted average maturity of 
the STIF's portfolio in order to limit the exposure of participating 
fiduciary accounts to certain risks, including interest rate risk. The 
proposed rule would change the maturity limits to further reduce such 
risks. First, the proposal would reduce the maximum weighted average 
portfolio maturity permitted by the rule from 90 days or less to 60 
days or less. Second, it would establish a new

[[Page 21060]]

maturity test that would limit the portion of a STIF's portfolio that 
could be held in longer term variable- or floating-rate securities.
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    \17\ The current STIF Rule incorporates this and other measures 
through requirements that the Plan include provisions requiring the 
bank administering the STIF to effectuate the measures with respect 
to the STIF. The revisions proposed herein incorporate additional 
measures through requirements that the Plan include provisions 
requiring the STIF to observe certain restrictions and adopt certain 
procedures. In either case, it is effectively the bank administering 
the STIF that generally performs these measures, and for convenience 
purposes, the Supplementary Information section herein will describe 
it that way.
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1. Dollar-Weighted Average Portfolio Maturity
    The proposal would amend the ``dollar-weighted average portfolio 
maturity'' \18\ requirement of the STIF Rule to 60 days or less. 
Currently, banks managing STIFs must maintain a dollar-weighted average 
portfolio maturity of 90 days or less.\19\ Securities that have shorter 
periods remaining until maturity generally exhibit a lower level of 
price volatility in response to interest rate and credit spread 
fluctuations and, thus, provide a greater assurance that the STIF will 
continue to maintain a stable value.
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    \18\ Generally, ``dollar-weighted average portfolio maturity'' 
means the average time it takes for securities in a portfolio to 
mature, weighted in proportion to the dollar amount that is invested 
in the portfolio. Dollar-weighted average portfolio maturity 
measures the price sensitivity of fixed-income portfolios to 
interest rate changes.
    \19\ 12 CFR 9.18(b)(4)(ii)(B)(1).
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    Having a portfolio weighted towards securities with longer 
maturities poses greater risks to participating accounts in a STIF. For 
example, a longer dollar-weighted average maturity period increases a 
STIF's exposure to interest rate risk. Additionally, longer maturity 
periods amplify the effect of widening credit spreads on a STIF. 
Finally, a STIF holding securities with longer maturity periods 
generally is exposed to greater liquidity risk because: (1) Fewer 
securities mature and return principal on a daily or weekly basis to be 
available for possible fiduciary account withdrawals, and (2) the fund 
may experience greater difficulty in liquidating these securities in a 
short period of time at a reasonable price.
    STIFs with a shorter portfolio maturity period would be better able 
to withstand increases in interest rates and credit spreads without 
material deviation from amortized cost. Furthermore, in the event 
distress in the short-term instrument market triggers increasing rates 
of withdrawals from STIFs, the STIFs would be better positioned to 
withstand such withdrawals as a greater portion of their portfolios 
mature and return principal on a daily or weekly basis and would have 
greater ability to liquidate a portion of their portfolio at a 
reasonable price.
    Question 1: What are the estimates of the effects, if any, on STIF 
portfolios and participating accounts from reducing the maximum dollar-
weighted average portfolio maturity permitted by the rule from 90 to 60 
days? The OCC seeks commenters' specific information about the risk 
sensitivities associated with current STIF portfolios, including the 
current and month-end dollar-weighted average maturity of these funds 
since 2008.
2. Weighted Average Portfolio Life Maturity
    The proposal would add a new maturity requirement for STIFs, which 
would limit the dollar-weighted average portfolio life maturity to 120 
days or less. The dollar-weighted average portfolio life maturity would 
be measured without regard to a security's interest rate reset dates 
and, thus, would limit the extent to which a STIF could invest in 
longer term securities that may expose it to increased liquidity and 
credit risk.
    To determine compliance with the dollar-weighted average portfolio 
maturity requirement of the current STIF Rule, banks generally treat 
the maturity of a portfolio security as the period remaining until the 
date on which the principal must unconditionally be repaid according to 
its terms (its final ``legal'' maturity) or, in the case of a security 
called for redemption, the date on which the redemption payment must be 
made. However, banks treat certain types of securities, such as certain 
floating or adjustable-rate securities, as having shorter maturities 
equal to the time remaining to the next interest rate reset date.\20\ 
As a result, STIFs may treat longer term adjustable-rate securities as 
short-term securities. While adjustable-rate securities held in these 
funds do tend to protect a STIF against changes in interest rates, they 
do not fully protect against credit and liquidity risk to the 
portfolio.
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    \20\ See infra note 22 and accompanying text.
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    The traditional dollar-weighted average portfolio maturity 
measurement in the current STIF Rule does not require a STIF to limit 
these risks. For this reason, the proposal would impose a new dollar-
weighted average portfolio life maturity limitation on the structure of 
a STIF to capture credit and liquidity risk not encompassed by the 
dollar-weighted average portfolio maturity restriction. The proposal 
would require that STIFs maintain a dollar-weighted average portfolio 
life maturity of 120 days or less, which would provide a reasonable 
balance between strengthening the resilience of STIFs to credit and 
liquidity risk while not unduly restricting the bank's ability to 
invest the STIF's fiduciary assets in a diversified portfolio of short-
term, high quality debt securities.
    The impact of a limit on the dollar-weighted average life of a 
portfolio would be on those STIFs that hold certain longer term 
floating-rate securities. For example, under the current STIF Rule, a 
STIF with a portfolio comprising 50 percent of overnight repurchase 
agreements and 50 percent of two-year government agency floating-rate 
obligations that reset daily based on the federal funds rate would have 
a dollar-weighted average portfolio maturity of one day. In contrast, 
by applying a measurement that does not recognize resets, the portfolio 
would have a dollar-weighted average portfolio life maturity of 365.5 
days (i.e., half of the portfolio has a one day maturity and half has a 
two-year maturity), which would be considerably longer than the 120-day 
limit of the proposal. Thus, the dollar-weighted average portfolio life 
maturity limitation would provide an extra layer of protection for 
qualified account participants against credit and liquidity risk, 
particularly in volatile markets.
    Question 2: What are the effects, if any, on STIF portfolios and 
participating accounts of limiting the portion of a fund's portfolio 
that may be held in longer term variable- or floating-rate securities? 
The OCC seeks commenters' specific information about the risk 
sensitivities associated with the current dollar-weighted average life 
maturity of these funds.
3. Determination of Maturity Limits
    In determining the dollar-weighted average portfolio maturity of 
STIFs under the current rule, national banks generally apply the same 
methodology as required by the SEC for MMMFs pursuant to Rule 2a-7. 
Dollar-weighted average maturity under Rule 2a-7 is calculated, as a 
general rule, by treating each security's maturity as the period 
remaining until the date on which, in accordance with the terms of the 
security, the principal amount must be unconditionally paid or, in the 
case of a security called for redemption, the date on which the 
redemption payment must be made. Rule 2a-7 also provides eight 
exceptions to this general rule. For example, for certain types of 
variable-rate securities, the date of maturity may be the earlier of 
the date of the next interest rate reset or the period remaining until 
the principal can be recovered through demand. For repurchase 
agreements, the maturity is the date on which the repurchase is 
scheduled to occur, unless the repo is subject to demand for 
repurchase, in which case the maturity is the notice

[[Page 21061]]

period applicable to demand.\21\ The proposal would include this 
approach in the rule text for dollar-weighted average portfolio 
maturity and dollar-weighted average portfolio life maturity \22\ for 
ease of administration and implementation of the proposed rule's 
requirements.
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    \21\ See 17 CFR 270.2a-7(d)(1)-(8).
    \22\ The SEC's Rule 2a-7 adopting release describes the new 
weighted average life maturity calculation as being based on the 
same methodology as the weighted average maturity determination, but 
made without reference to the set of maturity exceptions the rule 
permits for certain interest rate readjustments for specified types 
of assets under the rule. 17 CFR 270.2a-7(c)(2)(iii). The OCC is 
proposing the same maturity calculation, referring to it as the 
dollar-weighted average portfolio life maturity. The calculation 
bases a security's maturity on its stated final maturity date or, 
when relevant, the date of the next demand feature when the fund may 
receive payment of principal and interest (such as a put feature). 
See 75 FR 10072 (Mar. 4, 2010) at footnote 154 and accompanying 
text.
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    Question 3: Is this approach for the determination of maturity 
limits appropriate, and if not, what alternative approach should be 
used?

C. Section 9.18(b)(4)(iii)(E)

    To ensure that banks managing STIFs include practices designed to 
limit the amount of credit and liquidity risk to which participating 
accounts in STIFs are exposed, the proposal would require adoption of 
portfolio and issuer qualitative standards and concentration 
restrictions. The OCC would expect bank fiduciaries to identify, 
monitor, and manage issuer and lower quality investment concentrations 
and implement procedures to perform appropriate due diligence on all 
concentration exposures as part of the bank's risk management policies 
and procedures for each STIF. In addition to standards imposed by 
applicable law, the portfolio and issuer qualitative standards and 
concentration restrictions should take into consideration market events 
and deterioration in an issuer's financial condition.
    Question 4: Are defined portfolio concentration limits necessary in 
order for STIF managers and STIF participants to ensure that a fund has 
reduced its credit exposure to a specific issuer? Commenters who assert 
that portfolio concentration limits are necessary should provide 
details regarding the percent limits for specific issuers or classes of 
issuers.

D. Section 9.18(b)(4)(iii)(F)

    Many banks process STIF withdrawal requests within a short time 
frame, often on the same day that the withdrawal request is received, 
which necessitates sufficient liquidity to meet such requests. By 
holding illiquid securities, a STIF exposes itself to the risk that it 
will be unable to satisfy withdrawal requests promptly without selling 
illiquid securities at a loss that, in turn, could impair its ability 
to maintain a stable NAV. Moreover, illiquid securities are generally 
subject to greater price volatility, exposing the STIF to greater risk 
that its mark-to-market value will deviate from its amortized cost 
value. To address this concern, the proposal would require adoption of 
standards that include provisions to address contingency funding needs.

E. Section 9.18(b)(4)(iii)(G)

    The proposal would require a bank managing a STIF to adopt shadow 
pricing procedures.\23\ These procedures require the bank to calculate 
the extent of the difference, if any, between the mark-to-market NAV 
per participating interest using available market quotations (or an 
appropriate substitute that reflects current market conditions) from 
the STIF's amortized cost value per participating interest. In the 
event the difference exceeds $0.005 per participating interest,\24\ the 
bank must take action to reduce dilution of participating interests or 
other unfair results to participating accounts in the STIF, such as 
ceasing fiduciary account withdrawals. The shadow pricing procedures 
must occur at least on a calendar week basis and more frequently as 
determined by the bank when market conditions warrant.
---------------------------------------------------------------------------

    \23\ Shadow pricing is the process of maintaining two sets of 
valuation records--one that reflects the value of a fund's assets at 
amortized cost and the other that reflects the market value of the 
fund's assets.
    \24\ The proposal contemplates a stable NAV of $1.00. If a STIF 
has a stable NAV that is different than $1.00 it must adjust the 
reference value accordingly.
---------------------------------------------------------------------------

    Question 5: Does the proposal differ from banks' current pricing 
practices? If so, how? Question 6: Is the proposed weekly shadow 
pricing frequency appropriate? Question 7: Would another reporting 
frequency be more appropriate and, if so, what frequency and why?

F. Section 9.18(b)(4)(iii)(H)

    The proposal would require a bank managing a STIF to adopt 
procedures for stress testing the fund's ability to maintain a stable 
NAV for participating interests. The proposal would require the stress 
tests be conducted at such intervals as an independent risk manager or 
a committee responsible for the STIF's oversight determines to be 
appropriate and reasonable in light of current market conditions, but 
in no case shall the interval be longer than a calendar month-end 
basis. The independent risk manager or committee members must be 
independent from the STIF's investment management. The stress testing 
would be based upon hypothetical events (specified by the bank) that 
include, but are not limited to, a change in short-term interest rates; 
an increase in participating account withdrawals; a downgrade of or 
default on portfolio securities; and the widening or narrowing of 
spreads between yields on an appropriate benchmark the fund has 
selected for overnight interest rates and commercial paper and other 
types of securities held by the fund.
    The proposal provides a bank with flexibility to specify the 
scenarios or assumptions on which the stress tests are based, as 
appropriate to the risk exposures of each STIF. Banks managing STIFs 
should, for example, consider procedures that require the fund to test 
for the concurrence of multiple hypothetical events, e.g., where there 
is a simultaneous increase in interest rates and substantial 
withdrawals.\25\
---------------------------------------------------------------------------

    \25\ Where stress testing models are relied upon, a bank should 
validate the models consistent with the Supervisory Guidance on 
Model Risk Management issued by the OCC and the Board of Governors 
of the Federal Reserve System. See OCC Bulletin 2011-12 (Apr. 4, 
2011).
---------------------------------------------------------------------------

    The proposal also would require a stress test report be provided to 
the independent risk manager or the committee responsible for the 
STIF's oversight. The report would include: (1) The date(s) on which 
the testing was performed; (2) the magnitude of each hypothetical event 
that would cause the difference between the STIF's mark-to-market NAV 
calculated using available market quotations (or appropriate 
substitutes which reflect current market conditions) and its NAV per 
participating interest calculated using amortized cost to exceed 
$0.005; and (3) an assessment by the bank of the STIF's ability to 
withstand the events (and concurrent occurrences of those events) that 
are reasonably likely to occur within the following year.
    In addition, the proposal would require that adverse stress testing 
results are reported to the bank's senior risk management that is 
independent from the STIF's investment management.
    The proposed stress testing procedures would provide banks with a 
better understanding of the risks to which STIFs are exposed and would 
give banks additional information that can be used for managing those 
risks.
    Question 8: Is the proposed requirement that a STIF adopt 
procedures for stress testing the fund's

[[Page 21062]]

ability to maintain a stable NAV for participating interests 
appropriate? Why so or why not? Question 9: In particular, is the 
proposed monthly stress testing frequency appropriate? Commenters who 
assert that another frequency would be more appropriate should identify 
the alternative and provide a supporting rationale.

G. Section 9.18(b)(4)(iii)(I)

    The proposal would require banks managing STIFs to disclose 
information about fund level portfolio holdings to STIF participants 
and to the OCC within five business days after each calendar month-end. 
Specifically, the bank would be required to disclose the STIF's total 
assets under management (securities and other assets including cash, 
minus liabilities); the fund's mark-to-market and amortized cost NAVs, 
both with and without capital support agreements; the dollar-weighted 
average portfolio maturity; and dollar-weighted average portfolio life 
maturity as of the last business day of the prior calendar month. The 
current STIF Rule does not contain a similar disclosure requirement.
    Also, for each security held by the STIF, as of the last business 
day of the prior calendar month, the bank would be required to disclose 
to STIF participants and to the OCC within five business days after 
each calendar month-end at a security level: (1) The name of the 
issuer; (2) the category of investment; (3) the Committee on Uniform 
Securities Identification Procedures (CUSIP) number or other standard 
identifier; (4) the principal amount; (5) the maturity date for 
purposes of calculating dollar-weighted average portfolio maturity; (6) 
the final legal maturity date (taking into account any maturity date 
extensions that may be effected at the option of the issuer) if 
different from the maturity date for purposes of calculating dollar-
weighted average portfolio maturity; (7) the coupon or yield; and (8) 
the amortized cost value.
    Question 10: What is the estimate of the burden, if any, associated 
with the proposed security level disclosures to STIF participants, 
specifically, whether details about every security in the fund should 
be disclosed? Question 11: What disclosure formats could accomplish the 
disclosure objective efficiently? Question 12: What would be the 
impacts on tax-qualified STIF participants of monthly, detailed 
security-level disclosures from the STIF, including how STIF 
participants might use the disclosed information?

H. Section 9.18(b)(4)(iii)(J)

    The proposal would require a bank that manages a STIF to notify the 
OCC prior to or within one business day after certain events. Those 
events are: (1) Any difference exceeding $0.0025 between the NAV and 
the mark-to-market value of a STIF participating interest based on 
current market factors; (2) when a STIF has re-priced its NAV below 
$0.995 per participating interest; (3) any withdrawal distribution-in-
kind of the STIF's participating interests or segregation of portfolio 
participants; (4) any delays or suspensions in honoring STIF 
participating interest withdrawal requests; (5) any decision to 
formally approve the liquidation, segregation of assets or portfolios, 
or some other liquidation of the STIF; and (6) when a national bank, 
its affiliate, or any other entity provides a STIF financial support, 
including a cash infusion, a credit extension, a purchase of a 
defaulted or illiquid asset, or any other form of financial support in 
order to maintain a stable NAV per participating interest.\26\ This 
proposed requirement to notify the OCC prior to or within one business 
day after these limited specific events would permit the OCC to more 
effectively supervise STIFs that are experiencing liquidity or 
valuation stress.
---------------------------------------------------------------------------

    \26\ See Interagency Policy on Banks/Thrifts Providing Financial 
Support to Funds Advised by the Banking Organization or its 
Affiliates, OCC Bulletin 2004-2 Attachment (Jan. 5, 2004) 
(instructing banks that to avoid engaging in unsafe and unsound 
banking practices, banks should adopt appropriate policies and 
procedures governing routine or emergency transactions with bank 
advised investment funds).
---------------------------------------------------------------------------

    To comply with this proposed requirement, a bank would have to 
calculate the mark-to-market value of a STIF participating interest on 
a daily basis.
    Question 13: Is daily calculation of mark-to-market value of a STIF 
participating interest a feasible or appropriate frequency to permit 
effective monitoring and risk management by, and supervision of, STIFs 
experiencing liquidity or valuation stress?

I. Section 9.18(b)(4)(iii)(K)

    The proposal would require banks managing a STIF to adopt 
procedures that in the event a STIF has re-priced its NAV below $0.995 
per participating interest, the bank managing the STIF shall calculate, 
redeem, and sell the STIF's participating interests at a price based on 
the mark-to-market NAV. Currently, the rule creates an incentive for 
withdrawal of participating interests if the mark-to-market NAV falls 
below the stable NAV because the earlier withdrawals are more likely to 
receive the full stable NAV payment. The proposal removes this 
incentive, as once the NAV is priced below $0.995, all withdrawals of 
participating interests will receive the mark-to-market NAV instead of 
the stable NAV.

J. Section 9.18(b)(4)(iii)(L)

    The proposal would require a bank managing a STIF to adopt 
procedures for suspending redemptions and initiating liquidation of a 
STIF as a result of redemptions. The intent of the proposal is to 
reduce the vulnerability of participating accounts to the harmful 
effects of extraordinary levels of withdrawals, which can be 
accomplished to some degree by suspending withdrawals. These 
suspensions only would be permitted in limited circumstances when, as a 
result of redemption, the bank has: (1) Determined that the extent of 
the difference between the STIF's amortized cost per participating 
interest and its current mark-to-market NAV per participating interest 
may result in material dilution of participating interests or other 
unfair results to participating accounts; (2) formally approved the 
liquidation of the STIF; and (3) facilitated the fair and orderly 
liquidation of the STIF to the benefit of all STIF participants.
    The OCC understands that suspending withdrawals may impose 
hardships on fiduciary accounts for which the ability to redeem 
participations is an important consideration. Accordingly, the proposed 
requirement is limited to permitting suspension in extraordinary 
circumstances when there is significant risk of extraordinary 
withdrawal activity to the detriment of other participating accounts.

III. General Request for Comments

    In addition to the specific requests for comment outlined in this 
Supplementary Information section, the OCC is interested in receiving 
comments on all aspects of this proposed rule.

IV. Community Bank Comment Request

    The OCC also invites comments on the impact of this proposal on 
community banks. The OCC recognizes that community banks operate with 
more limited resources than larger institutions and may present a 
different risk profile. Question 14: How would the proposal impact 
community banks' current resources and available personnel with the 
requisite expertise? Question 15: How could the goals of the proposal 
be achieved for community banks through an alternative approach?

[[Page 21063]]

V. Solicitation of Comments on Use of Plain Language

    Section 722 of the Gramm-Leach-Bliley Act, Pub. L. 106-102, sec. 
722, 113 Stat. 1338, 1471 (Nov. 12, 1999), requires the OCC to use 
plain language in all proposed and final rules published after January 
1, 2000. The OCC invites your comments on how to make this proposal 
easier to understand. For example:
    <bullet> Question 16: Have we organized the material to suit your 
needs? If not, how could this material be better organized?
    <bullet> Question 17: Are the requirements in the proposed 
regulation clearly stated? If not, how could the regulation be more 
clearly stated?
    <bullet> Question 18: Does the proposed regulation contain language 
or jargon that is not clear? If so, which language requires 
clarification?
    <bullet> Question 19: Would a different format (grouping and order 
of sections, use of headings, paragraphing) make the regulation easier 
to understand? If so, what changes to the format would make the 
regulation easier to understand?
    <bullet> Question 20: What else could we do to make the regulation 
easier to understand?

VI. Regulatory Analysis

A. Paperwork Reduction Act Analysis

Request for Comment on Proposed Information Collection
    In accordance with section 3512 of the Paperwork Reduction Act 
(PRA) of 1995 (44 U.S.C. 3501-3521), the OCC may not conduct or 
sponsor, and a respondent is not required to respond to, an information 
collection unless it displays a currently valid Office of Management 
and Budget (OMB) control number. The information collection 
requirements contained in this notice of proposed rulemaking have been 
submitted to OMB for review and approval under section 3506 of the PRA 
and Sec.  1320.11 of OMB's implementing regulations (5 CFR part 1320) 
as an amendment to the OCC's existing collection for Fiduciary 
Activities (OMB Control No. 1557-0140). The information collection 
requirements are found in Sec. Sec.  9.18(b)(4)(iii)(E)-(L).
    Comments are invited on:
    (a) Whether the collection of information is necessary for the 
proper performance of the OCC's functions, including whether the 
information has practical utility;
    (b) The accuracy of the estimate of the burden of the information 
collection, including the validity of the methodology and assumptions 
used;
    (c) Ways to enhance the quality, utility, and clarity of the 
information to be collected;
    (d) Ways to minimize the burden of information collection on 
respondents, including through the use of automated collection 
techniques or other forms of information technology; and
    (e) Estimates of capital or startup costs and costs of operation, 
maintenance, and purchase of services to provide information.
    All comments will become a matter of public record. Comments should 
be addressed to: Communications Division, Office of the Comptroller of 
the Currency, Public Information Room, Mailstop 2-3, Attention: 1557-
0140, 250 E Street SW., Washington, DC 20219. In addition, comments may 
be sent by fax to 202-874-5274, or by electronic mail to 
<a href="/cdn-cgi/l/email-protection#a6d4c3c1d588c5c9cbcbc3c8d2d5e6c9c5c588d2d4c3c7d588c1c9d0"><span class="__cf_email__" data-cfemail="f280979581dc919d9f9f979c8681b29d9191dc8680979381dc959d84">[email protected]</span></a>. You may personally inspect and photocopy 
comments at the OCC, 250 E Street SW., Washington, DC 20219. For 
security reasons, the OCC requires that visitors make an appointment to 
inspect comments. You may do so by calling 202-874-4700. Upon arrival, 
visitors will be required to present valid government-issued photo 
identification and submit to security screening in order to inspect and 
photocopy comments.
    Additionally, please send a copy of your comments by mail to: OCC 
Desk Officer, 1557-140, U.S. Office of Management and Budget, 725 17th 
Street NW., <greek-i>10235, Washington, DC 20503, or by fax to (202) 
395-6974.
Proposed Information Collection
    Title of Information Collection: Fiduciary Activities.
    Frequency of Response: On occasion.
    Affected Public: Businesses or other for-profit.
    Respondents: National banks and federal branches and agencies of 
foreign banks.
    OMB Control No.: 1557-0140.
    Abstract: The rule would allow an institution to value a STIF's 
assets on a cost basis, rather than mark-to-market value for admissions 
and withdrawals if the written plan requires the STIF to adopt certain 
procedures and standards. These procedures and standards include: 
Portfolio and issuer qualitative standards and restrictions; liquidity 
standards; shadow pricing procedures; procedures for stress testing the 
ability to maintain a stable NAV and the testing itself; procedures to 
make certain disclosures for each security held and issuance of the 
disclosures; procedures to require notification to OCC regarding 
certain events; procedures regarding re-pricing events; and procedures 
for suspending redemptions and initiating liquidation of a STIF.
    Estimated Burden for the Amendment to the Collection:
    Estimated Number of Respondents: 15 respondents administering 34 
funds.
    Estimated Burden per Fund: 846 hours.
    Estimated Total Annual Burden: 28,764 hours.

B. Regulatory Flexibility Act Analysis

    Pursuant to section 605(b) of the Regulatory Flexibility Act, 5 
U.S.C. 605(b) (RFA), the regulatory flexibility analysis otherwise 
required under section 603 of the RFA is not required if the agency 
certifies that the proposed rule will not, if promulgated, have a 
significant economic impact on a substantial number of small entities 
(defined for purposes of the RFA to include banks and federal branches 
and agencies with assets less than or equal to $175 million and trust 
companies with assets less than or equal to $ 7 million) and publishes 
its certification and a short, explanatory statement in the Federal 
Register along with its proposed rule.
    The Proposed Rule would have no impact on any small national banks 
or federal branches and agencies or trust companies, as defined by the 
RFA. No small national banks or federal branches and agencies report 
management of STIFs on their required regulatory reports as of December 
31, 2011. Therefore, the OCC certifies that the Proposed Rule would 
not, if promulgated, have a significant economic impact on a 
substantial number of small entities.

C. OCC Unfunded Mandates Reform Act of 1995 Determination

    Section 202 of the Unfunded Mandates Reform Act of 1995 (2 U.S.C. 
1532) requires the OCC to prepare a budgetary impact statement before 
promulgating a rule that includes a federal mandate that may result in 
the expenditure by State, local, and tribal governments, in the 
aggregate, or by the private sector, of $100 million or more in any one 
year (adjusted annually for inflation). The OCC has determined that 
this proposed rule will not result in expenditures by State, local, and 
tribal governments, or the private sector, of $100 million or more in 
any one year. Accordingly, the OCC has not prepared a budgetary impact 
statement.

List of Subjects in 12 CFR Part 9

    Estates, Investments, National banks, Reporting and recordkeeping 
requirements, Trusts and trustees.


[[Page 21064]]


    For the reasons set forth in the preamble, chapter I of title 12 of 
the Code of Federal Regulations is proposed to be amended as follows:

PART 9--FIDUCIARY ACTIVITIES OF NATIONAL BANKS

    1. The authority citation for part 9 continues to read as follows:

    Authority:  12 U.S.C. 24(Seventh), 92a, and 93a; 12 U.S.C. 78q, 
78q-1, and 78w.

    2. Section 9.18 is amended by revising paragraph (b)(4)(ii) and by 
adding paragraph (b)(4)(iii) to read as follows:


Sec.  9.18  Collective investment funds.

* * * * *
    (b) * * *
    (4) * * *
    (ii) General Method of Valuation. Except as provided in paragraph 
(b)(4)(iii) of this section, a bank shall value each fund asset at 
mark-to-market value as of the date set for valuation, unless the bank 
cannot readily ascertain mark-to-market value, in which case the bank 
shall use a fair value determined in good faith.
    (iii) Short-term investment funds (STIFs) Method of Valuation. A 
bank may value a STIF's assets on a cost basis, rather than mark-to-
market value as provided in paragraph (b)(4)(ii) of this section, for 
purposes of admissions and withdrawals, if the Plan includes 
appropriate provisions, consistent with this part, requiring the STIF 
to:
    (A) Operate with a stable net asset value of $1.00 per 
participating interest as a primary fund objective;
    (B) Maintain a dollar-weighted average portfolio maturity of 60 
days or less and a dollar-weighted average portfolio life maturity of 
120 days or less as determined in the same manner as is required by the 
Securities and Exchange Commission pursuant to Rule 2a-7 for money 
market mutual funds (17 CFR 270.2a-7);
    (C) Accrue on a straight-line or amortized basis the difference 
between the cost and anticipated principal receipt on maturity;
    (D) Hold the STIF's assets until maturity under usual 
circumstances;
    (E) Adopt portfolio and issuer qualitative standards and 
concentration restrictions;
    (F) Adopt liquidity standards that include provisions to address 
contingency funding needs;
    (G) Adopt shadow pricing procedures that:
    (1) Require the bank to calculate the extent of difference, if any, 
of the mark-to-market net asset value per participating interest using 
available market quotations (or an appropriate substitute that reflects 
current market conditions) from the STIF's amortized cost price per 
participating interest, at least on a calendar week basis and more 
frequently as determined by the bank when market conditions warrant; 
and
    (2) Require the bank, in the event the difference calculated 
pursuant to this subparagraph exceeds $0.005 per participating 
interest, to take action to reduce dilution of participating interests 
or other unfair results to participating accounts in the STIF;
    (H) Adopt procedures for stress testing the STIF's ability to 
maintain a stable net asset value per participating interest that shall 
provide for:
    (1) The periodic stress testing, at least on a calendar month basis 
and at such intervals as an independent risk manager or a committee 
responsible for the STIF's oversight that consists of members 
independent from the STIF's investment management determines 
appropriate and reasonable in light of current market conditions;
    (2) Stress testing based upon hypothetical events that include, but 
are not limited to, a change in short-term interest rates, an increase 
in participant account withdrawals, a downgrade of or default on 
portfolio securities, and the widening or narrowing of spreads between 
yields on an appropriate benchmark the STIF has selected for overnight 
interest rates and commercial paper and other types of securities held 
by the STIF;
    (3) A stress testing report on the results of such testing to be 
provided to the independent risk manager or the committee responsible 
for the STIF's oversight that consists of members independent from the 
STIF's investment management that shall include: the date(s) on which 
the testing was performed; the magnitude of each hypothetical event 
that would cause the difference between the STIF's mark-to-market net 
asset value calculated using available market quotations (or 
appropriate substitutes which reflect current market conditions) and 
its net asset value per participating interest calculated using 
amortized cost to exceed $0.005; and an assessment by the bank of the 
STIF's ability to withstand the events (and concurrent occurrences of 
those events) that are reasonably likely to occur within the following 
year; and
    (4) Reporting adverse stress testing results to the bank's senior 
risk management that is independent from the STIF's investment 
management.
    (I) Adopt procedures that require a bank to disclose to STIF 
participants and to the OCC's Asset Management Group, Credit & Market 
Risk Division, Comptroller of the Currency, 250 E St. SW., Washington, 
DC 20219-0001, within five business days after each calendar month-end, 
the fund's total assets under management (securities and other assets 
including cash, minus liabilities); the fund's mark-to-market and 
amortized cost net asset values both with and without capital support 
agreements; the dollar-weighted average portfolio maturity; the dollar-
weighted average portfolio life maturity of the STIF as of the last 
business day of the prior calendar month; and for each security held by 
the STIF as of the last business day of the prior calendar month:
    (1) The name of the issuer;
    (2) The category of investment;
    (3) The Committee on Uniform Securities Identification Procedures 
(CUSIP) number or other standard identifier;
    (4) The principal amount;
    (5) The maturity date for purposes of calculating dollar-weighted 
average portfolio maturity;
    (6) The final legal maturity date (taking into account any maturity 
date extensions that may be effected at the option of the issuer) if 
different from the maturity date for purposes of calculating dollar-
weighted average portfolio maturity;
    (7) The coupon or yield; and
    (8) The amortized cost value;
    (J) Adopt procedures that require a bank that administers a STIF to 
notify the Asset Management Group, Credit & Market Risk Division, 
Comptroller of the Currency, 250 E St. SW., Washington, DC 20219-0001 
prior to or within one business day thereafter of the following:
    (1) Any difference exceeding $0.0025 between the net asset value 
and the mark-to-market value of a STIF participating interest as 
calculated using the method set forth in paragraph (b)(4)(iii)(G)(1) of 
this section;
    (2) When a STIF has re-priced its net asset value below $0.995 per 
participating interest;
    (3) Any withdrawal distribution-in-kind of the STIF's participating 
interests or segregation of portfolio participants;
    (4) Any delays or suspensions in honoring STIF participating 
interest withdrawal requests;
    (5) Any decision to formally approve the liquidation, segregation 
of assets or portfolios, or some other liquidation of the STIF; or
    (6) In those situations when a bank, its affiliate, or any other 
entity provides a STIF financial support, including a cash infusion, a 
credit extension, a purchase of a defaulted or illiquid asset, or any 
other form of financial support in

[[Page 21065]]

order to maintain a stable net asset value per participating interest;
    (K) Adopt procedures that in the event a STIF has re-priced its net 
asset value below $0.995 per participating interest, the bank 
administering the STIF shall calculate, redeem, and sell the STIF's 
participating interests at a price based on the mark-to-market net 
asset value; and
    (L) Adopt procedures that, in the event a bank suspends or limits 
withdrawals and initiates liquidation of the STIF as a result of 
redemptions, require the bank to:
    (1) Determine that the extent of the difference between the STIF's 
amortized cost per participating interest and its mark-to-market net 
asset value per participating interest may result in material dilution 
of participating interests or other unfair results to participating 
accounts;
    (2) Formally approve the liquidation of the STIF; and
    (3) Facilitate the fair and orderly liquidation of the STIF to the 
benefit of all STIF participants.
* * * * *

    Dated: April 2, 2012.
John Walsh,
Acting Comptroller of the Currency.
[FR Doc. 2012-8467 Filed 4-6-12; 8:45 am]
BILLING CODE P


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