Source: https://www.fdic.gov/regulations/laws/rules/2000-5300.html
Timestamp: 2019-04-26 06:27:24+00:00

Document:
329.20 High-quality liquid asset criteria.
329.21 High-quality liquid asset amount.
329.22 Requirements for eligible high quality liquid assets.
329.30 Total net cash outflow amount.
329.40 Liquidity coverage shortfall: Supervisory framework.
AUTHORITY: 12 U.S.C. 1815, 1816, 1818, 1819, 1828, 1831p--1, 5412.
SOURCE: The provisions of this part 329 appear at 79 Fed. Reg. 61440, October 10, 2014, effective January 1, 2015.
§ 329.1 Purpose and applicability.
(a) Purpose. This part establishes a minimum liquidity standard for certain FDIC-supervised institutions on a consolidated basis, as set forth herein.
(D) A covered nonbank company.
(iv) The FDIC has determined that application of this part is appropriate in light of the FDIC-supervised 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.
(iii) An FDIC-supervised institution that becomes subject to the minimum liquidity standard and other requirements of this part under paragraph (b)(1)(iv) of this section after September 30, 2014, must comply with the requirements of this part subject to a transition period specified by the FDIC.
(ii) A new depository institution or a bridge depository institution, as defined in 12 U.S.C. 1813(i).
(4) An FDIC-supervised institution subject to a minimum liquidity standard under this part shall remain subject until the FDIC determines in writing that application of this part to the FDIC-supervised institutions is not appropriate in light of the FDIC-supervised 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.
(5) In making a determination under paragraphs (b)(1)(iv) or (4) of this section, the FDIC will apply notice and response procedures in the same manner and to the same extent as the notice and response procedures in [12 CFR 3.404 (OCC), 12 CFR 263.202 (Board), and 12 CFR 324.5 (FDIC)].
§ 329.2 Reservation of authority.
(a) The FDIC may require An FDIC-supervised 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 FDIC-supervised institution's liquidity risk profile, if the FDIC determines that the FDIC-supervised institution's liquidity requirements as calculated under this part are not commensurate with the FDIC-supervised institution's liquidity risks. In making determinations under this section, the FDIC will apply notice and response procedures as set forth in [12 CFR 3.404 (OCC), 12 CFR 263.202 (Board), and 12 CFR 324.5 (FDIC)].
(b) Nothing in this part limits the authority of the FDIC 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, or violations of law.
Affiliated depository institution means with respect to An FDIC-supervised institution that is a depository institution, another depository institution that is a consolidated subsidiary of a bank holding company or savings and loan holding company of which the FDIC-supervised institution is also a consolidated subsidiary.
Asset exchange means a transaction in which, as of the calculation date, the counterparties have previously exchanged non-cash assets, and have each agreed to return such assets to each other at a future date. Asset exchanges do not include secured funding and secured lending transactions.
Bank holding company is defined in section 2 of the Bank Holding Company Act of 1956, as amended (12 U.S.C. 1841 et seq.).
Brokered deposit means any deposit held at the FDIC-supervised institution that is obtained, directly or indirectly, from or through the mediation or assistance of a deposit broker as that term is defined in section 29 of the Federal Deposit Insurance Act (12 U.S.C. 1831f(g)), and includes a reciprocal brokered deposit and a brokered sweep deposit.
Brokered sweep deposit means a deposit held at the FDIC-supervised institution by a customer or counterparty through a contractual feature that automatically transfers to the FDIC-supervised institution from another regulated financial company at the close of each business day amounts identified under the agreement governing the account from which the amount is being transferred.
Calculation date means any date on which An FDIC-supervised institution calculates its liquidity coverage ratio under § 329.10.
Client pool security means a security that is owned by a customer of the FDIC-supervised institution that is not an asset of the FDIC-supervised institution, regardless of an FDIC-supervised institution's hypothecation rights with respect to the security.
(2) A deposit of a fiduciary account held at the FDIC-supervised institution for which the FDIC-supervised institution is a fiduciary and sets aside assets owned by the FDIC-supervised institution as security under 12 CFR 9.10 (national bank) or 12 CFR 150.300 through 150.320 (Federal savings associations) and that gives the depositor priority over the assets in the event the FDIC-supervised institution enters into receivership, bankruptcy, insolvency, liquidation, resolution, or similar proceeding.
(2) The FDIC-supervised institution may refuse to extend credit under the facility (to the extent permitted under applicable law) only upon the satisfaction or occurrence of one or more specified conditions not including change in financial condition of the borrower, customary notice, or administrative conditions.
Company means a corporation, partnership, limited liability company, depository institution, business trust, special purpose entity, association, or similar organization.
Consolidated subsidiary means a company that is consolidated on the balance sheet of An FDIC-supervised institution or other company under GAAP.
Controlled subsidiary means, with respect to a company or An FDIC-supervised institution, a consolidated subsidiary or a company that otherwise meets the definition of "subsidiary" in section 2(d) of the Bank Holding Company Act of 1956 (12 U.S.C. 1841(d)).
(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.
Covered nonbank company means a designated company that the Board of Governors of the Federal Reserve System has required by rule or order to comply with the requirements of 12 CFR part 249.
Credit facility means a legally binding agreement to extend funds if requested at a future date, including a general working capital facility such as a revolving credit facility for general corporate or working capital purposes. A credit facility does not include a legally binding written agreement to extend funds at a future date to a counterparty that is made for the purpose of refinancing the debt of the counterparty when it is unable to obtain a primary or anticipated source of funding. See liquidity facility.
Customer short position means a legally binding written agreement pursuant to which the customer must deliver to the FDIC-supervised institution a non-cash asset that the customer has already sold.
Deposit means "deposit" as defined in section 3(l) of the Federal Deposit Insurance Act (12 U.S.C. 1813(l)) or an equivalent liability of the FDIC-supervised institution in a jurisdiction outside of the United States.
Depository institution is defined in section 3(c) of the Federal Deposit Insurance Act (12 U.S.C. 1813(c)).
Depository institution holding company means a bank holding company or savings and loan holding company.
Deposit insurance means deposit insurance provided by the Federal Deposit Insurance Corporation under the Federal Deposit Insurance Act (12 U.S.C. 1811 et seq.).
Derivative transaction means a financial contract whose value is derived from the values of one or more underlying assets, reference rates, or indices of asset values or reference rates. Derivative contracts include interest rate derivative contracts, exchange rate derivative contracts, equity derivative contracts, commodity derivative contracts, credit derivative contracts, forward contracts, and any other instrument that poses similar counterparty credit risks. Derivative contracts also include unsettled securities, commodities, and foreign currency exchange transactions with a contractual settlement or delivery lag that is longer than the lesser of the market standard for the particular instrument or five business days. A derivative does not include any identified banking product, as that term is defined in section 402(b) of the Legal Certainty for Bank Products Act of 2000 (7 U.S.C. 27(b)), that is subject to section 403(a) of that Act (7 U.S.C. 27a(a)).
Designated company means a company that the Financial Stability Oversight Council has determined under section 113 of the Dodd-Frank Act (12 U.S.C. 5323) shall be supervised by the Board of Governors of the Federal Reserve System and for which such determination is still in effect.
Dodd-Frank Act means the Dodd-Frank Wall Street Reform and Consumer Protection Act, Public Law 111--203, 124 Stat. 1376 (2010).
Eligible HQLA means a high-quality liquid asset that meets the requirements set forth in § 329.22.
Fair value means fair value as determined under GAAP.
FDIC means the Federal Deposit Insurance Corporation.
Financial sector entity means an investment adviser, investment company, pension fund, non-regulated fund, regulated financial company, or identified company.
Foreign withdrawable reserves means an FDIC-supervised institution's balances held by or on behalf of the FDIC-supervised institution at a foreign central bank that are not subject to restrictions on the FDIC-supervised institution's ability to use the reserves.
GAAP means generally accepted accounting principles as used in the United States.
High-quality liquid asset (HQLA) means an asset that is a level 1 liquid asset, level 2A liquid asset, or level 2B liquid asset, in accordance with the criteria set forth in § 329.20.
HQLA amount means the HQLA amount as calculated under § 329.21.
Identified company means any company that the FDIC has determined should be treated for the purposes of this part the same as a regulated financial company, investment company, non-regulated fund, pension fund, or investment adviser, based on activities similar in scope, nature, or operations to those entities.
Individual means a natural person, and does not include a sole proprietorship.
Investment adviser means a company registered with the SEC as an investment adviser under the Investment Advisers Act of 1940 (15 U.S.C. 80b--1 et seq.) or foreign equivalents of such company.
Investment company means a person or company registered with the SEC under the Investment Company Act of 1940 (15 U.S.C. 80a--1 et seq.) or foreign equivalents of such persons or companies.
Liquid and readily-marketable has the same meaning given the term in 12 CFR 249.3.
Liquidity facility means a legally binding written agreement to extend funds at a future date to a counterparty that is made for the purpose of refinancing the debt of the counterparty when it is unable to obtain a primary or anticipated source of funding. A liquidity facility includes an agreement to provide liquidity support to asset-backed commercial paper by lending to, or purchasing assets from, any structure, program or conduit in the event that funds are required to repay maturing asset-backed commercial paper. Liquidity facilities exclude facilities that are established solely for the purpose of general working capital, such as revolving credit facilities for general corporate or working capital purposes. If a facility has characteristics of both credit and liquidity facilities, the facility must be classified as a liquidity facility. See credit facility.
Multilateral development bank means the International Bank for Reconstruction and Development, the Multilateral Investment Guarantee Agency, the International Finance Corporation, the Inter-American Development Bank, the Asian Development Bank, the African Development Bank, the European Bank for Reconstruction and Development, the European Investment Bank, the European Investment Fund, the Nordic Investment Bank, the Caribbean Development Bank, the Islamic Development Bank, the Council of Europe Development Bank, and any other entity that provides financing for national or regional development in which the U.S. government is a shareholder or contributing member or which the FDIC determines poses comparable risk.
(2) Any agency or intrumentality of a state or any political subdivision thereof.
Non-regulated fund means any hedge fund or private equity fund whose investment adviser is required to file SEC Form PF (Reporting Form for Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors), other than a small business investment company as defined in section 102 of the Small Business Investment Act of 1958 (15 U.S.C. 661 et seq.).
Nonperforming exposure means an exposure that is past due by more than 90 days or nonaccrual.
Operational deposit means unsecured wholesale funding or a collateralized deposit that is necessary for the FDIC-supervised institution to provide operational services as an independent third-party intermediary, agent, or administrator to the wholesale customer or counterparty providing the unsecured wholesale funding or collateralized deposit. In order to recognize a deposit as an operational deposit for purposes of this part, An FDIC-supervised institution must comply with the requirements of § 329.4(b) with respect to that deposit.
(12) Collection and aggregation of funds.
Pension fund means an employee benefit plan as defined in paragraphs (3) and (32) of section 3 of the Employee Retirement Income and Security Act of 1974 (29 U.S.C. 1001 et seq.), a "governmental plan" (as defined in 29 U.S.C. 1002(32)) that complies with the tax deferral qualification requirements provided in the Internal Revenue Code, or any similar employee benefit plan established under the laws of a foreign jurisdiction.
Public sector entity means a state, local authority, or other governmental subdivision below the U.S. sovereign entity level.
(4) In order to recognize an agreement as a qualifying master netting agreement for purposes of this subpart, an FDIC-supervised institution must comply with the requirements of § 329.4(a) with respect to that agreement.
(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.
(7) 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 (6) of this definition (e.g., a foreign banking organization, foreign insurance company, foreign securities broker or dealer or foreign financial market utility).
(iv) Central banks, the Bank for International Settlements, the International Monetary Fund, or multilateral development banks.
(ii) Permit such term deposits to be pledged as collateral for term or automatically-renewing overnight advances from the Federal Reserve Bank.
(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 means a demand or term deposit that is placed with the FDIC-supervised institution by a retail customer or counterparty, other than a brokered deposit.
Retail mortgage means a mortgage that is primarily secured by a first or subsequent lien on one-to-four family residential property.
Savings and loan holding company means a savings and loan holding company as defined in section 10 of the Home Owners' Loan Act (12 U.S.C. 1467a).
SEC means the Securities and Exchange Commission.
Secured funding transaction means any funding transaction that is subject to a legally binding agreement as of the calculation date and gives rise to a cash obligation of the FDIC-supervised institution to a counterparty that is secured under applicable law by a lien on assets owned by the FDIC-supervised institution, which gives the counterparty, as holder of the lien, priority over the assets in the event the FDIC-supervised institution enters into receivership, bankruptcy, insolvency, liquidation, resolution, or similar proceeding. Secured funding transactions include repurchase transactions, loans of collateral to the FDIC-supervised institution's customers to effect short positions, other secured loans, and borrowings from a Federal Reserve Bank.
Secured lending transaction means any lending transaction that is subject to a legally binding agreement of the calculation date and gives rise to a cash obligation of a counterparty to the FDIC-supervised institution that is secured under applicable law by a lien on assets owned by the counterparty, which gives the FDIC-supervised institution , as holder of the lien, priority over the assets in the event the counterparty enters into receivership, bankruptcy, insolvency, liquidation, resolution, or similar proceeding, including reverse repurchase transactions and securities borrowing transactions.
Securities Exchange Act means the Securities Exchange Act of 1934 (15 U.S.C. 78a et seq.).
Sovereign entity means a central government (including the U.S. government) or an agency, department, ministry, or central bank of a central government.
Special purpose entity means a company organized for a specific purpose, the activities of which are significantly limited to those appropriate to accomplish a specific purpose, and the structure of which is intended to isolate the credit risk of the special purpose entity.
(2) The depositor that holds the account has another established relationship with the FDIC-supervised institution such as another deposit account, a loan, bill payment services, or any similar service or product provided to the depositor that the FDIC-supervised institution demonstrates to the satisfaction of the FDIC would make deposit withdrawal highly unlikely during a liquidity stress event.
Structured security means a security whose cash flow characteristics depend upon one or more indices or that has embedded forwards, options, or other derivatives or a security where an investor's investment return and the issuer's payment obligations are contingent on, or highly sensitive to, changes in the value of underlying assets, indices, interest rates, or cash flows.
Structured transaction means a secured transaction in which repayment of obligations and other exposures to the transaction is largely derived, directly or indirectly, from the cash flow generated by the pool of assets that secures the obligations and other exposures to the transaction.
Two-way market means a market where there are independent bona fide offers to buy and sell so that a price reasonably related to the last sales price or current bona fide competitive bid and offer quotations can be determined within one day and settled at that price within a relatively short time frame conforming to trade custom.
U.S. government-sponsored enterprise means an entity established or chartered by the Federal government to serve public purposes specified by the United States Congress, but whose debt obligations are not explicitly guaranteed by the full faith and credit of the United States government.
Unsecured wholesale funding means a liability or general obligation of the FDIC-supervised institution to a wholesale customer or counterparty that is not secured under applicable law by a lien on assets owned by the FDIC-supervised institution, including a wholesale deposit.
Wholesale customer or counterparty means a customer or counterparty that is not a retail customer or counterparty.
Wholesale deposit means a demand or term deposit that is provided by a wholesale customer or counterparty.
§ 329.4 Certain operational requirements.
(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 § 329.3.
(7) The deposits must not be for arrangements in which the FDIC-supervised 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 FDIC-supervised institution.
§ 329.10 Liquidity coverage ratio.
(a) Minimum liquidity coverage ratio requirement. Subject to the transition provisions in subpart F of this part, An FDIC-supervised institution must calculate and maintain a liquidity coverage ratio that is equal to or greater than 1.0 on each business day in accordance with this part. An FDIC-supervised institution must calculate its liquidity coverage ratio as of the same time on each business day (elected calculation time). The FDIC-supervised institution must select this time by written notice to the FDIC prior to the effective date of this rule. The FDIC-supervised institution may not thereafter change its elected calculation time without prior written approval from the FDIC.
(1) The FDIC-supervised institution 's HQLA amount as of the calculation date, calculated under subpart C of this part; divided by (2) The FDIC-supervised institution's total net cash outflow amount as of the calculation date, calculated under subpart D of this part.
§ 329.20 High-quality liquid asset criteria.
(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 12 C.F.R. Part 324 where the sovereign entity issues the security in its own currency, the security is liquid and readily-marketable, and the FDIC-supervised 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.
(iv) Not an obligation of a financial sector entity, and not an obligation of a consolidated subsidiary of a financial sector entity.
(3) A municipal obligation that is investment grade under 12 CFR part 1 as of the calculation date.
§ 329.21 High-quality liquid asset amount.
(a) Calculation of the HQLA amount.
(ii) The adjusted excess HQLA amount.
(b) Calculation of liquid asset amounts. (1) Level 1 liquid asset amount. The level 1 liquid asset amount equals the fair value of all level 1 liquid assets held by the FDIC-supervised institution as of the calculation date that are eligible HQLA, less the amount of the reserve balance requirement under section 204.5 of Regulation D (12 CFR 204.5).
(2) Level 2A liquid asset amount. The level 2A liquid asset amount equals 85 percent of the fair value of all level 2A liquid assets held by the FDIC-supervised institution as of the calculation date that are eligible HQLA.
(3) Level 2B liquid asset amount. The level 2B liquid asset amount equals 50 percent of the fair value of all level 2B liquid assets held by the FDIC-supervised institution as of the calculation date that are eligible HQLA.
(2) The level 2B cap excess amount.
(f) Calculation of adjusted liquid asset amounts. (1) Adjusted level 1 liquid asset amount. An FDIC-supervised institution's adjusted level 1 liquid asset amount equals the fair value of all level 1 liquid assets that would be eligible HQLA and would be held by the FDIC-supervised institution upon the unwind of any secured funding transaction (other than a collateralized deposit), secured lending transaction, asset exchange, or collateralized derivatives transaction that matures within 30 calendar days of the calculation date where the FDIC-supervised institution will provide an asset that is eligible HQLA and the counterparty will provide an asset that will be eligible HQLA; less the amount of the reserve balance requirement under section 204.5 of Regulation D (12 CFR 204.5).
(2) Adjusted level 2A liquid asset amount. An FDIC-supervised institution's adjusted level 2A liquid asset amount equals 85 percent of the fair value of all level 2A liquid assets that would be eligible HQLA and would be held by the FDIC-supervised institution upon the unwind of any secured funding transaction (other than a collateralized deposit), secured lending transaction, asset exchange, or collateralized derivatives transaction that matures within 30 calendar days of the calculation date where the FDIC-supervised institution will provide an asset that is eligible HQLA and the counterparty will provide an asset that will be eligible HQLA.
(3) Adjusted level 2B liquid asset amount. An FDIC-supervised institution's adjusted level 2B liquid asset amount equals 50 percent of the fair value of all level 2B liquid assets that would be eligible HQLA and would be held by the FDIC-supervised institution upon the unwind of any secured funding transaction (other than a collateralized deposit), secured lending transaction, asset exchange, or collateralized derivatives transaction that matures within 30 calendar days of the calculation date where the FDIC-supervised institution will provide an asset that is eligible HQLA and the counterparty will provide an asset that will be eligible HQLA.
(2) The adjusted level 2B cap excess amount.
§ 329.22 Requirements for eligible high-quality liquid assets.
(5) The FDIC-supervised institution must have a documented methodology that results in a consistent treatment for determining that the FDIC-supervised institution's eligible HQLA meet the requirements set forth in this section.
(6) The FDIC-supervised institution has not designated the assets to cover operational costs.
(c) Maintenance of U.S. eligible HQLA. An FDIC-supervised institution is generally expected to maintain as eligible HQLA an amount and type of eligible HQLA in the United States that is sufficient to meet its total net cash outflow amount in the United States under subpart D of this part.
§ 329.30 Total net cash outflow amount.
(3) The maturity mismatch add-on as calculated under paragraph (b) of this section.
(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 § 329.32(g), (h)(1), (h)(2), (h)(5), (j), (k), and (l) that have a maturity date prior to or on that calendar day minus the sum of the inflow amounts for instruments or transactions identified in § 329.33(c), (d), (e), and (f) that have a maturity date prior to or on that calendar day.
(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 § 329.32(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 the sum of the inflow amounts for instruments or transactions identified in § 329.33(c), (d), (e), and (f) that have a maturity date 30 calendar days or less from the calculation date.
(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 § 329.32(h)(2), (h)(5), or (j) or § 329.33(d) or (f), the maturity of which is determined under § 329.31(a), transactions that have no maturity date are not included in the calculation of the maturity mismatch add-on.
(B) The counterparty is a sovereign entity, a U.S. government-sponsored enterprise, or a public sector entity.
(v) If an option is subject to a contractually defined notice period, the FDIC-supervised institution must determine the earliest possible contractual maturity date regardless of the notice period.
(v) If an option is subject to a contractually defined notice period, the FDIC-supervised 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 § 329.33(f)(1)(iii) through (vii) (secured lending transactions) or § 329.33(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 no maturity date, is not an operational deposit, and is subject to the provisions of § 329.32(h)(2), (h)(5), (j), or (k) or § 329.33(d) or (f), the maturity date is the first calendar day after the calculation date. Any other transaction that has no maturity date and is subject to the provisions of § 329.32 must be considered to mature within 30 calendar days of the calculation date.
(5) With respect to a transaction subject to the provisions of § 329.33(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 FDIC-supervised institution's normal frequency of recalculating such requirements.
(iii) A debt instrument issued by the FDIC-supervised institution that is owned by a retail customer or counterparty (see paragraph (h)(2)(ii) of this section).
(2) The maximum contractual amount of funding the FDIC-supervised 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.
(2) The amount, if greater than zero, of contractual principal payments that the FDIC-supervised 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 FDIC-supervised 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. The mortgage commitment outflow amount as of a calculation date is 10 percent of the amount of funds the FDIC-supervised institution has contractually committed for its own origination of retail mortgages that can be drawn upon 30 calendar days or less from such calculation date.
(ix) 100 percent of the undrawn amount of all other committed credit or liquidity facilities extended by the FDIC-supervised 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.
(ii) The FDIC-supervised institution has not included the assets as eligible HQLA under subpart C of this part as of the calculation date.
(ix) 50 percent of the fair value of collateral pledged to the FDIC-supervised 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 FDIC-supervised institution.
(9) 40 percent of all brokered sweep deposits at the FDIC-supervised institution provided by a retail customer or counterparty where less than the entire amount of the deposit balance is covered by deposit insurance.
(5) 100 percent of all unsecured wholesale funding that is not otherwise described in this paragraph (h).
(2) 5 percent of all such debt securities that are structured securities.
(vi) 100 percent of all other funds the FDIC-supervised institution must pay pursuant to secured funding transactions, to the extent that the funds are secured by assets that are not HQLA.
(ii) Collateralized deposits that are operational deposits, in which case the FDIC-supervised institution may apply to the operational deposit amount, as calculated in accordance with § 329.4(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.
(xiii) 100 percent of the fair value of the non-HQLA the FDIC-supervised institution will receive from a counterparty pursuant to an asset exchange where the FDIC-supervised 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 FDIC-supervised institution within 30 calendar days.
(k) Foreign central bank borrowing outflow amount. An FDIC-supervised institution's foreign central bank borrowing outflow amount is, in a foreign jurisdiction where the FDIC-supervised institution has borrowed from the jurisdiction's central bank, the outflow amount assigned to borrowings from central banks in a minimum liquidity standard established in that jurisdiction. If the foreign jurisdiction has not specified a central bank borrowing outflow amount in a minimum liquidity standard, the foreign central bank borrowing outflow amount must be calculated in accordance with paragraph (j) of this section.
(l) Other contractual outflow amount. An FDIC-supervised institution's other contractual outflow amount is 100 percent of funding or amounts, with the exception of operating expenses of the FDIC-supervised institution (such as rents, salaries, utilities, and other similar payments), payable by the FDIC-supervised institution to counterparties under legally binding agreements that are not otherwise specified in this section.
(2) A consolidated subsidiary of the FDIC-supervised institution and another consolidated subsidiary of the FDIC-supervised institution.
(6) Amounts payable to the FDIC-supervised 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 § 329.31).
(2) The amount, if greater than zero, of contractual principal payments that the FDIC-supervised 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 FDIC-supervised 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. The retail cash inflow amount as of the calculation date includes 50 percent of all payments contractually payable to the FDIC-supervised institution from retail customers or counterparties.
(2) 50 percent of all payments contractually payable to the FDIC-supervised 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 § 329.32(e)(1).
(e) Securities cash inflow amount. The securities cash inflow amount as of the calculation date includes 100 percent of all contractual payments due to the FDIC-supervised institution on securities it owns that are not eligible HQLA.
(vii) 50 percent of all contractual payments due to the FDIC-supervised 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.
(x) 50 percent of the fair value of level 2B liquid assets the FDIC-supervised institution will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the FDIC-supervised institution must post assets that are not HQLA to the asset exchange counterparty.
(1) In calculating the broker-dealer segregated account inflow amount, the FDIC-supervised 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 §§ 329.32 and 329.33.
(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 §§ 329.32 and 329.33, 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 §§ 329.32 and 329.33, 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. An FDIC-supervised institution's inflow amount as of the calculation date includes zero percent of other cash inflow amounts not included in paragraphs (b) through (g) of this section.
§ 329.40 Liquidity coverage shortfall: Supervisory framework.
(a) Notification requirements. An FDIC-supervised institution must notify the FDIC on any business day when its liquidity coverage ratio is calculated to be less than the minimum requirement in § 329.10.
(b) Liquidity plan. (1) For the period during which An FDIC-supervised institution must calculate a liquidity coverage ratio on the last business day of each applicable calendar month under subpart F of this part, if the FDIC-supervised institution's liquidity coverage ratio is below the minimum requirement in § 329.10 for any calculation date that is the last business day of the applicable calendar month, or if the FDIC has determined that the FDIC-supervised institution is otherwise materially noncompliant with the requirements of this part, the FDIC-supervised institution must promptly consult with the FDIC to determine whether the FDIC-supervised institution must provide to the FDIC a plan for achieving compliance with the minimum liquidity requirement in § 329.10 and all other requirements of this part.
(2) For the period during which An FDIC-supervised institution must calculate a liquidity coverage ratio each business day under subpart F of this part, if An FDIC-supervised institution's liquidity coverage ratio is below the minimum requirement in § 329.10 for three consecutive business days, or if the FDIC has determined that the FDIC-supervised institution is otherwise materially noncompliant with the requirements of this part, the FDIC-supervised institution must promptly provide to the FDIC a plan for achieving compliance with the minimum liquidity requirement in § 329.10 and all other requirements of this part.
(iv) A commitment to report to the FDIC 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. The FDIC may, at its discretion, take additional supervisory or enforcement actions to address noncompliance with the minimum liquidity standard and other requirements of this part.
(1) Beginning January 1, 2015, through June 30, 2015, the FDIC-supervised institution must calculate and maintain a liquidity coverage ratio monthly, on each calculation date that is the last business day of the applicable calendar month, in accordance with this part, that is equal to or greater than 0.80.
(2) Beginning July 1, 2015 through December 31, 2015, the FDIC-supervised institution must calculate and maintain a liquidity coverage ratio on each calculation date in accordance with this part that is equal to or greater than 0.80.
(3) Beginning January 1, 2016, through December 31, 2016, the FDIC-supervised institution must calculate and maintain a liquidity coverage ratio on each calculation date in accordance with this part that is equal to or greater than 0.90.
(4) On January 1, 2017, and thereafter, the FDIC-supervised institution must calculate and maintain a liquidity coverage ratio on each calculation date that is equal to or greater than 1.0.
(1) Beginning January 1, 2015, through December 31, 2015, the FDIC-supervised institution must calculate and maintain a liquidity coverage ratio monthly, on each calculation date that is the last business day of the applicable calendar month, in accordance with this part, that is equal to or greater than 0.80.
(2) Beginning January 1, 2016, through June 30, 2016, the FDIC-supervised institution must calculate and maintain a liquidity coverage ratio monthly, on each calculation date that is the last business day of the applicable calendar month, in accordance with this part, that is equal to or greater than 0.90.
(3) Beginning July 1, 2016, through December 31, 2016, the FDIC-supervised institution must calculate and maintain a liquidity coverage ratio on each calculation date in accordance with this part that is equal to or greater than 0.90.

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