Source: https://www.ecfr.gov/cgi-bin/text-idx?mc=true&node=pt12.1.50&rgn=div5
Timestamp: 2019-12-06 21:52:36
Document Index: 435858967

Matched Legal Cases: ['art 50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', 'art 3', 'art 3', 'art 3', 'art 223', 'art 223', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', 'arty 30', 'arty 30', 'arty 30', 'arty 30', '§50', 'art 3', '§50', '§50', '§50', 'arty 30', 'arty 30', 'arty 30', 'arty 30', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50', '§50']

Title 12 → Chapter I → Part 50
§50.1 Purpose and applicability.
§50.2 Reservation of authority.
§50.4 Certain operational requirements.
§50.10 Liquidity coverage ratio.
§50.20 High-quality liquid asset criteria.
§50.21 High-quality liquid asset amount.
§50.22 Requirements for eligible high-quality liquid assets.
§50.30 Total net cash outflow amount.
§50.31 Determining maturity.
§50.32 Outflow amounts.
§50.33 Inflow amounts.
§50.40 Liquidity coverage shortfall: Supervisory framework.
§50.50 Transitions.
Source: 79 FR 61523, 61538, Oct. 10, 2014, unless otherwise noted.
Link to an amendment published at 84 FR 59266, Nov. 1, 2019.
(a) Purpose. This part establishes a minimum liquidity standard for certain national banks and Federal savings associations on a consolidated basis, as set forth herein.
(b) Applicability. (1) A national bank or Federal savings association is subject to the minimum liquidity standard and other requirements of this part if:
(i) It has total consolidated assets equal to $250 billion or more, as reported on the most recent year-end Consolidated Reports of Condition and Income;
(iii) It is a depository institution that has total consolidated assets equal to $10 billion or more, as reported on the most recent year-end Consolidated Report of Condition and Income and is a consolidated subsidiary of one of the following:
(A) A covered depository institution holding company that has total consolidated assets equal to $250 billion or more, as reported on the most recent year-end Consolidated Financial Statements for Holding Companies reporting form (FR Y-9C), or, if the covered depository institution holding company is not required to report on the FR Y-9C, its estimated total consolidated assets as of the most recent year-end, calculated in accordance with the instructions to the FR Y-9C;
(B) A depository institution that has total consolidated assets equal to $250 billion or more, as reported on the most recent year-end Consolidated Report of Condition and Income; or
(C) A covered depository institution holding company or depository institution that has consolidated total on-balance sheet foreign exposure at the most recent year-end equal to $10 billion or more (where total on-balance sheet foreign exposure equals total cross-border claims less claims with a head office or guarantor located in another country plus redistributed guaranteed amounts to the country of the head office or guarantor plus local country claims on local residents plus revaluation gains on foreign exchange and derivative transaction products, calculated in accordance with the Federal Financial Institutions Examination Council (FFIEC) 009 Country Exposure Report); or
(iv) The OCC has determined that application of this part is appropriate in light of the national bank's or Federal savings association's asset size, level of complexity, risk profile, scope of operations, affiliation with foreign or domestic covered entities, or risk to the financial system.
(i) A national bank or Federal savings association that is subject to the minimum liquidity standard and other requirements of this part under paragraph (b)(1) of this section on September 30, 2014, must comply with the requirements of this part beginning on January 1, 2015;
(ii) A national bank or Federal savings association that becomes subject to the minimum liquidity standard and other requirements of this part under paragraphs (b)(1)(i) through (iii) of this section after September 30, 2014, must comply with the requirements of this part beginning on April 1 of the year in which the national bank or Federal savings association becomes subject to the minimum liquidity standard and other requirements of this part, except:
(A) From April 1 to December 31 of the year in which the national bank or Federal savings association becomes subject to the minimum liquidity standard and other requirements of this part, the national bank or Federal savings association must calculate and maintain a liquidity coverage ratio monthly, on each calculation date that is the last business day of the applicable calendar month; and
(B) Beginning January 1 of the year after the first year in which the national bank or Federal savings association becomes subject to the minimum liquidity standard and other requirements of this part under paragraph (b)(1) of this section, and thereafter, the national bank or Federal savings association must calculate and maintain a liquidity coverage ratio on each calculation date; and
(iii) A national bank or Federal savings association 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 OCC.
(iii) A Federal branch or agency as defined by 12 CFR 28.11.
(4) A national bank or Federal savings association subject to a minimum liquidity standard under this part shall remain subject until the OCC determines in writing that application of this part to the national bank or Federal savings association is not appropriate in light of the national bank's or Federal savings association'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 OCC 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.
[79 FR 61523, 61538, Oct. 10, 2014, as amended at 79 FR 61538, Oct. 10, 2014]
(a) The OCC may require a national bank or Federal savings association 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 national bank's or Federal savings association's liquidity risk profile, if the OCC determines that the national bank's or Federal savings association's liquidity requirements as calculated under this part are not commensurate with the national bank's or Federal savings association's liquidity risks. In making determinations under this section, the OCC will apply notice and response procedures as set forth in 12 CFR 3.404.
(b) Nothing in this part limits the authority of the OCC 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.
Brokered deposit means any deposit held at the national bank or Federal savings association 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.
Calculation date means any date on which a national bank or Federal savings association calculates its liquidity coverage ratio under §50.10.
(2) A deposit of a fiduciary account held at the national bank or Federal savings association for which the national bank or Federal savings association is a fiduciary and sets aside assets owned by the national bank or Federal savings association 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 national bank or Federal savings association enters into receivership, bankruptcy, insolvency, liquidation, resolution, or similar proceeding.
Controlled subsidiary means, with respect to a company or a national bank or Federal savings association, 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)).
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 national bank or Federal savings association in a jurisdiction outside of the United States.
Eligible HQLA means a high-quality liquid asset that meets the requirements set forth in §50.22.
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 §50.20.
HQLA amount means the HQLA amount as calculated under §50.21.
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 OCC determines poses comparable risk.
Operational deposit means unsecured wholesale funding or a collateralized deposit that is necessary for the national bank or Federal savings association 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, a national bank or Federal savings association must comply with the requirements of §50.4(b) with respect to that deposit.
(A) In receivership, conservatorship, or resolution under the Federal Deposit Insurance Act, Title II of the Dodd-Frank Act, or under any similar insolvency law applicable to GSEs, or laws of foreign jurisdictions that are substantially similar to the U.S. laws referenced in this paragraph (2)(i)(A) in order to facilitate the orderly resolution of the defaulting counterparty; or
(1) Balances held in a master account of the national bank or Federal savings association at a Federal Reserve Bank, less any balances that are attributable to any respondent of the national bank or Federal savings association if the national bank or Federal savings association is a correspondent for a pass-through account as defined in section 204.2(l) of Regulation D (12 CFR 204.2(l));
(3) “Excess balances” of the national bank or Federal savings association as defined in section 204.2(z) of Regulation D (12 CFR 204.2(z)) that are maintained in an “excess balance account” as defined in section 204.2(aa) of Regulation D (12 CFR 204.2(aa)) if the national bank or Federal savings association is an excess balance account participant; or
(4) “Term deposits” of the national bank or Federal savings association as defined in section 204.2(dd) of Regulation D (12 CFR 204.2(dd)) if such term deposits are offered and maintained pursuant to terms and conditions that:
[79 FR 61523, 61538, Oct. 10, 2014, as amended at 79 FR 78294, Dec. 30, 2014; 82 FR 56669, Nov. 29, 2017; 83 FR 44454, Aug. 31, 2018]
(a) Qualifying master netting agreements. In order to recognize an agreement as a qualifying master netting agreement as defined in §50.3, a national bank or Federal savings association must:
(i) The agreement meets the requirements of the definition of qualifying master netting agreement in §50.3; and
(2) Establish and maintain written procedures to monitor possible changes in relevant law and to ensure that the agreement continues to satisfy the requirements of the definition of qualifying master netting agreement in §50.3.
(b) Operational deposits. In order to recognize a deposit as an operational deposit as defined in §50.3:
(3) The customer must hold the deposit at the national bank or Federal savings association for the primary purpose of obtaining the operational services provided by the national bank or Federal savings association;
(5) The national bank or Federal savings association must demonstrate that the deposit is empirically linked to the operational services and that it has a methodology that takes into account the volatility of the average balance for identifying any excess amount, which must be excluded from the operational deposit amount;
(6) The deposit must not be provided in connection with the national bank's or Federal savings association's provision of prime brokerage services, which, for the purposes of this part, are a package of services offered by the national bank or Federal savings association whereby the national bank or Federal savings association, among other services, executes, clears, settles, and finances transactions entered into by the customer or a third-party entity on behalf of the customer (such as an executing broker), and where the national bank or Federal savings association has a right to use or rehypothecate assets provided by the customer, including in connection with the extension of margin and other similar financing of the customer, subject to applicable law, and includes operational services provided to a non-regulated fund; and
(7) The deposits must not be for arrangements in which the national bank or Federal savings association (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 national bank or Federal savings association.
Link to an amendment published at 84 FR 59268, Nov. 1, 2019.
(a) Minimum liquidity coverage ratio requirement. Subject to the transition provisions in subpart F of this part, a national bank or Federal savings association 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. A national bank or Federal savings association must calculate its liquidity coverage ratio as of the same time on each business day (elected calculation time). The national bank or Federal savings association must select this time by written notice to the OCC prior to the effective date of this rule. The national bank or Federal savings association may not thereafter change its elected calculation time without prior written approval from the OCC.
(b) Calculation of the liquidity coverage ratio. A national bank's or Federal savings association's liquidity coverage ratio equals:
(1) The national bank's or Federal savings association's HQLA amount as of the calculation date, calculated under subpart C of this part; divided by
(2) The national bank's or Federal savings association's total net cash outflow amount as of the calculation date, calculated under subpart D of this part.
(i) Assigned a zero percent risk weight under subpart D of (12 CFR part 3) as of the calculation date;
(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 CFR part 3), where the sovereign entity issues the security in its own currency, the security is liquid and readily-marketable, and the national bank or Federal savings association 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.
(ii) Assigned no higher than a 20 percent risk weight under subpart D of (12 CFR part 3) as of the calculation date;
(B) An index that a national bank's or Federal savings association's supervisor in a foreign jurisdiction recognizes for purposes of including equity shares in level 2B liquid assets under applicable regulatory policy, if the share is held in that foreign jurisdiction;
(B) The currency of a jurisdiction where the national bank or Federal savings association operates and the national bank or Federal savings association holds the common equity share in order to cover its net cash outflows in that jurisdiction, as calculated under subpart D of this part;
(vi) If held by a consolidated subsidiary of a depository institution, the depository institution can include the publicly traded common equity share in its level 2B liquid assets only if the share is held to cover net cash outflows of the depository institution's consolidated subsidiary in which the publicly traded common equity share is held, as calculated by the national bank or Federal savings association under subpart D of this part; or
[79 FR 61523, 61538, Oct. 10, 2014, as amended at 83 FR 44454, Aug. 31, 2018]
(a) Calculation of the HQLA amount. As of the calculation date, a national bank's or Federal savings association's HQLA amount equals:
(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 national bank or Federal savings association 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 national bank or Federal savings association 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 national bank or Federal savings association as of the calculation date that are eligible HQLA.
(f) Calculation of adjusted liquid asset amounts—(1) Adjusted level 1 liquid asset amount. A national bank's or Federal savings association'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 national bank or Federal savings association 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 national bank or Federal savings association 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. A national bank's or Federal savings association'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 national bank or Federal savings association 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 national bank or Federal savings association 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. A national bank's or Federal savings association'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 national bank or Federal savings association 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 national bank or Federal savings association will provide an asset that is eligible HQLA and the counterparty will provide an asset that will be eligible HQLA.
(a) Operational requirements for eligible HQLA. With respect to each asset that is eligible for inclusion in a national bank's or Federal savings association's HQLA amount, a national bank or Federal savings association must meet all of the following operational requirements:
(1) The national bank or Federal savings association must demonstrate the operational capability to monetize the HQLA by:
(ii) Periodically monetizing a sample of HQLA that reasonably reflects the composition of the national bank's or Federal savings association's eligible HQLA, including with respect to asset type, maturity, and counterparty characteristics;
(2) The national bank or Federal savings association must implement policies that require eligible HQLA to be under the control of the management function in the national bank or Federal savings association that is charged with managing liquidity risk, and this management function must evidence its control over the HQLA by either:
(ii) Demonstrating the ability to monetize the assets and making the proceeds available to the liquidity management function without conflicting with a business or risk management strategy of the national bank or Federal savings association;
(4) The national bank or Federal savings association must implement and maintain policies and procedures that determine the composition of its eligible HQLA on each calculation date, by:
(5) The national bank or Federal savings association must have a documented methodology that results in a consistent treatment for determining that the national bank's or Federal savings association's eligible HQLA meet the requirements set forth in this section.
(b) Generally applicable criteria for eligible HQLA. A national bank's or Federal savings association's eligible HQLA must meet all of the following criteria:
(i) The assets are free of legal, regulatory, contractual, or other restrictions on the ability of the national bank or Federal savings association to monetize the assets; and
(A) Potential credit secured by the assets is not currently extended to the national bank or Federal savings association or its consolidated subsidiaries; and
(3) For eligible HQLA held in a legal entity that is a U.S. consolidated subsidiary of a national bank or Federal savings association:
(i) If the U.S. consolidated subsidiary is subject to a minimum liquidity standard under this part, the national bank or Federal savings association may include the eligible HQLA of the U.S. consolidated subsidiary in its HQLA amount up to:
(B) Any additional amount of assets, including proceeds from the monetization of assets, that would be available for transfer to the top-tier national bank or Federal savings association during times of stress without statutory, regulatory, contractual, or supervisory restrictions, including sections 23A and 23B of the Federal Reserve Act (12 U.S.C. 371c and 12 U.S.C. 371c-1) and Regulation W (12 CFR part 223); and
(ii) If the U.S. consolidated subsidiary is not subject to a minimum liquidity standard under this part, the national bank or Federal savings association may include the eligible HQLA of the U.S. consolidated subsidiary in its HQLA amount up to:
(A) The amount of the net cash outflows of the U.S. consolidated subsidiary as of the 30th calendar day after the calculation date, as calculated by the national bank or Federal savings association for the national bank's or Federal savings association's minimum liquidity standard under this part; plus
(B) Any additional amount of assets, including proceeds from the monetization of assets, that would be available for transfer to the top-tier national bank or Federal savings association during times of stress without statutory, regulatory, contractual, or supervisory restrictions, including sections 23A and 23B of the Federal Reserve Act (12 U.S.C. 371c and 12 U.S.C. 371c-1) and Regulation W (12 CFR part 223);
(4) For HQLA held by a consolidated subsidiary of the national bank or Federal savings association that is organized under the laws of a foreign jurisdiction, the national bank or Federal savings association may include the eligible HQLA of the consolidated subsidiary organized under the laws of a foreign jurisdiction in its HQLA amount up to:
(i) The amount of net cash outflows of the consolidated subsidiary as of the 30th calendar day after the calculation date, as calculated by the national bank or Federal savings association for the national bank's or Federal savings association's minimum liquidity standard under this part; plus
(ii) Any additional amount of assets that are available for transfer to the top-tier national bank or Federal savings association during times of stress without statutory, regulatory, contractual, or supervisory restrictions;
(5) The national bank or Federal savings association must not include as eligible HQLA any assets, or HQLA resulting from transactions involving an asset that the national bank or Federal savings association received with rehypothecation rights, if the counterparty that provided the asset or the beneficial owner of the asset has a contractual right to withdraw the assets without an obligation to pay more than de minimis remuneration at any time during the 30 calendar days following the calculation date; and
(6) The national bank or Federal savings association has not designated the assets to cover operational costs.
(c) Maintenance of U.S. eligible HQLA. A national bank or Federal savings association 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.
(a) Calculation of total net cash outflow amount. As of the calculation date, a national bank's or Federal savings association's total net cash outflow amount equals:
(1) The sum of the outflow amounts calculated under §50.32(a) through (l); minus
(i) The sum of the inflow amounts calculated under §50.33(b) through (g); and
(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 §50.32(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 §50.33(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 §50.32(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 §50.33(c), (d), (e), and (f) that have a maturity date 30 calendar days or less from the calculation date.
(2) As of the calculation date, a national bank's or Federal savings association's maturity mismatch add-on is equal to:
(3) Other than the transactions identified in §50.32(h)(2), (h)(5), or (j) or §50.33(d) or (f), the maturity of which is determined under §50.31(a), transactions that have no maturity date are not included in the calculation of the maturity mismatch add-on.
(a) For purposes of calculating its liquidity coverage ratio and the components thereof under this subpart, a national bank or Federal savings association shall assume an asset or transaction matures:
(1) With respect to an instrument or transaction subject to §50.32, on the earliest possible contractual maturity date or the earliest possible date the transaction could occur, taking into account any option that could accelerate the maturity date or the date of the transaction as follows:
(i) If an investor or funds provider has an option that would reduce the maturity, the national bank or Federal savings association must assume that the investor or funds provider will exercise the option at the earliest possible date;
(ii) If an investor or funds provider has an option that would extend the maturity, the national bank or Federal savings association must assume that the investor or funds provider will not exercise the option to extend the maturity;
(iii) If the national bank or Federal savings association has an option that would reduce the maturity of an obligation, the national bank or Federal savings association must assume that the national bank or Federal savings association will exercise the option at the earliest possible date, except if either of the following criteria are satisfied, in which case the maturity of the obligation for purposes of this part will be the original maturity date at issuance:
(iv) If the national bank or Federal savings association has an option that would extend the maturity of an obligation it issued, the national bank or Federal savings association must assume the national bank or Federal savings association will not exercise that option to extend the maturity; and
(v) If an option is subject to a contractually defined notice period, the national bank or Federal savings association must determine the earliest possible contractual maturity date regardless of the notice period.
(2) With respect to an instrument or transaction subject to §50.33, on the latest possible contractual maturity date or the latest possible date the transaction could occur, taking into account any option that could extend the maturity date or the date of the transaction as follows:
(i) If the borrower has an option that would extend the maturity, the national bank or Federal savings association must assume that the borrower will exercise the option to extend the maturity to the latest possible date;
(ii) If the borrower has an option that would reduce the maturity, the national bank or Federal savings association must assume that the borrower will not exercise the option to reduce the maturity;
(iii) If the national bank or Federal savings association has an option that would reduce the maturity of an instrument or transaction, the national bank or Federal savings association must assume the national bank or Federal savings association will not exercise the option to reduce the maturity;
(iv) If the national bank or Federal savings association has an option that would extend the maturity of an instrument or transaction, the national bank or Federal savings association must assume the national bank or Federal savings association will exercise the option to extend the maturity to the latest possible date; and
(v) If an option is subject to a contractually defined notice period, the national bank or Federal savings association 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 §50.33(f)(1)(iii) through (vii) (secured lending transactions) or §50.33(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 §50.32(h)(2), (h)(5), (j), or (k) or §50.33(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 §50.32 must be considered to mature within 30 calendar days of the calculation date.
(5) With respect to a transaction subject to the provisions of §50.33(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 national bank's or Federal savings association's normal frequency of recalculating such requirements.
(a) Retail funding outflow amount. A national bank's or Federal savings association's retail funding outflow amount as of the calculation date includes (regardless of maturity or collateralization):
(1) 3 percent of all stable retail deposits held at the national bank or Federal savings association;
(2) 10 percent of all other retail deposits held at the national bank or Federal savings association;
(3) 20 percent of all deposits placed at the national bank or Federal savings association by a third party on behalf of a retail customer or counterparty that are not brokered deposits, where the retail customer or counterparty owns the account and the entire amount is covered by deposit insurance;
(4) 40 percent of all deposits placed at the national bank or Federal savings association by a third party on behalf of a retail customer or counterparty that are not brokered deposits, where the retail customer or counterparty owns the account and where less than the entire amount is covered by deposit insurance; and
(iii) A debt instrument issued by the national bank or Federal savings association that is owned by a retail customer or counterparty (see paragraph (h)(2)(ii) of this section).
(b) Structured transaction outflow amount. If the national bank or Federal savings association is a sponsor of a structured transaction where the issuing entity is not consolidated on the national bank's or Federal savings association's balance sheet under GAAP, the structured transaction outflow amount for each such structured transaction as of the calculation date is the greater of:
(2) The maximum contractual amount of funding the national bank or Federal savings association 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.
(1) The amount, if greater than zero, of contractual payments and collateral that the national bank or Federal savings association will make or deliver to the counterparty 30 calendar days or less from the calculation date under derivative transactions other than transactions described in paragraph (c)(2) of this section, less the contractual payments and collateral that the national bank or Federal savings association will receive from the counterparty 30 calendar days or less from the calculation date under derivative transactions other than transactions described in paragraph (c)(2) of this section, provided that the derivative transactions are subject to a qualifying master netting agreement; and
(2) The amount, if greater than zero, of contractual principal payments that the national bank or Federal savings association 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 national bank or Federal savings association 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 national bank or Federal savings association has contractually committed for its own origination of retail mortgages that can be drawn upon 30 calendar days or less from such calculation date.
(e) Commitment outflow amount. (1) A national bank's or Federal savings association's commitment outflow amount as of the calculation date includes:
(i) Zero percent of the undrawn amount of all committed credit and liquidity facilities extended by a national bank or Federal savings association that is a depository institution to an affiliated depository institution that is subject to a minimum liquidity standard under this part;
(ii) 5 percent of the undrawn amount of all committed credit and liquidity facilities extended by the national bank or Federal savings association to retail customers or counterparties;
(iii) 10 percent of the undrawn amount of all committed credit facilities extended by the national bank or Federal savings association to a wholesale customer or counterparty that is not a financial sector entity or a consolidated subsidiary thereof, including a special purpose entity (other than those described in paragraph (e)(1)(viii) of this section) that is a consolidated subsidiary of such wholesale customer or counterparty;
(iv) 30 percent of the undrawn amount of all committed liquidity facilities extended by the national bank or Federal savings association to a wholesale customer or counterparty that is not a financial sector entity or a consolidated subsidiary thereof, including a special purpose entity (other than those described in paragraph (e)(1)(viii) of this section) that is a consolidated subsidiary of such wholesale customer or counterparty;
(v) 50 percent of the undrawn amount of all committed credit and liquidity facilities extended by the national bank or Federal savings association to depository institutions, depository institution holding companies, and foreign banks, but excluding commitments described in paragraph (e)(1)(i) of this section;
(vi) 40 percent of the undrawn amount of all committed credit facilities extended by the national bank or Federal savings association to a financial sector entity or a consolidated subsidiary thereof, including a special purpose entity (other than those described in paragraph (e)(1)(viii) of this section) that is a consolidated subsidiary of a financial sector entity, but excluding other commitments described in paragraph (e)(1)(i) or (v) of this section;
(vii) 100 percent of the undrawn amount of all committed liquidity facilities extended by the national bank or Federal savings association to a financial sector entity or a consolidated subsidiary thereof, including a special purpose entity (other than those described in paragraph (e)(1)(viii) of this section) that is a consolidated subsidiary of a financial sector entity, but excluding other commitments described in paragraph (e)(1)(i) or (v) of this section and liquidity facilities included in paragraph (b)(2) of this section;
(ix) 100 percent of the undrawn amount of all other committed credit or liquidity facilities extended by the national bank or Federal savings association.
(ii) The national bank or Federal savings association has not included the assets as eligible HQLA under subpart C of this part as of the calculation date.
(1) Changes in financial condition. 100 percent of all additional amounts of collateral the national bank or Federal savings association could be contractually required to pledge or to fund under the terms of any transaction as a result of a change in the national bank's or Federal savings association's financial condition;
(2) Derivative collateral potential valuation changes. 20 percent of the fair value of any collateral securing a derivative transaction pledged to a counterparty by the national bank or Federal savings association that is not a level 1 liquid asset;
(i) The national bank or Federal savings association could be required by contract to return to a counterparty because the collateral pledged to the national bank or Federal savings association exceeds the current collateral requirement of the counterparty under the governing contract;
(ii) Is not segregated from the national bank's or Federal savings association's other assets such that it cannot be rehypothecated; and
(iii) Is not already excluded as eligible HQLA by the national bank or Federal savings association under §50.22(b)(5);
(5) Contractually required collateral. 100 percent of the fair value of collateral that the national bank or Federal savings association is contractually required to pledge to a counterparty and, as of such calculation date, the national bank or Federal savings association has not yet pledged;
(6) Collateral substitution. (i) Zero percent of the fair value of collateral pledged to the national bank or Federal savings association by a counterparty where the collateral qualifies as level 1 liquid assets and eligible HQLA and where, under the contract governing the transaction, the counterparty may replace the pledged collateral with other assets that qualify as level 1 liquid assets, without the consent of the national bank or Federal savings association;
(ii) 15 percent of the fair value of collateral pledged to the national bank or Federal savings association by a counterparty, where the collateral qualifies as level 1 liquid assets and eligible HQLA and where, under the contract governing the transaction, the counterparty may replace the pledged collateral with assets that qualify as level 2A liquid assets, without the consent of the national bank or Federal savings association;
(iii) 50 percent of the fair value of collateral pledged to the national bank or Federal savings association by a counterparty where the collateral qualifies as level 1 liquid assets and eligible HQLA and where under, the contract governing the transaction, the counterparty may replace the pledged collateral with assets that qualify as level 2B liquid assets, without the consent of the national bank or Federal savings association;
(iv) 100 percent of the fair value of collateral pledged to the national bank or Federal savings association by a counterparty where the collateral qualifies as level 1 liquid assets and eligible HQLA and where, under the contract governing the transaction, the counterparty may replace the pledged collateral with assets that do not qualify as HQLA, without the consent of the national bank or Federal savings association;
(v) Zero percent of the fair value of collateral pledged to the national bank or Federal savings association by a counterparty where the collateral qualifies as level 2A liquid assets and eligible HQLA and where, under the contract governing the transaction, the counterparty may replace the pledged collateral with assets that qualify as level 1 or level 2A liquid assets, without the consent of the national bank or Federal savings association;
(vi) 35 percent of the fair value of collateral pledged to the national bank or Federal savings association by a counterparty where the collateral qualifies as level 2A liquid assets and eligible HQLA and where, under the contract governing the transaction, the counterparty may replace the pledged collateral with assets that qualify as level 2B liquid assets, without the consent of the national bank or Federal savings association;
(vii) 85 percent of the fair value of collateral pledged to the national bank or Federal savings association by a counterparty where the collateral qualifies as level 2A liquid assets and eligible HQLA and where, under the contract governing the transaction, the counterparty may replace the pledged collateral with assets that do not qualify as HQLA, without the consent of the national bank or Federal savings association;
(viii) Zero percent of the fair value of collateral pledged to the national bank or Federal savings association by a counterparty where the collateral qualifies as level 2B liquid assets and eligible HQLA and where, under the contract governing the transaction, the counterparty may replace the pledged collateral with other assets that qualify as HQLA, without the consent of the national bank or Federal savings association; and
(ix) 50 percent of the fair value of collateral pledged to the national bank or Federal savings association 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 national bank or Federal savings association.
(1) 100 percent of all brokered deposits at the national bank or Federal savings association provided by a retail customer or counterparty that are not described in paragraphs (g)(5) through (9) of this section and which mature 30 calendar days or less from the calculation date;
(2) 10 percent of all brokered deposits at the national bank or Federal savings association provided by a retail customer or counterparty that are not described in paragraphs (g)(5) through (9) of this section and which mature later than 30 calendar days from the calculation date;
(3) 20 percent of all brokered deposits at the national bank or Federal savings association provided by a retail customer or counterparty that are not described in paragraphs (g)(5) through (9) of this section and which are held in a transactional account with no contractual maturity date, where the entire amount is covered by deposit insurance;
(4) 40 percent of all brokered deposits at the national bank or Federal savings association provided by a retail customer or counterparty that are not described in paragraphs (g)(5) through (9) of this section and which are held in a transactional account with no contractual maturity date, where less than the entire amount is covered by deposit insurance;
(5) 10 percent of all reciprocal brokered deposits at the national bank or Federal savings association provided by a retail customer or counterparty, where the entire amount is covered by deposit insurance;
(6) 25 percent of all reciprocal brokered deposits at the national bank or Federal savings association provided by a retail customer or counterparty, where less than the entire amount is covered by deposit insurance;
(7) 10 percent of all brokered sweep deposits at the national bank or Federal savings association provided by a retail customer or counterparty:
(i) That are deposited in accordance with a contract between the retail customer or counterparty and the national bank or Federal savings association, a controlled subsidiary of the national bank or Federal savings association, or a company that is a controlled subsidiary of the same top-tier company of which the national bank or Federal savings association is a controlled subsidiary; and
(8) 25 percent of all brokered sweep deposits at the national bank or Federal savings association provided by a retail customer or counterparty:
(i) That are not deposited in accordance with a contract between the retail customer or counterparty and the national bank or Federal savings association, a controlled subsidiary of the national bank or Federal savings association, or a company that is a controlled subsidiary of the same top-tier company of which the national bank or Federal savings association is a controlled subsidiary; and
(9) 40 percent of all brokered sweep deposits at the national bank or Federal savings association provided by a retail customer or counterparty where less than the entire amount of the deposit balance is covered by deposit insurance.
(h) Unsecured wholesale funding outflow amount. A national bank's or Federal savings association's unsecured wholesale funding outflow amount, for all transactions that mature within 30 calendar days or less of the calculation date, as of the calculation date includes:
(i) Funding provided by a company that is a consolidated subsidiary of the same top-tier company of which the national bank or Federal savings association is a consolidated subsidiary; and
(ii) Debt instruments issued by the national bank or Federal savings association, including such instruments owned by retail customers or counterparties;
(i) Debt security buyback outflow amount. A national bank's or Federal savings association's debt security buyback outflow amount for debt securities issued by the national bank or Federal savings association that mature more than 30 calendar days after the calculation date and for which the national bank or Federal savings association or a consolidated subsidiary of the national bank or Federal savings association is the primary market maker in such debt securities includes:
(j) Secured funding and asset exchange outflow amount. (1) A national bank's or Federal savings association's secured funding outflow amount, for all transactions that mature within 30 calendar days or less of the calculation date, as of the calculation date includes:
(i) Zero percent of all funds the national bank or Federal savings association must pay pursuant to secured funding transactions, to the extent that the funds are secured by level 1 liquid assets;
(ii) 15 percent of all funds the national bank or Federal savings association must pay pursuant to secured funding transactions, to the extent that the funds are secured by level 2A liquid assets;
(iii) 25 percent of all funds the national bank or Federal savings association must pay pursuant to secured funding transactions with sovereign entities, multilateral development banks, or U.S. government-sponsored enterprises that are assigned a risk weight of 20 percent under subpart D of (12 CFR part 3), to the extent that the funds are not secured by level 1 or level 2A liquid assets;
(iv) 50 percent of all funds the national bank or Federal savings association must pay pursuant to secured funding transactions, to the extent that the funds are secured by level 2B liquid assets;
(vi) 100 percent of all other funds the national bank or Federal savings association must pay pursuant to secured funding transactions, to the extent that the funds are secured by assets that are not HQLA.
(2) If an outflow rate specified in paragraph (j)(1) of this section for a secured funding transaction is greater than the outflow rate that the national bank or Federal savings association is required to apply under paragraph (h) of this section to an unsecured wholesale funding transaction that is not an operational deposit with the same counterparty, the national bank or Federal savings association may apply to the secured funding transaction the outflow rate that applies to an unsecured wholesale funding transaction that is not an operational deposit with that counterparty, except in the case of:
(i) Secured funding transactions that are secured by collateral that was received by the national bank or Federal savings association under a secured lending transaction or asset exchange, in which case the national bank or Federal savings association must apply the outflow rate specified in paragraph (j)(1) of this section for the secured funding transaction; and
(ii) Collateralized deposits that are operational deposits, in which case the national bank or Federal savings association may apply to the operational deposit amount, as calculated in accordance with §50.4(b), the operational deposit outflow rate specified in paragraph (h)(3) or (4) of this section, as applicable, if such outflow rate is lower than the outflow rate specified in paragraph (j)(1) of this section.
(3) A national bank's or Federal savings association's asset exchange outflow amount, for all transactions that mature within 30 calendar days or less of the calculation date, as of the calculation date includes:
(i) Zero percent of the fair value of the level 1 liquid assets the national bank or Federal savings association must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the national bank or Federal savings association will receive level 1 liquid assets from the asset exchange counterparty;
(ii) 15 percent of the fair value of the level 1 liquid assets the national bank or Federal savings association must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the national bank or Federal savings association will receive level 2A liquid assets from the asset exchange counterparty;
(iii) 50 percent of the fair value of the level 1 liquid assets the national bank or Federal savings association must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the national bank or Federal savings association will receive level 2B liquid assets from the asset exchange counterparty;
(iv) 100 percent of the fair value of the level 1 liquid assets the national bank or Federal savings association must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the national bank or Federal savings association will receive assets that are not HQLA from the asset exchange counterparty;
(v) Zero percent of the fair value of the level 2A liquid assets that national bank or Federal savings association must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where national bank or Federal savings association will receive level 1 or level 2A liquid assets from the asset exchange counterparty;
(vi) 35 percent of the fair value of the level 2A liquid assets the national bank or Federal savings association must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the national bank or Federal savings association will receive level 2B liquid assets from the asset exchange counterparty;
(vii) 85 percent of the fair value of the level 2A liquid assets the national bank or Federal savings association must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the national bank or Federal savings association will receive assets that are not HQLA from the asset exchange counterparty;
(viii) Zero percent of the fair value of the level 2B liquid assets the national bank or Federal savings association must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the national bank or Federal savings association will receive HQLA from the asset exchange counterparty; and
(ix) 50 percent of the fair value of the level 2B liquid assets the national bank or Federal savings association must post to a counterparty pursuant to asset exchanges, not described in paragraphs (j)(3)(x) through (xiii) of this section, where the national bank or Federal savings association will receive assets that are not HQLA from the asset exchange counterparty;
(x) Zero percent of the fair value of the level 1 liquid assets the national bank or Federal savings association will receive from a counterparty pursuant to an asset exchange where the national bank or Federal savings association has rehypothecated the assets posted by the asset exchange counterparty, and, as of the calculation date, the assets will not be returned to the national bank or Federal savings association within 30 calendar days;
(xi) 15 percent of the fair value of the level 2A liquid assets the national bank or Federal savings association will receive from a counterparty pursuant to an asset exchange where the national bank or Federal savings association has rehypothecated the assets posted by the asset exchange counterparty, and, as of the calculation date, the assets will not be returned to the national bank or Federal savings association within 30 calendar days;
(xii) 50 percent of the fair value of the level 2B liquid assets the national bank or Federal savings association will receive from a counterparty pursuant to an asset exchange where the national bank or Federal savings association has rehypothecated the assets posted by the asset exchange counterparty, and, as of the calculation date, the assets will not be returned to the national bank or Federal savings association within 30 calendar days; and
(xiii) 100 percent of the fair value of the non-HQLA the national bank or Federal savings association will receive from a counterparty pursuant to an asset exchange where the national bank or Federal savings association has rehypothecated the assets posted by the asset exchange counterparty, and, as of the calculation date, the assets will not be returned to the national bank or Federal savings association within 30 calendar days.
(k) Foreign central bank borrowing outflow amount. A national bank's or Federal savings association's foreign central bank borrowing outflow amount is, in a foreign jurisdiction where the national bank or Federal savings association 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. A national bank's or Federal savings association's other contractual outflow amount is 100 percent of funding or amounts, with the exception of operating expenses of the national bank or Federal savings association (such as rents, salaries, utilities, and other similar payments), payable by the national bank or Federal savings association to counterparties under legally binding agreements that are not otherwise specified in this section.
(1) The national bank or Federal savings association and a consolidated subsidiary of the national bank or Federal savings association; or
(2) A consolidated subsidiary of the national bank or Federal savings association and another consolidated subsidiary of the national bank or Federal savings association.
(1) Amounts the national bank or Federal savings association holds in operational deposits at other regulated financial companies;
(2) Amounts the national bank or Federal savings association expects, or is contractually entitled to receive, 30 calendar days or less from the calculation date due to forward sales of mortgage loans and any derivatives that are mortgage commitments subject to §50.32(d);
(3) The amount of any credit or liquidity facilities extended to the national bank or Federal savings association;
(4) The amount of any asset that is eligible HQLA and any amounts payable to the national bank or Federal savings association with respect to that asset;
(5) Any amounts payable to the national bank or Federal savings association from an obligation of a customer or counterparty that is a nonperforming asset as of the calculation date or that the national bank or Federal savings association has reason to expect will become a nonperforming exposure 30 calendar days or less from the calculation date; and
(6) Amounts payable to the national bank or Federal savings association 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 §50.31).
(1) The amount, if greater than zero, of contractual payments and collateral that the national bank or Federal savings association will receive from the counterparty 30 calendar days or less from the calculation date under derivative transactions other than transactions described in paragraph (b)(2) of this section, less the contractual payments and collateral that the national bank or Federal savings association will make or deliver to the counterparty 30 calendar days or less from the calculation date under derivative transactions other than transactions described in paragraph (b)(2) of this section, provided that the derivative transactions are subject to a qualifying master netting agreement; and
(2) The amount, if greater than zero, of contractual principal payments that the national bank or Federal savings association 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 national bank or Federal savings association 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 national bank or Federal savings association from retail customers or counterparties.
(1) 100 percent of all payments contractually payable to the national bank or Federal savings association from financial sector entities, or from a consolidated subsidiary thereof, or central banks; and
(2) 50 percent of all payments contractually payable to the national bank or Federal savings association 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 §50.32(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 national bank or Federal savings association on securities it owns that are not eligible HQLA.
(f) Secured lending and asset exchange cash inflow amount. (1) A national bank's or Federal savings association's secured lending cash inflow amount as of the calculation date includes:
(i) Zero percent of all contractual payments due to the national bank or Federal savings association pursuant to secured lending transactions, including margin loans extended to customers, to the extent that the payments are secured by collateral that has been rehypothecated in a transaction and, as of the calculation date, will not be returned to the national bank or Federal savings association within 30 calendar days;
(ii) 100 percent of all contractual payments due to the national bank or Federal savings association pursuant to secured lending transactions not described in paragraph (f)(1)(vii) of this section, to the extent that the payments are secured by assets that are not eligible HQLA, but are still held by the national bank or Federal savings association and are available for immediate return to the counterparty at any time;
(iii) Zero percent of all contractual payments due to the national bank or Federal savings association pursuant to secured lending transactions not described in paragraphs (f)(1)(i) or (ii) of this section, to the extent that the payments are secured by level 1 liquid assets;
(iv) 15 percent of all contractual payments due to the national bank or Federal savings association pursuant to secured lending transactions not described in paragraphs (f)(1)(i) or (ii) of this section, to the extent that the payments are secured by level 2A liquid assets;
(v) 50 percent of all contractual payments due to the national bank or Federal savings association pursuant to secured lending transactions not described in paragraphs (f)(1)(i) or (ii) of this section, to the extent that the payments are secured by level 2B liquid assets;
(vi) 100 percent of all contractual payments due to the national bank or Federal savings association pursuant to secured lending transactions not described in paragraphs (f)(1)(i), (ii), or (vii) of this section, to the extent that the payments are secured by assets that are not HQLA; and
(vii) 50 percent of all contractual payments due to the national bank or Federal savings association pursuant to collateralized margin loans extended to customers, not described in paragraph (f)(1)(i) of this section, provided that the loans are secured by assets that are not HQLA.
(2) A national bank's or Federal savings association's asset exchange inflow amount as of the calculation date includes:
(i) Zero percent of the fair value of assets the national bank or Federal savings association will receive from a counterparty pursuant to asset exchanges, to the extent that the asset received by the national bank or Federal savings association from the counterparty has been rehypothecated in a transaction and, as of the calculation date, will not be returned to the national bank or Federal savings association within 30 calendar days;
(ii) Zero percent of the fair value of level 1 liquid assets the national bank or Federal savings association will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the national bank or Federal savings association must post level 1 liquid assets to the asset exchange counterparty;
(iii) 15 percent of the fair value of level 1 liquid assets the national bank or Federal savings association will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the national bank or Federal savings association must post level 2A liquid assets to the asset exchange counterparty;
(iv) 50 percent of the fair value of level 1 liquid assets the national bank or Federal savings association will receive from counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the national bank or Federal savings association must post level 2B liquid assets to the asset exchange counterparty;
(v) 100 percent of the fair value of level 1 liquid assets the national bank or Federal savings association will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the national bank or Federal savings association must post assets that are not HQLA to the asset exchange counterparty;
(vi) Zero percent of the fair value of level 2A liquid assets the national bank or Federal savings association will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the national bank or Federal savings association must post level 1 or level 2A liquid assets to the asset exchange counterparty;
(vii) 35 percent of the fair value of level 2A liquid assets the national bank or Federal savings association will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the national bank or Federal savings association must post level 2B liquid assets to the asset exchange counterparty;
(viii) 85 percent of the fair value of level 2A liquid assets the national bank or Federal savings association will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the national bank or Federal savings association must post assets that are not HQLA to the asset exchange counterparty;
(ix) Zero percent of the fair value of level 2B liquid assets the national bank or Federal savings association will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the national bank or Federal savings association must post assets that are HQLA to the asset exchange counterparty; and
(x) 50 percent of the fair value of level 2B liquid assets the national bank or Federal savings association will receive from a counterparty pursuant to asset exchanges, not described in paragraph (f)(2)(i) of this section, where the national bank or Federal savings association must post assets that are not HQLA to the asset exchange counterparty.
(g) Broker-dealer segregated account inflow amount. A national bank's or Federal savings association's broker-dealer segregated account inflow amount is the fair value of all assets released from broker-dealer segregated accounts maintained in accordance with statutory or regulatory requirements for the protection of customer trading assets, provided that the calculation of the broker-dealer segregated account inflow amount, for any transaction affecting the calculation of the segregated balance (as required by applicable law), shall be consistent with the following:
(1) In calculating the broker-dealer segregated account inflow amount, the national bank or Federal savings association 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 §§50.32 and 50.33.
(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 §§50.32 and 50.33, 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 §§50.32 and 50.33, 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. A national bank's or Federal savings association'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.
(a) Notification requirements. A national bank or Federal savings association must notify the OCC on any business day when its liquidity coverage ratio is calculated to be less than the minimum requirement in §50.10.
(b) Liquidity plan. (1) For the period during which a national bank or Federal savings association must calculate a liquidity coverage ratio on the last business day of each applicable calendar month under subpart F of this part, if the national bank's or Federal savings association's liquidity coverage ratio is below the minimum requirement in §50.10 for any calculation date that is the last business day of the applicable calendar month, or if the OCC has determined that the national bank or Federal savings association is otherwise materially noncompliant with the requirements of this part, the national bank or Federal savings association must promptly consult with the OCC to determine whether the national bank or Federal savings association must provide to the OCC a plan for achieving compliance with the minimum liquidity requirement in §50.10 and all other requirements of this part.
(2) For the period during which a national bank or Federal savings association must calculate a liquidity coverage ratio each business day under subpart F of this part, if a national bank's or Federal savings association's liquidity coverage ratio is below the minimum requirement in §50.10 for three consecutive business days, or if the OCC has determined that the national bank or Federal savings association is otherwise materially noncompliant with the requirements of this part, the national bank or Federal savings association must promptly provide to the OCC a plan for achieving compliance with the minimum liquidity requirement in §50.10 and all other requirements of this part.
(i) An assessment of the national bank's or Federal savings association's liquidity position;
(ii) The actions the national bank or Federal savings association has taken and will take to achieve full compliance with this part, including:
(A) A plan for adjusting the national bank's or Federal savings association's risk profile, risk management, and funding sources in order to achieve full compliance with this part; and
(iv) A commitment to report to the OCC 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 OCC may, at its discretion, take additional supervisory or enforcement actions to address noncompliance with the minimum liquidity standard and other requirements of this part.
Link to an amendment published at 84 FR 59269, Nov. 1, 2019.
(1) Beginning January 1, 2015, through June 30, 2015, the national bank or Federal savings association 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 national bank or Federal savings association 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 national bank or Federal savings association 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 national bank or Federal savings association must calculate and maintain a liquidity coverage ratio on each calculation date that is equal to or greater than 1.0.
(b) Other national banks and Federal savings associations. For any national bank or Federal savings association subject to a minimum liquidity standard under this part not described in paragraph (a) of this section:
(1) Beginning January 1, 2015, through December 31, 2015, the national bank or Federal savings association 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 national bank or Federal savings association 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 national bank or Federal savings association 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.