[Federal Register Volume 81, Number 248 (Tuesday, December 27, 2016)]
[Rules and Regulations]
[Pages 94922-94932]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-30859]
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FEDERAL RESERVE SYSTEM
12 CFR Part 249
[Docket No. R-1525; Regulation WW]
RIN 7100 AE-39
Liquidity Coverage Ratio: Public Disclosure Requirements;
Extension of Compliance Period for Certain Companies To Meet the
Liquidity Coverage Ratio Requirements
AGENCY: Board of Governors of the Federal Reserve System.
ACTION: Final rule.
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SUMMARY: The Board of Governors of the Federal Reserve System (Board)
is adopting a final rule to implement public disclosure requirements
for the liquidity coverage ratio (LCR) rule. The final rule applies to
all depository institution holding companies and
[[Page 94923]]
covered nonbank financial companies that are required to calculate an
LCR under the Board's LCR rule (covered companies). Under the final
rule, a covered company will be required to disclose publicly, on a
quarterly basis, quantitative information about its LCR calculation and
a discussion of the factors that have a significant effect on its LCR.
The final rule also provides additional time for companies that become
subject to the Board's modified LCR requirement in the future to come
into compliance with the requirement.
DATES: Effective Date: April 1, 2017.
FOR FURTHER INFORMATION CONTACT: Anna Lee Hewko, Associate Director,
(202) 530-6260, Peter Clifford, Manager, (202) 785-6057, or J. Kevin
Littler, Senior Supervisory Financial Analyst, (202) 475-6677, Risk
Policy, Division of Supervision and Regulation; Benjamin W. McDonough,
Assistant General Counsel, (202) 452-2036, Dafina Stewart, Senior
Counsel, (202) 452-3876, Adam Cohen, Counsel, (202) 912-4658, or Joshua
Strazanac, Attorney, (202) 452-2457, Legal Division, Board of Governors
of the Federal Reserve System, 20th and C Streets, Washington, DC
20551. For the hearing impaired only, Telecommunication Device for the
Deaf (TDD), (202) 263-4869.
SUPPLEMENTARY INFORMATION:
Table of Contents
I. Background and Summary of the Proposed Rule
II. LCR Public Disclosure Requirement
A. Frequency of Disclosure
B. Quantitative Disclosure Requirements
C. Qualitative Disclosure Requirements
III. Transition and Timing
IV. Amendment to the Modified LCR Requirement
V. Plain Language
VI. Regulatory Flexibility Act
VII. Paperwork Reduction Act
VIII. Riegle Community Development and Regulatory Improvement Act of
1994
I. Background and Summary of the Proposed Rule
On December 1, 2015, the Board of Governors of the Federal Reserve
System (Board) invited comment on a proposed rule (proposed rule) to
implement public disclosure requirements for certain companies subject
to the Board's liquidity coverage ratio (LCR) rule: (1) All bank
holding companies and certain savings and loan holding companies that,
in each case, have $50 billion or more in total consolidated assets or
$10 billion or more in total consolidated on-balance sheet foreign
exposure; and (2) nonbank financial companies designated by the
Financial Stability Oversight Council for Board supervision to which
the Board has applied the LCR rule by separate rule or order (covered
companies).\1\ The LCR rule \2\ requires a company subject to the rule
to maintain an amount of high-quality liquid assets (HQLA) (the
numerator of the ratio) \3\ that is no less than its total net cash
outflow amount over a forward-looking 30 calendar-day period of
significant stress (the denominator of the ratio).\4\ A modified LCR
requirement (modified LCR requirement) applies to certain smaller, less
complex banking organizations (modified LCR holding companies).
Community banking organizations are not subject to the Board's LCR
rule.\5\
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\1\ 80 FR 75010 (December 1, 2015).
\2\ The LCR rule was adopted in 2014 by the Board, the Office of
the Comptroller of the Currency, and the Federal Deposit Insurance
Corporation. See 79 FR 61440 (October 10, 2014).
\3\ A company's HQLA amount for purposes of the LCR rule is
calculated according to 12 CFR 249.21.
\4\ A company's total net cash outflow amount for purposes of
the LCR rule is calculated according to 12 CFR 249.30 or 249.63, as
applicable.
\5\ The Board's LCR rule does not apply to state member banks
with less than $10 billion in total consolidated assets and less
than $10 billion in total consolidated on-balance sheet foreign
exposure.
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The purpose of the proposed rule was to promote market discipline
by providing the public with comparable liquidity information about
covered companies.\6\ The Board has long supported meaningful public
disclosure by banking organizations with the objective of improving
market discipline and encouraging sound risk-management practices.\7\
Market discipline can mitigate the risk to financial stability by
causing a firm to internalize the cost of its liquidity profile and
encouraging safe and sound banking practices. For instance, a firm that
consistently and predictably discloses a resilient liquidity profile to
its investors and counterparties may have access to a lower cost of
funding. Companies with less-resilient liquidity profiles would be
incentivized to improve their liquidity positions in order to reduce
their cost of funding and companies with more resilient liquidity
profiles would be encouraged to maintain their sound risk management
practices.
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\6\ 79 FR 61440, 61445 (October 10, 2014).
\7\ See 78 FR 62018, 62128-9 (October 11, 2013).
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To the extent that disclosure can increase investor confidence and
bolster transparency between counterparties, it increases liquidity in
the market as a whole, thereby limiting the risk that a liquidity event
will lead to asset fire sales and contagion effects in the financial
sector. A funds provider that is uncertain about the liquidity
conditions of its counterparties may be more likely to withhold funding
during a liquidity event.
The Board receives and analyzes liquidity information from covered
companies through supervisory reporting; market participants bring
additional perspectives through their assessments of these firms, which
will in turn help inform the Board's supervision of covered companies.
In this fashion, market discipline complements the Board's supervisory
practices and policies.
The proposed rule would have required a covered company to disclose
publicly information about (1) certain components of its LCR
calculation in a standardized tabular format (LCR disclosure template),
and (2) factors that have a significant effect on its LCR, to
facilitate an understanding of the company's calculations and
results.\8\
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\8\ The Basel Committee on Banking Supervision published
liquidity coverage ratio disclosure standards in January 2014 and
revised the standards in March 2014 (BCBS disclosure standards).
Basel Committee on Banking Supervision, ``Liquidity coverage ratio
disclosure standards'' (March 2014), available at http://www.bis.org/publ/bcbs272.htm. The BCBS disclosure standards include
a common disclosure template (BCBS common template) intended to
improve the transparency of regulatory liquidity requirements,
enhance market discipline, and reduce uncertainty in the markets.
The final rule implements public disclosure requirements consistent
with the BCBS disclosure standards and the BCBS common template with
some modifications to require more granularity and to reflect ways
in which the LCR rule differs from the BCBS LCR standard published
in January 2013. See Basel Committee on Banking Supervision, ``Basel
III: The Liquidity Coverage Ratio and liquidity risk monitoring
tools'' (January 2013), available at http://www.bis.org/publ/bcbs238.htm. The differences between the final rule and the BCBS
disclosure standards relate primarily to the enhancements
implemented in the LCR rule. The disclosure requirements contained
in the final rule ensure comparability of components of the LCR
calculations on an international basis.
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Under the proposed rule, a covered company would have been required
to provide timely public disclosures, including a completed LCR
disclosure template, each calendar quarter in a direct and prominent
manner on its public internet site or in a public financial or other
public regulatory report. A covered company would have been required to
keep this information available publicly for at least five years from
the time of initial disclosure, on a rolling basis. For example, the
proposed rule would have required information that was initially
disclosed on February 1, 2018, to remain available until at least
February 1, 2023.
The Board received five comments from trade organizations, a public
interest group, and other interested parties on the proposed rule.
Although some commenters generally supported requiring covered
companies to disclose
[[Page 94924]]
publicly information about their LCR calculations, commenters objected
to the frequency of the required disclosures under the proposed rule
and the granularity of the information required to be disclosed on the
proposed LCR disclosure template. Two commenters supported the proposed
scope of application of the proposed rule, which included depository
institution holding companies and nonbank financial companies but not
depository institutions. Commenters raised concerns about the
requirements for qualitative disclosure under the proposed rule. In
particular, commenters argued that the disclosure requirements should
include a materiality standard that is consistent with disclosure
requirements applicable under other public disclosure regimes and a
clarification that covered companies would not be required to disclose
confidential or proprietary information. Finally, some commenters
sought additional time before covered companies would have to comply
with the proposed disclosure requirements.\9\
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\9\ One commenter argued that liquidity rules cause banks to
reduce their investments in community development because such
investments do not qualify as level 2A liquid assets, and thus do
not receive beneficial treatment under the LCR rule. Although
community development investments generally may not be included in a
firm's HQLA amount, the LCR rule and the final rule do not prevent a
covered company from making community development investments.
Covered companies often make community development investments for
other purposes, such as to comply with the Community Reinvestment
Act of 1977. See 12 U.S.C. 2901 et seq.
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The final rule includes the same general requirements as the
proposed rule with some modifications in response to comments as
described below.
II. LCR Public Disclosure Requirement
A. Frequency of Disclosure
The proposed rule would have required a covered company to provide
timely public disclosures after each calendar quarter. One commenter
argued that the frequency of the required disclosure should be
increased to daily because market participants need more timely
information so they can adequately adjust their risk management and
business activities based on the liquidity risk of covered companies.
The commenter also argued that quarterly LCR disclosures could increase
market instability, relative to more frequent disclosures, because
large changes in a covered company's LCR between quarters would be more
disruptive to the market compared to more frequent disclosures that
revealed smaller incremental changes to a firm's LCR. Another commenter
supported a monthly or weekly disclosure requirement, which could be
made more frequent in the event of a market or idiosyncratic stress.
The final rule maintains the requirement that disclosures be made
quarterly. Liquidity, by its nature, is subject to rapid changes. As a
result, it is expected that the LCR of a covered company will exhibit
some volatility in the short term, which may not be indicative of
liquidity problems at the firm. Indeed, there are many potential causes
for short-term fluctuations in a firm's liquidity, such as seasonal
deposit flows and periodic tax payments. Public disclosure of these
types of short-term swings in a covered company's LCR could potentially
negatively affect the firm and may not be indicative of a company's
medium-term liquidity position, which in most cases is a better
indication of the overall strengths and weaknesses of a company's
liquidity position. Disclosure on a quarterly basis should help market
participants assess the liquidity risk profiles of covered companies
consistent with other quarterly disclosures of financial information.
For supervisory purposes, the Board will continue to monitor on a more
frequent basis any changes to a covered company's liquidity profile
through the information submitted on the FR 2052a Complex Institution
Liquidity Monitoring Report (FR 2052a report).\10\
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\10\ On November 17, 2015, the Board adopted the revised FR
2052a report to collect quantitative information on selected assets,
liabilities, funding activities, and contingent liabilities from
certain large banking organizations.
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As noted, under the proposed rule, a covered company would have
been required to provide timely public disclosures, including a
completed LCR disclosure template, each calendar quarter in a direct
and prominent manner on its public internet site or in a public
financial or other public regulatory report. One commenter asserted
that the ``direct and prominent'' disclosure standard is unnecessary
because the requirement for a covered company to make the required
disclosures in its financial statements or on its Web site will cause
that information to be accessible to the public. The final rule retains
the direct and prominent standard to ensure that the required
disclosures are easily accessible to interested market participants.
Such disclosures must remain available to the public for at least five
years from the time of initial disclosure.
As discussed in the Supplementary Information section of the
proposed rule, the timing of disclosures under the federal banking laws
may not always coincide with the timing of disclosures required under
other federal law, including disclosures required under the federal
securities laws and their implementing regulations by the Securities
and Exchange Commission (SEC). For calendar quarters that do not
correspond to a covered company's fiscal year-end, the Board would
consider disclosures that are made within 45 days of the end of the
calendar quarter (or within 60 days for the limited purpose of the
covered company's first calendar quarter in which it is subject to the
final rule's disclosure requirements) as timely. In general, where a
covered company's fiscal year-end coincides with the end of a calendar
quarter, the Board considers disclosures to be timely if they are made
no later than the applicable SEC disclosure deadline for the
corresponding Form 10-K annual report. In cases where a covered
company's fiscal year-end does not coincide with the end of a calendar
quarter, the Board would consider the timeliness of disclosures on a
case-by-case basis.
This approach to timely disclosures is consistent with the approach
to public disclosures that the Board has taken in the context of other
regulatory reporting and disclosure requirements. For example, the
Board has used the same indicia of timeliness with respect to the
public disclosures required under its risk-based capital rules.\11\
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\11\ See 78 FR 62018, 62129 (October 11, 2013).
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B. Quantitative Disclosure Requirements
The proposed rule would have required a covered company to disclose
publicly its LCR and certain components of its LCR calculation in a
standardized tabular format. The standardized format was designed to
help market participants compare the LCRs of covered companies across
the U.S. banking industry and international jurisdictions. In this
regard, the proposed format was similar to a common disclosure template
developed by the Basel Committee on Banking Supervision (BCBS).
However, the proposed rule was tailored to reflect differences between
the LCR rule and the BCBS LCR standard.
Under the proposed rule, a covered company, other than a modified
LCR holding company, would have been required to calculate all
disclosed amounts as simple averages of the components used to
calculate its daily LCR over the past quarter. A modified LCR holding
company would have been
[[Page 94925]]
required to calculate all disclosed amounts as simple averages of the
components used to calculate its monthly LCR over the past quarter. The
proposed rule would have required a covered company to disclose both
average unweighted amounts and average weighted amounts, as set forth
in section 249.91(b)(2) and (3) of the proposed rule, for the covered
company's HQLA, cash outflow amounts, and cash inflow amounts.
One commenter asserted that the detailed disclosures required by
the proposed rule would create new vulnerabilities that could
exacerbate market stresses. The commenter argued that the public
disclosure of the granular information required by the proposed LCR
disclosure template could precipitate or accelerate a significant
liquidity event rather than promote market discipline as intended. The
commenter also asserted that detailed disclosure of a covered company's
liquid assets could constrain the covered company's ability to execute
its risk management and business strategies in a stressed environment.
For instance, the commenter argued that a covered company may find it
difficult to adjust the composition of its HQLA because of a potential
negative reaction from market participants in response to its LCR
public disclosures or because other market participants could use the
information in public disclosures to ``front run'' the covered
company's planned liquidity management actions.
The commenter suggested the Board's policy objectives would be
better achieved by requiring only disclosure of a firms' HQLA amount,
aggregate outflows, and aggregate inflows, which the commenter argued
would provide the market with sufficient information on a covered
company's liquidity profile without resulting in the negative effects
of overly detailed disclosures. The commenter also recommended that, in
order to mitigate the impact of short-term fluctuations in a covered
company's LCR, a covered company should calculate disclosed amounts as
simple averages of the components used to calculate its daily or
monthly LCR over a rolling six-month rolling period, rather than over a
quarter.
The final rule retains the requirement that a covered company make
its disclosures using quarterly averages, rather than using six-month
rolling average calculations. Extending the averaging period from three
to six months would cause the public disclosures to be inconsistent
with a covered company's other public regulatory disclosures, such as
its quarterly reporting on the FR Y-9C Consolidated Financial
Statements for Holding Companies and its quarterly disclosures under
federal securities laws.
The final rule requires a covered company to make public
disclosures with the same the level of granularity that would have been
required under the proposal. In determining the appropriate amount of
detail of the disclosure requirements, the Board weighed the benefits
that detailed disclosures provide, such as promoting market discipline
of firms and overall liquidity in the funding market, against the costs
of such requirements, including the risk that the disclosures could
potentially contribute to a liquidity event during stress.
The disclosure requirements are designed to provide market
participants with information on covered companies' liquidity positions
in order to enable them to distinguish among covered companies'
liquidity risk profiles. The disclosure of only a firm's HQLA amount,
aggregate outflows, and aggregate inflows may be insufficient to enable
market participants to assess fully the nature of a covered company's
liquidity risk profile. On the other hand, more granular disclosure
would provide market participants a more accurate view of the covered
company's liquidity risk profile and enhance covered companies'
incentives to maintain a robust liquidity risk profile. For example,
more detailed disclosure about a covered company that has a high LCR,
but also exhibits high dependence on a particular funding class or
counterparty type, would allow market participants to better assess
potential liquidity vulnerabilities. For a covered company with strong
liquidity risk management, more granular disclosures would also reduce
the likelihood that market participants would react overly negatively
towards the covered company in the event of the public release of
negative information about the covered company or the banking sector
more generally. Without such granular disclosure, there is a greater
likelihood that uncertainty over a covered company's liquidity position
would cause counterparties to cease funding the covered company
following the release of negative information. The granular disclosure
requirements under the proposed and final rules would encourage covered
companies to engage in safe and sound banking practices and strengthen
financial stability, without causing firms to bear undue costs.
Although the final rule requires disclosure of relatively detailed
liquidity data to enhance market participants' understanding of firm's
liquidity risk management, several considerations should mitigate the
potential for the disclosures to negatively impact a covered company or
precipitate or accelerate a significant liquidity event during times of
idiosyncratic or market stress. As noted, the disclosures are based on
quarterly averages. Importantly, the due dates for the disclosures are
several weeks after the end of the quarter. This means that the
liquidity disclosures will include a lag that provides market
participants with a broad understanding of a firm's medium-term
liquidity position without causing the release of current liquidity
data that could potentially negatively affect the firm. The final rule
also does not require firms to disclose specific asset- or transaction-
level details, which will limit the risk that the public disclosures
will constrain a covered company's ability to execute its risk
management and business strategies.
The proposed rule would have required a covered company to disclose
its average HQLA amount, average total net cash outflow amount, and
average LCR. A covered company's HQLA amount and total net cash outflow
amount are the numerator and the denominator of the LCR, respectively,
and thus, are important to help market participants and other parties
understand the liquidity risk profile of a covered company and compare
risk profiles across companies.
At a more granular level, to describe the quality and composition
of a covered company's HQLA amount, the proposed rule would have
required a covered company to disclose its average amount of eligible
HQLA,\12\ as well as the average amounts of eligible level 1, level 2A,
and level 2B liquid assets to identify the quality and composition of a
company's HQLA amount.\13\ The proposed rule would have required the
disclosure of both average unweighted amounts and average weighted
amounts of eligible HQLA and eligible level 1, level 2A, and level 2B
liquid assets. The proposed rule also would have required a covered
company to disclose both the average unweighted amounts and average
weighted amounts of its cash outflows and inflows. This information
helps identify the short-term liquidity risks facing a firm and, in
particular, potential sources of liquidity strains during a period of
market stress.
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\12\ Eligible HQLA are high-quality liquid assets that meet the
requirements set forth in 12 CFR 249.22.
\13\ See 12 CFR 249.20-249.22.
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In the Supplementary Information section of the proposed rule, the
Board clarified three points regarding a
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covered company's required quantitative disclosures. First, the Board
noted that the average values disclosed for the HQLA amount, total net
cash outflow amount, and the LCR (rows 29, 32, and 33 of the LCR
disclosure template) may not equal the calculation of those values
using component values reported in rows 1 through 28 of the LCR
disclosure template. This lack of equivalence is due to technical
factors such as the application of the level 2 liquid asset caps, the
total inflow cap and, for modified LCR holding companies, the
application of the 0.7 factor to total net cash outflows. The
application of the asset and inflow caps and modified LCR requirement's
0.7 factor may affect a covered company's LCR calculation in varying
degrees across the calculation dates used to determine the average
values that are required to be disclosed in rows 29, 32, and 33 of the
LCR disclosure template and, thus, would affect the averages for the
covered company's HQLA amount, total net cash outflow amount, and the
LCR. The LCR disclosure template includes a footnote that highlights
this difference.
Second, because a modified LCR holding company is not required to
calculate a maturity mismatch add-on calculation amount under the
modified LCR requirement,\14\ it would not have been required to
disclose amounts in row 30 or 31 of the LCR disclosure template, which
each relate to the maturity mismatch add-on amount calculation.
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\14\ A covered company, other than a modified LCR holding
company, is required to calculate a maturity mismatch add-on under
12 CFR 249.30(b) to address liquidity risks posed by maturity
mismatches between a covered company's outflows and inflows during
the LCR rule's prospective 30 calendar-day period.
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Third, while the proposed rule would have required a modified LCR
holding company to disclose its average total net cash outflow amount
after applying a factor of 0.7 (which reflects the fact that modified
LCR holding companies are required to apply a factor of 0.7 to its
average total net cash outflow amount under section 249.63 of the LCR
rule), the proposed rule would have required a modified LCR holding
company to disclose its average cash outflows and cash inflows without
applying the factor of 0.7.
The Board did not receive comments, other than those described
above, on these aspects of the proposal, and the final rule adopts
these aspects without modification.
C. Qualitative Disclosure Requirements
Under the proposed rule, a covered company would have been required
to provide a ``sufficient'' qualitative discussion of its LCR. This
discussion was intended to complement the quantitative disclosure
requirements. In this regard, the proposed rule included a list of
potentially relevant items for the covered company to address in its
qualitative disclosures: (1) The main drivers of the LCR; (2) changes
in the LCR over time; (3) the composition of eligible HQLA; (4)
concentration of funding sources; (5) derivative exposures and
potential collateral calls; (6) currency mismatch in the LCR; (7) the
covered company's centralized liquidity management function and its
interaction with other functional areas of the covered company; and (8)
other inflows and outflows in the LCR that are not specifically
identified by the required quantitative disclosures, but that the
covered company considers to be relevant to facilitate an understanding
of its liquidity risk profile. The proposed rule also would have
required that a covered company provide a brief discussion of any
significant changes that have occurred since the end of the quarter
(i.e., during the period following the quarter for which a covered
company has prepared its LCR disclosures) such that current or previous
quantitative disclosures were no longer reflective of a covered
company's current liquidity risk profile.
Two commenters argued that the qualitative disclosure requirement
should be better aligned with public disclosures required by other
regulations. The commenters requested that a covered company only be
required to provide a qualitative discussion of items that are
``material'' to the firm's LCR, rather than items that are
``significant'' or ``relevant'' to a firm's LCR, as would have been
required under the proposed rule. The commenters argued that adopting a
materiality standard that is consistent with disclosure requirements
applicable under other public disclosure regimes, notably federal
securities laws, would be less confusing and ensure that covered
companies approach the required disclosures in a consistent manner. In
addition, one commenter argued that qualitative public disclosures
should include an exemption, similar to that in the Board's risk-based
capital rules, for disclosure of certain confidential or proprietary
financial information.
In response to the commenters' concerns, the final rule clarifies
that a covered company is not required to include in its qualitative
disclosures any information that is proprietary or confidential.
Rather, the covered company would only be required to disclose general
information about those subjects and provide a reason why the specific
information has not been disclosed.
The final rule continues to use the term ``significant'' to
describe items affecting a covered company's LCR about which a covered
company should provide a qualitative discussion. However, in response
to concerns raised by commenters, the Board agrees with commenters that
a covered company may assess the relevant qualitative disclosures based
on their materiality. Information is regarded as material for purposes
of the disclosure requirements in the final rule if the omission or
misstatement of the information could change or influence the
assessment or decision of a user relying on that information for the
purpose of making investment decisions. This approach is consistent
with the standards in the Board's risk-based capital rules, which also
use a concept of materiality to inform the qualitative disclosure
requirements required under those rules.\15\
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\15\ See 78 CFR 62018, 62129 (October 11, 2013).
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The proposed rule's requirement that a covered company provide a
qualitative discussion of the main drivers of its LCR and any changes
in its LCR over time, to the extent such changes were significant, was
intended to include a discussion of the causes of any such changes.
However, in order to avoid any confusion, the final rule has been
revised to state explicitly that, in addition to discussing any changes
in its LCR over time, a covered company should also include a
discussion of the causes of such changes. Changes in risk management
strategies or macroeconomic conditions are examples of the type of
causes that could potentially cause a change to a covered company's LCR
and that, if significant, would have to be discussed in the firm's
qualitative disclosures.
In addition, the final rule eliminates the requirement that a
covered company provide a brief discussion of any significant changes
that have occurred since the end of the quarter that would cause its
quarter-end quantitative disclosures to no longer reflect its liquidity
profile. Although it was not the intended result, this requirement
could have been interpreted to require a covered company to disclose
information about specific and recent developments in its liquidity
risk profile, which could include short-term
[[Page 94927]]
volatility of a firm's LCR. The disclosure of this information could
have potentially adverse effects on a covered company, or precipitate
or accelerate a significant liquidity event during times of
idiosyncratic or market stress. Moreover, such a requirement would have
been at odds with the final rule's requirement that all disclosed
amounts be calculated as quarterly averages and that due dates for the
disclosures be several weeks after the end of the quarter. For these
reasons, the final rule does not include this requirement.
As noted above, the proposed rule would have required a covered
company to provide a qualitative discussion of its LCR and would have
included an illustrative list of potentially relevant items that a firm
could discuss, to the extent relevant to its LCR. Among the
illustrative list of potentially relevant items was ``other inflows and
outflows in the LCR that are not specifically identified by the
required quantitative disclosures, but that the covered company
considers to be relevant to facilitate an understanding of its
liquidity risk profile.'' The Board has determined that this item is
redundant of the proposed rule's general requirement that a firm must
provide a qualitative discussion of its LCR. For this reason, the final
rule eliminates this example.
III. Transition and Timing
The proposed compliance dates for the public disclosure
requirements would have differed based on the size, complexity, and
potential systemic impact of the covered companies that currently are
subject to the LCR rule. The proposed rule would have required covered
companies that have $700 billion or more in total consolidated assets
or $10 trillion or more in assets under custody to comply with the
proposed public disclosure requirements beginning on July 1, 2016.
Other covered companies, not including modified LCR holding companies,
would have been required to comply with the proposed public disclosure
requirements beginning on July 1, 2017. These proposed compliance dates
would have required covered companies that are currently subject to the
LCR rule to comply with the proposed public disclosure requirements one
year after the date that they were required to calculate their LCR on a
daily basis.\16\ The proposed rule would have required modified LCR
holding companies to comply with the public disclosure requirements
beginning on January 1, 2018.
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\16\ Under section 249.50 of the LCR rule, covered companies
that have $700 billion or more in total consolidated assets or $10
trillion or more in assets under custody were required to calculate
their LCR on a daily basis beginning on July 1, 2015, and other
covered companies (other than modified LCR holding companies) were
required to calculate their LCR on a daily basis beginning on July
1, 2016.
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One commenter argued that covered companies need additional time to
comply with the public disclosure requirements in order to align their
existing liquidity data reporting processes under the FR 2052a report
with the LCR public disclosure requirements. The commenter also
asserted that a longer transition period was necessary so that covered
companies would have sufficient time to clarify certain aspects of
their LCR calculations with the agencies to ensure that the disclosed
LCR data is calculated consistently across covered companies.
In response to the comments, the final rule extends the
implementation timeline nine months such that a covered company
currently subject to the LCR rule would be required to make LCR public
disclosures approximately five calendar quarters after the covered
company's liquidity information has been required to be submitted on
the FR 2052a report.\17\ The effect of this extension will be to
require covered companies that have $700 billion or more in total
consolidated assets or $10 trillion or more in assets under custody to
comply with the public disclosure requirements beginning on April 1,
2017. Other covered companies, other than modified LCR holding
companies, will be required to comply with the public disclosure
requirements beginning on April 1, 2018. Modified LCR holding companies
that are currently subject to the modified LCR rule will be required to
comply with the public disclosure requirements beginning on October 1,
2018.
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\17\ The compliance dates for the FR 2052a report are based on
the size of the reporter. Firms with total consolidated assets of
$700 billion or more or $10 trillion in assets under custody are
already subject to the FR 2052a report. Other firms will be phased
in to reporting on this form through January 2018. For a covered
company that is a subsidiary of a foreign banking organization
(``FBO''), the covered company would be required to disclose
publicly its LCR once the parent FBO had been required to submit
information on the FR2052a report with respect to the covered
company for a full year.
---------------------------------------------------------------------------
A covered company that becomes subject to the LCR rule in the
future will be required to make its first public disclosures for the
calendar quarter that starts on its LCR rule compliance date (i.e.,
three months after the company becomes subject to the LCR rule). During
the time such company is required to calculate the LCR monthly pursuant
to 12 CFR 249.1(b)(2)(ii),\18\ the company would be required to
calculate all disclosed amounts as simple averages of the components
used to calculate its monthly LCR over the quarter. A modified LCR
holding company that becomes subject to the modified LCR requirement in
the future will be required to make its first public disclosures for
the calendar quarter that begins eighteen months after the date it
becomes subject to the modified LCR requirement. For example, if a
modified LCR holding company becomes subject to the modified LCR
requirement beginning in January 2018, the final rule would require
that company to comply with public disclosure requirements beginning
July 1, 2019.
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\18\ Under 12 CFR 249.1(b)(2)(ii), a covered company that
becomes subject to the LCR rule after September 30, 2014 must
calculate the LCR on a monthly basis from April 1 to December 31 of
the year in which the covered company becomes subject to the LCR
rule, and thereafter the covered company must calculate the LCR on a
daily basis.
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IV. Amendment to the Modified LCR Requirement
A company that becomes subject to the modified LCR requirement is
currently required to comply with the requirement on the first day of
the first quarter after which the company's total consolidated assets
equal $50 billion or more. As noted in the Supplemental Information
section in the proposed rule, this compliance date may not provide
sufficient time for these companies to build the systems required to
calculate the LCR. In light of this operational challenge, the proposed
rule would have amended the modified LCR requirement to provide these
companies with a full year to come into compliance with the LCR
requirement after becoming subject to the rule. The Board is clarifying
that a covered company subject to the full LCR requirement that
subsequently becomes subject to the modified requirement (e.g.,
following a decrease in the covered company's consolidated assets or
on-balance sheet foreign exposure below the thresholds specified in
section 249.1(b) of the LCR rule at the most recent year-end) would be
required to comply with the modified LCR requirement (including the
disclosure requirement) immediately upon becoming subject to the
requirement. In this case, the covered company would already have the
systems in place to calculate the LCR and would not need additional
time to come into compliance with the modified LCR requirement.
The Board received no comments on this aspect of the proposed rule.
The final rule includes this amendment to
[[Page 94928]]
the modified LCR requirement without modification.
V. Plain Language
Section 722 of the Gramm-Leach Bliley Act \19\ requires the Board
to use plain language in all proposed and final rules published after
January 1, 2000. The Board sought to present the proposed rule in a
simple and straightforward manner and did not receive any comments on
the use of plain language.
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\19\ Public Law 106-102, 113 Stat. 1338, 1471, 12 U.S.C. 4809.
---------------------------------------------------------------------------
VI. Regulatory Flexibility Act
The Regulatory Flexibility Act, 5 U.S.C. 601 et seq. (RFA),
generally requires that an agency prepare and make available for public
comment an initial RFA analysis in connection with a notice of proposed
rulemaking.\20\ The Board solicited public comment on this rule in a
notice of proposed rulemaking and has since considered the potential
impact of this final rule on small entities in accordance with section
604 of the RFA. The Board received no public comments related to the
initial RFA analysis in the proposed rule from the Chief Council for
Advocacy of the Small Business Administration or from the general
public. Based on the Board's analysis, and for the reasons stated
below, the Board believes that the final rule will not have a
significant economic impact on a substantial number of small entities.
---------------------------------------------------------------------------
\20\ See 5 U.S.C. 603(a).
---------------------------------------------------------------------------
Under regulations issued by the Small Business Administration, a
``small entity'' includes a depository institution, bank holding
company, or savings and loan holding company with total assets of $550
million or less (a small banking organization). As of June 30, 2016,
there were approximately 594 small state member banks, 3,203 small bank
holding companies, and 162 small savings and loan holding companies.
As discussed above, the final rule requires certain companies that
are subject to the LCR rule to disclose publicly information about
components of their LCR. The final rule does not apply to ``small
entities'' and applies only to the following Board-regulated
institutions: (1) All bank holding companies and certain savings and
loan holding companies that, in each case, have $50 billion or more in
total consolidated assets or $10 billion or more in total consolidated
on-balance sheet foreign exposure; and (2) nonbank financial companies
designated by the Financial Stability Oversight Council for Board
supervision to which the Board has applied the LCR Rule by separate
rule or order. Companies that are subject to the final rule therefore
substantially exceed the $550 million asset threshold at which a
banking entity is considered a ``small entity'' under SBA regulations.
No small bank holding company, savings and loan holding company, or
state member bank would be subject to the rule, so there would be no
additional projected compliance requirements imposed on small bank
holding companies, small savings and loan holding companies, or small
state member banks.
The Board believes that the final rule will not have a significant
impact on small banking organizations supervised by the Board and
therefore believes that there are no significant alternatives to the
rule that would reduce the economic impact on small banking
organizations supervised by the Board.
VII. Paperwork Reduction Act
Certain provisions of the final rule contain ``collection of
information'' requirements within the meaning of the Paperwork
Reduction Act of 1995, 44 U.S.C. 3501-3521 (PRA). In accordance with
the requirements of the PRA, the Board may not conduct or sponsor, and
the respondent is not required to respond to, an information collection
unless it displays a currently valid Office of Management and Budget
(OMB) control number. The Board's OMB control number is 7100-0367 and
will be extended, with revision. The Board reviewed the final rule
under the authority delegated to the Board by OMB. The final rule
contains requirements subject to the PRA. The disclosure requirements
are found in sections 249.64, 249.90, and 249.91. The Board did not
receive any public comments on the PRA analysis.
The Board has a continuing interest in the public's opinions of
collections of information. At any time, commenters may submit comments
regarding the burden estimate, or any other aspect of this collection
of information, including suggestions for reducing the burden, to the
addresses listed in the ADDRESSES section. A copy of the comments may
also be submitted to the OMB desk officer (1) by mail to U.S. Office of
Management and Budget, New Executive Office Building, Room 10235, 725
17th Street NW., Washington, DC 20503; (2) by fax to 202-395-6974; or
(3) by email to: [email protected].
Proposed Information Collection
Title of Information Collection: Reporting, Recordkeeping, and
Disclosure Requirements associated with the Liquidity Risk Measurement
Standards (Regulation WW).
Frequency of Response: Event generated, monthly, quarterly,
annually.
Affected Public: Insured state member banks, bank holding
companies, savings and loan holding companies, and nonbank financial
companies supervised by the Board, and any subsidiary thereof.
Current Actions: The final rule requires a depository institution
holding company and nonbank financial company subject to the LCR
(covered company) to disclose publicly information about certain
components of its LCR calculation in a standardized tabular format and
include a discussion of factors that have a significant effect on its
LCR. Public disclosure of information about covered company LCR
calculations will help market participants and other parties
consistently assess the liquidity risk profile of covered companies.
Under the final rule, a covered company is required to provide timely
public disclosures each calendar quarter. A covered company is required
to include the completed disclosure template on its public internet
site or in a public financial or other public regulatory report and
make its disclosures available to the public for at least five years
from the time of the initial disclosure.
A covered company must disclose publicly the information required
under subpart J beginning on April 1, 2017, if the covered company is
subject to the transition period under section 249.50(a) or April 1,
2018, if the covered company is subject to the transition period under
section 249.50(b). For modified LCR holding companies, the final rule
would require them to comply with the public disclosure requirements
beginning on October 1, 2018.
Under the final rule, quantitative disclosures will convey
information about a covered company's high-quality liquid assets (HQLA)
and short-term cash flows, thereby providing insight into a covered
company's liquidity risk profile. Consistent with the BCBS common
template, the final rule requires a covered company to disclose both
average unweighted amounts and average weighted amounts for the covered
company's HQLA, cash outflow amounts, and cash inflow amounts. A
covered company is also required to calculate all disclosed amounts as
simple averages of the components used to calculate its daily LCR over
a calendar quarter, except that modified LCR holding companies are
required to calculate all disclosed amounts as simple averages of the
components used
[[Page 94929]]
to calculate their monthly LCR. A covered company is required to
calculate all disclosed amounts on a consolidated basis and express the
results in millions of U.S. dollars or as a percentage, as applicable.
In addition, the final rule requires a covered company to provide a
discussion of certain features of its LCR. A covered company's
qualitative discussion may include, but does not have to be limited to,
the following items: (1) The main drivers of the LCR; (2) changes in
the LCR over time and causes of such changes; (3) the composition of
eligible HQLA; (4) concentration of funding sources; (5) derivative
exposures and potential collateral calls; (6) currency mismatch in the
LCR; and (7) the covered company's centralized liquidity management
function and its interaction with other functional areas of the covered
company.
Estimated Paperwork Burden
Estimated Burden per Response: Reporting--0.25 hours;
recordkeeping--10 hours and 100 hours; disclosure--24 hours.
Frequency: Reporting--monthly, quarterly, and annually;
recordkeeping--annually; disclosure--quarterly.
Estimated Number of Respondents: 39 (only 35 respondents are
affected by the new disclosure requirements).
Current Total Estimated Annual Burden: Reporting--13 hours;
recordkeeping--1,080 hours.
Proposed Total Estimated Annual Burden: Reporting--13 hours;
recordkeeping--1,080 hours; disclosure--3,360 hours.
VIII. Riegle Community Development and Regulatory Improvement Act of
1994
Section 302 of the Riegle Community Development and Regulatory
Improvement Act of 1994 (RCDRIA) requires a Federal banking agency, in
determining the effective date and administrative compliance
requirements for new regulations that impose additional reporting,
disclosure, or other requirements on insured depository institutions,
to consider any administrative burdens that such regulations would
place on depository institutions, and the benefits of such regulations,
consistent with the principles of safety and soundness and the public
interest. In addition, new regulations that impose additional reporting
disclosures or other new requirements on insured depository
institutions generally must take effect on the first day of a calendar
quarter which begins on or after the date on which the regulations are
published in final form.\21\ Section 302 of the RCDRIA does not apply
to this final rule because the final rule does not prescribe additional
reporting, disclosures, or other new requirements on insured depository
institutions. As discussed above in the Supplementary Information
section, the final rule only applies to (1) all bank holding companies
and certain savings and loan holding companies that, in each case, have
$50 billion or more in total consolidated assets or $10 billion or more
in total consolidated on-balance sheet foreign exposure; and (2)
nonbank financial companies designated by the Financial Stability
Oversight Council for Board supervision to which the Board has applied
the LCR rule by separate rule or order. Nevertheless, the final rule
becomes effective on April 1, 2017, the first day of a calendar
quarter.
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\21\ 12 U.S.C. 4802(b).
---------------------------------------------------------------------------
List of Subjects in 12 CFR Part 249
Administrative practice and procedure, Banks, banking, Federal
Reserve System, Holding companies, Liquidity, Reporting and
recordkeeping requirements.
Authority and Issuance
For the reasons stated in the preamble, the Board amends part 249
of chapter II of title 12 of the Code of Federal Regulations as
follows:
PART 249--LIQUIDITY RISK MEASUREMENT STANDARDS (REGULATION WW)
0
1. The authority citation for part 249 continues to read as follows:
Authority: 12 U.S.C. 248(a), 321-338a, 481-486, 1467a(g)(1),
1818, 1828, 1831p-1, 1831o-1, 1844(b), 5365, 5366, 5368.
0
2. Amend Sec. 249.60 by revising paragraph (c)(2) to read as follows:
Sec. 249.60 Applicability.
* * * * *
(c) * * *
(2) A Board-regulated institution that first meets the threshold
for applicability of this subpart under paragraph (a) of this section
after September 30, 2014, must comply with the requirements of this
subpart one year after the date it meets the threshold set forth in
paragraph (a); except that a Board-regulated institution that met the
applicability criteria in Sec. 249.1(b) immediately prior to meeting
this threshold must comply with the requirements of this subpart
beginning on the first day of the first quarter after which it meets
the threshold set forth in paragraph (a) of this section.
0
3. Add Sec. 249.64 to subpart G to read as follows:
Sec. 249.64 Disclosures.
(a) Effective October 1, 2018, a covered depository institution
holding company subject to this subpart must disclose publicly the
information required under subpart J of this part each calendar
quarter, except as provided in paragraph (b) of this section.
(b) Effective 18 months after a covered depository institution
holding company first becomes subject to this subpart pursuant to Sec.
249.60(c)(2), the covered depository institution holding company must
provide the disclosures required under subpart J of this part each
calendar quarter.
Subparts H and I [Reserved]
0
4. Add reserved subparts H and I.
0
5. Add subpart J, consisting of Sec. Sec. 249.90 and 249.91, to read
as follows:
Subpart J--Disclosures
Sec.
249.90 Timing, method and retention of disclosures.
249.91 Disclosure requirements.
Sec. 249.90 Timing, method and retention of disclosures.
(a) Applicability. A covered depository institution holding company
or covered nonbank company that is subject to the minimum liquidity
standards and other requirements of this part under Sec. 249.1 must
disclose publicly all the information required under this subpart.
(b) Timing of disclosure. (1) A covered depository institution
holding company or covered nonbank company subject to this subpart must
provide timely public disclosures each calendar quarter of all the
information required under this subpart.
(2) A covered depository institution holding company or covered
nonbank company subject to this subpart must provide the disclosures
required by this subpart for the calendar quarter beginning on:
(i) April 1, 2017, and thereafter if the covered depository
institution holding company is subject to the transition period under
Sec. 249.50(a); or
(ii) April 1, 2018, and thereafter if the covered depository
institution holding company or covered nonbank holding company is
subject to the transition period under Sec. 249.50(b).
(3) A covered depository institution holding company or covered
nonbank
[[Page 94930]]
company that is subject to the minimum liquidity standard and other
requirements of this part pursuant to Sec. 249.1(b)(2)(ii), must
provide the disclosures required by this subpart for the first calendar
quarter beginning no later than the date it is first required to comply
with the requirements of this part pursuant to Sec. 249.1(b)(2)(ii).
(c) Disclosure method. A covered depository institution holding
company or covered nonbank company subject to this subpart must
disclose publicly, in a direct and prominent manner, the information
required under this subpart on its public internet site or in its
public financial or other public regulatory reports.
(d) Availability. The disclosures provided under this subpart must
remain publicly available for at least five years after the initial
disclosure date.
Sec. 249.91 Disclosure requirements.
(a) General. A covered depository institution holding company or
covered nonbank company subject to this subpart must disclose publicly
the information required by paragraph (b) of this section in the format
provided in the following table.
Table 1 to Sec. 249.91(a)--Disclosure Template
------------------------------------------------------------------------
Average Average
XX/XX/XXXX to YY/YY/YYYY (in millions of unweighted weighted
U.S. dollars) amount amount
------------------------------------------------------------------------
High-Quality Liquid Assets:
1. Total eligible high-quality
liquid assets (HQLA), of which:
2. Eligible level 1 liquid assets...
3. Eligible level 2A liquid assets..
4. Eligible level 2B liquid assets..
Cash Outflow Amounts:
5. Deposit outflow from retail
customers and counterparties, of
which:
6. Stable retail deposit outflow....
7. Other retail funding outflow.....
8. Brokered deposit outflow.........
9. Unsecured wholesale funding
outflow, of which:
10. Operational deposit outflow.....
11. Non-operational funding outflow.
12. Unsecured debt outflow..........
13. Secured wholesale funding and
asset exchange outflow.............
14. Additional outflow requirements,
of which:
15. Outflow related to derivative
exposures and other collateral
requirements.......................
16. Outflow related to credit and
liquidity facilities including
unconsolidated structured
transactions and mortgage
commitments........................
17. Other contractual funding
obligation outflow.................
18. Other contingent funding
obligations outflow................
19. Total Cash Outflow..............
Cash Inflow Amounts:
20. Secured lending and asset
exchange cash inflow...............
21. Retail cash inflow..............
22. Unsecured wholesale cash inflow.
23. Other cash inflows, of which:...
24. Net derivative cash inflow......
25. Securities cash inflow..........
26. Broker-dealer segregated account
inflow.............................
27. Other cash inflow...............
28. Total Cash Inflow...............
------------------------------------------------------------------------
Average Amount \1\
------------------------------------------------------------------------
29. HQLA Amount.....................
30. Total Net Cash Outflow Amount
Excluding the Maturity Mismatch Add-
on.................................
31. Maturity Mismatch Add-on........
32. Total Net Cash Outflow
Amount.........................
33. Liquidity Coverage Ratio (%)....
------------------------------------------------------------------------
\1\ The amounts reported in this column may not equal the calculation of
those amounts using component amounts reported in rows 1-28 due to
technical factors such as the application of the level 2 liquid asset
caps, the total inflow cap, and for depository institution holding
companies subject to subpart G, the application of the modification to
total net cash outflows.
(b) Calculation of disclosed average amounts--(1) General. (i) A
covered depository institution holding company or covered nonbank
company subject to this subpart must calculate its disclosed average
amounts:
(A) On a consolidated basis and presented in millions of U.S.
dollars or as a percentage, as applicable; and
(B) With the exception of amounts disclosed pursuant to paragraphs
(c)(1), (c)(5), (c)(9), (c)(14), (c)(19), (c)(23), and (c)(28) of this
section, as simple averages of daily amounts over the calendar quarter;
(ii) A covered depository institution holding company that is
required to calculate its liquidity coverage ratio on a monthly basis
pursuant to Sec. 249.61 must calculate its disclosed average amounts
as provided in paragraph (b)(1)(i), except that those amounts must be
calculated as simple averages of monthly amounts over a calendar
quarter;
(iii) A covered depository institution holding company or covered
nonbank company subject to this subpart must
[[Page 94931]]
disclose the beginning date and end date for each calendar quarter.
(2) Calculation of average unweighted amounts. (i) A covered
depository institution holding company or covered nonbank company
subject to this subpart must calculate the average unweighted amount of
HQLA as the average amount of eligible HQLA that meet the requirements
specified in Sec. Sec. 249.20 and 249.22 and is calculated prior to
applying the haircuts required under Sec. 249.21(b) to the amounts of
eligible HQLA.
(ii) A covered depository institution holding company or covered
nonbank company subject to this subpart must calculate the average
unweighted amount of cash outflows and cash inflows before applying the
outflow and inflow rates specified in Sec. Sec. 249.32 and 249.33,
respectively.
(3) Calculation of average weighted amounts. (i) A covered
depository institution holding company or covered nonbank company
subject to this subpart must calculate the average weighted amount of
HQLA after applying the haircuts required under Sec. 249.21(b) to the
amounts of eligible HQLA.
(ii) A covered depository institution holding company or covered
nonbank company subject to this subpart must calculate the average
weighted amount of cash outflows and cash inflows after applying the
outflow and inflow rates specified in Sec. Sec. 249.32 and 249.33,
respectively.
(c) Quantitative disclosures. A covered depository institution
holding company or covered nonbank company subject to this subpart must
disclose all the information required under Table 1 to Sec.
249.91(a)--Disclosure Template, including:
(1) The sum of the average unweighted amounts and average weighted
amounts calculated under paragraphs (c)(2) through (4) of this section
(row 1);
(2) The average unweighted amount and average weighted amount of
level 1 liquid assets that are eligible HQLA under Sec. 249.21(b)(1)
(row 2);
(3) The average unweighted amount and average weighted amount of
level 2A liquid assets that are eligible HQLA under Sec. 249.21(b)(2)
(row 3);
(4) The average unweighted amount and average weighted amount of
level 2B liquid assets that are eligible HQLA under Sec. 249.21(b)(3)
(row 4);
(5) The sum of the average unweighted amounts and average weighted
amounts of cash outflows calculated under paragraphs (c)(6) through (8)
of this section (row 5);
(6) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(a)(1) (row 6);
(7) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(a)(2) through (5) (row 7);
(8) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(g) (row 8);
(9) The sum of the average unweighted amounts and average weighted
amounts of cash outflows calculated under paragraphs (c)(10) through
(12) of this section (row 9);
(10) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(h)(3) and (4) (row 10);
(11) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(h)(1), (2), and (5), excluding
(h)(2)(ii) (row 11);
(12) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(h)(2)(ii) (row 12);
(13) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(j) and (k) (row 13);
(14) The sum of the average unweighted amounts and average weighted
amounts of cash outflows calculated under paragraphs (c)(15) and (16)
of this section (row 14);
(15) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(c) and (f) (row 15);
(16) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(b), (d), and (e) (row 16);
(17) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(l) (row 17);
(18) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(i) (row 18);
(19) The sum of average unweighted amounts and average weighted
amounts of cash outflows calculated under paragraphs (c)(5), (9), (13),
(14), (17), and (18) of this section (row 19);
(20) The average unweighted amount and average weighted amount of
cash inflows under Sec. 249.33(f) (row 20);
(21) The average unweighted amount and average weighted amount of
cash inflows under Sec. 249.33(c) (row 21);
(22) The average unweighted amount and average weighted amount of
cash inflows under Sec. 249.33(d) (row 22);
(23) The sum of average unweighted amounts and average weighted
amounts of cash inflows calculated under paragraphs (c)(24) through
(27) of this section (row 23);
(24) The average unweighted amount and average weighted amount of
cash inflows under Sec. 249.33(b) (row 24);
(25) The average unweighted amount and average weighted amount of
cash inflows under Sec. 249.33(e) (row 25);
(26) The average unweighted amount and average weighted amount of
cash inflows under Sec. 249.33(g) (row 26);
(27) The average unweighted amount and average weighted amount of
cash inflows under Sec. 249.33(h) (row 27);
(28) The sum of average unweighted amounts and average weighted
amounts of cash inflows reported under paragraphs (c)(20) through (23)
of this section (row 28);
(29) The average amount of the HQLA amounts as calculated under
Sec. 249.21(a) (row 29);
(30) The average amount of the total net cash outflow amounts
excluding the maturity mismatch add-on as calculated under Sec.
249.30(a)(1) and (2) (row 30);
(31) The average amount of the maturity mismatch add-ons as
calculated under Sec. 249.30(b) (row 31);
(32) The average amount of the total net cash outflow amounts as
calculated under Sec. 249.30 or Sec. 249.63, as applicable (row 32);
(33) The average of the liquidity coverage ratios as calculated
under Sec. 249.10(b) (row 33).
(d) Qualitative disclosures. (1) A covered depository institution
holding company or covered nonbank company subject to this subpart must
provide a qualitative discussion of the factors that have a significant
effect on its liquidity coverage ratio, which may include the
following:
(i) The main drivers of the liquidity coverage ratio;
(ii) Changes in the liquidity coverage ratio over time and causes
of such changes;
(iii) The composition of eligible HQLA;
(iv) Concentration of funding sources;
(v) Derivative exposures and potential collateral calls;
(vi) Currency mismatch in the liquidity coverage ratio; or
(vii) The centralized liquidity management function of the covered
depository institution holding company or covered nonbank company and
its interaction with other functional areas of the covered depository
institution holding company or covered nonbank company.
(2) If a covered depository institution holding company or covered
nonbank company subject to this subpart believes that the qualitative
discussion required in paragraph (d)(1) of this section would prejudice
seriously its position by resulting in public disclosure of specific
[[Page 94932]]
commercial or financial information that is either proprietary or
confidential in nature, the covered depository institution holding
company or covered nonbank company is not required to include those
specific items in its qualitative discussion, but must provide more
general information about the items that had a significant effect on
its liquidity coverage ratio, together with the fact that, and the
reason why, more specific information was not discussed.
By order of the Board of Governors of the Federal Reserve
System, December 19, 2016.
Robert deV. Frierson,
Secretary of the Board.
[FR Doc. 2016-30859 Filed 12-23-16; 8:45 am]
BILLING CODE P