(a) The inflows in paragraphs
(b) through (g) of this section do not include:
(1) Amounts the Board-regulated institution
holds in operational deposits at other regulated financial companies;
(2) Amounts the Board-regulated
institution 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
section 249.32(d);
(3) The amount of any credit or liquidity facilities extended to
the Board-regulated institution;
(4) The amount of any asset that is eligible
HQLA and any amounts payable to the Board-regulated institution with
respect to that asset;
(5) Any amounts payable to the Board-regulated institution from an
obligation of a customer or counterparty that is a nonperforming asset
as of the calculation date or that the Board-regulated institution
has reason to expect will become a nonperforming exposure 30 calendar
days or less from the calculation date; and
(6) Amounts payable to the Board-regulated
institution with respect to any transaction that has no contractual
maturity date or that matures after 30 calendar days of the calculation
date (as determined by section 249.31).
(b) Net derivative cash inflow amount. The net derivative cash inflow amount as of the calculation date
is the sum of the net derivative cash inflow amount for each counterparty.
The net derivative cash inflow amount does not include amounts excluded
from inflows under paragraph (a)(2) of this section. The net derivative
cash inflow amount for a counterparty is the sum of:
(1) The amount, if greater than zero, of
contractual payments and collateral that the Board-regulated institution
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 Board-regulated institution 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 Board-regulated
institution will receive from the counterparty 30 calendar days or
less from the calculation date under foreign currency exchange derivative
transactions that result in the full exchange of contractual cash
principal payments in different currencies within the same business
day, less the contractual principal payments that the Board-regulated
institution will make to the counterparty 30 calendar days or less
from the calculation date under foreign currency exchange derivative
transactions that result in the full exchange of contractual cash
principal payments in different currencies within the same business
day.
(c) Retail
cash inflow amount. The retail cash inflow amount as of the calculation
date includes 50 percent of all payments contractually payable to
the Board-regulated institution from retail customers or counterparties.
(d) Unsecured wholesale
cash inflow amount. The unsecured wholesale cash inflow amount
as of the calculation date includes:
(1) 100 percent of all payments contractually payable
to the Board-regulated institution from financial sector entities,
or from a consolidated subsidiary thereof, or central banks; and
(2) 50 percent of all
payments contractually payable to the Board-regulated institution
from wholesale customers or counterparties that are not financial
sector entities or consolidated subsidiaries thereof, provided that,
with respect to revolving credit facilities, the amount of the existing
loan is not included in the unsecured wholesale cash inflow amount
and the remaining undrawn balance is included in the outflow amount
under section 249.32(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 Board-regulated institution
on securities it owns that are not eligible HQLA.
(f) Secured lending and asset exchange
cash inflow amount.
(1) A Board-regulated institution’s secured
lending cash inflow amount as of the calculation date includes:
(i) Zero percent of all contractual payments due to the Board-regulated
institution 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 Board-regulated
institution within 30 calendar days;
(ii) 100 percent of all contractual
payments due to the Board-regulated institution 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 Board-regulated institution
and are available for immediate return to the counterparty at any
time;
(iii) Zero
percent of all contractual payments due to the Board-regulated institution
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 Board-regulated institution 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 Board-regulated institution
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 Board-regulated institution 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 Board-regulated institution pursuant to collateralized
margin loans extended to customers, not described in paragraph (f)(1)(i)
of this section, provided that the loans are secured by assets that
are not HQLA.
(2) A Board-regulated institution’s asset
exchange inflow amount as of the calculation date includes:
(i) Zero
percent of the fair value of assets the Board-regulated institution
will receive from a counterparty pursuant to asset exchanges, to the
extent that the asset received by the Board-regulated institution
from the counterparty has been rehypothecated in a transaction and,
as of the calculation date, will not be returned to the Board-regulated
institution within 30 calendar days;
(ii) Zero percent of the fair value
of level 1 liquid assets the Board-regulated institution will receive
from a counterparty pursuant to asset exchanges, not described in
paragraph (f)(2)(i) of this section, where the Board-regulated institution
must post level 1 liquid assets to the asset exchange counterparty;
(iii) 15 percent of
the fair value of level 1 liquid assets the Board-regulated institution
will receive from a counterparty pursuant to asset exchanges, not
described in paragraph (f)(2)(i) of this section, where the Board-regulated
institution must post level 2A liquid assets to the asset exchange
counterparty;
(iv)
50 percent of the fair value of level 1 liquid assets the Board-regulated
institution will receive from counterparty pursuant to asset exchanges,
not described in paragraph (f)(2)(i) of this section, where the Board-regulated
institution must post level 2B liquid assets to the asset exchange
counterparty;
(v)
100 percent of the fair value of level 1 liquid assets the Board-regulated
institution will receive from a counterparty pursuant to asset exchanges,
not described in paragraph (f)(2)(i) of this section, where the Board-regulated
institution 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 Board-regulated
institution will receive from a counter-party pursuant to asset exchanges,
not described in paragraph (f)(2)(i) of this section, where the Board-regulated
institution 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
Board-regulated institution will receive from a counterparty pursuant
to asset exchanges, not described in paragraph (f)(2)(i) of this section,
where the Board-regulated institution must post level 2B liquid assets
to the asset exchange counterparty;
(viii) 85 percent of the fair value
of level 2A liquid assets the Board-regulated institution will receive
from a counterparty pursuant to asset exchanges, not described in
paragraph (f)(2)(i) of this section, where the Board-regulated institution
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 Board-regulated institution
will receive from a counter-party pursuant to asset exchanges, not
described in paragraph (f)(2)(i) of this section, where the Board-regulated
institu-tion 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 Board-regulated
institution will receive from a counterparty pursuant to asset exchanges,
not described in paragraph (f)(2)(i) of this section, where the Board-regulated
institution must post assets that are not HQLA to the asset exchange
counterparty.
(g) Broker-dealer segregated account inflow amount. A Board-regulated institution’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 Board-regulated institution must calculate
the fair value of the required balance of the customer reserve account
as of 30 calendar days from the calculation date by assuming that
customer cash and collateral positions have changed consistent with
the outflow and inflow calculations required under sections 249.32
and 249.33.
(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 sections 249.32
and 249.33, 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 sections 249.32
and 249.33, 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 Board-regulated
institution’s inflow amount as of the calculation date includes zero
percent of other cash inflow amounts not included in paragraphs (b)
through (g) of this section.
(i) Excluded amounts for intragroup transactions. The inflow amounts set forth in this section do not include amounts
arising out of transactions between:
(1) The Board-regulated institution and
a consolidated subsidiary of the Board-regulated institution; or
(2) A consolidated subsidiary
of the Board-regulated institution and another consolidated subsidiary
of the Board-regulated institution.
