(a) Retail funding outflow amount. A Board-regulated institution’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 Board-regulated institution;
(2) 10 percent of all other retail deposits
held at the Board-regulated institution;
(3) 20 percent of all deposits placed at
the Board-regulated institution 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 Board-regulated institution 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
(5) 40 percent of all funding
from a retail customer or counterparty that is not:
(i) A retail
deposit;
(ii) A
brokered deposit provided by a retail customer or counterparty; or
(iii) A debt instrument
issued by the Board-regulated institution that is owned by a retail
customer or counterparty (see paragraph (h)(2)(ii) of this
section).
(b) Structured transaction outflow amount. If
the Board-regulated institution is a sponsor of a structured transaction
where the issuing entity is not consolidated on the Board-regulated
institution’s balance sheet under GAAP, the structured transaction
outflow amount for each such structured transaction as of the calculation
date is the greater of:
(1) 100 percent of the amount of all debt
obligations of the issuing entity that mature 30 calendar days or
less from such calculation date and all commitments made by the issuing
entity to purchase assets within 30 calendar days or less from such
calculation date; and
(2) The maximum contractual amount of funding the Board-regulated
institution may be required to provide to the issuing entity 30 calendar
days or less from such calculation date through a liquidity facility,
a return or repurchase of assets from the issuing entity, or other
funding agreement.
(c) Net derivative cash outflow amount. The
net derivative cash outflow amount as of the calculation date is the
sum of the net derivative cash outflow amount for each counterparty.
The net derivative cash outflow amount does not include forward sales
of mortgage loans and any derivatives that are mortgage commitments
subject to paragraph (d) of this section. The net derivative cash
outflow 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 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 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 (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 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, less the 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.
(d) Mortgage
commitment outflow amount. The mortgage commitment outflow amount
as of a calculation date is 10 percent of the amount of funds the
Board-regulated institution has contractually committed for its own
origination of retail mortgages that can be drawn upon 30 calendar
days or less from such calculation date.
(e) Commitment outflow amount.
(1) A Board-regulated institution’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 Board-regulated institution 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 Board-regulated institution to retail customers or
counterparties;
(iii)
10 percent of the undrawn amount of all committed credit facilities
extended by the Board-regulated institution 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 Board-regulated institution 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 Board-regulated institution 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 Board-regulated
institution 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
Board-regulated institution 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;
(viii) 100
percent of the undrawn amount of all committed credit and liquidity
facilities extended to a special purpose entity that issues or has
issued commercial paper or securities (other than equity securities
issued to a company of which the special purpose entity is a consolidated
subsidiary) to finance its purchases or operations, and excluding
liquidity facilities included in paragraph (b)(2) of this section;
and
(ix) 100 percent
of the undrawn amount of all other committed credit or liquidity facilities
extended by the Board-regulated institution.
(2) For the purposes of this
paragraph (e), the undrawn amount of a committed credit facility or
committed liquidity facility is the entire unused amount of the facility
that could be drawn upon within 30 calendar days of the calculation
date under the governing agreement, less the amount of level 1 liquid
assets and the amount of level 2A liquid assets securing the facility.
(3) For the purposes of
this paragraph (e), the amount of level 1 liquid assets and level
2A liquid assets securing a committed credit or liquidity facility
is the fair value of level 1 liquid assets and 85 percent of the fair
value of level 2A liquid assets that are required to be pledged as
collateral by the counterparty to secure the facility, provided that:
(i) The assets pledged upon a draw on the facility would be eligible
HQLA; and
(ii) The
Board-regulated institution has not included the assets as eligible
HQLA under subpart C of this part as of the calculation date.
(f) Collateral
outflow amount. The collateral outflow amount as of the calculation
date includes:
(1) Changes in
financial condition. 100 percent of all additional amounts of
collateral the Board-regulated institution could be contractually
required to pledge or to fund under the terms of any transaction as
a result of a change in the Board-regulated institution’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 Board-regulated institution
that is not a level 1 liquid asset;
(3) Potential
derivative valuation changes. The absolute value of the largest
30-consecutive calendar day cumulative net mark-to-market collateral
outflow or inflow realized during the preceding 24 months resulting
from derivative transaction valuation changes;
(4) Excess collateral. 100 percent of the fair value of collateral that:
(i) The
Board-regulated institution could be required by contract to return
to a counterparty because the collateral pledged to the Board-regulated
institution exceeds the current collateral requirement of the counterparty
under the governing contract;
(ii) Is not segregated from the Board-regulated
institution’s other assets such that it cannot be rehypothecated;
and
(iii) Is not
already excluded as eligible HQLA by the Board-regulated institution
under section 249.22(b)(5);
(5) Contractually
required collateral. 100 percent of the fair value of collateral
that the Board-regulated institution is contractually required to
pledge to a counterparty and, as of such calculation date, the Board-regulated
institution has not yet pledged;
(6) Collateral
substitution.
(i) Zero percent of the fair value of
collateral pledged to the Board-regulated institution 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
Board-regulated institution;
(ii) 15 percent of the fair value of
collateral pledged to the Board-regulated institution 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 Board-regulated
institution;
(iii)
50 percent of the fair value of collateral pledged to the Board-regulated
institution 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 Board-regulated institution;
(iv) 100 percent of the fair value of
collateral pledged to the Board-regulated institution 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 Board-regulated institution;
(v) Zero percent of
the fair value of collateral pledged to the Board-regulated institution
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 Board-regulated institution;
(vi) 35 percent of the fair value of
collateral pledged to the Board-regulated institution 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 Board-regulated
institution;
(vii)
85 percent of the fair value of collateral pledged to the Board-regulated
institution 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
Board-regulated institution;
(viii) Zero percent of the fair value
of collateral pledged to the Board-regulated institution by a counterparty
where the collateral qualifies as level 2B liquid assets and eligible
HQLA and where, under the contract governing the transaction, the
counterparty may replace the pledged collateral with other assets
that qualify as HQLA, without the consent of the Board-regulated institution;
and
(ix) 50 percent
of the fair value of collateral pledged to the Board-regulated institution
by a counterparty where the collateral qualifies as level 2B liquid
assets and eligible HQLA and where, under the contract governing the
transaction, the counterparty may replace the pledged collateral with
assets that do not qualify as HQLA, without the consent of the Board-regulated
institution.
(g) Brokered deposit outflow amount for retail customers
or counterparties. The brokered deposit outflow amount for retail
customers or counterparties as of the calculation date includes:
(1) 100 percent of all brokered deposits
at the Board-regulated institution 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 Board-regulated institution
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 Board-regulated institution 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 Board-regulated institution
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 brokered
reciprocal deposits at the Board-regulated institution provided by
a retail customer or counterparty, where the entire amount is covered
by deposit insurance;
(6) 25 percent of all brokered reciprocal deposits at the Board-regulated
institution provided by a retail customer or counterparty, where less
than the entire amount is covered by deposit insurance;
(7) 10 percent of all sweep
deposits at the Board-regulated institution provided by a retail customer
or counterparty:
(i) That are deposited in accordance
with a contract between the retail customer or counterparty and the
Board-regulated institution, a controlled subsidiary of the Board-regulated
institution, or a company that is a controlled subsidiary of the same
top-tier company of which the Board-regulated institution is a controlled
subsidiary; and
(ii)
Where the entire amount of the deposits is covered by deposit insurance;
(8) 25 percent
of all sweep deposits at the Board-regulated institution 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 Board-regulated institution, a controlled subsidiary of the
Board-regulated institution, or a company that is a controlled subsidiary
of the same top-tier company of which the Board-regulated institution
is a controlled subsidiary; and
(ii) Where the entire amount of the
deposits is covered by deposit insurance; and
(9) 40 percent of all sweep
deposits at the Board-regulated institution 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 Board-regulated institution’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:
(1) For unsecured wholesale
funding that is not an operational deposit and is not provided by
a financial sector entity or consolidated subsidiary of a financial
sector entity:
(i) 20 percent of all such funding,
where the entire amount is covered by deposit insurance and the funding
is not a brokered deposit;
(ii) 40 percent of all such funding,
where:
(A) Less than the entire amount is covered
by deposit insurance; or
(B) The funding is a brokered deposit;
(2) 100 percent of all
unsecured wholesale funding that is not an operational deposit and
is not included in paragraph (h)(1) of this section, including:
(i) Funding provided by a company that is a consolidated subsidiary
of the same top-tier company of which the Board-regulated institution
is a consolidated subsidiary; and
(ii) Debt instruments issued by the
Board-regulated institution, including such instruments owned by retail
customers or counterparties;
(3) 5 percent of all operational deposits,
other than operational deposits that are held in escrow accounts,
where the entire deposit amount is covered by deposit insurance;
(4) 25 percent of all
operational deposits not included in paragraph (h)(3) of this section;
and
(5) 100 percent
of all unsecured wholesale funding that is not otherwise described
in this paragraph (h).
(i) Debt security buyback outflow amount. A
Board-regulated institution’s debt security buyback outflow
amount for debt securities issued by the Board-regulated institution
that mature more than 30 calendar days after the calculation date
and for which the Board-regulated institution or a consolidated subsidiary
of the Board-regulated institution is the primary market maker in
such debt securities includes:
(1) 3 percent of all such debt securities
that are not structured securities; and
(2) 5 percent of all such debt securities
that are structured securities.
(j) Secured funding and asset exchange
outflow amount.
(1) A Board-regulated institution’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 Board-regulated
institution 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 Board-regulated institution 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 Board-regulated
institution 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 Regulation Q (12 CFR part 217), to the extent that the funds
are not secured by level 1 or level 2A liquid assets;
(iv) 50 percent of all
funds the Board-regulated institution must pay pursuant to secured
funding transactions, to the extent that the funds are secured by
level 2B liquid assets;
(v) 50 percent of all funds received
from secured funding transactions that are customer short positions
where the customer short positions are covered by other customers’
collateral and the collateral does not consist of HQLA; and
(vi) 100 percent of all
other funds the Board-regulated institution 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 Board-regulated institution 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 Board-regulated institution 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 Board-regulated
institution under a secured lending transaction or asset exchange,
in which case the Board-regulated institution 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 Board-regulated institution
may apply to the operational deposit amount, as calculated in accordance
with section 249.4(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 Board-regulated institution’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 Board-regulated institution must post
to a counterparty pursuant to asset exchanges, not described in paragraphs
(j)(3)(x) through (xiii) of this section, where the Board-regulated
institution 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 Board-regulated
institution must post to a counterparty pursuant to asset exchanges,
not described in paragraphs (j)(3)(x) through (xiii) of this section,
where the Board-regulated institution 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 Board-regulated institution must post
to a counterparty pursuant to asset exchanges, not described in paragraphs
(j)(3)(x) through (xiii) of this section, where the Board-regulated
institution 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 Board-regulated
institution must post to a counterparty pursuant to asset exchanges,
not described in paragraphs (j)(3)(x) through (xiii) of this section,
where the Board-regulated institution 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 Board-regulated institution must post
to a counterparty pursuant to asset exchanges, not described in paragraphs
(j)(3)(x) through (xiii) of this section, where Board-regulated institution
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 Board-regulated
institution must post to a counterparty pursuant to asset exchanges,
not described in paragraphs (j)(3)(x) through (xiii) of this section,
where the Board-regulated institution 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 Board-regulated institution must post
to a counterparty pursuant to asset exchanges, not described in paragraphs
(j)(3)(x) through (xiii) of this section, where the Board-regulated
institution 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 Board-regulated
institution must post to a counterparty pursuant to asset exchanges,
not described in paragraphs (j)(3)(x) through (xiii) of this section,
where the Board-regulated institution will receive HQLA from the asset
exchange counterparty; and
(ix) 50 percent of the fair value of
the level 2B liquid assets the Board-regulated institution must post
to a counterparty pursuant to asset exchanges, not described in paragraphs
(j)(3)(x) through (xiii) of this section, where the Board-regulated
institution 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 Board-regulated
institution will receive from a counterparty pursuant to an asset
exchange where the Board-regulated institution has rehypothecated
the assets posted by the asset exchange counterparty, and, as of the
calculation date, the assets will not be returned to the Board-regulated
institution within 30 calendar days;
(xi) 15 percent of the fair value of
the level 2A liquid assets the Board-regulated institution will receive
from a counterparty pursuant to an asset exchange where the Board-regulated
institution has rehypothecated the assets posted by the asset exchange
counterparty, and, as of the calculation date, the assets will not
be returned to the Board-regulated institution within 30 calendar
days;
(xii) 50 percent
of the fair value of the level 2B liquid assets the Board-regulated
institution will receive from a counterparty pursuant to an asset
exchange where the Board-regulated institution has rehypothecated
the assets posted by the asset exchange counterparty, and, as of the
calculation date, the assets will not be returned to the Board-regulated
institution within 30 calendar days; and
(xiii) 100 percent of the fair value
of the non-HQLA the Board-regulated institution will receive from
a counterparty pursuant to an asset exchange where the Board-regulated
institution has rehypothecated the assets posted by the asset exchange
counterparty, and, as of the calculation date, the assets will not
be returned to the Board-regulated institution within 30 calendar
days.
(k) Foreign central bank borrowing outflow amount. A Board-regulated institution’s foreign central bank borrowing
outflow amount is, in a foreign jurisdiction where the Board regulated
institution has borrowed from the jurisdiction’s central bank,
the outflow amount assigned to borrowings from central banks in a
minimum liquidity standard established in that jurisdiction. If the
foreign jurisdiction has not specified a central bank borrowing outflow
amount in a minimum liquidity standard, the foreign central bank borrowing
outflow amount must be calculated in accordance with paragraph (j)
of this section.
(l) Other contractual outflow amount. A Board-regulated
institution’s other contractual outflow amount is 100 percent
of funding or amounts, with the exception of operating expenses of
the Board-regulated institution (such as rents, salaries, utilities,
and other similar payments), payable by the Board-regulated institution
to counterparties under legally binding agreements that are not otherwise
specified in this section.
(m) Excluded amounts for intragroup transactions. The outflow 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.
