3-3940

SECTION 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 section 249.91(a)—Disclosure template

Table 1 to section 249.91(a)—Disclosure template
XX/XX/XXXX to YY/YY/YYYY (in millions of U.S. dollars)	Average unweighted amount	Average weighted 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
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

Table 1 to section 249.91(a)—Disclosure template (continued)

Table 1 to section 249.91(a)—Disclosure template (continued)
XX/XX/XXXX to YY/YY/YYYY (in millions of U.S. dollars)	Average unweighted amount	Average weighted amount
Average Amount¹
29. HQLA amount
30. Total net cash outflow amount excluding the maturity mismatch add-on
31. Maturity mismatch add-on
32. Total unadjusted net cash outflow amount
33. Outflow adjustment percentage
34. Total adjusted net cash outflow amount
35. Liquidity coverage ratio (%)

¹The 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 and the total inflow cap.

(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), (5), (9), (14), (19), (23), and (28) of this section, as simple averages of daily amounts over the calendar quarter.

(ii) A covered depository institution holding company or covered nonbank company subject to this subpart must 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 sections 249.20 and 249.22 and is calculated prior to applying the haircuts required under section 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 sections 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 section 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 sections 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 section 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 section 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 section 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 section 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 section 249.32(a)(1) (row 6);

(7) The average unweighted amount and average weighted amount of cash outflows under section 249.32(a)(2) through (5) (row 7);

(8) The average unweighted amount and average weighted amount of cash outflows under section 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 section 249.32(h)(3) and (4) (row 10);

(11) The average unweighted amount and average weighted amount of cash outflows under section 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 section 249.32(h)(2)(ii) (row 12);

(13) The average unweighted amount and average weighted amount of cash outflows under section 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 section 249.32(c) and (f) (row 15);

(16) The average unweighted amount and average weighted amount of cash outflows under section 249.32(b), (d), and (e) (row 16);

(17) The average unweighted amount and average weighted amount of cash outflows under section 249.32(l) (row 17);

(18) The average unweighted amount and average weighted amount of cash outflows under section 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 section 249.33(f) (row 20);

(21) The average unweighted amount and average weighted amount of cash inflows under section 249.33(c) (row 21);

(22) The average unweighted amount and average weighted amount of cash inflows under section 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 section 249.33(b) (row 24);

(25) The average unweighted amount and average weighted amount of cash inflows under section 249.33(e) (row 25);

(26) The average unweighted amount and average weighted amount of cash inflows under section 249.33(g) (row 26);

(27) The average unweighted amount and average weighted amount of cash inflows under section 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 section 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 section 249.30(a)(1) and (2) (row 30);

(31) The average amount of the maturity mismatch add-ons as calculated under section 249.30(b) (row 31);

(32) The average amount of the total net cash outflow amount as calculated under section 249.30 prior to the application of the applicable outflow adjustment percentage described in Table 1 to section 249.30(c) (row 32);

(33) The applicable outflow adjustment percentage described in Table 1 to section 249.30(c) (row 33);

(34) The average amount of the total net cash outflow as calculated under section 249.30 (row 34); and

(35) The average of the liquidity coverage ratios as calculated under section 249.10(b) (row 35).

(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 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.