(a) Balance-sheet metric. Unless otherwise provided in this subpart, an NSFR regulatory capital
element, NSFR liability, or asset that is not included on a Board-regulated
institution’s balance sheet is not assigned an RSF factor or ASF factor,
as applicable; and an NSFR regulatory capital element, NSFR liability,
or asset that is included on a Board-regulated institution’s balance
sheet is assigned an RSF factor or ASF factor, as applicable.
(b) Netting of certain transactions. Where a Board-regulated institution has secured lending transactions,
secured funding transactions, or asset exchanges with the same counterparty
and has offset the gross value of receivables due from the counterparty
under the transactions by the gross value of payables under the transactions
due to the counterparty, the receivables or payables associated with
the offsetting transactions that are not included on the Board-regulated
institution’s balance sheet are treated as if they were included on
the Board-regulated institution’s balance sheet with carrying values,
unless the criteria in 12 CFR 217.10(c)(2)(v)(A) through (C) are met.
(c) Treatment of securities received
in an asset exchange by a securities lender. Where a Board-regulated
institution receives a security in an asset exchange, acts as a securities
lender, includes the carrying value of the received security on its
balance sheet, and has not rehypothecated the security received:
(1) The security received
by the Board-regulated institution is not assigned an RSF factor;
and
(2) The obligation to return
the security received by the Board-regulated institution is not assigned
an ASF factor.
