(a) NSFR regulatory capital elements and NSFR liabilities assigned a
100 percent ASF factor. An NSFR regulatory capital element or
NSFR liability of a Board-regulated institution is assigned a 100
percent ASF factor if it is one of the following:
(1) An NSFR regulatory capital element;
or
(2) An NSFR liability
that has a maturity of one year or more from the calculation date,
is not described in paragraph (d)(9) of this section, and is not a
retail deposit or brokered deposit provided by a retail customer or counterparty.
(b) NSFR liabilities
assigned a 95 percent ASF factor. An NSFR liability of a Board-regulated
institution is assigned a 95 percent ASF factor if it is one of the
following:
(1) A stable retail deposit (regardless
of maturity or collateralization) held at the Board-regulated institution;
or
(2) A sweep deposit
that:
(i) Is 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;
(ii) Is entirely covered
by deposit insurance; and
(iii) The Board-regulated institution
demonstrates to the satisfaction of the Board that a withdrawal of
such deposit is highly unlikely to occur during a liquidity stress
event.
(c) NSFR liabilities assigned a 90 percent ASF factor. An NSFR liability of a Board-regulated institution is assigned a
90 percent ASF factor if it is funding provided by a retail customer
or counterparty that is:
(1) A retail deposit (regardless of maturity
or collateralization) other than a stable retail deposit or brokered
deposit;
(2) A brokered
reciprocal deposit where the entire amount is covered by deposit insurance;
(3) A sweep deposit that
is 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, where the
sweep deposit does not meet the requirements of paragraph (b)(2) of
this section; or
(4)
A brokered deposit that is not a brokered reciprocal deposit or a
sweep deposit, that is not held in a transactional account, and that
matures one year or more from the calculation date.
(d) NSFR liabilities assigned
a 50 percent ASF factor. An NSFR liability of a Board-regulated
institution is assigned a 50 percent ASF factor if it is one of the
following:
(1) Unsecured wholesale
funding that:
(i) Is not provided by a financial sector
entity, a consolidated subsidiary of a financial sector entity, or
a central bank;
(ii) Matures less than one year from the calculation date; and
(iii) Is not a security
issued by the Board-regulated institution or an operational deposit
placed at the Board-regulated institution;
(2) A secured funding transaction
with the following characteristics:
(i) The counterparty is
not a financial sector entity, a consolidated subsidiary of a financial
sector entity, or a central bank;
(ii) The secured funding transaction
matures less than one year from the calculation date; and
(iii) The secured funding
transaction is not a collateralized deposit that is an operational
deposit placed at the Board-regulated institution;
(3) Unsecured wholesale
funding that:
(i) Is provided by a financial sector
entity, a consolidated subsidiary of a financial sector entity, or
a central bank;
(ii) Matures six months or more, but less than one year, from the
calculation date; and
(iii) Is not a security issued by the Board-regulated institution
or an operational deposit;
(4) A secured funding transaction with
the following characteristics:
(i) The counterparty is
a financial sector entity, a consolidated subsidiary of a financial
sector entity, or a central bank;
(ii) The secured funding transaction
matures six months or more, but less than one year, from the calculation
date; and
(iii) The
secured funding transaction is not a collateralized deposit that is
an operational deposit;
(5) A security issued by the Board-regulated
institution that matures six months or more, but less than one year,
from the calculation date;
(6) An operational deposit placed at the
Board-regulated institution;
(7) A brokered deposit provided by a retail
customer or counterparty that is not described in paragraphs (c) or
(e)(2) of this section;
(8) A sweep deposit provided by a retail customer or counterparty
that is not described in paragraphs (b) or (c) of this section;
(9) An NSFR liability
owed to a retail customer or counterparty that is not a deposit and
is not a security issued by the Board-regulated institution; or
(10) Any other NSFR liability
that matures six months or more, but less than one year, from the
calculation date and is not described in paragraphs (a) through (c)
or (d)(1) through (d)(9) of this section.
(e) NSFR liabilities assigned a zero percent
ASF factor. An NSFR liability of a Board-regulated institution
is assigned a zero percent ASF factor if it is one of the following:
(1) A trade date payable that results from
a purchase by the Board-regulated institution of a financial instrument,
foreign currency, or commodity that is contractually required to settle
within the lesser of the market standard settlement period for the
particular transaction and five business days from the date of the
sale;
(2) A brokered
deposit provided by a retail customer or counterparty that is not
a brokered reciprocal deposit or sweep deposit, is not held in a transactional
account, and matures less than six months from the calculation date;
(3) A security issued
by the Board-regulated institution that matures less than six months
from the calculation date;
(4) An NSFR liability with the following characteristics:
(i) The
counterparty is a financial sector entity, a consolidated subsidiary
of a financial sector entity, or a central bank;
(ii) The NSFR liability matures less
than six months from the calculation date or has an open maturity;
and
(iii) The NSFR
liability is not a security issued by the Board-regulated institution
or an operational deposit placed at the Board-regulated institution;
or
(5)
Any other NSFR liability that matures less than six months from the
calculation date and is not described in paragraphs (a) through (d)
or (e)(1) through (4) of this section.
