(a) Level 1 liquid
assets. An asset is a level 1 liquid asset if it is one of the
following types of assets:
(1) Reserve Bank balances;
(2)
Foreign withdrawable reserves;
(3)
A security that is issued by, or unconditionally guaranteed as to
the timely payment of principal and interest by, the U.S. Department
of the Treasury;
(4) A security that is
issued by, or unconditionally guaranteed as to the timely payment
of principal and interest by, a U.S. government agency (other than
the U.S. Department of the Treasury) whose obligations are fully and
explicitly guaranteed by the full faith and credit of the U.S. government,
provided that the security is liquid and readily-marketable;
(5) A security that is issued
by, or unconditionally guaranteed as to the timely payment of principal
and interest by, a sovereign entity, the Bank for International Settlements,
the International Monetary Fund, the European Central Bank, European
Community, or a multilateral development bank, that is:
(i) Assigned a zero percent risk
weight under subpart D of Regulation Q (12 CFR part 217) as of the
calculation date;
(ii) Liquid
and readily-marketable;
(iii)
Issued or guaranteed by an entity whose obligations have a proven
record as a reliable source of liquidity in repurchase or sales markets
during stressed market conditions; and
(iv) Not an obligation of a financial
sector entity and not an obligation of a consolidated subsidiary of
a financial sector entity; or
(6) A security issued by, or unconditionally
guaranteed as to the timely payment of principal and interest by,
a sovereign entity that is not assigned a zero percent risk weight
under subpart D of Regulation Q (12 CFR part 217), where the sovereign
entity issues the security in its own currency, the security is liquid
and readily-marketable, and the Board-regulated institution holds
the security in order to meet its net cash outflows in the jurisdiction
of the sovereign entity, as calculated under subpart D of this part.
(b) Level 2A liquid assets. An asset is a level 2A liquid asset if the asset is liquid and readily-marketable
and is one of the following types of assets:
(1) A security issued by, or guaranteed
as to the timely payment of principal and interest by, a U.S. government-sponsored
enterprise, that is investment grade under 12 CFR part 1 as of the
calculation date, provided that the claim is senior to preferred stock;
or
(2) A security that is issued
by, or guaranteed as to the timely payment of principal and interest
by, a sovereign entity or multilateral development bank that is:
(i) Not included in
level 1 liquid assets;
(ii) Assigned
no higher than a 20 percent risk weight under subpart D of Regulation
Q (12 CFR part 217) as of the calculation date;
(iii) Issued or guaranteed by an entity
whose obligations have a proven record as a reliable source of liquidity
in repurchase or sales markets during stressed market conditions,
as demonstrated by:
(A)
The market price of the security or equivalent securities of the issuer
declining by no more than 10 percent during a 30 calendar-day period
of significant stress, or
(B) The market
haircut demanded by counterparties to secured lending and secured
funding transactions that are collateralized by the security or equivalent
securities of the issuer increasing by no more than 10 percentage
points during a 30 calendar-day period of significant stress; and
(iv) Not an obligation
of a financial sector entity, and not an obligation of a consolidated
subsidiary of a financial sector entity.
(c) Level 2B liquid assets. An
asset is a level 2B liquid asset if the asset is liquid and readily-marketable
and is one of the following types of assets:
(1) A corporate debt security that is:
(i) Investment grade
under 12 CFR part 1 as of the calculation date;
(ii) Issued or guaranteed by an entity
whose obligations have a proven record as a reliable source of liquidity
in repurchase or sales markets during stressed market conditions,
as demonstrated by:
(A)
The market price of the corporate debt security or equivalent securities
of the
issuer declining by no more than 20 percent during a 30 calendar-day
period of significant stress, or
(B)
The market haircut demanded by counterparties to secured lending and
secured funding transactions that are collateralized by the corporate
debt security or equivalent securities of the issuer increasing by
no more than 20 percentage points during a 30 calendar-day period
of significant stress; and
(iii) Not an obligation of a financial
sector entity and not an obligation of a consolidated subsidiary of
a financial sector entity;
(2) A publicly traded common equity share
that is:
(i) Included
in:
(A) The Russell 1000
Index; or
(B) An index that a Board-regulated
institution’s supervisor in a foreign jurisdiction recognizes for
purposes of including equity shares in level 2B liquid assets under
applicable regulatory policy, if the share is held in that foreign
jurisdiction;
(ii) Issued in:
(A)
U.S. dollars; or
(B) The currency of
a jurisdiction where the Board-regulated institution operates and
the Board-regulated institution holds the common equity share in order
to cover its net cash outflows in that jurisdiction, as calculated
under subpart D of this part;
(iii) Issued by an entity whose publicly
traded common equity shares have a proven record as a reliable source
of liquidity in repurchase or sales markets during stressed market
conditions, as demonstrated by:
(A) The market price of the security or equivalent
securities of the issuer declining by no more than 40 percent during
a 30 calendar-day period of significant stress, or
(B) The market haircut demanded by counterparties
to securities borrowing and lending transactions that are collateralized
by the publicly traded common equity shares or equivalent securities
of the issuer increasing by no more than 40 percentage points, during
a 30 calendar day period of significant stress;
(iv) Not issued by a financial sector
entity and not issued by a consolidated subsidiary of a financial
sector entity;
(v) If held by
a depository institution, is not acquired in satisfaction of a debt
previously contracted (DPC); and
(vi) If held by a consolidated subsidiary of a depository institution,
the depository institution can include the publicly traded common
equity share in its level 2B liquid assets only if the share is held
to cover net cash outflows of the depository institution’s consolidated
subsidiary in which the publicly traded common equity share is held,
as calculated by the Board-regulated institution under subpart D of
this part; or
(3) A
municipal obligation that is investment grade under 12 CFR part 1
as of the calculation date.
