(a) For purposes of calculating its liquidity
coverage ratio and the components thereof un-der this subpart, a Board-regulated
institution shall assume an asset or transaction matures:
(1) With respect to an instrument or
transaction subject to section 249.32, on the earliest possible contractual
maturity date or the earliest possible date the transaction could
occur, taking into account any option that could accelerate the maturity
date or the date of the transaction, except that when considering
the earliest possible contractual maturity date or the earliest possible
date the transaction could occur, the Board-regulated institution
should exclude any contingent options that are triggered only by regulatory
actions or changes in law or regulation, as follows:
(i) If an investor or funds provider
has an option that would reduce the maturity, the Board-regulated
institution must assume that the investor or funds provider will exercise
the option at the earliest possible date;
(ii) If an investor or funds provider
has an option that would extend the maturity, the Board-regulated
institution must assume that the investor or funds provider will not
exercise the option to extend the maturity;
(iii) If the Board-regulated institution has an option that would
reduce the maturity of an obligation, the Board-regulated institution
must assume that the Board-regulated institution will exercise the
option at the earliest possible date, except if either of the following
criteria are satisfied, in which case the maturity of the obligation
for purposes of this part will be the original maturity date at issuance:
(A) The original maturity
of the obligation is greater than one year and the option does not
go into effect for a period of 180 days following the issuance of
the instrument; or
(B) The counterparty
is a sovereign entity, a U.S. government-sponsored enterprise, or
a public sector entity.
(iv) If the Board-regulated institution has an option that would
extend the maturity of an obligation it issued, the Board-regulated
institution must assume the Board-regulated institution will not exercise
that option to extend the maturity; and
(v) If an option is subject to a contractually
defined notice period, the Board-regulated institution must determine
the earliest possible contractual maturity date regardless of the
notice period.
(2)
With respect to an instrument or transaction subject to section 249.33,
on the latest possible contractual maturity date or the latest possible
date the transaction could occur, taking into account any option that
could extend the maturity date or the date of the transaction, except
that when considering the latest possible contractual maturity date
or the latest possible date the transaction could occur, the Board-regulated
institution may exclude any contingent options that are triggered
only by regulatory actions or changes in law or regulation, as follows:
(i) If the borrower
has an option that would extend the maturity, the Board-regulated
institution must assume that the borrower will exercise the option
to extend the maturity to the latest possible date;
(ii) If the borrower has an option that
would reduce the maturity, the Board-regulated institution must assume
that the borrower will not exercise the option to reduce the maturity;
(iii) If the Board-regulated institution
has an option that would reduce the maturity of an instrument or transaction,
the Board-regulated institution must assume the Board-regulated institution
will not exercise the option to reduce the maturity;
(iv) If the Board-regulated institution
has an option that would extend the maturity of an instrument or transaction,
the Board-regulated institution must assume the Board-regulated institution
will exercise the option to extend the maturity to the latest possible
date; and
(v) If an option is
subject to a contractually defined notice period, the Board-regulated
institution must determine the latest possible contractual maturity
date based on the borrower using the entire notice period.
(3) With respect
to a transaction subject to section 249.33(f)(1)(iii) through (vii)
(secured lending transactions) or section 249.33(f)(2)(ii) through
(x) (asset exchanges), to the extent the transaction is secured by
collateral that has been pledged in connection with either a secured
funding transaction or asset exchange that has a remaining maturity
of 30 calendar days or less as of the calculation date, the maturity
date is the later of the maturity date determined under paragraph
(a)(2) of this section for the secured lending transaction or asset
exchange or the maturity date determined under paragraph (a)(1) of
this section for the secured funding transaction or asset exchange
for which the collateral has been pledged.
(4) With respect to a transaction that
has an open maturity, is not an operational deposit, and is subject
to the provisions of section 249.32(h)(2), (h)(5), (j), or (k) or
section 249.33(d) or (f), the maturity date is the first calendar
day after the calculation date. Any other transaction that has an open maturity
and is subject to the provisions of section 249.32 shall be considered
to mature within 30 calendar days of the calculation date.
(5) With respect to a transaction subject
to the provisions of section 249.33(g), on the date of the next scheduled
calculation of the amount required under applicable legal requirements
for the protection of customer assets with respect to each broker-dealer
segregated account, in accordance with the Board-regulated institution’s
normal frequency of recalculating such requirements.
