Proposed Changes to Applicability Thresholds for Regulatory Capital and Liquidity Requirements
Notice of proposed rulemaking with request for public comment.
CFR Part: "12 CFR Parts 3 and 50"; "12 CFR Parts 217 and 249"; "12 CFR Parts 324 and 329"
RIN Number: "RIN 1557-AE56"; "RIN 7100-AF21"; "RIN 3064-AE96"
Citation: "83 FR 66024"
Document Number: "Docket ID OCC-2018-0037"; "Docket No. R-1628"
Page Number: "66024"
"Proposed Rules"
Agency: "
SUMMARY:
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   SUPPLEMENTARY INFORMATION:
Table of Contents
I. Background and Summary of Proposal
II. Proposal
A. Scope of Application
B. Scoping Criteria for Proposed Categories
1. Size
2. Other Risk-Based Indicators
a. Cross-Jurisdictional Activity
b. Weighted Short-Term Wholesale Funding
c. Nonbank Assets
d. Off-Balance Sheet Exposure
3. Alternative Scoping Criteria
4. Determination of Applicable Category of Standards
C. Proposed Regulatory Framework
1. Category I Standards
2. Category II Standards
3. Category III Standards
4. Category IV Standards
III. Impact Analysis
IV. Administrative Law Matters
A. Paperwork Reduction Act
B. Regulatory Flexibility Act Analysis
C. Plain Language
D. OCC Unfunded Mandates Reform Act of 1995 Determination
E.
I. Background and Summary of Proposal In 2013, the
   FOOTNOTE 1 Covered intermediate holding companies shall remain subject to this part as in effect on
   FOOTNOTE 2 Banking organizations subject to the agencies' capital rule include national banks, state member banks, insured state nonmember banks, savings associations, and top-tier bank holding companies and savings and loan holding companies domiciled in
   FOOTNOTE 3 See 79 FR 61440 (
   FOOTNOTE 4 These enhanced liquidity standards require a bank holding company to establish and maintain robust liquidity risk management practices, perform internal stress tests for determining the adequacy of their liquidity resources, and maintain a buffer of highly liquid assets to cover cash flow needs under stress. See 12 CFR part 252. END FOOTNOTE
   FOOTNOTE 5 For depository institution holding companies with
   FOOTNOTE 6 "Net Stable Funding Ratio: Liquidity Risk Measurement Standards and Disclosure Requirements; Proposed Rule," 81 FR 35124 (
Many of the agencies' current rules, including the capital rule, the LCR rule, and the proposed NSFR rule, differentiate among banking organizations based on one or more risk indicators, such as total asset size and foreign exposure. Specifically, the capital rule categorizes banking organizations into two groups: (i) Banking organizations subject solely to the generally applicable risk-based capital rules, which have total consolidated assets of less than
   FOOTNOTE 7 See 12 CFR part 217, subparts D & E (Board); 12 CFR part 3 (OCC), Subparts D & E; 12 CFR part 324, subparts D & E (FDIC). END FOOTNOTE
   FOOTNOTE 8 See 12 CFR 217.1(c), 12 CFR 217.100(b) (Board); 12 CFR 3.1(c), 12 CFR 3.100(b) (OCC); 12 CFR 324.1(c), 12 CFR 324.100(b) (FDIC).
   FOOTNOTE 9 Also referred to as the "generally applicable" risk-based capital requirements. END FOOTNOTE
Additional capital requirements apply to
   FOOTNOTE 10 The
With respect to the liquidity rules, the LCR rule also distinguishes between banking organizations based on total asset size and foreign exposure. The full LCR requirement generally applies to banking organizations that meet the advanced approaches thresholds and to their subsidiary depository institutions with total consolidated assets of
   FOOTNOTE 11 See 12 CFR 249.1. END FOOTNOTE
The scoping criteria of the regulations described above rely on a definition of advanced approaches banking organization that the agencies introduced in 2007 in connection with the adoption of the advanced approaches risk-based capital rule. The thresholds established by the definition were designed to include the largest and most internationally active banking organizations. In implementing the liquidity rules, the agencies relied on these same thresholds, recognizing the applicable banking organizations have balance sheet compositions, off-balance sheet activities, and funding profiles that lead to larger and more complex liquidity profiles.
The agencies are proposing modifications to their capital and liquidity rules that would revise the criteria for determining the prudential standards that apply to large banking organizations operating in
   FOOTNOTE 12 This proposal is part of the agencies' ongoing effort to review their respective capital and liquidity requirements to determine how best to tailor their application based on the size, complexity, and overall risk profile of banking organizations. Consistent with these efforts, the agencies also intend to issue a proposal to implement section 201 of the Economic Growth, Regulatory Relief, and Consumer Protection Act (EGRRCPA), which requires the agencies to revise the capital requirements applicable to certain banking organizations with less than
   FOOTNOTE 13 Separately, the Board is requesting comment on a proposed rule (the Board-only proposal) that would tailor certain prudential standards for large domestic banking organizations based on the same categories. In particular, and consistent with section 401 of EGRRCPA, the Board-only proposal would further tailor the application of existing prudential standards relating to liquidity, risk management, stress testing, and single-counterparty credit limits. In order to appropriately tailor the prudential requirements, the Board-only proposal incorporates the four categories of prudential standards for banking organizations described in this proposal. In addition, the Board-only proposal would apply prudential standards to certain large savings and loan holding companies (other than those substantially engaged in insurance underwriting or commercial activities), using the same categories, to further their safety and soundness. The agencies encourage commenters to review this proposal together with the Board-only proposal. END FOOTNOTE
The agencies note that there are currently additional outstanding notices of proposed rulemaking that make reference to the advanced approaches thresholds to set the scope of application, relating to simplifications to the agencies' capital rule (issued
   FOOTNOTE 14 See "Simplifications to the Capital Rule Pursuant to the Economic Growth and Regulatory Paperwork Reduction Act of 1996." 82 FR 49984 (
   FOOTNOTE 15 See "Regulatory Capital Rule: Standardized Approach for Calculating the Exposure Amount of Derivative Contracts," available at https://www.occ.treas.gov/news-issuances/news-releases/2018/nr-ia-2018-114.html. END FOOTNOTE
   FOOTNOTE 16 See "Basel III: Finalising post-crisis reforms," available at https://www.bis.org/bcbs/publ/d424.htm. The BCBS is a committee of banking supervisory authorities, which was established by the central bank governors of the G-10 countries in 1975. More information regarding the BCBS and its membership is available at http://www.bis.org/bcbs/about.htm. Documents issued by the BCBS are available through the Bank for International Settlements website at http://www.bis.org. END FOOTNOTE
II. Proposal
Post-crisis regulatory reforms, which include the agencies' capital and liquidity standards, have resulted in significant enhancements to financial stability and the safety and soundness of banking organizations. The agencies continue to evaluate the requirements of these measures to ensure that they meet their objectives in a manner that minimizes unintended consequences and aligns with banking organizations' risk profiles. These efforts include assessing the costs and benefits of regulations as well as exploring alternative approaches that achieve regulatory objectives but improve upon the simplicity, transparency, and efficiency of the regime. The proposal builds on the agencies' existing practice of tailoring capital and liquidity requirements based on the size, complexity, and overall risk profile of banking organizations.
The proposal would make changes that would further distinguish applicable capital and liquidity standards on the basis of risk. Under the proposal, the most stringent standards would continue to apply to banking organizations that present the greatest systemic risks. For other banking organizations, the proposal would refine the application of capital and liquidity standards based on these banking organizations' risk profiles, consistent with safety and soundness and financial stability.
Under the proposal, the most stringent set of standards (Category I) would apply to
The second set of standards (Category II) would apply to banking organizations that are very large or have significant international activity. Like Category I, the agencies intend for Category II standards to be consistent with standards developed by the BCBS, subject to notice and comment rulemaking in
The third set of standards (Category III) would apply to banking organizations with total consolidated assets of
The fourth set of standards (Category IV) would apply to banking organizations with total consolidated assets of
   FOOTNOTE 17 Bank holding companies and savings and loan holding companies with less than
A. Scope of Application
The next section II.B describes the proposed criteria for determining which of the four proposed categories of standards applies to a banking organization with total consolidated assets of
   FOOTNOTE 18 Public Law 111-203, 124 Stat. 1376 (2010). END FOOTNOTE
   FOOTNOTE 19 The Board continues to consider the appropriate way to assign the
The proposal would apply the same category of standards to both the top-tier holding company and its subsidiary depository institutions. With respect to capital, the proposal would apply the same requirements to a subsidiary depository institution of a holding company as would apply at the holding company level. This treatment aligns with the agencies' longstanding policy of applying similar standards to holding companies and their subsidiary depository institutions. For example, since 2007 the agencies have generally required depository institutions to apply the advanced approaches capital requirements if their parent holding company is identified as an advanced approaches banking organization. This approach serves as an important safeguard against arbitrage among affiliated banks that would otherwise be subject to substantially different regulatory requirements. With respect to liquidity, subsidiary depository institutions of a holding company subject to the full LCR and the proposed full NSFR with
Question 1: The agencies invite comment on the advantages and disadvantages of assigning a category of standards to a subsidiary depository institution based on the category assigned to its top-tier parent holding company. What would be the advantages and disadvantages of relying on the top-tier holding company's categorization and, under this approach, how should these standards be applied at the subsidiary depository institution? If commenters prefer an alternative approach to relying on the top-tier holding company's categorization, please describe any alternative scoping criteria that the agencies should consider for categorizing subsidiary depository institutions. If an alternative approach were applied, what increases in compliance costs or operational challenges could arise if a subsidiary depository institution were subject to a different category of standards than its top-tier parent holding company?
B. Scoping Criteria for Proposed Categories
Where possible, the proposal would rely on indicators and thresholds already used in the agencies' existing regulatory frameworks or reported by large
   * Category I standards would apply to
   * Category II standards would apply to banking organizations with
   * Category III standards would apply to banking organizations that are not subject to Category I or II standards and that have
   * Category IV standards would apply to banking organizations with at least
To determine which banking organizations are subject to the most stringent standards under Category I, the agencies would use the existing methodology under the Board's GSIB surcharge rule. /20/ The proposal would not modify the requirements that currently apply to
   FOOTNOTE 20 See 12 CFR part 217, subpart H; see also "Regulatory Capital Rules: Implementation of Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies; Final Rule," 80 FR 49082 (
To determine the applicability of the remaining categories of capital and liquidity standards, the agencies are proposing to differentiate requirements based on a banking organization's level of specific risk-based indicators. /21/ This approach is intended to allow banking organizations and the public to easily identify and predict what requirements will apply to a banking organization, and what requirements would apply if the characteristics of a banking organization change. Under the proposed approach, Categories II through IV would be defined by five indicators linked to a banking organization's risk profile: Size, cross-jurisdictional activity, weighted short-term wholesale funding, nonbank assets, and off-balance sheet exposure. By taking into consideration the relative presence or absence of each risk factor, the proposal would provide a basis for assessing a banking organization's financial stability and safety and soundness risks. /22/ These indicators generally track measures already used in the agencies' existing regulatory framework and that banking organizations that would be covered by the proposal already publicly report at the holding company level. This approach would promote transparency and, for banking organizations that already report this information, would not require additional compliance costs to track and report. The proposed thresholds would apply based on the level of each indicator over the preceding four calendar quarters, as described further below, in order to account for significant changes in a banking organization's risk profile that reflect longer term shifts in business activities.
   FOOTNOTE 21 As an alternative, the agencies are also requesting comment on a score-based approach, which would differentiate requirements for banking organizations using an aggregated "score" across multiple measures of risk. Section II.B.3 of this Supplementary Information section describes this proposed alternative. END FOOTNOTE
   FOOTNOTE 22 When reviewing agency interpretations of statutes that require an agency to "take into account" or "take into consideration" a number of factors, courts generally defer to the expertise of the agency in determining how to apply the factors and the relative weight given to each factor. See, e.g.,
Under the proposal, a depository institution without a holding company would be required to calculate these risk-based indicators, apart from size, based upon the instructions of certain reports that are required to be filed by holding companies, including the Banking Organization Systemic Risk Report (FR
Question 2:The agencies invite comment on the advantages and disadvantages of requiring a depository institution without a holding company to calculate indicators according to this approach. What operational complexities and challenges would arise if the agencies adopted this approach? What additional information could the agencies incorporate into the Consolidated Reports of Condition and Income (Call Reports), or other reports currently required of depository institutions, to replicate the calculation methodology for these indicators such as the measure of foreign assets and liabilities captured in the FR
1. Size
The proposal would measure size based on a banking organization's total consolidated assets. The agencies have previously used size as a simple measure of a banking organization's potential systemic impact as well as safety and soundness risks. /23/
   FOOTNOTE 23 For example, advanced approaches capital requirements, the supplementary leverage ratio, and the LCR requirement generally apply to banking organizations with total consolidated assets of
The effect of a large banking organization's failure on the economy is likely to be greater than that which occurs when a smaller banking organization fails, even though the two banking organizations might be engaged in similar business lines. /24/ Board staff estimates that stress at a single large banking organization with an assumed
   FOOTNOTE 24 See
   FOOTNOTE 25 Id. END FOOTNOTE
In general, a banking organization's size also provides a measure of the extent to which customers or counterparties may be exposed to a risk of loss or suffer a disruption in the provision of services if a banking organization were to experience distress, and the extent to which asset fire sales by a banking organization could transmit distress to other market participants, given that a larger banking organization has more assets to sell. In addition, the large size of a banking organization may give rise to challenges that may complicate resolution of the firm if it were to fail.
The size of a banking organization can also be an indication of operational and managerial complexity, which can present safety and soundness risks even when a banking organization is not engaged in complex business lines. A larger banking organization operates on a larger scale, has a broader geographic scope, and generally will have more complex internal operations than a smaller banking organization, resulting in greater risks to safety and soundness.
The proposal would establish thresholds of
A holding company with
   FOOTNOTE 26 Id. END FOOTNOTE
   FOOTNOTE 27 Washington Mutual, a savings and loan holding company, had approximately
   FOOTNOTE 28 See EGRRCPA SEC 401. END FOOTNOTE
In the Board-only proposal, the Board is proposing to apply certain requirements as Category IV standards to bank holding companies and certain savings and loan holding companies with
Question 3:The agencies invite comment on the advantages and disadvantages of using size thresholds to tailor capital and liquidity requirements. The agencies invite comment on whether the inclusion of asset size thresholds in capital and liquidity standards drives changes in bank business models and risk profiles in ways that differ from the effects of thresholds based on other risk-based indicators. As an alternative to size thresholds, the agencies invite comment on whether other factors alone can adequately differentiate between the risk profiles of banking organizations and serve as the primary tool to tailor capital and liquidity requirements.
2. Other Risk-Based Indicators
In addition to size, the proposal would consider a banking organization's level of cross-jurisdictional activity, weighted short-term wholesale funding, nonbank assets, and off-balance sheet exposure to determine the applicable category of standards. The agencies are proposing to apply a uniform threshold of
   FOOTNOTE 29 Because a size threshold of
Category II standards would apply to a banking organization with
a. Cross-Jurisdictional Activity
Cross-jurisdictional activity would be defined as the sum of cross-jurisdictional assets and liabilities, as each is reported on the FR
The agencies' capital and liquidity regulations currently use foreign exposure as a metric to determine the application of certain requirements, such as advanced approaches capital requirements /30/ and the LCR requirement. /31/ The proposal would amend these regulations to replace the current
   FOOTNOTE 30 See 12 CFR 217.100(b)(1) (Board), 12 CFR 324.100(b)(1) (FDIC), 12 CFR 3.100(b)(1) (OCC). END FOOTNOTE
   FOOTNOTE 31 See 12 CFR 249.1(b)(ii) (Board), 12 CFR 329.1(b)(ii)(FDIC), 12 CFR 50.1(b)(ii) (OCC). END FOOTNOTE
Question 4: How should depository institutions report a measure of foreign assets and liabilities for purposes of calculating cross-jurisdictional activity? What problems would depository institutions face if they used the measure of foreign assets and liabilities as reported on the Country Exposure Report (
b. Weighted Short-Term Wholesale Funding
The proposed weighted short-term wholesale funding indicator would track the measure currently reported on the FR
   FOOTNOTE 32 Specifically, short-term wholesale funding is the amount of a banking organization's funding obtained from wholesale counterparties or retail brokered deposits and sweeps with a remaining maturity of one year or less. Categories of short-term wholesale funding are then weighted based on four residual maturity buckets; the asset class of collateral, if any, backing the funding; and characteristics of the counterparty. Weightings reflect risk of runs and attendant fire sales. See 12 CFR 217.406 and Regulatory Capital Rules: Implementation of Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies, 80 FR 49082 (
c. Nonbank Assets
Under the proposal, nonbank assets would be measured as the average amount of equity investments in nonbank subsidiaries. /33/ The level of a banking organization's investment in nonbank subsidiaries provides a measure of the organization's business and operational complexity. Specifically, banking organizations with significant investments in nonbank subsidiaries are more likely to have complex corporate structures, inter-affiliate transactions, and funding relationships. As discussed in the Board's final GSIB surcharge rulemaking, a banking organization's complexity is positively correlated with the impact of its failure or distress. /34/ Because nonbank subsidiaries may not be resolved through the
   FOOTNOTE 33 The proposed measure of nonbank assets also would include the average of the assets in each Edge or
   FOOTNOTE 34 See Regulatory Capital Rules: Implementation of Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies, 80 FR 49082 (
Nonbank activities may involve a broader range of risks than those associated with purely banking activities, and can increase interconnectedness with other financial firms, requiring sophisticated risk management and governance, including capital planning, stress testing, and liquidity risk management. If not adequately managed, the risks associated with nonbanking activities could present significant safety and soundness concerns and increase financial stability risks. The failure of a nonbank subsidiary could be destabilizing to a banking organization and cause counterparties and creditors to lose confidence in the banking organization. Nonbank assets also reflect the degree to which a banking organization may be engaged in activities through legal entities that are not subject to separate capital requirements or to the direct regulation and supervision applicable to a regulated banking entity.
d. Off-Balance Sheet Exposure
Off-balance sheet exposure complements the measure of size by taking into consideration financial and banking activities not reflected on a banking organization's balance sheet. Like a banking organization's size, off-balance sheet exposure provides a measure of the extent to which customers or counterparties may be exposed to a risk of loss or suffer a disruption in the provision of services. In addition, off-balance sheet exposure can lead to significant future draws on capital and liquidity, particularly in times of stress. In the financial crisis, for example, vulnerabilities at individual banking organizations were exacerbated by margin calls on derivative exposures, calls on commitments, and support provided to sponsored funds. These exposures can be a source of safety and soundness risk, as banking organizations with significant off-balance sheet exposure may have to fund these positions in the market in a time of stress, which can put a strain on both capital and liquidity. The nature of these risks for banking organizations of this size and complexity can also lead to financial stability risk, as they can manifest rapidly and with less transparency to other market participants. In addition, because draws on off-balance sheet exposures such as committed credit and liquidity facilities tend to increase in times of stress, they can exacerbate the effects of stress on a banking organization. /35/
   FOOTNOTE 35 See
Off-balance sheet exposures may also serve as a measure of a banking organization's interconnectedness. Some off-balance sheet exposures, such as derivatives, are concentrated among the largest financial firms. /36/ The distress or failure of one party to a financial contract, such as a derivative or securities financing transaction, can trigger disruptive terminations of these contracts that destabilize the defaulting party's otherwise solvent affiliates. /37/ Such a default also can lead to disruptions in markets for financial contracts, including by resulting in rapid market-wide unwinding of trading positions. /38/ In this way, the effects of one party's failure or distress can be amplified by its off-balance sheet connections with other financial market participants.
   FOOTNOTE 36 See, e.g.,
   FOOTNOTE 37 To address these risks, the agencies have established restrictions relating to the qualified financial contracts of
   FOOTNOTE 38 See, e.g., The Orderly Liquidation of
The proposal would define off-balance sheet exposure based on measures currently reported by holding companies with more than
Question 5: What are the advantages and disadvantages of the proposed risk-based indicators? What different indicators should the agencies use, and why?
Question 6: At what level should the threshold for each indicator be set, and why? Commenters are encouraged to provide data supporting their recommendations.
Question 7: The agencies are considering whether Category II standards should apply based on a banking organization's weighted short-term wholesale funding, nonbank assets, and off-balance sheet exposure, using a higher threshold than the
3. Alternative Scoping Criteria
An alternative approach for assessing the risk profile and systemic footprint of a banking organization for purposes of tailoring prudential standards would be to use a single, comprehensive score. The Board uses a GSIB identification methodology (scoring methodology) to identify global systemically important bank holding companies and apply risk-based capital surcharges to these banking organizations. The agencies could use this same scoring methodology to tailor prudential standards for large, but not globally systemic, banking organizations.
The scoring methodology calculates a GSIB's capital surcharge under two methods. /39/ The first method is based on the sum of a firm's systemic indicator scores reflecting its size, interconnectedness, cross-jurisdictional activity, substitutability, and complexity (method 1). The second method is based on the sum of these same measures of risk, except that the substitutability measures are replaced with a measure of the firm's reliance on short-term wholesale funding (method 2). /40/
   FOOTNOTE 39 See 12 CFR part 217, subpart H. END FOOTNOTE
   FOOTNOTE 40 For more discussion relating to the scoring methodology, please see the Board's final rule establishing the scoring methodology. See Regulatory Capital Rules: Implementation of Risk-Based Capital Surcharges for Global Systemically Important Bank Holding Companies, 80 FR 49082 (
The Board designed the scoring methodology to provide a single, comprehensive, integrated assessment of a large bank holding company's systemic footprint. Accordingly, the indicators in the scoring methodology measure the extent to which the failure or distress of a bank holding company could pose a threat to financial stability or inflict material damage on the broader economy. The indicators used in the scoring methodology also could be used to help identify banking organizations that have heightened risk profiles and would closely align with the risk-based factors specified in section 165 of the Dodd-Frank Act for applying enhanced prudential standards and differentiating among banking organizations to which the enhanced prudential standards apply. /41/ Importantly, large bank holding companies already submit to the Board periodic public reports on their indicator scores in the scoring methodology. Accordingly, use of the scoring methodology more broadly for tailoring of prudential standards would promote transparency and would economize on compliance costs for large bank holding companies.
   FOOTNOTE 41 See 12 U.S.C. 5365(a)(2)(A). END FOOTNOTE
Under the alternative scoring approach, a banking organization's size and either its method 1 or method 2 score from the scoring methodology would be used to determine which category of standards would apply to the firm. In light of the changes made by EGRRCPA, the Board conducted an analysis of the distribution of method 1 and method 2 scores of bank holding companies and covered savings and loan holding companies with at least
   FOOTNOTE 42 In conducting its analysis, the Board considered method 1 and method 2 scores as of
Category I: As under the proposal and under the Board's existing enhanced prudential standards framework, Category I standards would continue to apply to
Category II: Category II banking organizations are defined in the proposal as those whose failure or distress could impose costs on the
In selecting the ranges of method 1 or method 2 scores that could define the application of Category II standards, the Board considered the potential of a firm's material distress or failure to disrupt the
   FOOTNOTE 43 Outliers can be determined by a number of statistical methods. For these purposes, the Board computed an outlier as the third quartile plus three times the interquartile range of method 1 and method 2 scores of these
Based on this analysis, the agencies would apply Category II standards to any non-GSIB banking organization with at least
Category III: As noted, section 165 of the Dodd-Frank Act requires the Board to apply enhanced prudential standards to any bank holding company with total consolidated assets of
Category IV: Under a score-based approach, category IV standards would apply to banking organizations with at least
Question 8: What are the advantages and disadvantages to using the scoring methodology and category thresholds described above relative to the proposed thresholds?
Question 9: If the agencies were to use the scoring methodology to differentiate non-GSIB banking organizations for purposes of tailoring prudential standards, should the agencies use method 1 scores, method 2 scores, or both?
Question 10: If the agencies adopt the scoring methodology, what would be the advantages or disadvantages of the agencies requiring banking organizations to calculate their scores at a frequency greater than annually, including, for example, requiring a banking organization to calculate its score on a quarterly basis?
Question 11: With respect to each category of banking organization described above, at what level should the method 1 or method 2 score thresholds be set and why, and discuss how those levels could be impacted by considering additional data, or by considering possible changes in the banking system. Commenters are encouraged to provide data supporting their recommendations.
Question 12: What are the advantages and disadvantages in using the scoring methodology to categorize banking organizations with systemic footprints smaller than the GSIBs for purposes of tailoring prudential standards?
Question 13: What other approaches should the agencies consider in setting thresholds for tailored prudential standards?
4. Determination of Applicable Category of Standards
Under the proposal, a holding company with total consolidated assets of
   FOOTNOTE 44 See, e.g., 12 CFR part 217. END FOOTNOTE
Banking organizations that would be subject to the proposal would be required to report size and other risk-based indicators on a quarterly basis. In order to capture significant changes in a banking organization's risk profile, rather than temporary fluctuations, a category of standards would apply to a banking organization based on the average levels of each indicator over the preceding four calendar quarters. /45/ A banking organization would remain subject to a category of standards until the banking organization no longer meets the indicators for its current category in each of the four most recent calendar quarters, or until the banking organization meets the criteria for another category of standards based on an increase in the average value of one or more indicators over the preceding four calendar quarters. This approach would be consistent with the existing applicability and cessation requirements of the Board's enhanced prudential standards rule. /46/ Changes in requirements that result from a change in category generally would take effect on the first day of the second quarter following the change in the banking organization's category. /47/ For example, a banking organization that changes from Category IV to Category III based on an increase in the average value of its indicators over the first, second, third, and fourth quarters of a calendar year would be subject to Category III standards beginning on
   FOOTNOTE 45 With respect to a firm that has reported an indicator for less than four quarters, the proposal would refer to the average of the most recent quarter or quarters. END FOOTNOTE
   FOOTNOTE 46 See, e.g., 12 CFR 252.43. END FOOTNOTE
   FOOTNOTE 47 The Board would maintain existing transition provisions for Category I and II capital standards, such as changes to a bank holding company's GSIB surcharge. END FOOTNOTE
Under the LCR rule and NSFR proposed rule, a banking organization that meets the thresholds for applicability measured as of the year-end must comply with the requirement(s) beginning on
   FOOTNOTE 48 12 CFR 50.1(b)(2) (OCC); 12 CFR 249.1(b)(2) (Board); 12 CFR 329(1)(b)(2) (FDIC); and NSFR proposed rule. See also Liquidity Coverage Ratio: Liquidity Risk Measurement Standards, 79 FR 61440, 61447 (
In addition, the LCR rule provides newly covered banking organizations with a transition period for the daily calculation requirement, recognizing that a daily calculation requirement could impose significant operational and technology demands. Specifically, a newly covered banking organization must calculate its LCR monthly from
   FOOTNOTE 49 See id. END FOOTNOTE
The agencies are not proposing changes to the cessation provisions of the LCR rule, NSFR proposed rule, and advanced approaches capital requirements. Once a banking organization is subject to advanced approaches capital requirements, the LCR rule, or the NSFR proposed rule, it would remain subject to the rule until its primary federal supervisor determines that application of the rule would not be appropriate in light of the banking organization's asset size, level of complexity, risk profile, or scope of operations.
Question 14: What are the advantages and disadvantages to a banking organization calculating its category on a quarterly basis? Discuss whether calculation on an annual basis would be more appropriate and why.
Question 15: What are the advantages and disadvantages of the proposed transition period for each of the standards in each of the categories? What would be the advantages or disadvantages of providing additional time to conform to new requirements? If a banking organization changes category because of an increase in one or more risk-based indicators, discuss the advantages and disadvantages of providing an additional quarter before applying the new category's standards.
Question 16: As noted above, the LCR rule currently provides that a banking organization becomes subject to the LCR rule "beginning on
Question 17: What would be the advantages and disadvantages of maintaining the cessation provisions in the advanced approaches rule, LCR rule, and NSFR proposed rule? What would be the advantages and disadvantages of aligning the cessation provisions in the advanced approaches capital requirements, LCR rule, and NSFR proposed rule with the transition provisions between categories of standards? For example, the current version of the LCR rule provides that, once a banking organization becomes subject to the LCR rule, it remains subject to the LCR rule until its regulator determines in writing that application of the LCR rule is no longer appropriate. What are the advantages and disadvantages of requiring a written determination before a banking organization can move to a lower category? What would be the advantages and disadvantages of automatically moving the category of a banking organization based on its size and indicators?
C. Proposed Regulatory Framework
This section describes the capital and liquidity requirements that currently apply and those that would apply under the four categories in the proposal. Similar to certain aspects of the current capital requirements, the proposal would allow banking organizations to choose to apply the more stringent requirements of another category (e.g., a banking organization subject to Category III standards could choose to comply with the more stringent Category II standards to minimize compliance costs across multiple jurisdictions).
1. Category I Standards
Currently,
Accordingly,
   FOOTNOTE 50 The full requirements of the LCR rule include the calculation of the LCR on each business day and the inclusion of a maturity mismatch add-on in the total net cash outflow amount. END FOOTNOTE
Consistent with current requirements, a subsidiary depository institution of a banking organization subject to the full LCR and proposed NSFR requirements with
2. Category II Standards
The failure or distress of banking organizations that would be subject to Category II standards could impose significant costs on the
In this proposal, capital and liquidity requirements that are generally consistent with standards developed by the BCBS, subject to notice and comment rulemaking in
As under existing requirements, the proposed Category II capital standards would apply to the subsidiary depository institutions of holding companies subject to Category II standards, and the LCR and proposed NSFR requirements would apply to subsidiary depository institutions with total consolidated assets of
3. Category III Standards
The agencies' current regulatory framework generally applies the same capital and liquidity standards to all non-GSIB banking organizations with
Category III standards would apply to all banking organizations with at least
Under the proposal, Category III capital standards would include generally applicable risk-based capital requirements, the
The agencies are separately proposing to adopt the standardized approach for counterparty credit risk for derivatives exposures (SA-CCR) and to require advanced approaches banking organizations (banking organizations subject to Category I or II standards, under this proposal) to use SA-CCR for calculating their risk-based capital ratios and a modified version of SA-CCR for calculating total leverage exposure under the supplementary leverage ratio. If that proposal were to be adopted, the agencies would allow a Category III banking organization to elect to use SA-CCR for calculating derivatives exposure in connection with its risk-based capital ratios, consistent with the SA-CCR proposal. Furthermore, if that proposal were to be adopted, the agencies intend to allow a banking organization subject to Category III standards to elect to use SA-CCR for calculating its total leverage exposure calculations used to determine the supplementary leverage ratio, or to continue to use the current exposure method.
Banking organizations subject to Category III standards would not be required to apply advanced approaches capital requirements. The models for applying these requirements are costly to build and maintain, and the agencies do not expect that the removal of these requirements would materially change the amount of capital that these banking organizations would be required to maintain. The standardized approach currently represents the binding risk-based capital constraint for all banking organizations in the current population of banking organizations that would be subject to Category III standards.
Question 18: Under the current capital rule, the agencies apply certain provisions, such as the supplementary leverage ratio and countercyclical capital buffer, based on the same applicability thresholds as advanced approaches capital requirements. The proposal would establish different applicability thresholds for the supplementary leverage ratio and countercyclical capital buffer by including them as Category III standards, while advanced approaches capital requirements would apply only as Category I and II standards. This approach would increase the risk-sensitivity of the framework and allow for the retention of key elements of the capital rule for banking organizations subject to Category III standards without requiring them to comply with advanced approaches capital requirements more broadly. However, it also increases the complexity of the capital rule. To what extent, if any, would this additional complexity increase compliance costs for large banking organizations (for example, by requiring banking organizations to monitor and manage the proposed risk-based indicator thresholds)? To what extent, if any, would the proposed approach add complexity for market participants when comparing the capital adequacy of banking organizations in different categories? The agencies request comment on the advantages and disadvantages of establishing separate regulatory capital standards for banking organizations that would be subject to Category III that are different from either Category II or IV standards, including any wider implications for financial stability.
Question 19: What are the advantages and disadvantages of applying the supplementary leverage ratio requirement to banking organizations subject to Category III standards? How do these advantages and disadvantages compare to any costs associated with any additional complexity to the regulatory framework that would result from applying this to banking organizations subject to Category III standards? To what extent would application of the supplementary leverage ratio requirement to these banking organizations strengthen their safety and soundness and improve
Question 20: What are the advantages and disadvantages of not requiring banking organizations subject to Category III standards to recognize most elements of AOCI in regulatory capital? To what extent does not requiring banking organizations subject to Category III standards to recognize most elements of AOCI in regulatory capital impact safety and soundness of individual banking organizations or raise broader financial stability concerns? For example, to what extent would this approach reduce the accuracy of these banking organizations' reported regulatory capital? To what extent does the recognition of most elements of AOCI in regulatory capital improve market discipline and provide for a clearer picture of the financial health of banking organizations? To what extent does it make comparing the financial condition of Category III banking organizations to that of Category I and Category II banking organizations, on the one hand, and that of Category IV banking organizations, on the other hand, more difficult?
Question 21: With respect to banking organizations that currently recognize most elements of AOCI in regulatory capital, to what extent do intra-quarter variations in regulatory capital due to the inclusion of AOCI since the capital rule took effect differ from variations in reported quarter-end data over the same period? What have been the causes of variations in each?
Question 22: As discussed above, the agencies are not requiring banking organizations subject to Category III standards to recognize most elements of AOCI in regulatory capital. Alternatively, the agencies could require only the top-tier parent holding company to recognize most elements of AOCI in regulatory capital while exempting their subsidiary depository institutions from this requirement. What are the advantages and disadvantages of this alternative approach? What would be the costs and operational challenges associated with this additional complexity, where the holding company and subsidiary depository institutions implement different standards related to AOCI? To what degree would this alternative approach to AOCI impose less cost or burden to banking organizations subject to Category III standards relative to their current AOCI requirement under the agencies' capital rule (i.e., both the top-tier holding company and subsidiary depository institutions are currently required to recognize most elements of AOCI in regulatory capital)? To what degree would this alternative approach provide market participants with a transparent picture of the financial condition of the subsidiary depository institutions and the parent holding company?
Question 23: For purposes of comparability, in a final rulemaking should the agencies require all banking organizations subject to Category III standards to use SA-CCR for either risk-based or supplementary leverage ratio calculations and, if so, why?
Question 24: What would be the advantages and disadvantages of no longer applying the countercyclical capital buffer to banking organizations that would be subject to Category III standards? In particular, how would narrowing the scope of application of the countercyclical buffer affect the financial stability and countercyclical objectives of the buffer? What other regulatory tools, if any, could be used to meet these objectives?
Question 25: The proposal would apply Category III standards to a banking organization that exceeds certain risk-based indicators, including having more than
With respect to liquidity requirements, the LCR rule and proposed NSFR rule provide standardized minimum liquidity requirements and measures of liquidity risk that enhance banking organizations' resiliency, improve risk management, and facilitate comparisons of liquidity risk across banking organizations. These standards are designed to achieve two separate but complementary objectives. The LCR rule promotes the resilience of a banking organization to liquidity risk by ensuring that it has sufficient liquid assets to survive a short-term period of stress. The proposed NSFR rule would address funding risks over a longer, one-year time horizon and mitigate the risk of disruptions to a banking organization's regular sources of funding by requiring banking organizations to maintain a stable funding profile.
Category III standards would include full or reduced LCR and NSFR requirements, depending on a banking organization's level of weighted short-term wholesale funding. Specifically, a banking organization that meets the criteria for Category III standards would be subject to the full LCR and NSFR requirements if it has weighted short-term wholesale funding of
For banking organizations subject to Category III standards with weighted short-term wholesale funding of less than
The denominator of the proposed reduced LCR would equal the net cash outflows calculated under the full LCR requirement, multiplied by a factor that reduces its stringency. Similarly, the denominator of the NSFR would equal the required stable funding requirement calculated under the full NSFR requirement, multiplied by a factor that reduces its stringency. The agencies are requesting comment on applying reduced standards that would be equivalent to between 70 and 85 percent of the full LCR and NSFR requirements. The proposal would not alter other aspects of the LCR and NSFR calculations for these banking organizations, relative to the full LCR and proposed NSFR requirements. For example, these banking organizations would continue to calculate their LCR on each business day and include the maturity mismatch add-on in the calculation. /51/
   FOOTNOTE 51 Section 30 of the LCR rule requires a banking organization, as applicable, to include in its total net cash outflow amount a maturity mismatch add-on, which is calculated as the difference (if greater than zero) between the covered company's largest net cumulative maturity outflow amount for any of the 30 calendar days following the calculation date and the net day 30 cumulative maturity outflow amount. END FOOTNOTE
Like the current LCR and NSFR requirements, the proposal would apply Category III LCR and NSFR requirements to a depository institution that has total consolidated assets of
   FOOTNOTE 52 As discussed in section II.B.4 of this Supplementary Information section, the proposal would measure the total consolidated assets of a subsidiary depository institution based on the level over the previous four calendar quarters. END FOOTNOTE
   FOOTNOTE 53 In the case of a depository institution that is not a consolidated subsidiary of a banking organization that would be subject to Category I, II, III, or IV standards or a consolidated subsidiary of a foreign banking organization, the applicable category of standards would depend on the risk-based indicators of the depository institution. For example, if the depository institution meets the criteria for Category III standards but has weighted short-term wholesale funding of less than
Question 26: In general, the proposed framework would apply consistent requirements to all banking organizations within each category of standards. For the LCR and proposed NSFR requirements, however, the agencies are proposing two levels of standards within Category III. Specifically, the proposal would apply reduced LCR and NSFR requirements to a banking organization subject to Category III standards that has less than
Question 27: Between a range of 70 and 85 percent of the full requirements, what level should the agencies adopt for the reduced LCR and NSFR requirements for banking organizations subject to Category III standards that have less than
Consistent with section 22(b) of the LCR rule, a banking organization subject to the proposed reduced LCR requirement would not be permitted to include in its HQLA amount eligible HQLA of a consolidated subsidiary except up to the amount of the net cash outflows of the subsidiary (as adjusted for the factor reducing the stringency of the requirement), plus any additional amount of assets, including proceeds from the monetization of assets, that would be available for transfer to the top-tier covered company during times of stress without statutory, regulatory, contractual, or supervisory restrictions. /54/ A similar restriction would apply under section 108 of the NSFR proposed rule. /55/
   FOOTNOTE 54 See SEC __.22(b)(3) and (4) of the LCR rule (12 CFR 50.22(b)(3) and (4) (OCC); 12 CFR 249.22(b)(3) and (4) (Board); 12 CFR 329.22(b)(3) and (4) (FDIC). END FOOTNOTE
   FOOTNOTE 55 See NSFR proposed rule
Question 28: The agencies request comment regarding this proposed approach, as well as potential alternative approaches to recognizing restrictions on the transferability of liquidity from a consolidated subsidiary to the top-tier covered company. What alternative approaches should the agencies consider?
For example, should the agencies consider the approach the Board currently permits for holding companies subject to a modified LCR requirement? Under this approach, a company may include in its HQLA amount eligible HQLA held at a subsidiary up to 100 percent of the net cash outflows of the subsidiary, plus amounts that may be transferred without restriction to the top-tier covered company. In the case of the NSFR proposed rule, a company could include available stable funding amounts of the subsidiary up to 100 percent of the required stable funding amount of the subsidiary, plus amounts that may be transferred without restriction to the top-tier covered company. What would be the advantages and disadvantages of the proposed approach and potential alternatives? What incentives would each have with respect to the positioning of HQLA within a banking organization? What effects would the proposed approach or alternative approaches have on the safety and soundness of a holding company and its subsidiary depository institutions?
4. Category IV Standards
Under the proposal, Category IV standards would apply to banking organizations with
Category IV capital standards would include the generally applicable risk-based capital requirements and the
Under the proposal, Category IV standards would not include an LCR or NSFR requirement. As a result, the Board is proposing to remove the current modified LCR requirement and the proposed modified NSFR requirement for domestic banking organizations. /56/ The LCR rule and NSFR proposed rule are important standards for Category I, Category II, and Category III given such banking organizations' size, complexity, and the resulting challenges that may complicate the resolution of such banking organizations. However these standardized liquidity requirements are less important for banking organizations subject to Category IV standards given their smaller systemic footprint, more limited size, and other applicable requirements. As a class, the domestic banking organizations currently in this category have more traditional balance sheet structures, are largely funded by stable deposits, and have little reliance on less stable wholesale funding. All banking organizations that would be subject to Category IV have less than
   FOOTNOTE 56 The proposal would also remove the modified LCR and proposed modified NSFR requirements for banking organizations with total consolidated assets less than
   FOOTNOTE 57 The Board-only proposal provides further discussion of liquidity standards that would apply under the Board's regulations to firms that would be subject to Category IV standards. END FOOTNOTE
Question 29: Based on the risk profiles of banking organizations subject to Category IV standards, what alternative capital and liquidity requirements should the agencies consider and why?
Question 30: The proposal would not apply the LCR or the proposed NSFR rules to banking organizations subject to Category IV standards. What are the advantages and disadvantages of this approach? To what extent would scoping out banking organizations subject to Category IV standards from the LCR and proposed NSFR rules affect the safety and soundness of individual banking organizations or raise broader financial stability concerns? To what extent does maintaining liquidity risk management and internal liquidity stress testing and buffer requirements at the holding company level for these firms under the Board-only proposal mitigate these concerns? What are the advantages and disadvantages of maintaining standardized liquidity requirements, such as the current LCR requirement and proposed NSFR requirement, for firms subject to Category IV standards? If the Board were to apply some or all of the LCR and proposed NSFR requirements to these firms, what, if any, other regulatory requirements should the Board consider reducing or removing?
III. Impact Analysis
The Board assessed the potential impact of the proposed rule, taking into account potential benefits in the form of increased net interest margins from holding higher yielding assets, reduced compliance costs, and increased regulatory flexibility, and potential costs related to increased risk to holding companies during a period of elevated economic stress or market volatility. /58/
   FOOTNOTE 58 As noted in section IV.D of this Supplementary Information, the OCC also considered the potential costs of the proposed rule for the purpose of the Unfunded Mandates Reform Act of 1996 (2 U.S.C. 1532). END FOOTNOTE
The Board expects the proposal to have no material impact on the capital levels of banking organizations that would be subject to Category I or II standards. For banking organizations that would be subject to Category III or IV standards, the Board expects the proposal to slightly lower capital requirements under current conditions (by approximately
For purposes of assessing the potential impact of the proposed changes to the liquidity standards, the Board's assessment focused on the impact of the proposed change in the applicability and the stringency of the Board's existing liquidity standards under the LCR rule. /59/ The Board quantified the impact of the proposed LCR tailoring on the HQLA of affected holding companies. /60/ In the analysis, the Board assumed that holding companies subject to Category III standards and holding companies subject to Category IV standards would respond differently to the new regulatory requirements. For holding companies subject to Category III requirements, the proposal would generally result in a decrease in LCR minimum requirements that could range from 70 to 85 percent of the full LCR requirements if the firm has less than
   FOOTNOTE 59 Because the NSFR and modified NSFR requirements have not yet been finalized, banking organizations are not currently subject to those minimum requirements. As a result, the Board did not assess any changes in impact as a result of amending its scope of application. END FOOTNOTE
   FOOTNOTE 60 The Board's analysis estimates the impact of reducing the LCR requirement for holding companies that would be subject to Category III or Category IV standards using data submitted on the FR 2052a and FR
   FOOTNOTE 61 For example, in the case of a holding company that would be subject to Category III standards and the reduced LCR and NSFR requirements under the proposal, if the firm's current LCR requirement is greater than its ILST-based liquidity buffer requirement, and the firm currently maintains an LCR of 120 percent relative to the currently applicable full LCR requirement, the approach would assume the firm will reduce its HQLA by 30 percent under a 70 percent LCR requirement. END FOOTNOTE
The Board estimates that under a 70 percent LCR requirement, holding companies subject to Category III standards that have less than
   FOOTNOTE 62 The estimated drop in HQLA, assuming an 85 percent LCR for holding companies subject to Category III standards that have less than
In the second part of the analysis, the Board estimated how the proposal would affect the net interest margin, loan growth, and the probability that these holding companies could experience liquidity pressure during a period of elevated stress or volatility (outcome variables). The Board implemented this analysis by using regression models for the above variables. As an input to these regression models, the Board used the estimates for the proposal's direct effects on HQLA to infer its indirect effects on the outcome variables.
The Board estimates that the reduction in the LCR requirements would modestly increase the net interest margin at affected holding companies. Reducing the LCR calibration to 70 percent for banking organizations subject to Category III standards that have less than
   FOOTNOTE 63 If the agencies calibrate the LCR requirement at 85 percent for banking organizations subject to Category III standards with less than
IV. Administrative Law Matters
A. Paperwork Reduction Act
Certain provisions of the proposed rule contain "collection of information" requirements within the meaning of the Paperwork Reduction Act (PRA) of 1995 (44 U.S.C. 3501-3521). In accordance with the requirements of the PRA, the agencies may not conduct or sponsor, and a respondent is not required to respond to, an information collection unless it displays a currently valid
Comments are invited on:
a. Whether the collections of information are necessary for the proper performance of the agencies' functions, including whether the information has practical utility;
b. The accuracy or the estimate of the burden of the information collections, including the validity of the methodology and assumptions used;
c. Ways to enhance the quality, utility, and clarity of the information to be collected;
d. Ways to minimize the burden of the information collections on respondents, including through the use of automated collection techniques or other forms of information technology; and
e. Estimates of capital or startup costs and costs of operation, maintenance, and purchase of services to provide information.
All comments will become a matter of public record. Comments on aspects of this document that may affect reporting, recordkeeping, or disclosure requirements and burden estimates should be sent to the addresses listed in the ADDRESSES section of this document. A copy of the comments may also be submitted to the OMB desk officer for the agencies by mail to
Information Collection Proposed To Be Revised
Title of Information Collection: Recordkeeping and Disclosure Requirements Associated with Capital Adequacy.
Frequency: Quarterly, annual.
Affected Public: Businesses or other for-profit.
Respondents:
OCC: National banks and federal savings associations.
Board: State member banks (SMBs), bank holding companies (BHCs),
Current Actions: The proposal would establish a revised framework for determining applicability of requirements under the regulatory capital rule, the liquidity coverage ratio rule, and the proposed net stable funding ratio rule for large
PRA Burden Estimates
OCC
OMB control number: 1557-0318.
Estimated number of respondents: 1,365 (of which 18 are advanced approaches institutions).
Estimated average hours per response:
Minimum Capital Ratios (1,365 Institutions Affected)
Recordkeeping (Ongoing)--16.
Standardized Approach (1,365 Institutions Affected for Ongoing)
Recordkeeping (Initial setup)--122.
Recordkeeping (Ongoing)--20.
Disclosure (Initial setup)--226.25.
Disclosure (Ongoing quarterly)--131.25.
Advanced Approach (18 Institutions Affected for Ongoing)
Recordkeeping (Initial setup)--460.
Recordkeeping (Ongoing)--540.77.
Recordkeeping (Ongoing quarterly)--20.
Disclosure (Initial setup)--280.
Disclosure (Ongoing)--5.78.
Disclosure (Ongoing quarterly)--35.
Estimated annual burden hours: 1,088 hours initial setup, 64,929 hours for ongoing.
Board
Agency form number: FR Q.
OMB control number: 7100-0313.
Estimated number of respondents: 1,431 (of which 17 are advanced approaches institutions).
Estimated average hours per response:
Minimum Capital Ratios (1,431 Institutions Affected for Ongoing)
Recordkeeping (Ongoing)--16.
Standardized Approach (1,431 Institutions Affected for Ongoing)
Recordkeeping (Initial setup)--122.
Recordkeeping (Ongoing)--20.
Disclosure (Initial setup)--226.25.
Disclosure (Ongoing quarterly)--131.25.
Advanced Approach (17 Institutions Affected)
Recordkeeping (Initial setup)--460.
Recordkeeping (Ongoing)--540.77.
Recordkeeping (Ongoing quarterly)--20.
Disclosure (Initial setup)--280.
Disclosure (Ongoing)--5.78.
Disclosure (Ongoing quarterly)--35.
Disclosure (Table 13 quarterly)--5.
Risk-Based Capital Surcharge for GSIBs (21 Institutions Affected)
Recordkeeping (Ongoing)--0.5.
Estimated annual burden hours: 1,088 hours initial setup, 78,183 hours for ongoing.
OMB control number: 3064-0153.
Estimated number of respondents: 3,575 (of which 2 are advanced approaches institutions).
Estimated average hours per response:
Minimum Capital Ratios (3,575 Institutions Affected)
Recordkeeping (Ongoing)--16.
Standardized Approach (3,575 Institutions Affected for Ongoing)
Recordkeeping (Initial setup)--122.
Recordkeeping (Ongoing)--20.
Disclosure (Initial setup)--226.25.
Disclosure (Ongoing quarterly)--131.25.
Advanced Approach (2 Institutions Affected for Ongoing)
Recordkeeping (Initial setup)--460.
Recordkeeping (Ongoing)--540.77.
Recordkeeping (Ongoing quarterly)--20.
Disclosure (Initial setup)--280.
Disclosure (Ongoing)--5.78.
Disclosure (Ongoing quarterly)--35.
Estimated annual burden hours: 1,088 hours initial setup, 130,758 hours for ongoing.
The proposed rule would also require changes to the Consolidated Reports of Condition and Income (Call Reports) (
B. Regulatory Flexibility Act Analysis
OCC: The Regulatory Flexibility Act, 5 U.S.C.
As of
   FOOTNOTE 64 The OCC calculated the number of small entities using the SBA's size thresholds for commercial banks and savings institutions, and trust companies, which are
As part of our analysis, we consider whether the proposal will have a significant economic impact on a substantial number of small entities, pursuant to the RFA. This proposal only applies to large banking organizations, therefore, it will not impact any OCC-supervised small entities. For this reason, the OCC certifies that the proposed rule would not have a significant economic impact on a substantial number of OCC-supervised small entities.
Board: The RFA requires an agency to either provide an initial regulatory flexibility analysis with a proposal or certify that the proposal will not have a significant impact on a substantial number of small entities. Under regulations issued by the SBA, a small entity includes a bank, bank holding company, or savings and loan holding company with assets of
   FOOTNOTE 65 See 13 CFR 121.201. Effective
The Board has considered the potential impact of the proposed rule on small entities in accordance with the RFA. Based on the Board's analysis, and for the reasons stated below, the Board believes that this proposed rule will not have a significant economic impact on a substantial of number of small entities. Nevertheless, the Board is providing an initial regulatory flexibility analysis with respect to this proposed rule. A final regulatory flexibility analysis will be conducted after comments received during the public comment period have been considered. The Board welcomes comment on all aspects of its analysis. In particular, the Board requests that commenters describe the nature of any impact on small entities and provide empirical data to illustrate and support the extent of the impact.
As discussed in the SUPPLEMENTARY INFORMATION, the Board is proposing to adopt amendments to the Board's capital rule /66/ and LCR rule. /67/ The capital rule applies to all state member banks, bank holding companies, and covered savings and loan holding companies, except for institutions that are subject to the Board's
   FOOTNOTE 66 See 12 CFR part 217. END FOOTNOTE
   FOOTNOTE 67 See 12 CFR part 249. END FOOTNOTE
   FOOTNOTE 68 See 12 CFR 217.1(c)(1)(ii) and (iii); 12 CFR part 225, appendix C; 12 CFR 238.9. END FOOTNOTE
The Board is also proposing changes to regulatory requirements under the LCR rule. The LCR rule applies to state member banks, bank holding companies and covered savings and loan holding companies with (i)
The agencies anticipate proposing updates to the relevant reporting forms at a later date to the extent necessary to align with the proposed changes to the capital rule and LCR rule. Given that the proposed rule does not impact the recordkeeping and reporting requirements to which that affected small banking organizations are currently subject, there would be no change to the information that small banking organizations must track and report.
The Board does not believe that the proposed rule duplicates, overlaps, or conflicts with any other Federal rules. In addition, there are no significant alternatives to the proposed rule. In light of the foregoing, the Board does not believe that the proposed rule, if adopted in final form, would have a significant economic impact on a substantial number of small entities.
   FOOTNOTE 69 5 U.S.C.
   FOOTNOTE 70 The SBA defines a small banking organization as having
The
   FOOTNOTE 71 Call Report data,
This proposed rule will affect all institutions subject to the current advanced approaches regulations and their subsidiaries. The
   FOOTNOTE 72 Call Report data,
The
C. Plain Language
Section 722 of the Gramm-Leach-Bliley Act /73/ requires the Federal banking agencies to use plain language in all proposed and final rules published after
   FOOTNOTE 73 Public Law 106-102, section 722, 113 Stat. 1338, 1471 (1999). END FOOTNOTE
   * Have the agencies organized the material to suit your needs? If not, how could they present the proposed rule more clearly?
   * Are the requirements in the proposed rule clearly stated? If not, how could the proposed rule be more clearly stated?
   * Do the regulations contain technical language or jargon that is not clear? If so, which language requires clarification?
   * Would a different format (grouping and order of sections, use of headings, paragraphing) make the regulation easier to understand? If so, what changes would achieve that?
   * Would more, but shorter, sections be better? If so, which sections should be changed?"
   * What other changes can the agencies incorporate to make the regulation easier to understand?
D. OCC Unfunded Mandates Reform Act of 1995 Determination
The OCC analyzed the proposed rule under the factors set forth in the Unfunded Mandates Reform Act of 1995 (UMRA) (2 U.S.C. 1532). Under this analysis, the OCC considered whether the proposed rule includes a Federal mandate that may result in the expenditure by State, local, and Tribal governments, in the aggregate, or by the private sector, of
E.
Pursuant to section 302(a) of the
   FOOTNOTE 74 12 U.S.C. 4802(a). END FOOTNOTE
   FOOTNOTE 75 Id. END FOOTNOTE
The agencies note that comment on these matters has been solicited in other sections of this SUPPLEMENTARY INFORMATION section, and that the requirements of RCDRIA will be considered as part of the overall rulemaking process. In addition, the agencies also invite any other comments that further will inform the agencies' consideration of RCDRIA.
12 CFR Part 3
Administrative practice and procedure, Asset risk-weighting methodologies, Banking, Banks, Capital adequacy, Capital requirements, Federal savings associations, National banks, Reporting and recordkeeping requirements, Risk.
12 CFR Part 50
Administrative practice and procedure, Banking, Banks, Liquidity, Reporting and recordkeeping requirements, Savings associations.
12 CFR Part 217
Administrative practice and procedure, Banking, Banks, Capital,
12 CFR Part 249
Administrative practice and procedure, Banking, Banks,
12 CFR Part 324
Administrative practice and procedure, Banking, Banks, Capital adequacy, Reporting and recordkeeping requirements, Savings associations, State non-member banks.
12 CFR Part 329
Administrative practice and procedure, Banking, Banks,
Authority and Issuance
For the reasons stated in the Supplementary Information, chapter I of title 12 of the Code of Federal Regulations is proposed to be amended as follows:
   12 CFR CHAPTER I
PART 3--CAPITAL ADEQUACY STANDARDS
   1. The authority citation for part 3 continues to read as follows:
Authority: 12 U.S.C. 93a, 161, 1462, 1462a, 1463, 1464, 1818, 1828(n), 1828 note, 1831n note, 1835, 3907, 3909, and 5412(b)(2)(B).
   2. In
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Category II national bank or Federal savings association means:
(1) A national bank or Federal savings association that is a subsidiary of a Category II banking organization, as defined pursuant to 12 CFR 252.5 or 12 CFR 238.10, as applicable; or
(2) A national bank or Federal savings association that:
(i) (A) Has total consolidated assets, calculated based on the average of the national bank's or Federal savings association's total consolidated assets for the four most recent calendar quarters as reported on the Consolidated Report of Condition and Income (Call Report), equal to
(B) Has:
(1) Total consolidated assets, calculated based on the average of the national bank's or Federal savings association's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, of
(2) Cross-jurisdictional activity, calculated based on the average of its cross jurisdictional activity for the four most recent calendar quarters, of
(ii) After meeting the criteria in paragraph (2)(i) of this section, a national bank or Federal savings association continues to be a Category II national bank or Federal savings association until the national bank or Federal savings association has:
(A) (1) Less than
(2) Less than
(B) Less than
(C) Is a subsidiary of a global systemically important BHC. Category III national bank or Federal savings association means:
(1) A national bank or Federal savings association that is a subsidiary of a Category III banking organization as defined pursuant to 12 CFR 252.5 or 12 CFR 238.10, as applicable; or
(2) A national bank or Federal savings association that:
(i)(A) Has total consolidated assets, calculated based on the average of the national bank's or Federal savings association's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, equal to
(B) Has:
(1) Total consolidated assets, calculated based on the average of the national bank's or Federal savings association's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, of
(2) At least one of the following, each calculated as the average of the four most recent consecutive quarters, or if the national bank or Federal savings association has not filed each applicable reporting form for each of the four most recent calendar quarters, for the most recent quarter or quarters, as applicable:
(i) Total nonbank assets, calculated in accordance with the instructions to the FR Y-9LP or equivalent reporting form, equal to
(ii) Off-balance sheet exposure equal to
(iii) Weighted short-term wholesale funding, calculated in accordance with the instructions to the FR
(ii) After meeting the criteria in paragraphs (2)(i) of this definition, a national bank or Federal savings association continues to be a Category III national bank or Federal savings association until the national bank or Federal savings association has:
(A)(1) Less than
(2) Less than
(3) Less than
(4) Less than
(B) Less than
(C) Is a Category II national bank or Federal savings association; or
(D) Is a subsidiary of a global systemically important BHC.
FR
FR Y-9LP means the Parent Company Only Financial Statements for Large Holding Companies.
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   3. In
(a) * * *
(6) For advanced approaches national banks and Federal savings associations, and for Category III national banks and Federal savings associations, a supplementary leverage ratio of 3 percent.
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(c) Advanced approaches capital ratio calculations. An advanced approaches national bank or Federal savings association that has completed the parallel run process and received notification from the OCC pursuant to
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(4) Supplementary leverage ratio. (i) An advanced approaches national bank's or Federal savings association's or a Category III national bank's or Federal savings association's supplementary leverage ratio is the ratio of its tier 1 capital to total leverage exposure, the latter which is calculated as the sum of:
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   4. Amend
   a. Revise the section heading;
   b. Revise paragraph (b)(1) introductory text; and
   c. Revise paragraph (b)(1)(ii).
The revisions read as follows:
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(b) Countercyclical capital buffer amount--(1) General. An advanced approaches national bank or Federal savings association, and a Category III national bank or Federal savings association, must calculate a countercyclical capital buffer amount in accordance with the following paragraphs for purposes of determining its maximum payout ratio under Table 1 to
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(ii) Amount. An advanced approaches national bank or Federal savings association, and a Category III national bank or Federal savings association, has a countercyclical capital buffer amount determined by calculating the weighted average of the countercyclical capital buffer amounts established for the national jurisdictions where the national bank's or Federal savings association's private sector credit exposures are located, as specified in paragraphs (b)(2) and (3) of this section.
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   5. In
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(b) Applicability. (1) This subpart applies to a national bank or Federal savings association that:
(i) Is a subsidiary of a global systemically important BHC, as identified pursuant to 12 CFR 217.402;
(ii) Is a Category II national bank or Federal savings association;
(iii) Is a subsidiary of a depository institution that uses the advanced approaches pursuant to subpart E of 12 CFR part 3 (OCC), 12 CFR part 217 (Board), or 12 CFR part 324 (FDIC) to calculate its risk-based capital requirements; or
(iv) Is a subsidiary of a bank holding company or savings and loan holding company that uses the advanced approaches pursuant to subpart E of 12 CFR part 217 to calculate its risk-based capital requirements; or
(v) Elects to use this subpart to calculate its total risk-weighted assets; or
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   PART 50--LIQUIDITY RISK MEASUREMENT STANDARDS
   6. The authority citation for part 50 continues to read as follows:
Authority: 12 U.S.C. 1 et seq., 93a, 481, 1818, and 1462 et seq.
   7. In
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(b) Applicability of Minimum Liquidity Standards. (1) A national bank or Federal savings association is subject to the minimum liquidity standard and other requirements of this part if:
(i) It is a GSIB depository institution, a Category II national bank or Federal savings association, or a Category III national bank or Federal savings association;
(ii) It is an national bank or Federal savings association that has total consolidated assets equal to
(A) Has total consolidated assets of
(1) Consolidated Financial Statements for Holding Companies reporting form (FR Y-9C), or, if the covered intermediate holding company is not required to report on the FR Y-9C, its estimated total consolidated assets as of the most recent year end, calculated in accordance with the instructions to the FR Y-9C; or
(2) Call Report; or
(B) Has total consolidated on-balance sheet foreign exposure at the most recent year-end equal to
(iii) It is a national bank or Federal savings association for which the OCC has determined that application of this part is appropriate in light of the national bank's or Federal savings association's asset size, level of complexity, risk profile, scope of operations, affiliation with foreign or domestic covered entities, or risk to the financial system.
(2)(i) A national bank or Federal savings association becomes subject to the minimum liquidity standard and other requirements of this part under paragraphs (b)(1)(i) of this section must comply with the requirements of this part beginning on the first day of the second calendar quarter after which the national bank or Federal savings association becomes subject to the minimum liquidity standard and other requirements of this part, except:
(A) A national bank or Federal savings association must calculate and maintain a liquidity coverage ratio monthly, on each calculation date that is the last business day of the applicable calendar month, for the first three calendar quarters after the national bank or Federal savings association begins complying with the minimum liquidity standard and other requirements of this part;
(B) Beginning one year after the first year in which the national bank or Federal savings association becomes subject to the minimum liquidity standard and other requirements of this part under paragraph (b)(1)(i) of this section, and thereafter, the national bank or Federal savings association must calculate and maintain a liquidity coverage ratio on each calculation date;
(ii) A national bank or Federal savings association that becomes subject to this part under paragraph (b)(1)(ii) of this section must comply with the requirements of this part beginning on
(A) From
(B) Beginning
(iii) A national bank or Federal savings association that becomes subject to the minimum liquidity standard and other requirements of this part under (b)(1)(iii) of this section must comply with the requirements of this part subject to a transition period specified by the OCC.
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   8. In
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Average weighted short-term wholesale funding has the same meaning as in 12 CFR 252.2.
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Call Report means the Consolidated Reports of Condition and Income.
Category II national bank or Federal savings association means:
(1) A national bank or Federal savings association that is a subsidiary of a depository institution holding company that is defined as a Category II Board-regulated institution pursuant to 12 CFR 249.3 and has total consolidated assets, calculated based on the average of the national bank's or Federal savings association's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, equal to
(2) A national bank or Federal savings association that:
(i)(A) Has total consolidated assets, calculated based on the average of the national bank's or Federal savings association's total consolidated assets for the four most recent calendar quarters as reported on the Consolidated Report of Condition and Income (Call Report), equal to
(B) Has:
(1) Total consolidated assets, calculated based on the average of the national bank's or Federal savings association's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, of
(2) Cross-jurisdictional activity, calculated based on the average of its cross-jurisdictional activity for the four most recent consecutive quarters, of
(ii) After meeting the criteria in paragraph (2)(i) of this section, a national bank or Federal savings association continues to be a Category II national bank or Federal savings association until the national bank or Federal savings association has:
(A)(1) Less than
(2) Less than
(B) Less than
(C) Is a GSIB depository institution.
Category III national bank or Federal savings association means:
(1) A national bank or Federal savings association that is a subsidiary of a depository institution holding company that is defined as a Category III Board-regulated institution pursuant to 12 CFR 249.3 and has total consolidated assets, calculated based on the average of the national bank's or Federal savings association's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, equal to
(2) A national bank or Federal savings association that:
(i)(A) Has total consolidated assets, calculated based on the average of the national bank's or Federal savings association's total consolidated assets for the four most recent calendar quarters as reported on the Consolidated Report of Condition and Income (Call Report), equal to
(B) Has:
(1) Total consolidated assets, calculated based on the average of the national bank's or Federal savings association's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, of at least
(2) One or more of the following, each measured as the average of the four most recent quarters, or if the national bank or Federal savings bank has not filed each applicable reporting form for each of the four most recent calendar quarters, for the most recent quarter or quarters, as applicable:
(i) Total nonbank assets, calculated in accordance with instructions to the FR Y-9LP or equivalent reporting form, equal to
(ii) Off-balance sheet exposure, calculated in accordance with the instructions to the FR
(iii) Weighted short-term wholesale funding, calculated in accordance with the instructions to the FR
(ii) After meeting the criteria in paragraph (2)(i) of this section, a national bank or Federal savings association continues to be a Category III national bank or Federal savings association until the national bank or Federal savings association has:
(A)(1) Less than
(2) Less than
(3) Less than
(4) Less than
(B) Less than
(C) Is a Category II national bank or Federal savings bank; or
(D) Is a GSIB depository institution.
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Covered intermediate holding company means a
(1) Was established or designated by a foreign banking organization pursuant to 12 CFR 252.153; and
(2) Is a covered depository institution holding company.
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FR
FR Y-9LP means the Parent Company Only Financial Statements for Large Holding Companies.
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Global systemically important BHC means a bank holding company identified as a global systemically important BHC pursuant to 12 CFR 217.402.
GSIB depository institution means a depository institution that is a consolidated subsidiary of a global systemically important BHC and has total consolidated assets equal to
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   9. In
   a. Revise paragraph (a); and
   b. Add paragraph (c) and Table 1.
The revision and additions read as set forth below.
(a) Calculation of total net cash outflow amount. As of the calculation date, a national bank's or Federal savings association's total net cash outflow amount equals the national bank's or Federal savings association's outflow adjustment percentage as determined under paragraph (c) of this section multiplied by:
(1) The sum of the outflow amounts calculated under
(2) The lesser of:
(i) The sum of the inflow amounts calculated under
(ii) 75 percent of the amount calculated under paragraph (a)(1) of this section; plus
(3) The maturity mismatch add-on as calculated under paragraph (b) of this section.
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(c) Outflow adjustment percentage. A national bank's or Federal savings association's outflow adjustment percentage is determined pursuant to Table 1 to
Table 1 to [Sec.] 50.30-Outflow Adjustment Percentages Outflow adjustment percentage A GSIB depository institution 100 Category II national bank or Federal savings association 100 Category III national bank or Federal savings association that: 100 (1) Is a consolidated subsidiary of a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10 with$ 75 billion or more in average weighted short-term wholesale funding; or (2) Has$ 75 billion or more in average weighted short-term wholesale funding and is not consolidated under a holding company Category III national bank or Federal savings association that: $(70 to 85$) (1) Is a consolidated subsidiary of a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10 with less than$ 75 billion in average weighted short-term wholesale funding; or (2) Has less than$ 75 billion in average weighted short-term wholesale funding and is not consolidated under a holding company A national bank or Federal savings association that is described in section .50(b)(1)(ii) 100
[Re-proposal of Net Stable Funding Ratio's Applicability]
   PART 50--LIQUIDITY RISK MEASUREMENT STANDARDS
   10. In
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(c) Applicability of the minimum stable funding standard. (1) A national bank or Federal savings association is subject to the minimum stable funding and other requirements of subparts K through M if:
(i) It is a GSIB depository institution, a Category II national bank or Federal savings association, a Category III national bank or Federal savings association that is the consolidated subsidiary of a Category III Board-regulated institution pursuant to 12 CFR 249.3 with
(ii) It is a national bank or Federal savings association that has total consolidated assets equal to
(A) Has total consolidated assets of
(1) Consolidated Financial Statements for Holding Companies reporting form (FR Y-9C), or, if the covered intermediate holding company is not required to report on the FR Y-9C, its estimated consolidated assets as of the most recent year end, calculated in accordance with the instructions to the FR Y-9C;
(2) Call Report; or
(B) Has total consolidated on-balance sheet foreign exposure at the most recent year-end equal to
(iii) It is a Category III national bank or Federal savings association that meets the criteria in
(iv) The OCC has determined that application of this part is appropriate in light of the national bank's or Federal savings association's asset size, level of complexity, risk profile, scope of operations, affiliation with foreign or domestic covered entities, or risk to the financial system.
(2)(i) A national bank or Federal savings association that becomes subject to the minimum stable funding standard and other requirements of subparts K through M of this part under paragraph (d)(1)(i) of this section on the effective date, must comply with the requirements of these subparts beginning on the first day of the second calendar quarter after which the national bank or Federal savings association becomes subject to the minimum stable funding standard and other requirements of this part.
(ii) A national bank or Federal savings association that becomes subject to the minimum stable funding standard and other requirements of subparts K through M of this part under paragraphs (d)(1)(ii) of this section after the effective date must comply with the requirements of subparts K through M of this part beginning on
(iii) A national bank or Federal savings association that becomes subject to the minimum stable funding standard and other requirements of subparts K through M of this part under paragraph (d)(1)(iv) of this section after the effective date must comply with the requirements of subparts K through M of this part on the date specified by the OCC.
(3) Subparts K through M do not apply to:
(i) A bridge financial company as defined in 12 U.S.C. 5381(a)(3), or a subsidiary of a bridge financial company; or
(ii) A new depository institution or a bridge depository institution, as defined in 12 U.S.C. 1813(i).
(4) A national bank or Federal savings association subject to a minimum liquidity standard under this part shall remain subject until the OCC determines in writing that application of this part to the national bank or Federal savings association is not appropriate in light of the national bank's or Federal savings association's asset size, level of complexity, risk profile, scope of operations, affiliation with foreign or domestic covered entities, or risk to the financial system.
(5) In making a determination under paragraphs (d)(1)(iv) or (d)(4) of this section, the OCC will apply, as appropriate, notice and response procedures in the same manner and to the same extent as the notice and response procedures set forth in 12 CFR 3.404.
   11. Add subpart M to part 50 to read as follows:
Subpart M--Net stable funding ratio for certain national banks and Federal savings associations
Sec.
50.120Applicability.
50.121Net stable funding ratio requirement.
Subpart M--Net stable funding ratio for certain national banks and Federal savings associations
(a) Scope. This subpart applies to a national bank or Federal savings association that:
(1) Is a Category III national bank or Federal savings association that is a consolidated subsidiary of a depository institution holding company with less than
(2) Is a Category III national bank or Federal savings association with less than
(b) Applicable provisions. Except as otherwise provided in this subpart, the provisions of subparts A, K, and L of this part apply to national banks and Federal savings associations that are subject to this subpart.
(c) Applicability. A national bank or Federal savings association that meets the threshold for applicability of this subpart under paragraph (a) of this section after the effective date must comply with the requirements of this subpart beginning on the first day of the second calendar quarter after which it meets the threshold set forth in paragraph (a) of this section.
(a) Calculation of the net stable funding ratio. A national bank or Federal savings association subject to this subpart must calculate and maintain a net stable funding ratio in accordance with
(b) Available stable funding amount. A national bank or Federal savings association subject to this subpart must calculate its ASF amount in accordance with subpart K of this part.
(c) Required stable funding amount. A national bank or Federal savings association subject to this subpart must calculate its RSF amount in accordance with subpart K of this part, provided, however, that the RSF amount of a national bank or Federal savings association subject to this subpart equals [70 to 85] percent of the RSF amount calculated in accordance with subpart K of this part.
12 CFR CHAPTER II
Authority and Issuance For the reasons set forth in the Supplementary Information, chapter II of title of the Code of Federal Regulations is proposed to be amended as follows:
   PART 217--CAPITAL ADEQUACY OF BANK HOLDING COMPANIES, SAVINGS AND LOAN HOLDING COMPANIES, AND STATE MEMBER BANKS (REGULATION Q)
   12. The authority citation for part 217 continues to read as follows:
Authority: 12 U.S.C. 248(a), 321-338a, 481-486, 1462a, 1467a, 1818, 1828, 1831n, 1831o, 1831p-1, 1831w, 1835, 1844(b), 1851, 3904, 3906-3909, 4808, 5365, 5368, 5371.
   13. In
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Advanced-approaches Board-regulated institution means:
(1) A Board-regulated institution that is described
(2) A
(i) That:
(A) Has total consolidated assets (excluding assets held by an insurance underwriting subsidiary), as defined on schedule HC-K of the FR Y-9C, equal to
(B) Has consolidated total on-balance sheet foreign exposure on its most recent year-end
(C) Has a subsidiary depository institution that is required, or has elected, to use 12 CFR part 3, subpart E (OCC), 12 CFR part 217, subpart E (Board), or 12 CFR part 324, subpart E (FDIC) to calculate its risk-based capital requirements.
(ii) Reserved.
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Category II Board-regulated institution means:
(1) A depository institution holding company that is identified as a Category II banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10, as applicable;
(2) A state member bank that is a subsidiary of a company identified in paragraph (1) of this definition; or
(3) A state member bank that:
(i)(A) Has total consolidated assets, calculated based on the average of the state member bank's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, equal to
(B) Has:
(1) Total consolidated assets, calculated based on the average of the state member bank's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, of
(2) Cross-jurisdictional activity, calculated based on the average of its cross-jurisdictional activity for the four most recent calendar quarters, of
(ii) After meeting the criteria in paragraph (3)(i) of this section, a state member bank continues to be a Category II Board-regulated institution until the state member bank:
(A) Has:
(1) Less than
(2) Less than
(B) Has less than
(C) Is a subsidiary of a global systemically important BHC.
Category III Board-regulated institution means:
(1) A depository institution holding company that is identified as a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10, as applicable;
(2) A state member bank that is a subsidiary of a company identified in paragraph (1) of this definition; or
(3) A state member bank that:
(i) (A) Has total consolidated assets, calculated based on the average of the state member bank's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, equal to
(B) Has:
(1) Total consolidated assets, calculated based on the average of the state member bank's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, of
(2) At least one of the following, each calculated as the average of the four most recent calendar quarters, or if the state member bank has not filed each applicable reporting form for each of the four most recent calendar quarters, for the most recent quarter or quarters, as applicable:
(i) Total nonbank assets, calculated in accordance with the instructions to the FR Y-9LP or equivalent reporting form, equal to
(ii) Off-balance sheet exposure equal to
(iii) Weighted short-term wholesale funding, calculated in accordance with the instructions to the FR
(ii) After meeting the criteria in paragraph (3)(i) of this section, a state member bank continues to be a Category III Board-regulated institution until the state member bank:
(A) Has:
(1) Less than
(2) Less than
(3) Less than
(4) Less than
(B) Has less than
(C) Is a Category II Board-regulated institution; or
(D) Is a subsidiary of a global systemically important BHC.
FR
FR Y-9LP means the Parent Company Only Financial Statements for Large Holding Companies.
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   14. In
(a) * * *
(5) For advanced approaches Board-regulated institutions or, for Category III Board-regulated institutions, a supplementary leverage ratio of 3 percent.
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(c) Advanced approaches capital ratio calculations. An advanced approaches Board-regulated institution that has completed the parallel run process and received notification from the Board pursuant to
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(4) Supplementary leverage ratio. (i) An advanced approaches Board-regulated institution's or a Category III Board-regulated institution's supplementary leverage ratio is the ratio of its tier 1 capital to total leverage exposure, the latter which is calculated as the sum of:
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   15. In
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(b) Countercyclical capital buffer amount--(1) General. An advanced approaches Board-regulated institution or a Category III Board-regulated institution must calculate a countercyclical capital buffer amount in accordance with the following paragraphs for purposes of determining its maximum payout ratio under Table 1 to
(i) * * *
(ii) Amount. An advanced approaches Board-regulated institution or a Category III Board-regulated institution has a countercyclical capital buffer amount determined by calculating the weighted average of the countercyclical capital buffer amounts established for the national jurisdictions where the Board-regulated institution's private sector credit exposures are located, as specified in paragraphs (b)(2) and (3) of this section.
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   16. In
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(b) Applicability. (1) This subpart applies to:
(i) A top-tier bank holding company or savings and loan holding company domiciled in
(A) Is not a consolidated subsidiary of another bank holding company or savings and loan holding company that uses 12 CFR part 217, subpart E, to calculate its risk-based capital requirements; and
(B) That:
(1) Is identified as a global systemically important BHC pursuant to 12 CFR 217.402;
(2) Is identified as a Category II banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10; or
(3) Has a subsidiary depository institution that is required, or has elected, to use 12 CFR part 3, subpart E (OCC), 12 CFR part 217, subpart E (Board), or 12 CFR part 324, subpart E (FDIC) to calculate its risk-based capital requirements;
(ii) A state member bank that:
(A) Is a subsidiary of a global systemically important BHC;
(B) Is a Category II Board-regulated institution;
(C) Is a subsidiary of a depository institution that uses 12 CFR part 3, subpart E (OCC), 12 CFR part 217, subpart E (Board), or 12 CFR part 324, subpart E (FDIC) to calculate its risk-based capital requirements; or
(D) Is a subsidiary of a bank holding company or savings and loan holding company that uses 12 CFR part 217, subpart E, to calculate its risk-based capital requirements; or
(iii) Any Board-regulated institution that elects to use this subpart to calculate its risk-based capital requirements.
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   17. In
*****
(b) * * *
(2) Short-term wholesale funding includes the following components:
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   PART 249--LIQUIDITY RISK MEASUREMENT STANDARDS (REGULATION WW)
   18. The authority citation for part 249 continues to read as follows:
Authority:12 U.S.C. 248(a), 321-338a, 481-486, 1467a(g)(1), 1818, 1828, 1831p-1, 1831o-1, 1844(b), 5365, 5366, 5368.
   19. In
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(b) Applicability of Minimum Liquidity Standards. (1) A Board-regulated institution is subject to the minimum liquidity standard and other requirements of this part if:
(i) It is a global systemically important BHC, a GSIB depository institution, a Category II Board-regulated institution, or a Category III Board-regulated institution;
(ii) It is a covered intermediate holding company that:
(A) Has total consolidated assets of
(1) Consolidated Financial Statements for Holding Companies reporting form (FR Y-9C), or, if the covered intermediate holding company is not required to report on the FR Y-9C, its estimated total consolidated assets as of the most recent year-end, calculated in accordance with the instructions to the FR Y-9C; or
(2) Call Report; or
(B) Has total consolidated on-balance sheet foreign exposure at the most recent year-end equal to
(iii) It is a depository institution that is a consolidated subsidiary of a covered intermediate holding company described in paragraph (b)(1)(ii) of this section and has total consolidated assets equal to
(iv) It is a covered nonbank company;
(v) It is a covered intermediate holding company that meets the criteria in
(vi) The Board has determined that application of this part is appropriate in light of the Board-regulated institution's asset size, level of complexity, risk profile, scope of operations, affiliation with foreign or domestic covered entities, or risk to the financial system.
(2)(i) A Board-regulated institution that becomes subject to the minimum liquidity standard and other requirements of this part under paragraph (b)(1)(i) of this section must comply with the requirements of this part beginning on the first day of the second calendar quarter after which the Board-regulated institution becomes subject to the minimum liquidity standard and other requirements of this part, except:
(A) A Board-regulated institution must calculate and maintain a liquidity coverage ratio monthly, on each calculation date that is the last business day of the applicable calendar month, for the first three calendar quarters after the Board-regulated institution begins complying with the minimum liquidity standard and other requirements of this part;
(B) Beginning one year after the first year in which the Board-regulated institution becomes subject to the minimum liquidity standard and other requirements of this part under paragraph (b)(1)(i) of this section, and thereafter, the Board-regulated institution must calculate and maintain a liquidity coverage ratio on each calculation date;
(ii) A Board-regulated institution that becomes subject to the minimum liquidity standard and other requirements of this part under paragraphs (b)(1)(ii) or (b)(1)(iii) of this section after
(A) From
(B) Beginning
(iii) A Board-regulated institution that becomes subject to the minimum liquidity standard and other requirements of this part under paragraph (b)(1)(vi) of this section after
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(d) Applicability of the minimum stable funding standard. (1) A Board-regulated institution is subject to the minimum stable funding standard and other requirements of subparts K through N if:
(i) It is a global systemically important BHC, a GSIB depository institution, a Category II Board-regulated institution, or a Category III Board-regulated institution with
(ii) It is a covered intermediate holding company that:
(A) Has total consolidated assets of
(1) Consolidated Financial Statements for Holding Companies reporting form (FR Y-9C), or, if the covered intermediate holding company is not required to report on the FR Y-9C, its estimated total consolidated assets as of the most recent year end, calculated in accordance with the instructions to the FR Y-9C; or
(2) Call Report;
(B) Has total consolidated on-balance sheet foreign exposure at the most recent year-end equal to
(iii) It is a depository institution that is:
(A) A Category III Board-regulated institution; and
(B) A consolidated subsidiary of a Category III Board-regulated institution with
(iv) It is a depository institution that is a consolidated subsidiary of a covered intermediate holding company described in paragraph (d)(1)(ii) of this section and has total consolidated assets equal to
(v) It is a covered nonbank company;
(vi) It is a Category III Board-regulated institution or a covered intermediate holding company that meets the criteria in
(vii) The Board has determined that application of this part is appropriate in light of the Board-regulated institution's asset size, level of complexity, risk profile, scope of operations, affiliation with foreign or domestic covered entities, or risk to the financial system.
(2)(i) A Board-regulated institution that becomes subject to the minimum stable funding standard and other requirements of subparts K through N of this part under paragraphs (d)(1)(i) or (d)(1)(iii) of this section after the effective date, must comply with the requirements of these subparts beginning on the first day of the second calendar quarter after which the Board-regulated institution becomes subject to the minimum stable funding standard and other requirements of this part.
(ii) A Board-regulated institution that becomes subject to the minimum stable funding standard and other requirements of subparts K through N of this part under paragraphs (d)(1)(ii) or (d)(1)(iv) of this section after the effective date must comply with the requirements of subparts K through N of this part beginning on
(iii) A Board-regulated institution that becomes subject to the minimum stable funding standard and other requirements of subparts K through N of this part under paragraph (d)(1)(vii) of this section after the effective date must comply with the requirements of subparts K through N of this part on the date specified by the Board.
(3) Subparts K through N do not apply to:
(i) A bridge financial company as defined in 12 U.S.C. 5381(a)(3), or a subsidiary of a bridge financial company; or
(ii) A new depository institution or a bridge depository institution, as defined in 12 U.S.C. 1813(i).
(4) A Board-regulated institution subject to a minimum stable funding standard under this part shall remain subject until the Board determines in writing that application of this part to the Board-regulated institution is not appropriate in light of the Board-regulated institution's asset size, level of complexity, risk profile, scope of operations, affiliation with foreign or domestic covered entities, or risk to the financial system.
(5) In making a determination under paragraphs (d)(1)(vii) or (d)(4) of this section, the Board will apply, as appropriate, notice and response procedures in the same manner and to the same extent as the notice and response procedures set forth in 12 CFR 263.202.
   20. In
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Average weighted short-term wholesale funding has the same meaning as in 12 CFR 252.2.
*****
Call Report means the Consolidated Reports of Condition and Income.
Category II Board-regulated institution means:
(1) A covered depository institution holding company that is identified as a Category II banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10;
(2) A state member bank that is a consolidated subsidiary of a company described in paragraphs (1) or (3) and that has total consolidated assets, calculated based on the average of the state member bank's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, equal to
(3) A state member bank that:
(i)(A) Has total consolidated assets, calculated based on the average of the state member bank's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, equal to
(B) Has:
(1) Total consolidated assets, calculated based on the average of the state member bank's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, of
(2) Cross-jurisdictional activity, calculated based on the average of its cross-jurisdictional activity for the four most recent calendar quarters, of
(ii) After meeting the criteria in paragraph (3)(i) of this section, a state member bank continues to be a Category II Board-regulated institution until the state member bank:
(A)(1) Has less than
(2) Has less than
(B) Has less than
(C) Is a GSIB depository institution.
Category III Board-regulated institution means:
(1) A covered depository institution holding company that is identified as a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10, as applicable;
(2) A state member bank that is a consolidated subsidiary of a company described in paragraphs (1) or (3) and that has total consolidated assets, calculated based on the average of the state member bank's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, equal to
(3) A state member bank that:
(i)(A) Has total consolidated assets, calculated based on the average of the state member bank's total consolidated assets in the four most recent quarters as reported quarterly on the most recent Call Report, equal to
(B) Has:
(1) Total consolidated assets, calculated based on the average of the state member bank's total consolidated assets in the four most recent calendar quarters as reported quarterly on the most recent Call Report, of
(2) One or more of the following, each measured as the average of the four most recent calendar quarters, or if the state member bank has not filed the FRY-9LP or equivalent reporting form, Call Report, or FR
(i) Total nonbank assets, calculated in accordance with instructions to the FR Y-9LP or equivalent reporting form, equal to
(ii) Off-balance sheet exposure, calculated in accordance with the instructions to the FR
(iii) Weighted short-term wholesale funding, calculated in accordance with the instructions to the FR
(ii) After meeting the criteria in paragraph (3)(i) of this section, a state member bank continues to be a Category III Board-regulated institution until the state member bank:
(A)(1) Has less than
(2) Has less than
(3) Has less than
(4) Has less than
(B) Has less than
(C) Is a Category II Board-regulated institution; or
(D) Is a GSIB depository institution.
*****
Covered intermediate holding company means a
(2) Is a covered depository institution holding company.
*****
FR
FR Y-9LP means the Parent Company Only Financial Statements for Large Holding Companies.
*****
Global systemically important BHC means a bank holding company identified as a global systemically important BHC pursuant to 12 CFR 217.402.
GSIB depository institution means a depository institution that is a consolidated subsidiary of a global systemically important BHC and has total consolidated assets equal to
*****
   21. In
(a) Calculation of total net cash outflow amount. As of the calculation date, a Board-regulated institution's total net cash outflow amount equals the Board-regulated institution's outflow adjustment percentage as determined under paragraph (c) of this section multiplied by:
(1) The sum of the outflow amounts calculated under
(2) The lesser of:
(i) The sum of the inflow amounts calculated under
(ii) 75 percent of the amount calculated under paragraph (a)(1) of this section; plus
(3) The maturity mismatch add-on as calculated under paragraph (b) of this section.
*****
(c) Outflow adjustment percentage. A Board-regulated institution's outflow adjustment percentage is determined pursuant to Table 1 to
Table 1 to [Sec.] 249.30-Outflow Adjustment Percentages Outflow adjustment percentage Global systemically important BHC or GSIB depository institution 100 Category II Board-regulated institution 100 Category III Board-regulated institution with$ 75 billion or more in average weighted short-term 100 wholesale funding and any Category III Board-regulated institution that is a consolidated subsidiary of such a Category III Board-regulated institution Category III Board-regulated institution with less than$ 75 billion in average weighted short-term $(70 to 85$) wholesale funding and any Category III Board-regulated institution that is a consolidated subsidiary of such a Category III Board-regulated institution Covered intermediate holding company that meets the criteria under [Sec.] 249.1(b)(1)(ii) and any 100 Board-regulated institution subject to this part that is a consolidated subsidiary of such a covered intermediate holding company fn1 fn1 Covered intermediate holding companies shall remain subject to this part as in effect onOctober 3, 2018 , until the Board amends the liquidity risk measurement standards applicable to the subsidiaries of foreign banking organizations in effect onOctober 31, 2018 .
   22. Section 249.60, is revised to read as follows:
(a) Scope. This subpart applies to a covered intermediate holding company that has total consolidated assets equal to
(b) Applicable provisions. Except as otherwise provided in this subpart, the provisions of subparts A through E of this part apply to covered intermediate holding companies that are subject to this subpart.
(c) Applicability. Subject to the transition periods set forth in
   23. In
*****
(b) * * *
(3) A covered depository institution holding company or covered nonbank company that is subject to the minimum liquidity standard and other requirements of this part pursuant to
*****
   24. Add subpart M to part 249 to read as follows:
   Subpart M--Net stable funding ratio for certain Board-regulated institutions
Sec.
249.120Applicability.
249.121Net stable funding ratio requirement.
Subpart M--Net stable funding ratio for certain Board-regulated institutions
(a) Scope. This subpart applies to:
(1) A Category III Board-regulated institution with less than
(2) A depository institution that is:
(i) A consolidated subsidiary of a Category III Board-regulated institution described in (a)(1) of this section; and
(ii) A Category III Board-regulated institution.
(3) A covered intermediate holding company that has total consolidated assets equal to
(b) Applicable provisions. Except as otherwise provided in this subpart, the provisions of subparts A, K, L, and N of this part apply to Board-regulated institutions that are subject to this subpart.
(c) Applicability.
(1) A Board-regulated institution that meets the threshold for applicability of this subpart under paragraphs (a)(1) or (2) of this section after the effective date must comply with the requirements of this subpart beginning on the first day of the second calendar quarter after which it meets the thresholds set forth in paragraph (a) of this section.
(2) A Board-regulated institution that meets the threshold for applicability of this subpart under paragraph (a)(3) of this section after the effective date must comply with the requirements of this subpart beginning one year after the date it meets the threshold set forth in paragraph (a) of this section.
(a) Calculation of the net stable funding ratio. A Board-regulated institution subject to this subpart must calculate and maintain a net stable funding ratio in accordance with
(b) Available stable funding amount. A Board-regulated institution subject to this subpart must calculate its ASF amount in accordance with subpart K of this part.
(c) Required stable funding amount. A Board-regulated institution subject to this subpart must calculate its RSF amount in accordance with subpart K of this part, provided, however, that the RSF amount of a Board-regulated institution subject to this subpart equals [70 to 85] percent of the RSF amount calculated in accordance with subpart K of this part. /1/
   FOOTNOTE 1 Under the proposed rule to implement the net stable funding ratio (NSFR), the RSF amount of a Board-regulated institution that is a covered intermediate holding company subject to this part would have equaled 70 percent of the RSF amount calculated in accordance with subpart K of this part. Upon adoption of the final NSFR rule, covered intermediate holding companies would remain subject to this part as proposed in
12 CFR CHAPTER III
For the reasons set out in the joint preamble, the
PART 324--CAPITAL ADEQUACY OF FDIC-SUPERVISED INSTITUTIONS
   25. The authority citation for part 324 continues to read as follows:
Authority:12 U.S.C. 1815(a), 1815(b), 1816, 1818(a), 1818(b), 1818(c), 1818(t), 1819(Tenth), 1828(c), 1828(d), 1828(i), 1828(n), 1828(o), 1831o, 1835, 3907, 3909, 4808; 5371; 5412; Pub. L. 102-233, 105 Stat. 1761, 1789, 1790 (12 U.S.C. 1831n note); Pub. L. 102-242, 105 Stat. 2236, 2355, as amended by Pub. L. 103-325, 108 Stat. 2160, 2233 (12 U.S.C. 1828 note); Pub. L. 102-242, 105 Stat. 2236, 2386, as amended by Pub. L. 102-550, 106 Stat. 3672, 4089 (12 U.S.C. 1828 note); Pub. L. 111-203, 124 Stat. 1376, 1887 (15 U.S.C. 78o-7 note).
   26. In
*****
Category II FDIC-supervised institution means:
(1) An FDIC-supervised institution that is a subsidiary of a depository institution holding company that is identified as a Category II banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10, as applicable; or
(2) An FDIC-supervised institution that:
(i)(A) Has total consolidated assets, calculated based on the average of the
(B) Has:
(1) Total consolidated assets, calculated based on the average of the
(2) Cross-jurisdictional activity, calculated based on the average of its cross jurisdictional activity for the four most recent calendar quarters, of
(ii) After meeting the criteria in paragraph (2)(i) of this section, an
(A) Has:
(1) Less than
(2) Less than
(B) Has less than
(C) Is a subsidiary of a global systemically important BHC pursuant to 12 CFR 217.402.
Category III FDIC-supervised institution means:
(1) An FDIC-supervised institution that is a subsidiary of a depository institution holding company that is identified as a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10, as applicable; or
(2) An FDIC-supervised institution that:
(i)(A) Has total consolidated assets, calculated based on the average of the
(B) Has:
(1) Total consolidated assets, calculated based on the average of the
(2) At least one of the following, each calculated as the average of the four most recent calendar quarters, or if the
(i) Total nonbank assets, calculated in accordance with the instructions to the FR Y-9LP or equivalent reporting form, equal to
(ii) Off-balance sheet exposure equal to
(iii) Weighted short-term wholesale funding, calculated in accordance with the instructions to the FR
(ii) After meeting the criteria in paragraph (2)(i) of this section, an
(A) Has:
(1) Less than
(2) Less than
(3) Less than
(4) Less than
(B) Has Less than
(C) Is a Category II FDIC-supervised institution; or
(D) Is a subsidiary of a global systemically important BHC pursuant to 12 CFR 217.402.
*****
FR
FR Y-9LP means the Parent Company Only Financial Statements for Large Holding Companies.
*****
   27. In
(a) * * *
(5) For advanced approaches
*****
(c) Advanced approaches capital ratio calculations. An advanced approaches
*****
(4) Supplementary leverage ratio. (i) An advanced approaches
*****
   28. In
*****
(b) Countercyclical capital buffer amount--(1) General. An advanced approaches
*****
(ii) Amount. An advanced approaches
*****
   29. In
*****
(b) Applicability. (1) This subpart applies to an
(i) Is a subsidiary of a global systemically important BHC pursuant to 12 CFR 217.402;
(ii) Is a Category II FDIC-supervised institution;
(iii) Is a subsidiary of a depository institution that uses 12 CFR part 3, subpart E (OCC), 12 CFR part 217, subpart E (Board), or 12 CFR part 324, subpart E (FDIC) to calculate its risk-based capital requirements;
(iv) Is a subsidiary of a bank holding company or savings and loan holding company that uses 12 CFR part 217, subpart E, to calculate its risk-based capital requirements; or
(v) Elects to use this subpart to calculate its total risk-weighted assets.
*****
   PART 329--LIQUIDITY RISK MEASUREMENT STANDARDS
   30. The authority citation for part 329 continues to read as follows:
Authority: 12 U.S.C. 1815, 1816, 1818, 1819, 1828, 1831p-1, 5412.
   31. In
*****
(b) Applicability of Minimum Liquidity Standards. (1) An FDIC-supervised institution is subject to the minimum liquidity standard and other requirements of this part if:
(i) It is a GSIB FDIC-supervised institution, Category II FDIC-supervised institution or a Category III FDIC-supervised institution;
(ii) It is an
(A) Has total consolidated assets of
(1) Consolidated Financial Statements for Holding Companies reporting form (FR Y-9C), or, if the covered intermediate holding company is not required to report on the FR Y-9C, its estimated total consolidated assets as of the most recent year end, calculated in accordance with the instructions to the FR Y-9C; or
(2) Call Report; or
(B) Has total consolidated on-balance sheet foreign exposure at the most recent year-end equal to
(iii) It is an
(2)(i) An FDIC-supervised institution that becomes subject to the minimum liquidity standard and other requirements of this part under paragraph (b)(1)(i) of this section must comply with the requirements of this part beginning on the first day of the second calendar quarter after which the
(A) An FDIC-supervised institution must calculate and maintain a liquidity coverage ratio monthly, on each calculation date that is the last business day of the applicable calendar month, for the first three calendar quarters after the
(B) Beginning one year after the first year in which the
(ii) An FDIC-supervised institution that becomes subject to the minimum liquidity standard and other requirements of this part under paragraph (b)(1)(ii) of this section after
(A) From
(B) Beginning
(iii) An FDIC-supervised institution that becomes subject to the minimum liquidity standard and other requirements of this part under paragraph (b)(1)(iii) of this section after
*****
   32. In
*****
Average weighted short-term wholesale funding has the same meaning as in 12 CFR 252.2.
*****
Call Report means the Consolidated Reports of Condition and Income.
Category II FDIC-supervised institution means:
(1) An FDIC-supervised institution that is a consolidated subsidiary of a company that is identified as a Category II banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10 and has total consolidated assets, calculated based on the average of the
(2) An FDIC-supervised institution that:
(i)(A) Has total consolidated assets, calculated based on the average of the
(B) Has:
(1) Total consolidated assets, calculated based on the average of the
(2) Cross-jurisdictional activity, calculated based on the average of its cross-jurisdictional activity for the four most recent calendar quarters, of
(ii) After meeting the criteria in paragraph (2)(i) of this section, an
(A)(1) Less than
(2) Less than
(B) Less than
(C) Is a GSIB FDIC-supervised institution.
Category III FDIC-supervised institution means:
(1) An FDIC-supervised institution that is a consolidated subsidiary of a company that is identified as a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10, as applicable and has total consolidated assets, calculated based on the average of the
(2) An FDIC-supervised institution that:
(i)(A) Has total consolidated assets, calculated based on the average of the
(B) Has:
(1) Total consolidated assets, calculated based on the average of the
(2) One or more of the following, each measured as the average of the four most recent quarters, or if the
(i) Total nonbank assets, calculated in accordance with instructions to the FR Y-9LP or equivalent reporting form, equal to
(ii) Off-balance sheet exposure, calculated in accordance with the instructions to the FR
(iii) Weighted short-term wholesale funding, calculated in accordance with the instructions to the FR Y-15 or equivalent reporting form, equal to $75 billion or more;
(ii) After meeting the criteria in paragraph (2)(i) of this section, an
(A)(1) Less than $250 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters;
(2) Less than $75 billion in total nonbank assets, calculated in accordance with the instructions to the FR Y-9LP or equivalent reporting form, for each of the four most recent calendar quarters;
(3) Less than $75 billion in weighted short-term wholesale funding, calculated in accordance with the instructions to the FR Y-15 or equivalent reporting form, for each of the four most recent calendar quarters; and
(4) Less than $75 billion in off-balance sheet exposure for each of the four most recent calendar quarters. Off-balance sheet exposure is an
(B) Less than $100 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters;
(C) Is a Category II FDIC-supervised institution; or
(D) Is a GSIB FDIC-supervised institution.
*****
Covered intermediate holding company means a
(2) Is a bank holding company or savings and loan holding company.
*****
FR Y-15 means the Banking Organization Systemic Risk Report.
FR Y-9LP means the Parent Company Only Financial Statements for Large Holding Companies.
*****
Global systemically important BHC means a bank holding company identified as a global systemically important BHC pursuant to 12 CFR 217.402.
GSIB FDIC-supervised institution means an
*****
   33. In
(a) Calculation of total net cash outflow amount. As of the calculation date, an
(1) The sum of the outflow amounts calculated under
(2) The lesser of:
(i) The sum of the inflow amounts calculated under
(ii) 75 percent of the amount calculated under paragraph (a)(1) of this section; plus
(3) The maturity mismatch add-on as calculated under paragraph (b) of this section.
*****
   34. In
(c) Outflow adjustment percentage. A
Table 1 to [Sec.] 329.30-Outflow Adjustment Percentages Outflow adjustment percentage GSIB FDIC-supervised institution 100 Category II FDIC-supervised institution 100 Category III FDIC-supervised institution that: 100 (1) Is a consolidated subsidiary of a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10 with $ 75 billion or more in average weighted short-term wholesale funding; or (2) Has $ 75 billion or more in average weighted short-term wholesale funding and is not consolidated under a holding company Category III FDIC-supervised institution that: $(70 to 85$) (1) Is a consolidated subsidiary of a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10 with less than $ 75 billion in average weighted short-term wholesale funding; or (2) Has less than $ 75 billion in average weighted short-term wholesale funding and is not consolidated under a holding companyFDIC -supervised institution that is described in [Sec.] 329.1(b)(1)(ii) 100
*****
[Re-Proposal of Net Stable Funding Ratio's Applicability]
PART 329--LIQUIDITY RISK MEASUREMENT STANDARDS
   35. In
*****
(c) Applicability of the minimum stable funding standard. (1) An FDIC-supervised institution is subject to the minimum stable funding standard and other requirements of subparts K through M if:
(i) It is a GSIB FDIC-supervised institution, Category II FDIC-supervised institution, Category III FDIC-supervised institution that is the consolidated subsidiary of a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10 with $75 billion or more in average weighted short-term wholesale funding, or a Category III FDIC-supervised institution with $75 billion or more in average weighted short-term wholesale funding that is not consolidated under a holding company; or
(ii) It is an
(A) Has total consolidated assets of $250 billion or more, as reported on the most recent year-end (as applicable):
(1) Consolidated Financial Statements for Holding Companies reporting form (FR Y-9C), or, if the covered intermediate holding company is not required to report on the FR Y-9C, its estimated consolidated assets as of the most recent year end, calculated in accordance with the instructions to the FR Y-9C;
(2) Call Report; or
(B) Has total consolidated on-balance sheet foreign exposure at the most recent year-end equal to $10 billion or more (where total on-balance sheet foreign exposure equals total cross-border claims less claims with a head office or guarantor located in another country plus redistributed guaranteed amounts to the country of the head office or guarantor plus local country claims on local residents plus revaluation gains on foreign exchange and derivative transaction products, calculated in accordance with the
(iii) It is a Category III FDIC-supervised institution that meets the criteria in
(iv) The
(2)(i) An FDIC-supervised institution that becomes subject to the minimum stable funding standard and other requirements of subparts K through M of this part under paragraph (c)(1)(i) of this section on the effective date, must comply with the requirements of these subparts beginning on the first day of the second calendar quarter after which the
(ii) An FDIC-supervised institution that becomes subject to the minimum stable funding standard and other requirements of subparts K through M of this part under paragraph (c)(1)(ii) of this section after the effective date must comply with the requirements of subparts K through M of this part beginning on April 1 of the year in which the
(iii) An FDIC-supervised institution that becomes subject to the minimum stable funding standard and other requirements of subparts K through M of this part under paragraph (c)(1)(iv) of this section after the effective date must comply with the requirements of subparts K through M of this part on the date specified by the
(3) Subparts K through M of this part do not apply to:
(i) A bridge financial company as defined in 12 U.S.C. 5381(a)(3), or a subsidiary of a bridge financial company; or
(ii) A new depository institution or a bridge depository institution, as defined in 12 U.S.C. 1813(i).
(4) An FDIC-supervised institution subject to a minimum stable funding standard under this part shall remain subject until the
(5) In making a determination under paragraphs (c)(1)(iv) or (c)(4) of this section, the
*****
   36. Add subpart M to part 329 to read as follows:
Subpart M--Net Stable Funding Ratio for FDIC-Supervised Institutions
Sec.
329.120Applicability.
329.121Net stable funding ratio requirement.
Subpart M--Net Stable Funding Ratio for FDIC-Supervised Institutions
(a) Scope. This subpart applies to an
(1) Is a Category III FDIC-supervised institution that is a consolidated subsidiary of a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10 with less than $75 billion in average weighted short-term wholesale funding; or
(2) Is a Category III FDIC-supervised institution with less than $75 billion in average weighted short-term wholesale funding that is not consolidated under a holding company.
(b) Applicable provisions. Except as otherwise provided in this subpart, the provisions of subparts A, K, and L of this part apply to
(c) Applicability. An
(a) Calculation of the net stable funding ratio. An
(b) Available stable funding amount. An
(c) Required stable funding amount. An
   Dated: October 30, 2018.
Comptroller of the Currency.
   By order of the Board of Governors of the Federal Reserve System, November 30, 2018.
Assistant Secretary of the Board.
   Dated at
By order of the Board of Directors.
Executive Secretary.
[FR Doc. 2018-27177 Filed 12-20-18; 8:45 am]
BILLING CODE 4810-33-P 6210-01-P 6714-01-P
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