Office of the Comptroller of the Currency, Treasury; the Board of Governors of the Federal Reserve System; and the Federal Deposit Insurance Corporation.
Notice of proposed rulemaking with request for public comment.
The Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve System, and the Federal Deposit Insurance Corporation (collectively, the agencies) are inviting comment on a proposal that would establish risk-based categories 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 U.S. banking organizations. The proposal would establish four categories of standards and apply tailored capital and liquidity requirements for banking organizations subject to each category. The proposal is consistent with a separate proposal issued by the Board that would apply certain prudential standards for large U.S. banking organizations based on the same categories. The proposal would not amend the capital and liquidity requirements currently applicable to an intermediate holding company of a foreign banking organization or its subsidiary depository institutions. This proposal also would not amend the requirements applicable to Federal branches or agencies of foreign banking organizations.
Comments must be received by January 22, 2019.
Comments should be directed to: OCC: You may submit comments to the OCC by any of the methods set forth below. Commenters are encouraged to submit comments through the Federal eRulemaking Portal or email, if possible. Please use the title “Proposed Changes to Thresholds Applicable to Regulatory Capital and Liquidity Requirements” to facilitate the organization and distribution of the comments. You may submit comments by any of the following methods:
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You may review comments and other related materials that pertain to this rulemaking action by any of the following methods:
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In 2013, the Office of the Comptroller of the Currency (OCC), the Board of Governors of the Federal Reserve System (Board), and the Federal Deposit Insurance Corporation (FDIC) (collectively, the agencies) adopted a revised regulatory capital rule (capital rule) that, among other things, addressed weaknesses in the regulatory framework that became apparent in the 2007–2009 financial crisis.
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)
Additional capital requirements apply to U.S. GSIBs beyond those applicable to advanced approaches banking organizations, which are intended to increase their resiliency as the largest, most interconnected and systemically risky banking organizations. First, a risk-based capital surcharge applies to U.S. GSIBs at the top-tier bank holding company level, calibrated to reflect their systemic footprint. Second, an enhanced supplementary leverage ratio standard applies to U.S. GSIBs and their insured depository institution subsidiaries.
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 $10 billion or more.
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 the United States (the proposal).
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 October 2017)
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 U.S. GSIBs and their subsidiary depository institutions. These banking organizations have the potential to pose the greatest risks to U.S. financial stability due to their systemic risk profiles. The existing post-financial crisis framework for U.S. GSIBs has resulted in significant gains in resiliency and risk management. The proposal accordingly would maintain the most stringent standards for these banking organizations, which are generally consistent with the standards developed by the BCBS, subject to notice and comment rulemaking in the United States.
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 United States. The application of consistent prudential standards across jurisdictions to banking organizations with significant size or cross-jurisdictional activity helps to promote competitive equity among U.S. banking organizations and their foreign peers and competitors, and to reduce opportunities for regulatory arbitrage, while applying standards that appropriately reflect the risk profiles of banking organizations in this category. In addition, consistency of standards can facilitate U.S. banking organizations' regulatory compliance in foreign markets. Category II standards would also reflect the risks associated with these banking organizations' very large size or cross-border operations.
The third set of standards (Category III) would apply to banking organizations with total consolidated assets of $250 billion or more that do not meet the criteria for Category I or II, and to other banking organizations with total consolidated assets of $100 billion or more, but less than $250 billion, that meet or exceed specified indicators of risk. Category III standards would reflect these banking organizations' heightened risk profiles relative to smaller and less complex banking organizations.
The fourth set of standards (Category IV) would apply to banking organizations with total consolidated assets of $100 billion or more that do not meet the thresholds for one of the other categories. These banking organizations generally have greater scale and operational and managerial complexity relative to smaller banking organizations, but less than banking organizations that would be subject to Category I, II, or III standards. In addition, the failure or distress of one or more banking organizations that would be subject to Category IV standards, while not likely to have as significant of an impact on financial stability as the failure or distress of a firm subject to Category I, II or III standards, could nonetheless have a more significant negative effect on economic growth and employment relative to the failure or distress of smaller banking organizations. Category IV standards are therefore less stringent than Category III standards, reflecting the lower risk profile of these banking organizations relative to other banking organizations with $100 billion or more in total consolidated assets. For example, based on the size and risk profile of these banking organizations, the proposal would remove applicability of the LCR rule and proposed NSFR rule for banking organizations subject to Category IV standards. As a result, firms subject to Category IV standards would generally face the same capital and liquidity regulatory requirements as banking organizations under $100 billion in total consolidated assets.
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 $100 billion or more and its subsidiary depository institutions. The proposed categories and criteria are consistent with the considerations and factors set forth in section 165 of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act),
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 $10 billion or more in total consolidated assets at the depository institution level are also subject to the LCR requirement and would be subject to the proposed NSFR requirement. Large subsidiary depository institutions play a significant role in a covered company's funding structure, and in the operation of the payments system. These large subsidiaries generally also have access to deposit insurance coverage. Accordingly, the proposal would maintain the application of the LCR and proposed NSFR requirements to these large subsidiary depository institutions.
Where possible, the proposal would rely on indicators and thresholds already used in the agencies' existing regulatory frameworks or reported by large U.S. bank holding companies or savings and loan holding companies. As described further below, these categories would be defined based on the following criteria:
• Category I standards would apply to U.S. GSIBs and their subsidiary depository institutions.
• Category II standards would apply to banking organizations with $700 billion or more in total consolidated assets or $75 billion or more in cross-jurisdictional activity that are not subject to Category I standards and to their subsidiary depository institutions.
• Category III standards would apply to banking organizations that are not subject to Category I or II standards and that have $250 billion or more in total consolidated assets or $75 billion or more in any of the following indicators: Nonbank assets, weighted short-term wholesale funding, or off-balance-sheet exposures. Category III standards would also apply to the subsidiary depository institutions of any holding companies subject to Category III standards.
• Category IV standards would apply to banking organizations with at least $100 billion in total consolidated assets that do not meet any of the thresholds specified for Categories I through III and to their subsidiary depository institutions.
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.
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.
Under the proposal, a depository institution without a holding company
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.
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.
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 $700 billion, $250 billion, and $100 billion in total consolidated assets for Category II, III, and IV requirements, respectively, for banking organizations that are not U.S. GSIBs. A holding company with $700 billion or more in total consolidated assets, and its subsidiary depository institutions, would be subject to Category II requirements in order to address the substantial risks that can arise from the activities and potential distress of very large banking organizations that are not U.S. GSIBs. Historical examples suggest that a banking organization of this size should be subject to stringent prudential standards. For example, during the financial crisis, significant losses at Wachovia Corporation, which had $780 billion in assets at the time of being acquired in distress, had a destabilizing effect on the financial system. A threshold of $700 billion or more in total consolidated assets would ensure that a banking organization with a size of similar magnitude would be subject to Category II standards.
A holding company with $250 billion or more in total consolidated assets that does not meet the requirements for Category II, and its subsidiary depository institutions, would be subject to Category III requirements. As discussed above, the Board estimates that the failure or distress of a banking organization of this size would likely have a greater economic and financial stability impact than that of a smaller banking organization,
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 $100 billion or more in total consolidated assets that do not meet the criteria for Category I, II, or III. As discussed in section II.C.4 of this Supplementary Information section, based on the risk profiles of banking organizations that would be subject to Category IV standards, the agencies are proposing not to apply to banking organizations that meet the Category IV criteria additional requirements under
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 $75 billion for each of these risk-based indicators, based on the degree of concentration this amount would represent for each banking organization. In each case, a threshold of $75 billion would represent at least 30 percent and as much as 75 percent of total consolidated assets for banking organizations with between $100 billion and $250 billion in total consolidated assets.
Category II standards would apply to a banking organization with $100 billion or more in total consolidated assets and $75 billion or more in cross-jurisdictional activity to promote parallel treatment among banking organizations with large global operations. Category III standards would apply to a banking organization with $100 billion or more in total consolidated assets and at least $75 billion in weighted short-term wholesale funding, nonbank assets, or off-balance sheet exposure.
Cross-jurisdictional activity would be defined as the sum of cross-jurisdictional assets and liabilities, as each is reported on the FR Y–15 by holding companies. Cross-jurisdictional activity can affect the complexity of a banking organization and give rise to challenges that may complicate the resolution of such a banking organization if it were to fail. In particular, foreign operations and cross-border positions add operational complexity in normal times and complicate the ability of a banking organization to undergo a successful recovery in times of stress, generating both safety and soundness and financial stability risks. For example, a banking organization with significant cross-border operations may require more sophisticated capital and liquidity management relating to risks of ring-fencing by one or more jurisdictions during stress, which could impede the banking organization's ability to move resources in one jurisdiction to meet needs in another.
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
The proposed weighted short-term wholesale funding indicator would track the measure currently reported on the FR Y–15 by holding companies and be consistent with the calculation used for purposes of the GSIB surcharge rule.
Under the proposal, nonbank assets would be measured as the average amount of equity investments in nonbank subsidiaries.
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.
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.
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.
The proposal would define off-balance sheet exposure based on measures currently reported by holding companies with more than $100 billion in assets, specifically, as total exposure, as defined on FR Y–15, minus total consolidated assets, as reported on the Consolidated Financial Statements for Holding Companies (FR Y–9C). Total exposure includes a banking organization's on-balance sheet assets plus certain off-balance sheet exposures, including derivative exposures, repo-style transactions, and other off-balance sheet exposures (such as commitments).
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.
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.
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 $100 billion in total assets.
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 U.S. financial system or economy. As noted in section II.B.1 of this Supplementary Information section, during the financial crisis, significant losses at Wachovia Corporation, which had $780 billion in total consolidated assets at the time of being acquired in distress, had a destabilizing effect on the financial system. The Board estimated method 1 and method 2 scores for Wachovia Corporation, based on available data, and also calculated the scores of banking organizations with more than $250 billion in total consolidated assets that are not U.S. GSIBs assuming that each had $700 billion in total consolidated assets (the asset size threshold used to define Category II in the agencies' main proposal). The Board also considered the outlier method 1 and method 2 scores for banking organizations with more than $250 billion in total consolidated assets that are not U.S. GSIBs.
Based on this analysis, the agencies would apply Category II standards to any non-GSIB banking organization with at least $100 billion in total consolidated assets and with a method 1 score between 60 and 80 or a method 2 score between 100 to 150. If the agencies adopt a final rule that uses the scoring methodology to establish tailoring thresholds, the agencies would set a single score within the listed ranges for application of Category II standards. The agencies invite comment on what score within these ranges would be appropriate.
Under the proposal, a holding company with total consolidated assets of $100 billion or more and its subsidiary depository institutions would be required to determine the category of standards to which it is subject. The proposal would add certain defined terms to the agencies' capital rule and LCR rule to implement the proposed categories. U.S. GSIBs would continue to be identified using the Board's GSIB surcharge methodology, and the proposal would refer to these banking organizations as global systemically important bank holding companies, consistent with the term used elsewhere in the agencies' regulations.
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.
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 April 1 of the following year, or as specified by the appropriate agency.
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 April 1 to December 1 of its first year of compliance. Beginning on January 1 of the following year, the banking organization must calculate its LCR daily.
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.
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 (
Currently, U.S. GSIBs are subject to the most stringent prudential standards relative to other banking organizations, which reflect the heightened risks these banking organizations pose to U.S. financial stability. The proposal would make no changes to the capital and liquidity requirements applicable to U.S. GSIBs.
Accordingly, U.S. GSIBs would remain subject to the most stringent capital and liquidity requirements, including requirements based on standards developed by the BCBS, subject to notice and comment rulemaking in the United States. Their subsidiary depository institutions would also be subject to the most stringent requirements, as applicable. Category I capital standards would include a requirement to calculate risk-based capital ratios using both the advanced approaches and the standardized approach; the U.S. leverage ratio; the enhanced supplementary leverage ratio; the GSIB surcharge (at the holding company level only); the requirement to recognize most elements of AOCI in regulatory capital; and the requirement to expand their capital conservation buffer by the amount of the countercyclical capital buffer, if applicable. Category I liquidity standards would include the full LCR requirement
Consistent with current requirements, a subsidiary depository institution of a banking organization subject to the full LCR and proposed NSFR requirements with $10 billion or more in total consolidated assets would be required to meet the LCR and NSFR requirements. Currently, the $10 billion consolidated asset threshold is measured based on the most recent year-end Consolidated Report of Condition and Income. Consistent with the other proposed scoping criteria described in section II.B of this Supplementary Information section, the proposal would amend the LCR and proposed NSFR rules to measure this threshold based on the value of total consolidated assets over the four most recent calendar quarters.
The failure or distress of banking organizations that would be subject to Category II standards could impose significant costs on the U.S. financial system and economy, although they generally do not present the same degree of risk as U.S. GSIBs. Their size and cross-jurisdictional activity present risks that require enhanced regulatory capital standards and greater supervisory oversight relative to other banking organizations. Further, size and cross-jurisdictional activity can present particularly heightened challenges in the case of a liquidity stress, which can create both financial stability and safety and soundness risks. For example, a very large banking organization that engages in asset fire sales to meet short-term liquidity needs is more likely to transmit distress on a broader scale because of the greater volume of assets it could sell in a short period of time. Similarly, a banking organization with significant international activity may be more exposed to the risk of ring-fencing of liquidity resources by one or more jurisdictions that could impede its ability to move liquidity to meet outflows.
In this proposal, capital and liquidity requirements that are generally consistent with standards developed by the BCBS, subject to notice and comment rulemaking in the United States, would continue to apply to holding companies subject to Category II standards. These standards would include the full LCR and proposed NSFR requirements, advanced approaches capital requirements, and the supplementary leverage ratio. Similar to Category I standards, holding companies subject to Category II standards would also be required to recognize most elements of AOCI in regulatory capital. Reflecting AOCI in regulatory capital results in a more accurate measure of capital, which is important for maintaining the resilience of these banking organizations. Additionally, holding companies subject to Category II standards would be required to expand their capital conservation buffer by the amount of the countercyclical capital buffer, if applicable.
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 $10 billion or more.
The agencies' current regulatory framework generally applies the same capital and liquidity standards to all non-GSIB banking organizations with $250 billion or more in total consolidated assets. For example, advanced approaches capital
Category III standards would apply to all banking organizations with at least $250 billion in total consolidated assets that do not meet the criteria for Category I or Category II, as well as to certain banking organizations with less than $250 billion in total consolidated assets based on their risk profile. As discussed in section II.B.2 of this Supplementary Information section, weighted short-term wholesale funding, nonbank assets, and off-balance sheet exposure indicators contribute to the systemic risk profile and safety and soundness risk profile of banking organizations.
Under the proposal, Category III capital standards would include generally applicable risk-based capital requirements, the U.S. leverage ratio, and the supplementary leverage ratio. Category III standards would also include the countercyclical capital buffer, given these banking organizations' significant role in financial intermediation in the United States individually and as a group. These banking organizations have a substantial enough footprint that they should expand their capital conservation buffer as necessary to support the prudential goals of the buffer framework. The supplementary leverage ratio would apply to banking organizations subject to Category III standards given these banking organizations' size and risk profile. For example, firms subject to Category III standards include banking organizations with material off-balance sheet exposures that are not accounted for in the traditional U.S. tier 1 leverage ratio. The supplementary leverage ratio is important for these banking organizations to constrain the build-up of off-balance sheet exposures, which can contribute to instability and undermine safety and soundness of individual banking organizations.
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.
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 $75 billion or more, or would be subject to less stringent, reduced LCR and NSFR requirements if it has less than $75 billion in weighted short-term wholesale funding.
For banking organizations subject to Category III standards with weighted short-term wholesale funding of less than $75 billion, the agencies are proposing to reduce the stringency of the LCR and NSFR requirements and request comment regarding the appropriate level. These banking organizations would be subject to reduced LCR and NSFR requirements, as they have less reliance on short-term wholesale funding that is a source of liquidity risk. While the failure or distress of such a firm could pose risks to U.S. financial stability, their risk profile is lower than that of U.S. GSIBs and they are smaller or face a lesser degree of cross-border challenges than firms that would be subject to Category II standards. In addition, although the proposal would reduce the standardized LCR and NSFR requirements for these banking organizations, under the Board-only proposal, depository institution holding companies subject to Category III standards would be required to comply with liquidity risk management, stress testing, and buffer requirements, which reflect the firm's individual risk profile.
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.
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 $10 billion or more and is a consolidated subsidiary of a company subject to Category III standards.
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.
Under the proposal, Category IV standards would apply to banking organizations with $100 billion or more in total consolidated assets that do not meet the criteria for Categories I, II, or III, and their subsidiary depository institutions. Relative to current requirements, the proposed Category IV standards would reduce liquidity and, in certain circumstances, capital requirements to reflect these banking organizations' lower risk profile and lesser degree of complexity relative to other large banking organizations.
Category IV capital standards would include the generally applicable risk-based capital requirements and the U.S. leverage ratio. The proposal would not apply the countercyclical capital buffer and the supplementary leverage ratio applicable under Category III to Category IV banking organizations. In this manner, the standards applicable to banking organizations subject to Category IV would maintain the risk-sensitivity of the current capital regime and resiliency of these banking organizations' capital positions, and would recognize that these banking organizations, while large, have lower indicators of risk relative to their larger peers, as set forth in the proposal. As a result, and as noted above, banking organizations subject to Category IV standards would generally have the same capital and liquidity regulatory requirements as banking organizations under $100 billion in total consolidated assets.
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.
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.
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 $8 billion, or 60 basis points of total risk-weighted assets among these banking organizations) and reduce compliance costs for certain banking organizations related to the advanced approaches capital requirements. The impact on capital levels for banking organizations subject to Category III and IV standards could vary under different economic and market conditions. For example, from 2001 to 2018, the aggregate AOCI for banking organizations subject to Category III or Category IV standards that included AOCI in capital has ranged from a decrease of approximately 140 basis points of total risk-weighted assets to an increase of approximately 50 basis points of total risk-weighted assets.
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.
The Board estimates that under a 70 percent LCR requirement, holding companies subject to Category III standards that have less than $75 billion in weighted short-term wholesale funding would reduce HQLA by approximately $43 billion.
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 $75 billion in weighted short-term wholesale funding and removing the LCR for holding companies subject to Category IV standards would moderately increase the likelihood that these holding companies could experience liquidity pressure during times of stress.
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 Office of Management and Budget (OMB) control number. The OMB control number for the OCC is 1557–0318, Board is 7100–0313, and FDIC is 3064–0153. The OCC and FDIC may need to request new control numbers if submissions are pending under their respective control numbers at the time of this submission. These information collections will be extended for three years, with revision. The information collection requirements contained in this proposed rulemaking have been submitted by the OCC and FDIC to OMB for review and approval under section 3507(d) of the PRA (44 U.S.C. 3507(d)) and section 1320.11 of the OMB's implementing regulations (5 CFR 1320). The Board reviewed the proposed rule under the authority delegated to the Board by OMB.
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
Recordkeeping (Ongoing)—16.
Recordkeeping (Initial setup)—122.
Recordkeeping (Ongoing)—20.
Disclosure (Initial setup)—226.25.
Disclosure (Ongoing quarterly)—131.25.
Recordkeeping (Initial setup)—460.
Recordkeeping (Ongoing)—540.77.
Recordkeeping (Ongoing quarterly)—20.
Disclosure (Initial setup)—280.
Disclosure (Ongoing)—5.78.
Disclosure (Ongoing quarterly)—35.
Recordkeeping (Ongoing)—16.
Recordkeeping (Initial setup)—122.
Recordkeeping (Ongoing)—20.
Disclosure (Initial setup)—226.25.
Disclosure (Ongoing quarterly)—131.25.
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.
Recordkeeping (Ongoing)—0.5.
Recordkeeping (Ongoing)—16.
Recordkeeping (Initial setup)—122.
Recordkeeping (Ongoing)—20.
Disclosure (Initial setup)—226.25.
Disclosure (Ongoing quarterly)—131.25.
Recordkeeping (Initial setup)—460.
Recordkeeping (Ongoing)—540.77.
Recordkeeping (Ongoing quarterly)—20.
Disclosure (Initial setup)—280.
Disclosure (Ongoing)—5.78.
Disclosure (Ongoing quarterly)—35.
The proposed rule would also require changes to the Consolidated Reports of Condition and Income (Call Reports) (FFIEC 031, FFIEC 041, and FFIEC 051; OMB Nos. 1557–0081 (OCC), 7100–0036 (Board), and 3064–0052 (FDIC)) and Risk-Based Capital Reporting for Institutions Subject to the Advanced Capital Adequacy Framework (FFIEC 101; OMB Nos. 1557–0239 (OCC), 7100–0319 (Board), and 3064–0159 (FDIC)), which will be addressed in a separate
As of June 30, 2018, the OCC supervises 886 small entities.
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.
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
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) $250 billion or more in total consolidated assets; or (ii) total consolidated on-balance sheet foreign exposure equal to $10 billion or more. The LCR rule also applies to state member banks with total consolidated assets equal to $10 billion or more that are consolidated subsidiaries of a covered bank holding company. The modified LCR, which is part of the LCR rule, applies to certain bank holding companies and covered savings and loan holding companies with $50 billion or more in total consolidated assets. Most institutions that are affected by the proposal therefore substantially exceed the $550 million asset threshold at which a banking entity is considered a “small entity” under SBA regulations.
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.
The FDIC supervises 3,575 institutions, of which 2,763 are considered small entities for the purposes of RFA.
This proposed rule will affect all institutions subject to the current advanced approaches regulations and their subsidiaries. The FDIC does not supervise any advanced approaches banking organizations or subsidiaries thereof that have $550 million or less in total consolidated assets.
The FDIC invites comments on all aspects of the supporting information provided in this RFA section. In particular, would this rule have any significant effects on small entities that the FDIC has not identified?
Section 722 of the Gramm-Leach-Bliley Act
• 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?
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 $100 million or more in any one year (adjusted for inflation). The OCC has determined that this proposed rule would not result in expenditures by State, local, and Tribal governments, or the private sector, of $100 million or more in any one year. Accordingly, the OCC has not prepared a written statement to accompany this proposal.
Pursuant to section 302(a) of the Riegle Community Development and Regulatory Improvement Act (RCDRIA),
Administrative practice and procedure, Asset risk-weighting methodologies, Banking, Banks, Capital adequacy, Capital requirements, Federal savings associations, National banks, Reporting and recordkeeping requirements, Risk.
Administrative practice and procedure, Banking, Banks, Liquidity, Reporting and recordkeeping requirements, Savings associations.
Administrative practice and procedure, Banking, Banks, Capital, Federal Reserve System, Holding companies, Reporting and recordkeeping requirements, Risk, Securities.
Administrative practice and procedure, Banking, Banks, Federal Reserve System, Holding companies, Liquidity, Reporting and recordkeeping requirements.
Administrative practice and procedure, Banking, Banks, Capital adequacy, Reporting and recordkeeping requirements, Savings associations, State non-member banks.
Administrative practice and procedure, Banking, Banks, Federal Deposit Insurance Corporation, Liquidity, Reporting and recordkeeping requirements, Savings associations.
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 U.S.C. 93a, 161, 1462, 1462a, 1463, 1464, 1818, 1828(n), 1828 note, 1831n note, 1835, 3907, 3909, and 5412(b)(2)(B).
(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 $700 billion or more. If the national bank or Federal savings association has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable; or
(B) Has:
(
(
(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) (
(
(B) Less than $100 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters; or
(C) Is a subsidiary of a global systemically important BHC.
(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 $250 billion or more. If the national bank or Federal savings association has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable; or
(B) Has:
(
(
(
(
(
(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)(
(
(
(
(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 national bank or Federal savings association; or
(D) Is a subsidiary of a global systemically important BHC.
(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.
(c)
(4)
The revisions read as follows:
(b)
(ii)
(b)
(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
12 U.S.C. 1
(b)
(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 $10 billion or more, as reported on the most recent year-end Call Report, and it is a consolidated subsidiary of a covered intermediate holding company that:
(A) Has total consolidated assets of $250 billion or more, as reported on the most recent year-end (as applicable):
(
(
(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 Federal Financial Institutions Examination Council (FFIEC) 009 Country Exposure Report); or
(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 April 1 of the year in which the national bank or Federal savings association becomes subject to the minimum liquidity standard and other requirements of this part, except:
(A) From April 1 to December 31 of the year in which the national bank or Federal savings association becomes subject to the minimum liquidity standard and other requirements of this part, the 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; and
(B) Beginning January 1 of the 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) of this section, and thereafter, the national bank or Federal savings association must calculate and maintain a liquidity coverage ratio on each calculation date.
(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.
(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 $10 billion or more. If the national bank or Federal savings association has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable. After meeting the criteria under this paragraph (1), 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 less than $10 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters, or the national bank or Federal savings association is no longer a consolidated subsidiary of a category II Board-regulated institution; 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
(B) Has:
(
(
(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)(
(
(B) Less than $100 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters; or
(C) Is a GSIB depository institution.
(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 $10 billion or more. If the national bank or Federal savings association has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable. After meeting the criteria under this paragraph (1), 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 less than $10 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters, or the national bank or Federal savings association is no longer a consolidated subsidiary of a Category III Board-regulated institution; 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 $250 billion or more. If the national bank or Federal savings association has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable; or
(B) Has:
(
(
(
(
(
(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)(
(
(
(
(B) Less than $100 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters; or
(C) Is a Category II national bank or Federal savings bank; or
(D) Is a GSIB depository institution.
(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.
The revision and additions read as set forth below.
(a)
(1) The sum of the outflow amounts calculated under § 50.32(a) through (l); minus
(2) The lesser of:
(i) The sum of the inflow amounts calculated under § 50.33(b) through (g); and
(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)
(c)
(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 $75 billion or more in average weighted short-term wholesale funding, or a Category III national bank or Federal savings association with $75 billion or more in average weighted short-term wholesale funding that is not consolidated under a holding company;
(ii) It is a national bank or Federal savings association that has total consolidated assets equal to $10 billion or more, or reported on the most recent year-end Call Report, and is a consolidated subsidiary of a covered intermediate holding company that:
(A) Has total consolidated assets of $250 billion or more, as reported on the most recent year-end (as applicable):
(
(
(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 Federal Financial Institutions Examination Council (FFIEC) 009 Country Exposure Report);
(iii) It is a Category III national bank or Federal savings association that meets the criteria in § 50.120(a) but does not meet the criteria in paragraph
(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 April 1 of the year in which the national bank or Federal savings association becomes subject to the minimum stable funding standard and other requirements of subparts K through M of this part: and
(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.
(a)
(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 $75 billion in average weighted short-term wholesale funding that is a Category III Board-regulated institution, pursuant to 12 CFR 249.3; or
(2) Is a Category III national bank or Federal savings association with less than $75 billion in average weighted short-term wholesale funding that is not consolidated under a holding company.
(b)
(c)
(a)
(b)
(c)
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:
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.
(1) A Board-regulated institution that is described § 217.100(b)(1); or
(2) A U.S. intermediate holding company that was established or designated by a foreign banking organization pursuant to 12 CFR 252.153
(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 $250 billion or more;
(B) Has consolidated total on-balance sheet foreign exposure on its most recent year-end Federal Financial Institutions Examination Council (FFIEC) 009 Report equal to $10 billion or more (where total on-balance sheet
(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.
(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 $700 billion or more. If the state member bank has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable; or
(B) Has:
(
(
(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:
(
(
(B) Has less than $100 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters; or
(C) Is a subsidiary of a global systemically important BHC.
(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 $250 billion or more. If the state member bank has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable; or
(B) Has:
(
(
(
(
(
(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:
(
(
(
(
(B) Has 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 Board-regulated institution; or
(D) Is a subsidiary of a global systemically important BHC.
(a) * * *
(5) For advanced approaches Board-regulated institutions or, for Category III Board-regulated institutions, a supplementary leverage ratio of 3 percent.
(c)
(4)
(b)
(i) * * *
(ii)
(b)
(i) A top-tier bank holding company or savings and loan holding company domiciled in the United States that:
(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:
(
(
(
(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.
(b) * * *
(2) Short-term wholesale funding includes the following components:
12 U.S.C. 248(a), 321–338a, 481–486, 1467a(g)(1), 1818, 1828, 1831p–1, 1831o–1, 1844(b), 5365, 5366, 5368.
(b)
(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 $250 billion or more, as reported on the most recent year-end (as applicable):
(
(
(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 Federal Financial Institutions Examination Council (FFIEC) 009 Country Exposure Report);
(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 $10 billion or more, as reported on the most recent year-end Call Report;
(iv) It is a covered nonbank company;
(v) It is a covered intermediate holding company that meets the criteria in § 249.60(a) but does not meet the criteria in paragraph (b)(1)(ii) of this
(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 September 30, 2014, must comply with the requirements of this part beginning on April 1 of the year in which the Board-regulated institution becomes subject to the minimum liquidity standard and other requirements of this part, except:
(A) From April 1 to December 31 of the year in which the Board-regulated institution becomes subject to the minimum liquidity standard and other requirements of this part, the 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; and
(B) Beginning January 1 of the 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) of this section, and thereafter, the Board-regulated institution must calculate and maintain a liquidity coverage ratio on each calculation date; and
(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 September 30, 2014, must comply with the requirements of this part subject to a transition period specified by the Board.
(d)
(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 $75 billion or more in average weighted short-term wholesale funding,
(ii) It is a covered intermediate holding company that:
(A) Has total consolidated assets of $250 billion or more, as reported on the most recent year-end (as applicable):
(
(
(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 Federal Financial Institutions Examination Council (FFIEC) 009 Country Exposure Report);
(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 $75 billion or more in average weighted short-term wholesale funding;
(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 $10 billion or more, as reported on the most recent year-end Call Report;
(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 § 249.120(a) but does not meet the criteria in paragraphs (d)(1)(i) or (ii) of this section, and is subject to complying with the requirements of this part in accordance with subpart M of this part; or
(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 April 1 of the year in which the Board-regulated institution becomes subject to the minimum stable funding standard and requirements of subparts K through N of this part; and,
(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.
(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 $10 billion or more. If the state member bank has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable. After meeting the criteria under this paragraph (2), a state member bank continues to be a Category II Board-regulated institution until the state member bank has less than $10 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters, or the state member bank is no longer a consolidated subsidiary of a company described in paragraphs (1) or (3); 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 $700 billion or more. If the state member bank has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable; or
(B) Has:
(
(
(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)(
(
(B) Has less than $100 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters; or
(C) Is a GSIB depository institution.
(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 $10 billion or more. If the state member bank has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable. After meeting the criteria under this paragraph (2), a state member bank continues to be a Category III Board-regulated institution until the state member bank has less than $10 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters, or the state member bank is no longer a consolidated subsidiary of a company described in paragraphs (1) or (3); 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 in the four most recent quarters as reported quarterly on the most recent Call Report, equal to $250 billion or more. If the state member bank has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable; or
(B) Has:
(
(
(
(
(
(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)(
(
(
(
(B) Has 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 Board-regulated institution; or
(D) Is a GSIB depository institution.
(2) Is a covered depository institution holding company.
(a)
(1) The sum of the outflow amounts calculated under § 249.32(a) through (l); minus
(2) The lesser of:
(i) The sum of the inflow amounts calculated under § 249.33(b) through (g); and
(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)
(a)
(b)
(c)
(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 § 249.1(b)(2)(i) or (ii) must provide the disclosures required by this subpart for the first calendar quarter beginning no later than the date it is first required to comply with the requirements of this part pursuant to § 249.1(b)(2)(i) or (ii).
(a)
(1) A Category III Board-regulated institution with less than $75 billion in average weighted short-term wholesale funding;
(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 $50 billion or more, based on the average of the covered intermediate holding company's total consolidated assets in the four most recent quarters as reported on the FR Y–9C and does not meet the applicability criteria set forth in § 249.1(d).
(b)
(c)
(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)
(b)
(c)
For the reasons set out in the joint preamble, the FDIC proposes to amend 12 CFR chapter III as follows.
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).
(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 FDIC-supervised institution'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 $700 billion or more. If the FDIC-supervised institution has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable; or
(B) Has:
(
(
(ii) After meeting the criteria in paragraph (2)(i) of this section, an FDIC-supervised institution continues to be a Category II FDIC-supervised institution until the FDIC-supervised institution:
(A) Has:
(
(
(B) Has less than $100 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters; or
(C) Is a subsidiary of a global systemically important BHC pursuant to 12 CFR 217.402.
(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 FDIC-supervised institution's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, equal to $250 billion or more. If the FDIC-supervised institution has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable; or
(B) Has:
(
(
(
(
(
(ii) After meeting the criteria in paragraph (2)(i) of this section, an FDIC-supervised institution continues to be a Category III FDIC-supervised institution until the FDIC-supervised institution:
(A) Has:
(
(
(
(
(B) Has 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 subsidiary of a global systemically important BHC pursuant to 12 CFR 217.402.
(a) * * *
(5) For advanced approaches FDIC-supervised institutions or, for Category III FDIC-supervised institutions, a supplementary leverage ratio of 3 percent.
(c)
(4)
(b)
(ii)
(b)
(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.
12 U.S.C. 1815, 1816, 1818, 1819, 1828, 1831p–1, 5412.
(b)
(i) It is a GSIB FDIC-supervised institution, Category II FDIC-supervised institution or a Category III FDIC-supervised institution;
(ii) It is an FDIC-supervised institution that has total consolidated assets equal to $10 billion or more, as reported on the most recent year-end Call Report, and it is a consolidated subsidiary of a covered intermediate holding company that:
(A) Has total consolidated assets of $250 billion or more, as reported on the most recent year-end (as applicable):
(
(
(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 Federal Financial Institutions Examination Council (FFIEC) 009 Country Exposure Report); or
(iii) It is an FDIC-supervised institution for which the FDIC has determined that application of this part is appropriate in light of the FDIC-supervised 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) 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 FDIC-supervised institution becomes subject to the minimum liquidity standard and other requirements of this part, except:
(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 FDIC-supervised 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 FDIC-supervised 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 FDIC-supervised institution must calculate and maintain a liquidity coverage ratio on each calculation date;
(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 September 30, 2014, must comply with the requirements of this part beginning on April 1 of the year in which the FDIC-supervised institution becomes subject to the minimum liquidity standard and other requirements of this part, except:
(A) From April 1 to December 31 of the year in which the FDIC-supervised institution becomes subject to the minimum liquidity standard and other requirements of this part, the 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; and
(B) Beginning January 1 of the year after the first year in which the FDIC-supervised institution becomes subject to the minimum liquidity standard and other requirements of this part under paragraph (b)(1) of this section, and thereafter, the FDIC-supervised institution must calculate and maintain a liquidity coverage ratio on each calculation date; and
(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 September 30, 2014, must comply with the requirements of this part subject to a transition period specified by the FDIC.
(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 FDIC-supervised institution's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, equal to $10 billion or more. If the FDIC-supervised institution has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable. After meeting the criteria under this paragraph (1), an FDIC-supervised institution continues to be a Category II FDIC-supervised institution until the FDIC-supervised institution has less than $10 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters, or the FDIC-supervised institution is no longer a consolidated subsidiary of a Category II banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10; or
(2) An FDIC-supervised institution that:
(i)(A) Has total consolidated assets, calculated based on the average of the FDIC-supervised institution'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 $700 billion or more. If the FDIC-supervised institution has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable; or
(B) Has:
(
(
(ii) After meeting the criteria in paragraph (2)(i) of this section, an FDIC-supervised institution continues to be a Category II FDIC-supervised institution until the FDIC-supervised institution has:
(A)(
(
(B) Less than $100 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters; or
(C) Is a GSIB FDIC-supervised institution.
(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 FDIC-supervised institution's total consolidated assets for the four most recent calendar quarters as reported on the Call Report, equal to $10 billion or more. If the FDIC-supervised institution has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable. After meeting the criteria under this paragraph (1), an FDIC-supervised institution continues to be a Category III FDIC-supervised institution until the FDIC-supervised institution has less than $10 billion in total consolidated assets, as reported on the Call Report, for each of the four most recent calendar quarters, or the FDIC-supervised institution is no longer a consolidated subsidiary of a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10; or
(2) An FDIC-supervised institution that:
(i)(A) Has total consolidated assets, calculated based on the average of the FDIC-supervised institution's total consolidated assets in the four most recent quarters as reported quarterly on the most recent Call Report, equal to $250 billion or more. If the FDIC-supervised institution has not filed the Call Report for each of the four most recent calendar quarters, total consolidated assets means the average of its total consolidated assets, as reported on the Call Report, for the most recent quarter or quarters, as applicable; or
(B) Has:
(
(
(
(
(
(ii) After meeting the criteria in paragraph (2)(i) of this section, an FDIC-supervised institution continues to be a Category III FDIC-supervised institution until the FDIC-supervised institution has:
(A)(
(
(
(
(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.
(2) Is a bank holding company or savings and loan holding company.
(a)
(1) The sum of the outflow amounts calculated under § 329.32(a) through (l); minus
(2) The lesser of:
(i) The sum of the inflow amounts calculated under § 329.33(b) through (g); and
(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)
(c)
(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
(ii) It is an FDIC-supervised institution that has total consolidated assets equal to $10 billion or more, as reported on the most recent year-end Call Report, and is a consolidated subsidiary of a covered intermediate holding company that:
(A) Has total consolidated assets of $250 billion or more, as reported on the most recent year-end (as applicable):
(
(
(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 Federal Financial Institutions Examination Council (FFIEC) 009 Country Exposure Report);
(iii) It is a Category III FDIC-supervised institution that meets the criteria in § 329.120(a) but does not meet the criteria in paragraph (c)(1)(i) of this section, and is subject to the requirements of this part in accordance with subpart M of this part;
(iv) The FDIC has determined that application of this part is appropriate in light of the FDIC-supervised 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) 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 FDIC-supervised institution becomes subject to the minimum stable funding standard and other requirements of this part.
(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 FDIC-supervised institution becomes subject to the minimum stable funding standard and other requirements of subparts K through M of this part: and
(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 FDIC.
(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 FDIC determines in writing that application of this part to the FDIC-supervised institution is not appropriate in light of the FDIC-supervised 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 (c)(1)(iv) or (c)(4) of this section, the FDIC 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 324.5.
(a)
(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)
(c)
(a)
(b)
(c)
By order of the Board of Directors.