Proposed Changes to Applicability Thresholds for Regulatory Capital and Liquidity Requirements

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DEPARTMENT OF THE TREASURY

Office of the Comptroller of the

Currency

12 CFR Parts 3 and 50

[Docket ID OCC–2018–0037]

RIN 1557–AE56

FEDERAL RESERVE SYSTEM

12 CFR Parts 217 and 249

[Docket No. R–1628]

RIN 7100–AF21

FEDERAL DEPOSIT INSURANCE

CORPORATION

12 CFR Parts 324 and 329

RIN 3064–AE96

Proposed Changes to Applicability

Thresholds for Regulatory Capital and

Liquidity Requirements

AGENCY

: Office of the Comptroller of the

Currency, Treasury; the Board of

Governors of the Federal Reserve

System; and the Federal Deposit

Insurance Corporation.

ACTION

: Notice of proposed rulemaking

with request for public comment.

SUMMARY

: 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.

DATES

: Comments must be received by

January 22, 2019.

ADDRESSES

: 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:

•Federal eRulemaking Portal—

‘‘regulations.gov’’: Go to

www.regulations.gov. Enter ‘‘Docket ID

OCC–2018–0037’’ in the Search Box and

click ‘‘Search.’’ Click on ‘‘Comment

Now’’ to submit public comments. Click

on the ‘‘Help’’ tab on the

Regulations.gov home page to get

information on using Regulations.gov,

including instructions for submitting

public comments.

•Email: regs.comments@

occ.treas.gov.

•Mail: Legislative and Regulatory

Activities Division, Office of the

Comptroller of the Currency, 400 7th

Street SW, Suite 3E–218, Washington,

DC 20219.

•Hand Delivery/Courier: 400 7th

Street SW, Suite 3E–218, Washington,

DC 20219.

•Fax: (571) 465–4326.

Instructions: You must include

‘‘OCC’’ as the agency name and ‘‘Docket

ID OCC–2018–0037’’ in your comment.

In general, the OCC will enter all

comments received into the docket and

publish them on the Regulations.gov

website without change, including any

business or personal information that

you provide such as name and address

information, email addresses, or phone

numbers. Comments received, including

attachments and other supporting

materials, are part of the public record

and subject to public disclosure. Do not

include any information in your

comment or supporting materials that

you consider confidential or

inappropriate for public disclosure.

You may review comments and other

related materials that pertain to this

rulemaking action by any of the

following methods:

•Viewing Comments Electronically:

Go to www.regulations.gov. Enter

‘‘Docket ID OCC–2018–0037’’ in the

Search box and click ‘‘Search.’’ Click on

‘‘Open Docket Folder’’ on the right side

of the screen and then ‘‘Comments.’’

Comments and supporting materials can

be filtered by clicking on ‘‘View all

documents and comments in this

docket’’ and then using the filtering

tools on the left side of the screen. Click

on the ‘‘Help’’ tab on the

Regulations.gov home page to get

information on using Regulations.gov.

The docket may be viewed after the

close of the comment period in the same

manner as during the comment period.

•Viewing Comments Personally: You

may personally inspect comments at the

OCC, 400 7th Street SW, Washington,

DC 20219. For security reasons, the OCC

requires that visitors make an

appointment to inspect comments. You

may do so by calling (202) 649–6700 or,

for persons who are hearing impaired,

TTY, (202) 649–5597. Upon arrival,

visitors will be required to present valid

government-issued photo identification

and submit to security screening in

order to inspect comments.

Board: You may submit comments,

identified by Docket No. R–1628, by any

of the following methods:

•Agency Website: http://

www.federalreserve.gov. Follow the

instructions for submitting comments at

http://www.federalreserve.gov/

generalinfo/foia/ProposedRegs.cfm.

•Email: regs.comments@

federalreserve.gov. Include docket

number in the subject line of the

message.

•FAX: (202) 452–3819 or (202) 452–

3102.

•Mail: Ann E. Misback, Secretary,

Board of Governors of the Federal

Reserve System, 20th Street and

Constitution Avenue NW, Washington,

DC 20551. All public comments will be

made available on the Board’s website at

http://www.federalreserve.gov/

generalinfo/foia/ProposedRegs.cfm as

submitted, unless modified for technical

reasons or to remove personally

identifiable information at the

commenter’s request. Accordingly,

comments will not be edited to remove

any identifying or contact information.

Public comments may also be viewed

electronically or in paper in Room 3515,

1801 K Street NW (between 18th and

19th Streets NW), between 9:00 a.m. and

5:00 p.m. on weekdays.

FDIC: You may submit comments,

identified by RIN 3064–AE96, by any of

the following methods:

•Agency Website: http://

www.FDIC.gov/regulations/laws/

federal/propose.html. Follow

instructions for submitting comments

on the Agency website.

•Mail: Robert E. Feldman, Executive

Secretary, Attention: Comments/Legal

ESS, Federal Deposit Insurance

Corporation, 550 17th Street NW,

Washington, DC 20429.

•Hand Delivered/Courier: Comments

may be hand-delivered to the guard

station at the rear of the 550 17th Street

Building (located on F Street) on

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1

Covered intermediate holding companies shall

remain subject to this part as in effect on October

31, 2018, until the Board amends the liquidity risk

measurement standards applicable to the

subsidiaries of foreign banking organizations in

effect on October 31, 2018.

2

Banking organizations subject to the agencies’

capital rule include national banks, state member

banks, insured state nonmember banks, savings

associations, and top-tier bank holding companies

and savings and loan holding companies domiciled

in the United States not subject to the Board’s Small

Bank Holding Company and Savings and Loan

Holding Company Policy Statement (12 CFR part

225, appendix C, and 12 CFR 238.9), excluding

certain savings and loan holding companies that are

substantially engaged in insurance underwriting or

commercial activities or that are estate trusts, and

bank holding companies and savings and loan

holding companies that are employee stock

ownership plans.

3

See 79 FR 61440 (October 10, 2014), codified at

12 CFR part 50 (OCC), 12 CFR part 249 (Board), and

12 CFR part 329 (FDIC).

4

These enhanced liquidity standards require a

bank holding company to establish and maintain

robust liquidity risk management practices, perform

internal stress tests for determining the adequacy of

their liquidity resources, and maintain a buffer of

highly liquid assets to cover cash flow needs under

stress. See 12 CFR part 252.

5

For depository institution holding companies

with $50 billion or more, but less than $250 billion,

in total consolidated assets and less than $10 billion

in on-balance sheet foreign exposure, the Board

separately adopted a modified LCR requirement,

described further below. 12 CFR 249 subpart G.

6

‘‘Net Stable Funding Ratio: Liquidity Risk

Measurement Standards and Disclosure

Requirements; Proposed Rule,’’ 81 FR 35124 (June

1, 2016). For depository institution holding

companies with $50 billion or more, but less than

$250 billion, in total consolidated assets and less

than $10 billion in total on-balance sheet foreign

exposure, the Board separately proposed a modified

NSFR requirement.

business days between 7:00 a.m. and

5:00 p.m.

•Email: comments@FDIC.gov.

Include RIN 3064–AE96 on the subject

line of the message.

•Public Inspection: All comments

received must include the agency name

and RIN 3064–AE96 for this rulemaking.

All comments received will be posted

without change to http://www.fdic.gov/

regulations/laws/federal/, including any

personal information provided. Paper

copies of public comments may be

ordered from the FDIC Public

Information Center, 3501 North Fairfax

Drive, Room E–1002, Arlington, VA

22226 by telephone at (877) 275–3342 or

(703) 562–2200.

FOR FURTHER INFORMATION CONTACT

:

OCC: Mark Ginsberg, Senior Risk

Expert, or Venus Fan, Risk Expert,

Capital and Regulatory Policy, (202)

649–6370; James Weinberger, Technical

Expert, Treasury & Market Risk Policy,

(202) 649–6360; or Carl Kaminski,

Special Counsel, Henry Barkhausen,

Counsel, or Daniel Perez, Attorney,

Chief Counsel’s Office, (202) 649–5490,

or for persons who are hearing

impaired, TTY, (202) 649–5597, Office

of the Comptroller of the Currency, 400

7th Street SW, Washington, DC 20219.

Board: Constance M. Horsley, Deputy

Associate Director, (202) 452–5239;

Elizabeth MacDonald, Manager, (202)

475–6216; Brian Chernoff, Senior

Supervisory Financial Analyst, (202)

452–2952; Sean Healey, Supervisory

Financial Analyst, (202) 912–4611;

Matthew McQueeney, Supervisory

Financial Analyst (202) 452–2942;

Christopher Powell, Supervisory

Financial Analyst, (202) 452–3442,

Division of Supervision and Regulation;

or Benjamin McDonough, Assistant

General Counsel (202) 452–2036; Asad

Kudiya, Counsel, (202) 475–6358; Mary

Watkins, Senior Attorney (202) 452–

3722; Alyssa O’Connor, Attorney, (202)

452–3886, Legal Division, Board of

Governors of the Federal Reserve

System, 20th and C Streets NW,

Washington, DC 20551. For the hearing

impaired only, Telecommunication

Device for the Deaf (TDD), (202) 263–

4869.

FDIC: Benedetto Bosco, Chief, Capital

Policy Section, bbosco@fdic.gov;

Stephanie Lorek, Senior Policy Analyst,

slorek@fdic.gov; Michael Maloney,

Senior Policy Analyst, mmaloney@

fdic.gov; regulatorycapital@fdic.gov;

Michael E. Spencer, Chief, Capital

Markets Strategies Section,

michspencer@fdic.gov; Eric W.

Schatten, Senior Policy Analyst,

eschatten@fdic.gov; Andrew D.

Carayiannis, Senior Policy Analyst,

acarayiannis@fdic.gov; Capital Markets

Branch, Division of Risk Management

Supervision, (202) 898–6888; Michael

Phillips, Acting Supervisory Counsel,

mphillips@fdic.gov; Catherine Wood,

Counsel, cawood@fdic.gov; Suzanne

Dawley, Counsel, sudawley@fdic.gov;

Andrew B. Williams II, Counsel,

andwilliams@fdic.gov; Catherine

Topping, Counsel, ctopping@fdic.gov; or

Alexander Bonander, Attorney,

abonander@fdic.gov; Supervision and

Legislation Branch, Legal Division,

Federal Deposit Insurance Corporation,

550 17th Street NW, Washington, DC

20429.

SUPPLEMENTARY INFORMATION

:

Table of Contents

I. Background and Summary of Proposal

II. Proposal

A. Scope of Application

B. Scoping Criteria for Proposed Categories

1. Size

2. Other Risk-Based Indicators

a. Cross-Jurisdictional Activity

b. Weighted Short-Term Wholesale

Funding

c. Nonbank Assets

d. Off-Balance Sheet Exposure

3. Alternative Scoping Criteria

4. Determination of Applicable Category of

Standards

C. Proposed Regulatory Framework

1. Category I Standards

2. Category II Standards

3. Category III Standards

4. Category IV Standards

III. Impact Analysis

IV. Administrative Law Matters

A. Paperwork Reduction Act

B. Regulatory Flexibility Act Analysis

C. Plain Language

D. OCC Unfunded Mandates Reform Act of

1995 Determination

E. Riegle Community Development and

Regulatory Improvement Act of 1994

I. Background and Summary of

Proposal

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.

1

The capital

rule strengthened the capital

requirements applicable to banking

organizations

2

supervised by the

agencies by improving both the quality

and quantity of regulatory capital and

increasing the risk-sensitivity of capital

requirements. In addition, to improve

the banking sector’s resiliency to

liquidity stress and to improve the

ability of large and internationally

active banking organizations to monitor

and manage liquidity risk, the agencies

adopted the liquidity coverage ratio

(LCR) rule in 2014,

3

and the Board

implemented enhanced liquidity

standards

4

for the largest depository

institution holding companies.

Companies subject to the LCR rule must

maintain an amount of high-quality

liquid assets (HQLA) equal to or greater

than their projected total net cash

outflows over a prospective 30 calendar-

day period.

5

Finally, on June 1, 2016,

the agencies invited comment on a

proposed rule to implement a net stable

funding ratio (NSFR) requirement.

6

The

proposed NSFR rule would establish a

quantitative metric to measure and help

ensure the stability of the funding

profile of a banking organization over a

one-year time horizon.

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)

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7

See 12 CFR part 217, subparts D & E (Board);

12 CFR part 3 (OCC), Subparts D & E; 12 CFR part

324, subparts D & E (FDIC).

8

See 12 CFR 217.1(c), 12 CFR 217.100(b) (Board);

12 CFR 3.1(c), 12 CFR 3.100(b) (OCC); 12 CFR

324.1(c), 12 CFR 324.100(b) (FDIC). U.S. global

systemically important bank holding companies

(GSIBs) form a sub-category of advanced

approaches banking organizations.

9

Also referred to as the ‘‘generally applicable’’

risk-based capital requirements.

10

The FDIC and OCC apply an enhanced

supplementary leverage ratio standard to insured

depository institution subsidiaries of U.S. top-tier

bank holding companies with more than $700

billion in total consolidated assets or more than $10

trillion in total assets under custody, while the

Board’s regulation applies these requirements to

insured depository institution subsidiaries of U.S.

GSIBs. There is currently no difference between the

holding companies identified by these regulations,

and the OCC has proposed to amend its regulation

to reference the Board’s U.S. GSIB definition. See

Regulatory Capital Rules: Regulatory Capital,

Enhanced Supplementary Leverage Ratio Standards

for U.S. Global Systemically Important Bank

Holding Companies and Certain of Their Subsidiary

Insured Depository Institutions; Total Loss-

Absorbing Capacity Requirements for U.S. Global

Systemically Important Bank Holding Companies,

83 FR 17317 (proposed April 19, 2018).

11

See 12 CFR 249.1.

12

This proposal is part of the agencies’ ongoing

effort to review their respective capital and

liquidity requirements to determine how best to

tailor their application based on the size,

complexity, and overall risk profile of banking

organizations. Consistent with these efforts, the

agencies also intend to issue a proposal to

implement section 201 of the Economic Growth,

Regulatory Relief, and Consumer Protection Act

(EGRRCPA), which requires the agencies to revise

the capital requirements applicable to certain

banking organizations with less than $10 billion in

total consolidated assets. See Public Law 115–174,

132 Stat. 1296 (2018).

13

Separately, the Board is requesting comment on

a proposed rule (the Board-only proposal) that

would tailor certain prudential standards for large

domestic banking organizations based on the same

categories. In particular, and consistent with section

401 of EGRRCPA, the Board-only proposal would

further tailor the application of existing prudential

standards relating to liquidity, risk management,

stress testing, and single-counterparty credit limits.

In order to appropriately tailor the prudential

requirements, the Board-only proposal incorporates

the four categories of prudential standards for

banking organizations described in this proposal. In

addition, the Board-only proposal would apply

prudential standards to certain large savings and

loan holding companies (other than those

substantially engaged in insurance underwriting or

commercial activities), using the same categories, to

further their safety and soundness. The agencies

encourage commenters to review this proposal

together with the Board-only proposal.

14

See ‘‘Simplifications to the Capital Rule

Pursuant to the Economic Growth and Regulatory

Paperwork Reduction Act of 1996.’’ 82 FR 49984

(October 27, 2017).

Banking organizations subject solely to

the generally applicable risk-based

capital rules, which have total

consolidated assets of less than $250

billion and total on-balance sheet

foreign exposure of less than $10 billion

(standardized approach banking

organizations),

7

and (ii) banking

organizations with $250 billion or more

in total consolidated assets or $10

billion or more in total on-balance sheet

foreign exposure, together with

depository institution subsidiaries of

banking organizations meeting those

thresholds (advanced approaches

banking organizations).

8

Standardized

approach banking organizations must

calculate risk-weighted assets using the

standardized approach

9

and calculate a

leverage ratio that measures regulatory

capital relative to on-balance sheet

assets. Advanced approaches banking

organizations must use both the internal

models-based advanced approaches and

the standardized approach to determine

their risk-based capital ratios. They also

must calculate a supplementary leverage

ratio, which measures regulatory capital

relative to on-balance sheet and certain

off-balance sheet exposures, in addition

to the leverage ratio described above. In

addition, when calculating their

regulatory capital levels, advanced

approaches banking organizations are

required to include most elements of

accumulated other comprehensive

income (AOCI) in regulatory capital,

which better reflects the loss-absorbing

capacity of a banking organization at a

specific point in time, but can also

result in regulatory capital volatility and

require more sophisticated capital

planning and asset-liability

management.

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.

10

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.

11

The Board’s

regulations also apply a less stringent,

modified LCR requirement to depository

institution holding companies that do

not meet the advanced approaches

thresholds but have more than $50

billion in total consolidated assets. The

proposed NSFR requirement would

apply to the same banking organizations

as the current LCR requirement.

Similarly, under the NSFR proposal, the

Board proposed to apply a less

stringent, modified NSFR requirement

to the same depository institution

holding companies that are subject to

the modified LCR requirement.

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).

12

Specifically, the

agencies are proposing to (i) amend the

scope of certain aspects of the regulatory

capital rule and the LCR rule; and (ii) re-

propose the scope of the NSFR rule. The

proposal would update the current

regulatory distinction between

advanced approaches and standardized

approach banking organizations and

further tailor the capital and liquidity

requirements applicable to large

banking organizations according to risk-

based indicators. Specifically, for

banking organizations with total

consolidated assets of $100 billion or

more, the proposal would establish four

categories of standards based on size,

cross-jurisdictional activity, weighted

short-term wholesale funding, off-

balance sheet exposure, and nonbank

assets. Section II.B of this

Supplementary Information section

below discusses the proposed scoping

criteria for each of these categories, and

section II.C describes the capital and

liquidity requirements proposed for

each category of standards.

13

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)

14

and a standardized

approach to calculating derivative

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See ‘‘Regulatory Capital Rule: Standardized

Approach for Calculating the Exposure Amount of

Derivative Contracts,’’ available at https://

www.occ.treas.gov/news-issuances/news-releases/

2018/nr-ia-2018-114.html.

16

See ‘‘Basel III: Finalising post-crisis reforms,’’

available at https://www.bis.org/bcbs/publ/

d424.htm. The BCBS is a committee of banking

supervisory authorities, which was established by

the central bank governors of the G–10 countries in

1975. More information regarding the BCBS and its

membership is available at http://www.bis.org/bcbs/

about.htm. Documents issued by the BCBS are

available through the Bank for International

Settlements website at http://www.bis.org.

17

Bank holding companies and savings and loan

holding companies with less than $3 billion in total

consolidated assets and that meet certain additional

criteria are not subject to the capital rule pursuant

to the Board’s small bank holding company policy

statement. See 12 CFR 217.1(c)(1)(ii) and (iii); 12

CFR part 225, appendix C; 12 CFR 238.9.

18

Public Law 111–203, 124 Stat. 1376 (2010).

exposures (issued October 2018).

15

For

purposes of considering and

commenting on those pending notices,

the requirements that would apply to

‘‘advanced approaches banking

organizations’’ under those notices of

proposed rulemaking would be

included as Category I and II standards

under this proposal. For purposes of

considering and commenting on those

pending notices, the requirements that

would apply to ‘‘advanced approaches

banking organizations’’ under those

outstanding notices of proposed

rulemaking would be included as

Category I and II standards under this

proposal. Furthermore, the agencies

note that they are still considering

amendments to their capital rule that

would take into account final Basel III

reforms adopted by the Basel Committee

on Banking Supervision (BCBS) in

December of 2017.

16

II. Proposal

Post-crisis regulatory reforms, which

include the agencies’ capital and

liquidity standards, have resulted in

significant enhancements to financial

stability and the safety and soundness of

banking organizations. The agencies

continue to evaluate the requirements of

these measures to ensure that they meet

their objectives in a manner that

minimizes unintended consequences

and aligns with banking organizations’

risk profiles. These efforts include

assessing the costs and benefits of

regulations as well as exploring

alternative approaches that achieve

regulatory objectives but improve upon

the simplicity, transparency, and

efficiency of the regime. The proposal

builds on the agencies’ existing practice

of tailoring capital and liquidity

requirements based on the size,

complexity, and overall risk profile of

banking organizations.

The proposal would make changes

that would further distinguish

applicable capital and liquidity

standards on the basis of risk. Under the

proposal, the most stringent standards

would continue to apply to banking

organizations that present the greatest

systemic risks. For other banking

organizations, the proposal would refine

the application of capital and liquidity

standards based on these banking

organizations’ risk profiles, consistent

with safety and soundness and financial

stability.

Under the proposal, the most

stringent set of standards (Category I)

would apply to 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.

17

Unlike firms with less than $100 billion

in total consolidated assets, however,

firms subject to Category IV standards

would be required to monitor and report

certain risk-based indicators, as

described further below.

A. Scope of Application

The next section II.B describes the

proposed criteria for determining which

of the four proposed categories of

standards applies to a banking

organization with total consolidated

assets of $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),

18

as amended by EGRRCPA, and

with the categories of prudential

standards in the Board-only proposal.

The proposal would not amend the

capital and liquidity requirements

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The Board continues to consider the

appropriate way to assign the U.S. operations of

foreign banking organizations to the categories of

standards described in this proposal, in light of the

special structures through which these banking

organizations conduct business in the United

States. The Board plans to develop a separate

proposal relating to foreign banking organizations

and their U.S. operations.

20

See 12 CFR part 217, subpart H; see also

‘‘Regulatory Capital Rules: Implementation of Risk-

Based Capital Surcharges for Global Systemically

Important Bank Holding Companies; Final Rule,’’

80 FR 49082 (August 14, 2015).

21

As an alternative, the agencies are also

requesting comment on a score-based approach,

which would differentiate requirements for banking

organizations using an aggregated ‘‘score’’ across

multiple measures of risk. Section II.B.3 of this

Supplementary Information section describes this

proposed alternative.

22

When reviewing agency interpretations of

statutes that require an agency to ‘‘take into

account’’ or ‘‘take into consideration’’ a number of

factors, courts generally defer to the expertise of the

agency in determining how to apply the factors and

the relative weight given to each factor. See, e.g.,

National Wildlife Federation v. EPA, 286 F.3d 554,

570 (D.C. Cir. 2002); Lignite Energy v. EPA, 198

F.3d 930, 933 (D.C. Cir. 1999); Trans World

Airlines, Inc. v. Civil Aeronautics Board, 637 F.2d

62, 67–68 (2d Cir. 1980); Weyerhaeuser v. EPA, 590

F.2d 1011, 1046 (D.C. Cir. 1978); Sec’y of Agric. v.

Cent. Roig Ref. Co., 338 U.S. 604, 611–12 (1950).

applicable to an intermediate holding

company or its subsidiary depository

institutions or the bank holding

company subsidiary of a foreign banking

organization.

19

This proposal also

would not amend the requirements

applicable to Federal branches or

agencies of foreign banking

organizations.

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.

Question 1: The agencies invite

comment on the advantages and

disadvantages of assigning a category of

standards to a subsidiary depository

institution based on the category

assigned to its top-tier parent holding

company. What would be the

advantages and disadvantages of relying

on the top-tier holding company’s

categorization and, under this

approach, how should these standards

be applied at the subsidiary depository

institution? If commenters prefer an

alternative approach to relying on the

top-tier holding company’s

categorization, please describe any

alternative scoping criteria that the

agencies should consider for

categorizing subsidiary depository

institutions. If an alternative approach

were applied, what increases in

compliance costs or operational

challenges could arise if a subsidiary

depository institution were subject to a

different category of standards than its

top-tier parent holding company?

B. Scoping Criteria for Proposed

more in foreign exposure. The proposed

framework would differentiate among

banking organizations with $250 billion

or more in total consolidated assets. In

particular, Categories I and II would

include requirements generally

consistent with standards developed by

the BCBS, subject to notice and

comment rulemaking in the United

States, whereas Category III would

include fewer such standards, based on

the relatively lower risk profiles and

lesser degree of cross-border activity of

subject banking organizations. In

particular, the agencies are proposing

not to apply advanced approaches

capital requirements and the

requirement to recognize most elements

of AOCI in regulatory capital to banking

organizations subject to Category III

(and Category IV) standards. However,

Category III standards would also reflect

the elevated risk profile of these banking

organizations relative to smaller and

less complex banking organizations.

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.

Question 18: Under the current

capital rule, the agencies apply certain

provisions, such as the supplementary

leverage ratio and countercyclical

capital buffer, based on the same

applicability thresholds as advanced

approaches capital requirements. The

proposal would establish different

applicability thresholds for the

supplementary leverage ratio and

countercyclical capital buffer by

including them as Category III

standards, while advanced approaches

capital requirements would apply only

as Category I and II standards. This

approach would increase the risk-

sensitivity of the framework and allow

for the retention of key elements of the

capital rule for banking organizations

subject to Category III standards without

requiring them to comply with advanced

approaches capital requirements more

broadly. However, it also increases the

complexity of the capital rule. To what

extent, if any, would this additional

complexity increase compliance costs

for large banking organizations (for

example, by requiring banking

organizations to monitor and manage

the proposed risk-based indicator

thresholds)? To what extent, if any,

would the proposed approach add

complexity for market participants

when comparing the capital adequacy

of banking organizations in different

categories? The agencies request

comment on the advantages and

disadvantages of establishing separate

regulatory capital standards for banking

organizations that would be subject to

Category III that are different from

either Category II or IV standards,

including any wider implications for

financial stability.

Question 19: What are the advantages

and disadvantages of applying the

supplementary leverage ratio

requirement to banking organizations

subject to Category III standards? How

do these advantages and disadvantages

compare to any costs associated with

any additional complexity to the

regulatory framework that would result

from applying this to banking

organizations subject to Category III

standards? To what extent would

application of the supplementary

leverage ratio requirement to these

banking organizations strengthen their

safety and soundness and improve U.S.

financial stability?

Question 20: What are the advantages

and disadvantages of not requiring

banking organizations subject to

Category III standards to recognize most

elements of AOCI in regulatory capital?

To what extent does not requiring

banking organizations subject to

Category III standards to recognize most

elements of AOCI in regulatory capital

impact safety and soundness of

individual banking organizations or

raise broader financial stability

concerns? For example, to what extent

would this approach reduce the

accuracy of these banking

organizations’ reported regulatory

capital? To what extent does the

recognition of most elements of AOCI in

regulatory capital improve market

discipline and provide for a clearer

picture of the financial health of

banking organizations? To what extent

does it make comparing the financial

condition of Category III banking

organizations to that of Category I and

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Section 30 of the LCR rule requires a banking

organization, as applicable, to include in its total

net cash outflow amount a maturity mismatch add-

on, which is calculated as the difference (if greater

than zero) between the covered company’s largest

net cumulative maturity outflow amount for any of

the 30 calendar days following the calculation date

and the net day 30 cumulative maturity outflow

amount.

52

As discussed in section II.B.4 of this

Supplementary Information section, the proposal

would measure the total consolidated assets of a

subsidiary depository institution based on the level

over the previous four calendar quarters.

53

In the case of a depository institution that is not

a consolidated subsidiary of a banking organization

that would be subject to Category I, II, III, or IV

standards or a consolidated subsidiary of a foreign

Category II banking organizations, on

the one hand, and that of Category IV

banking organizations, on the other

hand, more difficult?

Question 21: With respect to banking

organizations that currently recognize

most elements of AOCI in regulatory

capital, to what extent do intra-quarter

variations in regulatory capital due to

the inclusion of AOCI since the capital

rule took effect differ from variations in

reported quarter-end data over the same

period? What have been the causes of

variations in each?

Question 22: As discussed above, the

agencies are not requiring banking

organizations subject to Category III

standards to recognize most elements of

AOCI in regulatory capital.

Alternatively, the agencies could require

only the top-tier parent holding

company to recognize most elements of

AOCI in regulatory capital while

exempting their subsidiary depository

institutions from this requirement. What

are the advantages and disadvantages of

this alternative approach? What would

be the costs and operational challenges

associated with this additional

complexity, where the holding company

and subsidiary depository institutions

implement different standards related to

AOCI? To what degree would this

alternative approach to AOCI impose

less cost or burden to banking

organizations subject to Category III

standards relative to their current AOCI

requirement under the agencies’ capital

rule (i.e., both the top-tier holding

company and subsidiary depository

institutions are currently required to

recognize most elements of AOCI in

regulatory capital)? To what degree

would this alternative approach provide

market participants with a transparent

picture of the financial condition of the

subsidiary depository institutions and

the parent holding company?

Question 23: For purposes of

comparability, in a final rulemaking

should the agencies require all banking

organizations subject to Category III

standards to use SA–CCR for either risk-

based or supplementary leverage ratio

calculations and, if so, why?

Question 24: What would be the

advantages and disadvantages of no

longer applying the countercyclical

capital buffer to banking organizations

that would be subject to Category III

standards? In particular, how would

narrowing the scope of application of

the countercyclical buffer affect the

financial stability and countercyclical

objectives of the buffer? What other

regulatory tools, if any, could be used to

meet these objectives?

Question 25: The proposal would

apply Category III standards to a

banking organization that exceeds

certain risk-based indicators, including

having more than $75 billion in off-

balance sheet exposures. In light of the

inclusion of off-balance sheet exposures

as a threshold for Category III

standards, discuss the advantages and

disadvantages of including the

supplementary leverage ratio as a

Category III standard.

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.

51

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.

52

The level of the

LCR and NSFR requirements applicable

to the subsidiary depository institution

would be the same as the level that

would apply to the parent banking

organization. For example, a subsidiary

depository institution with $10 billion

in total consolidated assets of a banking

organization subject to the reduced LCR

and NSFR requirements under Category

III standards would also be subject to

the reduced LCR and NSFR

requirement.

53

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banking organization, the applicable category of

standards would depend on the risk-based

indicators of the depository institution. For

example, if the depository institution meets the

criteria for Category III standards but has weighted

short-term wholesale funding of less than $75

billion, the depository institution would be subject

to the proposed reduced LCR and NSFR

requirements.

54

See §ll.22(b)(3) and (4) of the LCR rule (12

CFR 50.22(b)(3) and (4) (OCC); 12 CFR 249.22(b)(3)

and (4) (Board); 12 CFR 329.22(b)(3) and (4) (FDIC).

55

See NSFR proposed rule §ll.108.

56

The proposal would also remove the modified

LCR and proposed modified NSFR requirements for

banking organizations with total consolidated assets

less than $100 billion. As previously noted, the

Board plans to develop a separate proposal relating

to foreign banking organizations. Accordingly, the

proposal would maintain the current full and

modified LCR requirements, as applicable, for

banking organizations that are consolidated

subsidiaries of a foreign banking organization until

such time as the Board adopts a final rule to amend

the requirements for these banking organizations.

Question 26: In general, the proposed

framework would apply consistent

requirements to all banking

organizations within each category of

standards. For the LCR and proposed

NSFR requirements, however, the

agencies are proposing two levels of

standards within Category III.

Specifically, the proposal would apply

reduced LCR and NSFR requirements to

a banking organization subject to

Category III standards that has less than

$75 billion in weighted short-term

wholesale funding and that is not a

subsidiary of a banking organization

subject to the full LCR or proposed

NSFR requirements. This additional

degree of tailoring is intended to reflect

considerations specific to liquidity risk,

and would allow further differentiation

within Category III to accommodate

reduced requirements for banking

organizations with lesser liquidity risk

profiles. However, this additional risk-

sensitivity would also increase the

complexity of the proposed framework.

The agencies request comment

regarding this proposed trade-off. In

particular, what do commenters believe

would be the advantages and

disadvantages of this additional degree

of differentiation for purposes of

determining the level of LCR and NSFR

requirements? What costs, if any, would

this additional degree of complexity

create for large banking organizations?

What alternatives should the agencies

consider to the proposed approach that

would maintain strong standardized

liquidity requirements for large banking

organizations with significant liquidity

risk exposures that do not meet the

proposed criteria for application of

Category I or Category II standards?

What other risk-based indicators,

besides short-term wholesale funding,

should the agencies consider in

prescribing the liquidity requirements

under the proposal, and why? What

would be the advantages or

disadvantages of requiring all Category

III banking organizations to meet the

full LCR and NSFR requirements?

Similarly, what would be the advantages

or disadvantages of requiring all

Category III banking organizations to

meet the reduced LCR and NSFR

requirements?

Question 27: Between a range of 70

and 85 percent of the full requirements,

what level should the agencies adopt for

the reduced LCR and NSFR

requirements for banking organizations

subject to Category III standards that

have less than $75 billion in weighted

short-term wholesale funding, and why?

Consistent with section 22(b) of the

LCR rule, a banking organization subject

to the proposed reduced LCR

requirement would not be permitted to

include in its HQLA amount eligible

HQLA of a consolidated subsidiary

except up to the amount of the net cash

outflows of the subsidiary (as adjusted

for the factor reducing the stringency of

the requirement), plus any additional

amount of assets, including proceeds

from the monetization of assets, that

would be available for transfer to the

top-tier covered company during times

of stress without statutory, regulatory,

contractual, or supervisory

restrictions.

54

A similar restriction

would apply under section 108 of the

NSFR proposed rule.

55

Question 28: The agencies request

comment regarding this proposed

approach, as well as potential

alternative approaches to recognizing

restrictions on the transferability of

liquidity from a consolidated subsidiary

to the top-tier covered company. What

alternative approaches should the

agencies consider?

For example, should the agencies

consider the approach the Board

currently permits for holding companies

subject to a modified LCR requirement?

Under this approach, a company may

include in its HQLA amount eligible

HQLA held at a subsidiary up to 100

percent of the net cash outflows of the

subsidiary, plus amounts that may be

transferred without restriction to the

top-tier covered company. In the case of

the NSFR proposed rule, a company

could include available stable funding

amounts of the subsidiary up to 100

percent of the required stable funding

amount of the subsidiary, plus amounts

that may be transferred without

restriction to the top-tier covered

company. What would be the

advantages and disadvantages of the

proposed approach and potential

alternatives? What incentives would

each have with respect to the

positioning of HQLA within a banking

organization? What effects would the

proposed approach or alternative

approaches have on the safety and

soundness of a holding company and its

subsidiary depository institutions?

4. Category IV Standards

Under the proposal, Category IV

standards would apply to banking

organizations with $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.

56

The LCR rule and NSFR

proposed rule are important standards

for Category I, Category II, and Category

III given such banking organizations’

size, complexity, and the resulting

challenges that may complicate the

resolution of such banking

organizations. However these

standardized liquidity requirements are

less important for banking organizations

subject to Category IV standards given

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The Board-only proposal provides further

discussion of liquidity standards that would apply

under the Board’s regulations to firms that would

be subject to Category IV standards.

58

As noted in section IV.D of this Supplementary

Information, the OCC also considered the potential

costs of the proposed rule for the purpose of the

Unfunded Mandates Reform Act of 1996 (2 U.S.C.

1532).

59

Because the NSFR and modified NSFR

requirements have not yet been finalized, banking

organizations are not currently subject to those

minimum requirements. As a result, the Board did

not assess any changes in impact as a result of

amending its scope of application.

60

The Board’s analysis estimates the impact of

reducing the LCR requirement for holding

companies that would be subject to Category III or

Category IV standards using data submitted on the

FR 2052a and FR Y9–C by these holding companies

for the 2018Q1 reporting period.

61

For example, in the case of a holding company

that would be subject to Category III standards and

the reduced LCR and NSFR requirements under the

proposal, if the firm’s current LCR requirement is

greater than its ILST-based liquidity buffer

requirement, and the firm currently maintains an

LCR of 120 percent relative to the currently

applicable full LCR requirement, the approach

would assume the firm will reduce its HQLA by 30

percent under a 70 percent LCR requirement.

62

The estimated drop in HQLA, assuming an 85

percent LCR for holding companies subject to

Category III standards that have less than $75

billion in weighted short-term wholesale funding,

would be approximately $20 billion (or 0.6 percent

reduction of aggregate HQLA among holding

companies with $100 billion or more in total

consolidated assets).

their smaller systemic footprint, more

limited size, and other applicable

requirements. As a class, the domestic

banking organizations currently in this

category have more traditional balance

sheet structures, are largely funded by

stable deposits, and have little reliance

on less stable wholesale funding. All

banking organizations that would be

subject to Category IV have less than

$75 billion in weighted short-term

wholesale funding. Board estimates of

stable funding for these banking

organizations indicate they would

exceed by roughly 40 percent the

modified 70 percent NSFR requirement

that would apply under the agencies’

NSFR proposed rule. These banking

organizations would also continue to be

subject to the internal liquidity stress

testing requirements at the consolidated

holding company level under the

Board’s regulations, which include 30-

day and 1-year planning horizons, and

Complex Institution Liquidity

Monitoring Report (FR 2052a)

requirements.

57

Based on this

combination of factors, and given the

compliance and disclosure obligations

under the LCR rule and proposed NSFR

rule, the agencies are proposing to no

longer apply the LCR rule and proposed

NSFR rule to banking organizations

subject to Category IV standards.

Question 29: Based on the risk

profiles of banking organizations subject

to Category IV standards, what

alternative capital and liquidity

requirements should the agencies

consider and why?

Question 30: The proposal would not

apply the LCR or the proposed NSFR

rules to banking organizations subject to

Category IV standards. What are the

advantages and disadvantages of this

approach? To what extent would

scoping out banking organizations

subject to Category IV standards from

the LCR and proposed NSFR rules affect

the safety and soundness of individual

banking organizations or raise broader

financial stability concerns? To what

extent does maintaining liquidity risk

management and internal liquidity

stress testing and buffer requirements at

the holding company level for these

firms under the Board-only proposal

mitigate these concerns? What are the

advantages and disadvantages of

maintaining standardized liquidity

requirements, such as the current LCR

requirement and proposed NSFR

requirement, for firms subject to

Category IV standards? If the Board

were to apply some or all of the LCR and

proposed NSFR requirements to these

firms, what, if any, other regulatory

requirements should the Board consider

reducing or removing?

III. Impact Analysis

The Board assessed the potential

impact of the proposed rule, taking into

account potential benefits in the form of

increased net interest margins from

holding higher yielding assets, reduced

compliance costs, and increased

regulatory flexibility, and potential costs

related to increased risk to holding

companies during a period of elevated

economic stress or market volatility.

58

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.

59

The Board

quantified the impact of the proposed

LCR tailoring on the HQLA of affected

holding companies.

60

In the analysis,

the Board assumed that holding

companies subject to Category III

standards and holding companies

subject to Category IV standards would

respond differently to the new

regulatory requirements. For holding

companies subject to Category III

requirements, the proposal would

generally result in a decrease in LCR

minimum requirements that could range

from 70 to 85 percent of the full LCR

requirements if the firm has less than

$75 billion in weighted short-term

wholesale funding. The Board assumes

that holding companies subject to

Category III standards would adjust

their HQLA so that they choose the

higher of the following two options: (i)

Preserve the same LCR, in percentage

point terms, they had in the first quarter

of 2018, measured using the new

requirement, or (ii) meet their internal

liquidity stress test (ILST)

requirement.

61

As holding companies

subject to Category IV standards would

no longer be subject to an LCR

requirement under the proposal, the

Board assumed that these firms would

adjust their liquid asset holdings such

that they choose the higher of the

following: (i) Match the HQLA levels of

holding companies that are currently

not subject to the LCR rule or (ii) meet

their internal liquidity stress test

requirement. The Board assumed that

the net cash outflows of holding

companies, the denominator of the LCR,

remains unchanged.

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.

62

With

regard to the holding companies subject

to Category IV standards, the Board

estimates a reduction in HQLA of

approximately $34 billion. The

combined reduction represents a 2.5

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If the agencies calibrate the LCR requirement at

85 percent for banking organizations subject to

Category III standards with less than $75 billion in

weighted short-term wholesale funding, the Board

estimates the likelihood of experiencing material

financial distress during a period of elevated

economic stress or market volatility would increase

only modestly.

percent reduction of aggregate HQLA

among holding companies with $100

billion or more in total consolidated

assets. As a result, the Board projects

that the reduction in LCR requirements

would modestly reduce the liquidity

buffers held at affected holding

companies.

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.

63

The

Board-only proposal would continue to

require these holding companies to

conduct internal liquidity stress tests

and hold highly liquid assets sufficient

to meet projected 30-day net stressed

cash-flow needs under internal stress

scenarios. In addition, the Board will

continue to assess the safety and

soundness of these holding companies

through the normal course of

supervision.

IV. Administrative Law Matters

A. Paperwork Reduction Act

Certain provisions of the proposed

rule contain ‘‘collection of information’’

requirements within the meaning of the

Paperwork Reduction Act (PRA) of 1995

(44 U.S.C. 3501–3521). In accordance

with the requirements of the PRA, the

agencies may not conduct or sponsor,

and a respondent is not required to

respond to, an information collection

unless it displays a currently valid

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

ADDRESSES

section of this document.

A copy of the comments may also be

submitted to the OMB desk officer for

the agencies by mail to U.S. Office of

Management and Budget, 725 17th

Street NW, #10235, Washington, DC

20503; facsimile to (202) 395–6974; or

email to oira_submission@omb.eop.gov,

Attention, Federal Banking Board Desk

Officer.

Information Collection Proposed To Be

Revised

Title of Information Collection:

Recordkeeping and Disclosure

Requirements Associated with Capital

Adequacy.

Frequency: Quarterly, annual.

Affected Public: Businesses or other

for-profit.

Respondents:

OCC: National banks and federal

savings associations.

Board: State member banks (SMBs),

bank holding companies (BHCs), U.S.

intermediate holding companies,

savings and loan holding companies

(SLHCs), and global systemically

important bank holding companies

(G–SIBs).

FDIC: State nonmember banks and

state savings associations.

Current Actions: The proposal would

establish a revised framework for

determining applicability of

requirements under the regulatory

capital rule, the liquidity coverage ratio

rule, and the proposed net stable

funding ratio rule for large U.S. banking

organizations based on their risk profile.

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

enhanced prudential standards for large

banking organizations based on those

four categories of standards. 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. These changes will not

result in changes to the PRA-related

burden. Nevertheless, in order to be

consistent across the agencies, the

agencies would apply a conforming

methodology for calculating the

PRA-related burden estimates. The

agencies would also update the number

of respondents based on the current

number of supervised entities even

though this proposal only affects a

limited number of entities. The agencies

believe that any changes to the

information collections associated with

the proposed rule are the result of the

conforming methodology and updates to

the respondent count, and not the result

of the proposed rule changes.

PRA Burden Estimates

OCC

OMB control number: 1557–0318.

Estimated number of respondents:

1,365 (of which 18 are advanced

approaches institutions).

Estimated average hours per response:

Minimum Capital Ratios (1,365

Institutions Affected)

Recordkeeping (Ongoing)—16.

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The OCC calculated the number of small

entities using the SBA’s size thresholds for

commercial banks and savings institutions, and

trust companies, which are $550 million and $38.5

million, respectively. Consistent with the General

Principles of Affiliation, 13 CFR 121.103(a), the

OCC counted the assets of affiliated financial

institutions when determining whether to classify

a national bank or Federal savings association as a

small entity.

65

See 13 CFR 121.201. Effective July 14, 2014, the

SBA revised the size standards for banking

organizations to $550 million in assets from $500

million in assets. 79 FR 33647 (June 12, 2014).

66

See 12 CFR part 217.

67

See 12 CFR part 249.

68

See 12 CFR 217.1(c)(1)(ii) and (iii); 12 CFR part

225, appendix C; 12 CFR 238.9.

Standardized Approach (1,365

Institutions Affected for Ongoing)

Recordkeeping (Initial setup)—122.

Recordkeeping (Ongoing)—20.

Disclosure (Initial setup)—226.25.

Disclosure (Ongoing quarterly)—

131.25.

Advanced Approach (18 Institutions

Affected for Ongoing)

Recordkeeping (Initial setup)—460.

Recordkeeping (Ongoing)—540.77.

Recordkeeping (Ongoing quarterly)—

20.

Disclosure (Initial setup)—280.

Disclosure (Ongoing)—5.78.

Disclosure (Ongoing quarterly)—35.

Estimated annual burden hours: 1,088

hours initial setup, 64,929 hours for

ongoing.

Board

Agency form number: FR Q.

OMB control number: 7100–0313.

Estimated number of respondents:

1,431 (of which 17 are advanced

approaches institutions).

Estimated average hours per response:

Minimum Capital Ratios (1,431

Institutions Affected for Ongoing)

Recordkeeping (Ongoing)—16.

Standardized Approach (1,431

Institutions Affected for Ongoing)

Recordkeeping (Initial setup)—122.

Recordkeeping (Ongoing)—20.

Disclosure (Initial setup)—226.25.

Disclosure (Ongoing quarterly)—

131.25.

Advanced Approach (17 Institutions

Affected)

Recordkeeping (Initial setup)—460.

Recordkeeping (Ongoing)—540.77.

Recordkeeping (Ongoing quarterly)—

20.

Disclosure (Initial setup)—280.

Disclosure (Ongoing)—5.78.

Disclosure (Ongoing quarterly)—35.

Disclosure (Table 13 quarterly)—5.

Risk-Based Capital Surcharge for GSIBs

(21 Institutions Affected)

Recordkeeping (Ongoing)—0.5.

Estimated annual burden hours: 1,088

hours initial setup, 78,183 hours for

ongoing.

FDIC

OMB control number: 3064–0153.

Estimated number of respondents:

3,575 (of which 2 are advanced

approaches institutions).

Estimated average hours per response:

Minimum Capital Ratios (3,575

Institutions Affected)

Recordkeeping (Ongoing)—16.

Standardized Approach (3,575

Institutions Affected for Ongoing)

Recordkeeping (Initial setup)—122.

Recordkeeping (Ongoing)—20.

Disclosure (Initial setup)—226.25.

Disclosure (Ongoing quarterly)—

131.25.

Advanced Approach (2 Institutions

Affected for Ongoing)

Recordkeeping (Initial setup)—460.

Recordkeeping (Ongoing)—540.77.

Recordkeeping (Ongoing quarterly)—

20.

Disclosure (Initial setup)—280.

Disclosure (Ongoing)—5.78.

Disclosure (Ongoing quarterly)—35.

Estimated annual burden hours: 1,088

hours initial setup, 130,758 hours for

ongoing.

The proposed rule would also require

changes to the Consolidated Reports of

Condition and Income (Call Reports)

(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

Federal Register notice.

B. Regulatory Flexibility Act Analysis

OCC: The Regulatory Flexibility Act,

5 U.S.C. 601 et seq., (RFA), requires an

agency, in connection with a proposed

rule, to prepare an Initial Regulatory

Flexibility Analysis describing the

impact of the rule on small entities

(defined by the SBA for purposes of the

RFA to include commercial banks and

savings institutions with total

consolidated assets of $550 million or

less and trust companies with total

consolidated assets of $38.5 million of

less) or to certify that the proposed rule

would not have a significant economic

impact on a substantial number of small

entities.

As of June 30, 2018, the OCC

supervises 886 small entities.

64

As part of our analysis, we consider

whether the proposal will have a

significant economic impact on a

substantial number of small entities,

pursuant to the RFA. This proposal only

applies to large banking organizations,

therefore, it will not impact any OCC-

supervised small entities. For this

reason, the OCC certifies that the

proposed rule would not have a

significant economic impact on a

substantial number of OCC-supervised

small entities.

Board: The RFA requires an agency to

either provide an initial regulatory

flexibility analysis with a proposal or

certify that the proposal will not have a

significant impact on a substantial

number of small entities. Under

regulations issued by the SBA, a small

entity includes a bank, bank holding

company, or savings and loan holding

company with assets of $550 million or

less (small banking organization).

65

As

of June 30, 2018, there were

approximately 3,304 small bank holding

companies, 216 small savings and loan

holding companies, and 535 small

SMBs.

The Board has considered the

potential impact of the proposed rule on

small entities in accordance with the

RFA. Based on the Board’s analysis, and

for the reasons stated below, the Board

believes that this proposed rule will not

have a significant economic impact on

a substantial of number of small entities.

Nevertheless, the Board is providing an

initial regulatory flexibility analysis

with respect to this proposed rule. A

final regulatory flexibility analysis will

be conducted after comments received

during the public comment period have

been considered. The Board welcomes

comment on all aspects of its analysis.

In particular, the Board requests that

commenters describe the nature of any

impact on small entities and provide

empirical data to illustrate and support

the extent of the impact.

As discussed in the

SUPPLEMENTARY

INFORMATION

, the Board is proposing to

adopt amendments to the Board’s

capital rule

66

and LCR rule.

67

The

capital rule applies to all state member

banks, bank holding companies, and

covered savings and loan holding

companies, except for institutions that

are subject to the Board’s Small Bank

Holding Company and Small Savings

and Loan Holding Company Policy

Statement, which apply to bank holding

companies and savings and loan

holding companies with less than $3

billion in total consolidated assets that

also meet certain additional criteria.

68

The proposed changes to the capital rule

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5 U.S.C. 601 et seq.

70

The SBA defines a small banking organization

as having $550 million or less in assets, where ‘‘a

financial institution’s assets are determined by

averaging the assets reported on its four quarterly

financial statements for the preceding year.’’ See 13

CFR 121.201 (as amended, effective December 2,

2014). ‘‘SBA counts the receipts, employees, or

other measure of size of the concern whose size is

at issue and all of its domestic and foreign

affiliates.’’ See 13 CFR 121.103. Following these

regulations, the FDIC uses a covered entity’s

affiliated and acquired assets, averaged over the

preceding four quarters, to determine whether the

covered entity is ‘‘small’’ for the purposes of RFA.

71

Call Report data, June 30th, 2018.

72

Call Report data, June 30th 2018.

73

Public Law 106–102, section 722, 113 Stat.

1338, 1471 (1999).

74

12 U.S.C. 4802(a).

generally affect state member banks,

bank holding companies, and covered

savings and loan holding companies

with $50 billion or more in total

consolidated assets. Thus, most state

member banks, bank holding

companies, and covered savings and

loan holding companies that would be

subject to the proposed rule exceed the

$550 million asset threshold at which a

banking organization would qualify as a

small banking organization.

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.

FDIC: The Regulatory Flexibility Act

(RFA), 5 U.S.C. 601 et seq., generally

requires an agency, in connection with

a proposed rule, to prepare and make

available for public comment an initial

regulatory flexibility analysis that

describes the impact of a proposed rule

on small entities.

69

However, a

regulatory flexibility analysis is not

required if the agency certifies that the

rule will not have a significant

economic impact on a substantial

number of small entities. The Small

Business Administration (SBA) has

defined ‘‘small entities’’ to include

banking organizations with total assets

of less than or equal to $550 million

who are independently owned and

operated or owned by a holding

company with less than $550 million in

total assets.

70

For the reasons described

below and under section 605(b) of the

RFA, the FDIC certifies that the

proposed rule will not 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.

71

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.

72

Since this

proposal does not affect any institutions

that are defined as small entities for the

purposes of the RFA, the FDIC certifies

that the proposed rule will not have a

significant economic impact on a

substantial number of small entities.

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?

C. Plain Language

Section 722 of the Gramm-Leach-

Bliley Act

73

requires the Federal

banking agencies to use plain language

in all proposed and final rules

published after January 1, 2000. The

agencies have sought to present the

proposed rule in a simple and

straightforward manner, and invite

comment on the use of plain language.

For example:

•Have the agencies organized the

material to suit your needs? If not, how

could they present the proposed rule

more clearly?

•Are the requirements in the

proposed rule clearly stated? If not, how

could the proposed rule be more clearly

stated?

•Do the regulations contain technical

language or jargon that is not clear? If

so, which language requires

clarification?

•Would a different format (grouping

and order of sections, use of headings,

paragraphing) make the regulation

easier to understand? If so, what

changes would achieve that?

•Would more, but shorter, sections

be better? If so, which sections should

be changed?’’

•What other changes can the

agencies incorporate to make the

regulation easier to understand?

D. OCC Unfunded Mandates Reform Act

of 1995 Determination

The OCC analyzed the proposed rule

under the factors set forth in the

Unfunded Mandates Reform Act of 1995

(UMRA) (2 U.S.C. 1532). Under this

analysis, the OCC considered whether

the proposed rule includes a Federal

mandate that may result in the

expenditure by State, local, and Tribal

governments, in the aggregate, or by the

private sector, of $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.

E. Riegle Community Development and

Regulatory Improvement Act of 1994

Pursuant to section 302(a) of the

Riegle Community Development and

Regulatory Improvement Act

(RCDRIA),

74

in determining the effective

date and administrative compliance

requirements for new regulations that

impose additional reporting, disclosure,

or other requirements on insured

depository institutions, each Federal

banking agency must consider,

consistent with principles of safety and

soundness and the public interest, any

administrative burdens that such

regulations would place on depository

institutions, including small depository

institutions, and customers of

depository institutions, as well as the

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Id.

benefits of such regulations. In addition,

section 302(b) of RCDRIA requires new

regulations and amendments to

regulations that impose additional

reporting, disclosures, or other new

requirements on insured depository

institutions generally to take effect on

the first day of a calendar quarter that

begins on or after the date on which the

regulations are published in final

form.

75

The agencies note that comment on

these matters has been solicited in other

sections of this

SUPPLEMENTARY

INFORMATION

section, and that the

requirements of RCDRIA will be

considered as part of the overall

rulemaking process. In addition, the

agencies also invite any other comments

that further will inform the agencies’

consideration of RCDRIA.

12 CFR Part 3

Administrative practice and

procedure, Asset risk-weighting

methodologies, Banking, Banks, Capital

adequacy, Capital requirements, Federal

savings associations, National banks,

Reporting and recordkeeping

requirements, Risk.

12 CFR Part 50

Administrative practice and

procedure, Banking, Banks, Liquidity,

Reporting and recordkeeping

requirements, Savings associations.

12 CFR Part 217

Administrative practice and

procedure, Banking, Banks, Capital,

Federal Reserve System, Holding

companies, Reporting and

recordkeeping requirements, Risk,

Securities.

12 CFR Part 249

Administrative practice and

procedure, Banking, Banks, Federal

Reserve System, Holding companies,

Liquidity, Reporting and recordkeeping

requirements.

12 CFR Part 324

Administrative practice and

procedure, Banking, Banks, Capital

adequacy, Reporting and recordkeeping

requirements, Savings associations,

State non-member banks.

12 CFR Part 329

Administrative practice and

procedure, Banking, Banks, Federal

Deposit Insurance Corporation,

Liquidity, Reporting and recordkeeping

requirements, Savings associations.

Authority and Issuance

For the reasons stated in the

Supplementary Information, chapter I of

title 12 of the Code of Federal

Regulations is proposed to be amended

as follows:

Department of the Treasury

Office of the Comptroller of the

Currency

12 CFR CHAPTER I

PART 3—CAPITAL ADEQUACY

STANDARDS

■1. The authority citation for part 3

continues to read as follows:

Authority: 12 U.S.C. 93a, 161, 1462, 1462a,

1463, 1464, 1818, 1828(n), 1828 note, 1831n

note, 1835, 3907, 3909, and 5412(b)(2)(B).

■2. In § 3.2 add the definitions of

Category II national bank or Federal

savings association, and Category III

national bank or Federal savings

association, FR Y–9LP, and FR Y–15 in

alphabetical order to read as follows:

§ 3.2 Definitions.

* * * * *

Category II national bank or Federal

savings association means:

(1) A national bank or Federal savings

association that is a subsidiary of a

Category II banking organization, as

defined pursuant to 12 CFR 252.5 or 12

CFR 238.10, as applicable; or

(2) A national bank or Federal savings

association that:

(i) (A) Has total consolidated assets,

calculated based on the average of the

national bank’s or Federal savings

association’s total consolidated assets

for the four most recent calendar

quarters as reported on the Consolidated

Report of Condition and Income (Call

Report), equal to $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:

(1) Total consolidated assets,

calculated based on the average of the

national bank’s or Federal savings

association’s total consolidated assets

for the four most recent calendar

quarters as reported on the Call Report,

of $100 billion or more but less than

$700 billion. If the national bank or

Federal savings association has not filed

the Call Report for each of the four most

recent 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; and

(2) Cross-jurisdictional activity,

calculated based on the average of its

cross jurisdictional activity for the four

most recent calendar quarters, of $75

billion or more. Cross-jurisdictional

activity is the sum of cross-

jurisdictional claims and cross-

jurisdictional liabilities, calculated in

accordance with the instructions to the

FR Y–15 or equivalent reporting form;

(ii) After meeting the criteria in

paragraph (2)(i) of this section, a

national bank or Federal savings

association continues to be a Category II

national bank or Federal savings

association until the national bank or

Federal savings association has:

(A) (1) Less than $700 billion in total

consolidated assets, as reported on the

Call Report, for each of the four most

recent calendar quarters; and

(2) Less than $75 billion in cross-

jurisdictional activity for each of the

four most recent calendar quarters.

Cross-jurisdictional activity is the sum

of cross-jurisdictional claims and cross-

jurisdictional liabilities, calculated in

accordance with the instructions to the

FR Y–15 or equivalent reporting form;

(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. Category

III national bank or Federal savings

association means:

(1) A national bank or Federal savings

association that is a subsidiary of a

Category III banking organization as

defined pursuant to 12 CFR 252.5 or 12

CFR 238.10, as applicable; or

(2) A national bank or Federal savings

association that:

(i)(A) Has total consolidated assets,

calculated based on the average of the

national bank’s or Federal savings

association’s total consolidated assets

for the four most recent calendar

quarters as reported on the Call Report,

equal to $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:

(1) Total consolidated assets,

calculated based on the average of the

national bank’s or Federal savings

association’s total consolidated assets

for the four most recent calendar

quarters as reported on the Call Report,

of $100 billion or more but less than

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$250 billion. 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; and

(2) At least one of the following, each

calculated as the average of the four

most recent consecutive quarters, or if

the national bank or Federal savings

association has not filed each applicable

reporting form for each of the four most

recent calendar quarters, for the most

recent quarter or quarters, as applicable:

(i) Total nonbank assets, calculated in

accordance with the instructions to the

FR Y–9LP or equivalent reporting form,

equal to $75 billion or more;

(ii) Off-balance sheet exposure equal

to $75 billion or more. Off-balance sheet

exposure is a national bank’s or Federal

savings association’s total exposure,

calculated in accordance with the

instructions to the FR Y–15 or

equivalent reporting form, minus the

total consolidated assets of the national

bank or Federal savings association, as

reported on the Call Report; or

(iii) Weighted short-term wholesale

funding, calculated in accordance with

the instructions to the FR Y–15 or

equivalent reporting form, equal to $75

billion or more.

(ii) After meeting the criteria in

paragraphs (2)(i) of this definition, a

national bank or Federal savings

association continues to be a Category

III national bank or Federal savings

association until the national bank or

Federal savings association has:

(A)(1) Less than $250 billion in total

consolidated assets, as reported on the

Call Report, for each of the four most

recent calendar quarters;

(2) Less than $75 billion in total

nonbank assets, calculated in

accordance with the instructions to the

FR Y–9LP or equivalent reporting form,

for each of the four most recent calendar

quarters;

(3) Less than $75 billion in weighted

short-term wholesale funding,

calculated in accordance with the

instructions to the FR Y–15 or

equivalent reporting form, for each of

the four most recent calendar quarters;

and

(4) Less than $75 billion in off-balance

sheet exposure for each of the four most

recent calendar quarters. Off-balance

sheet exposure is a national bank’s or

Federal savings association’s total

exposure, calculated in accordance with

the instructions to the FR Y–15 or

equivalent reporting form, minus the

total consolidated assets of the national

bank or Federal savings association, as

reported on the Call Report; or

(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.

FR Y–15 means the Banking

Organization Systemic Risk Report.

FR Y–9LP means the Parent Company

Only Financial Statements for Large

Holding Companies.

* * * * *

■3. In § 3.10, revise paragraphs (a)(6),

(c) introductory text, and (c)(4)(i)

introductory text to read as follows:

§ 3.10 Minimum capital requirements.

(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) Advanced approaches capital ratio

calculations. An advanced approaches

national bank or Federal savings

association that has completed the

parallel run process and received

notification from the OCC pursuant to

§ 3.121(d) must determine its regulatory

capital ratios as described in paragraphs

(c)(1) through (3) of this section. An

advanced approaches national bank or

Federal savings association must

determine its supplementary leverage

ratio in accordance with paragraph

(c)(4) of this section, beginning with the

calendar quarter immediately following

the quarter in which the national bank

or Federal savings association

institution meets any of the criteria in

§ 3.100(b)(1). A Category III national

bank or Federal savings association

must determine its supplementary

leverage ratio in accordance with

paragraph (c)(4) of this section,

beginning with the calendar quarter

immediately following the quarter in

which the national bank or Federal

savings association is identified as a

Category III national bank or Federal

savings association.

* * * * *

(4) Supplementary leverage ratio. (i)

An advanced approaches national

bank’s or Federal savings association’s

or a Category III national bank’s or

Federal savings association’s

supplementary leverage ratio is the ratio

of its tier 1 capital to total leverage

exposure, the latter which is calculated

as the sum of:

* * * * *

■4. Amend § 3.11 as follows:

■a. Revise the section heading;

■b. Revise paragraph (b)(1)

introductory text; and

■c. Revise paragraph (b)(1)(ii).

The revisions read as follows:

§ 3.11 Capital conservation buffer,

countercyclical capital buffer amount, and

GSIB surcharge.

* * * * *

(b) Countercyclical capital buffer

amount—(1) General. An advanced

approaches national bank or Federal

savings association, and a Category III

national bank or Federal savings

association, must calculate a

countercyclical capital buffer amount in

accordance with the following

paragraphs for purposes of determining

its maximum payout ratio under Table

1 to § 3.11.

* * * * *

(ii) Amount. An advanced approaches

national bank or Federal savings

association, and a Category III national

bank or Federal savings association, has

a countercyclical capital buffer amount

determined by calculating the weighted

average of the countercyclical capital

buffer amounts established for the

national jurisdictions where the

national bank’s or Federal savings

association’s private sector credit

exposures are located, as specified in

paragraphs (b)(2) and (3) of this section.

* * * * *

■5. In § 3.100, revise paragraphs (b)(1)

introductory text and (b)(1)(i) through

(v) to read as follows:

§ 3.100 Purpose, applicability, and

principle of conservatism.

* * * * *

(b) Applicability. (1) This subpart

applies to a national bank or Federal

savings association that:

(i) Is a subsidiary of a global

systemically important BHC, as

identified pursuant to 12 CFR 217.402;

(ii) Is a Category II national bank or

Federal savings association;

(iii) Is a subsidiary of a depository

institution that uses the advanced

approaches pursuant to subpart E of 12

CFR part 3 (OCC), 12 CFR part 217

(Board), or 12 CFR part 324 (FDIC) to

calculate its risk-based capital

requirements; or

(iv) Is a subsidiary of a bank holding

company or savings and loan holding

company that uses the advanced

approaches pursuant to subpart E of 12

CFR part 217 to calculate its risk-based

capital requirements; or

(v) Elects to use this subpart to

calculate its total risk-weighted assets;

or

* * * * *

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PART 50—LIQUIDITY RISK

MEASUREMENT STANDARDS

■6. The authority citation for part 50

continues to read as follows:

Authority: 12 U.S.C. 1 et seq., 93a, 481,

1818, and 1462 et seq.

■7. In § 50.1, revise paragraphs (b)(1)

and (2) to read as follows:

§ 50.1 Purpose and applicability.

* * * * *

(b) Applicability of Minimum

Liquidity Standards. (1) A national bank

or Federal savings association is subject

to the minimum liquidity standard and

other requirements of this part if:

(i) It is a GSIB depository institution,

a Category II national bank or Federal

savings association, or a Category III

national bank or Federal savings

association;

(ii) It is an national bank or Federal

savings association that has total

consolidated assets equal to $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):

(1) Consolidated Financial Statements

for Holding Companies reporting form

(FR Y–9C), or, if the covered

intermediate holding company is not

required to report on the FR Y–9C, its

estimated total consolidated assets as of

the most recent year end, calculated in

accordance with the instructions to the

FR Y–9C; or

(2) Call Report; or

(B) Has total consolidated on-balance

sheet foreign exposure at the most

recent year-end equal to $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.

* * * * *

■8. In § 50.3, add the definitions of

Average weighted short-term wholesale

funding, Call Report, Category II

national bank or Federal savings

association, Category III national bank

or Federal savings association, Covered

intermediate holding company, FR

Y–9LP, FR Y–15, Global systemically

important BHC, and GSIB depository

institution, in alphabetical order to read

as follows:

§ 50.3 Definitions.

* * * * *

Average weighted short-term

wholesale funding has the same

meaning as in 12 CFR 252.2.

* * * * *

Call Report means the Consolidated

Reports of Condition and Income.

Category II national bank or Federal

savings association means:

(1) A national bank or Federal savings

association that is a subsidiary of a

depository institution holding company

that is defined as a Category II Board-

regulated institution pursuant to 12 CFR

249.3 and has total consolidated assets,

calculated based on the average of the

national bank’s or Federal savings

association’s total consolidated assets

for the four most recent calendar

quarters as reported on the Call Report,

equal to $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

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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:

(1) Total consolidated assets,

calculated based on the average of the

national bank’s or Federal savings

association’s total consolidated assets

for the four most recent calendar

quarters as reported on the Call Report,

of $100 billion or more but less than

$700 billion. 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; and

(2) Cross-jurisdictional activity,

calculated based on the average of its

cross-jurisdictional activity for the four

most recent consecutive quarters, of $75

billion or more. Cross-jurisdictional

activity is the sum of cross-

jurisdictional claims and cross-

jurisdictional liabilities, calculated in

accordance with the instructions to the

FR Y–15 or equivalent reporting form;

(ii) After meeting the criteria in

paragraph (2)(i) of this section, a

national bank or Federal savings

association continues to be a Category II

national bank or Federal savings

association until the national bank or

Federal savings association has:

(A)(1) Less than $700 billion in total

consolidated assets, as reported on the

Call Report, for each of the four most

recent calendar quarters; and

(2) Less than $75 billion in cross-

jurisdictional activity for each of the

four most recent calendar quarters.

Cross-jurisdictional activity is the sum

of cross-jurisdictional claims and cross-

jurisdictional liabilities, calculated in

accordance with the instructions to the

FR Y–15 or equivalent reporting form;

(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.

Category III national bank or Federal

savings association means:

(1) A national bank or Federal savings

association that is a subsidiary of a

depository institution holding company

that is defined as a Category III Board-

regulated institution pursuant to 12 CFR

249.3 and has total consolidated assets,

calculated based on the average of the

national bank’s or Federal savings

association’s total consolidated assets

for the four most recent calendar

quarters as reported on the Call Report,

equal to $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:

(1) Total consolidated assets,

calculated based on the average of the

national bank’s or Federal savings

association’s total consolidated assets

for the four most recent calendar

quarters as reported on the Call Report,

of at least $100 billion but less than

$700 billion. 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; and

(2) One or more of the following, each

measured as the average of the four most

recent quarters, or if the national bank

or Federal savings bank has not filed

each applicable reporting form for each

of the four most recent calendar

quarters, for the most recent quarter or

quarters, as applicable:

(i) Total nonbank assets, calculated in

accordance with instructions to the FR

Y–9LP or equivalent reporting form,

equal to $75 billion or more;

(ii) Off-balance sheet exposure,

calculated in accordance with the

instructions to the FR Y–15 or

equivalent reporting form, minus the

total consolidated assets of the national

bank or Federal savings association, as

reported on the Call Report, equal to $75

billion or more; or

(iii) Weighted short-term wholesale

funding, calculated in accordance with

the instructions to the FR Y–15 or

equivalent reporting form, equal to $75

billion or more.

(ii) After meeting the criteria in

paragraph (2)(i) of this section, a

national bank or Federal savings

association continues to be a Category

III national bank or Federal savings

association until the national bank or

Federal savings association has:

(A)(1) Less than $250 billion in total

consolidated assets, as reported on the

Call Report, for each of the four most

recent calendar quarters;

(2) Less than $75 billion in total

nonbank assets, calculated in

accordance with the instructions to the

FR Y–9LP or equivalent reporting form,

for each of the four most recent calendar

quarters;

(3) Less than $75 billion in weighted

short-term wholesale funding,

calculated in accordance with the

instructions to the FR Y–15 or

equivalent reporting form, for each of

the four most recent calendar quarters;

and

(4) Less than $75 billion in off-balance

sheet exposure for each of the four most

recent calendar quarters. Off-balance

sheet exposure is a national bank’s or

Federal savings association’s total

exposure, calculated in accordance with

the instructions to the FR Y–15 or

equivalent reporting form, minus the

total consolidated assets of the national

bank or Federal savings association, as

reported on the Call Report; or

(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.

* * * * *

Covered intermediate holding

company means a U.S. intermediate

holding company that:

(1) Was established or designated by

a foreign banking organization pursuant

to 12 CFR 252.153; and

(2) Is a covered depository institution

holding company.

* * * * *

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FR Y–15 means the Banking

Organization Systemic Risk Report.

FR Y–9LP means the Parent Company

Only Financial Statements for Large

Holding Companies.

* * * * *

Global systemically important BHC

means a bank holding company

identified as a global systemically

important BHC pursuant to 12 CFR

217.402.

GSIB depository institution means a

depository institution that is a

consolidated subsidiary of a global

systemically important BHC and has

total consolidated assets equal to $10

billion or more, calculated based on the

average of the depository institution’s

total consolidated assets for the four

most recent calendar quarters as

reported on the Call Report. If the

depository 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

calendar quarter or quarters, as

applicable. After meeting the criteria

under this definition, a depository

institution continues to be a GSIB

depository institution until the

depository 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 depository institution is no longer

a consolidated subsidiary of a global

systemically important BHC.

* * * * *

■9. In § 50.30:

■a. Revise paragraph (a); and

■b. Add paragraph (c) and Table 1.

The revision and additions read as set

forth below.

§ 50.30 Total net cash outflow amount.

(a) Calculation of total net cash

outflow amount. As of the calculation

date, a national bank’s or Federal

savings association’s total net cash

outflow amount equals the national

bank’s or Federal savings association’s

outflow adjustment percentage as

determined under paragraph (c) of this

section multiplied by:

(1) The sum of the outflow amounts

calculated under § 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) Outflow adjustment percentage. A

national bank’s or Federal savings

association’s outflow adjustment

percentage is determined pursuant to

Table 1 to § 50.30.

T

ABLE

1

TO

§ 50.30—O

UTFLOW

A

DJUSTMENT

P

ERCENTAGES

Outflow adjustment

percentage

A GSIB depository institution ................................................................................................................................................... 100

Category II national bank or Federal savings association ...................................................................................................... 100

Category III national bank or Federal savings association that: ............................................................................................. 100

(1) Is a consolidated subsidiary of a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10

with $75 billion or more in average weighted short-term wholesale funding; or

(2) Has $75 billion or more in average weighted short-term wholesale funding and is not consolidated under a hold-

ing company

Category III national bank or Federal savings association that: ............................................................................................. [70 to 85]

(1) Is a consolidated subsidiary of a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10

with less than $75 billion in average weighted short-term wholesale funding; or

(2) Has less than $75 billion in average weighted short-term wholesale funding and is not consolidated under a

holding company

A national bank or Federal savings association that is described in section .50(b)(1)(ii) ...................................................... 100

[Re-proposal of Net Stable Funding

Ratio’s Applicability]

PART 50—LIQUIDITY RISK

MEASUREMENT STANDARDS

■10. In § 50.1, add paragraph (c) to read

as follows:

§ 50.1 Purpose and applicability.

* * * * *

(c) Applicability of the minimum

stable funding standard. (1) A national

bank or Federal savings association is

subject to the minimum stable funding

and other requirements of subparts K

through M if:

(i) It is a GSIB depository institution,

a Category II national bank or Federal

savings association, a Category III

national bank or Federal savings

association that is the consolidated

subsidiary of a Category III Board-

regulated institution pursuant to 12 CFR

249.3 with $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):

(1) Consolidated Financial Statements

for Holding Companies reporting form

(FR Y–9C), or, if the covered

intermediate holding company is not

required to report on the FR Y–9C, its

estimated consolidated assets as of the

most recent year end, calculated in

accordance with the instructions to the

FR Y–9C;

(2) Call Report; or

(B) Has total consolidated on-balance

sheet foreign exposure at the most

recent year-end equal to $10 billion or

more (where total on-balance sheet

foreign exposure equals total cross-

border claims less claims with a head

office or guarantor located in another

country plus redistributed guaranteed

amounts to the country of the head

office or guarantor plus local country

claims on local residents plus

revaluation gains on foreign exchange

and derivative transaction products,

calculated in accordance with the

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

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(d)(1)(i) of this section, and is subject to

the requirements of this part in

accordance with subpart M of this part;

(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.

■11. Add subpart M to part 50 to read

as follows:

Subpart M—Net stable funding ratio for

certain national banks and Federal savings

associations

Sec.

50.120 Applicability.

50.121 Net stable funding ratio

requirement.

Subpart M—Net stable funding ratio for

certain national banks and Federal

savings associations

§ 50.120 Applicability.

(a) Scope. This subpart applies to a

national bank or Federal savings

association that:

(1) Is a Category III national bank or

Federal savings association that is a

consolidated subsidiary of a depository

institution holding company with less

than $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) Applicable provisions. Except as

otherwise provided in this subpart, the

provisions of subparts A, K, and L of

this part apply to national banks and

Federal savings associations that are

subject to this subpart.

(c) Applicability. A national bank or

Federal savings association that meets

the threshold for applicability of this

subpart under paragraph (a) of this

section after the effective date must

comply with the requirements of this

subpart beginning on the first day of the

second calendar quarter after which it

meets the threshold set forth in

paragraph (a) of this section.

§ 50.121 Net stable funding ratio

requirement.

(a) Calculation of the net stable

funding ratio. A national bank or

Federal savings association subject to

this subpart must calculate and

maintain a net stable funding ratio in

accordance with § 50.100 and this

subpart.

(b) Available stable funding amount.

A national bank or Federal savings

association subject to this subpart must

calculate its ASF amount in accordance

with subpart K of this part.

(c) Required stable funding amount. A

national bank or Federal savings

association subject to this subpart must

calculate its RSF amount in accordance

with subpart K of this part, provided,

however, that the RSF amount of a

national bank or Federal savings

association subject to this subpart

equals [70 to 85] percent of the RSF

amount calculated in accordance with

subpart K of this part.

Board of Governors of the Federal

Reserve System

12 CFR CHAPTER II

Authority and Issuance

For the reasons set forth in the

Supplementary Information, chapter II

of title of the Code of Federal

Regulations is proposed to be amended

as follows:

PART 217—CAPITAL ADEQUACY OF

BANK HOLDING COMPANIES,

SAVINGS AND LOAN HOLDING

COMPANIES, AND STATE MEMBER

BANKS (REGULATION Q)

■12. The authority citation for part 217

continues to read as follows:

Authority: 12 U.S.C. 248(a), 321–338a,

481–486, 1462a, 1467a, 1818, 1828, 1831n,

1831o, 1831p–1, 1831w, 1835, 1844(b), 1851,

3904, 3906–3909, 4808, 5365, 5368, 5371.

■13. In § 217.2, revise the definition of

Advanced approaches Board-regulated

institution and add the definitions of

Category II Board-regulated institution,

Category III Board-regulated institution,

FR Y–9LP, and FR Y–15 in alphabetical

order to read as follows:

§ 217.2 Definitions.

* * * * *

Advanced-approaches Board-

regulated institution means:

(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

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foreign exposure equals total foreign

countries cross-border claims on an

ultimate-risk basis, plus total foreign

countries claims on local residents on

an ultimate-risk basis, plus total foreign

countries fair value of foreign exchange

and derivative products), calculated in

accordance with the FFIEC 009 Country

Exposure Report; or

(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.

* * * * *

Category II Board-regulated

institution means:

(1) A depository institution holding

company that is identified as a Category

II banking organization pursuant to 12

CFR 252.5 or 12 CFR 238.10, as

applicable;

(2) A state member bank that is a

subsidiary of a company identified in

paragraph (1) of this definition; or

(3) A state member bank that:

(i)(A) Has total consolidated assets,

calculated based on the average of the

state member bank’s total consolidated

assets for the four most recent calendar

quarters as reported on the Call Report,

equal to $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:

(1) Total consolidated assets,

calculated based on the average of the

state member bank’s total consolidated

assets for the four most recent calendar

quarters as reported on the Call Report,

of $100 billion or more but less than

$700 billion. If the state member bank

has not filed the Call Report for each of

the four most recent 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; and

(2) Cross-jurisdictional activity,

calculated based on the average of its

cross-jurisdictional activity for the four

most recent calendar quarters, of $75

billion or more. Cross-jurisdictional

activity is the sum of cross-

jurisdictional claims and cross-

jurisdictional liabilities, calculated in

accordance with the instructions to the

FR Y–15 or equivalent reporting form.

(ii) After meeting the criteria in

paragraph (3)(i) of this section, a state

member bank continues to be a Category

II Board-regulated institution until the

state member bank:

(A) Has:

(1) Less than $700 billion in total

consolidated assets, as reported on the

Call Report, for each of the four most

recent calendar quarters; and

(2) Less than $75 billion in cross-

jurisdictional activity for each of the

four most recent calendar quarters.

Cross-jurisdictional activity is the sum

of cross-jurisdictional claims and cross-

jurisdictional liabilities, calculated in

accordance with the instructions to the

FR Y–15 or equivalent reporting form;

(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.

Category III Board-regulated

institution means:

(1) A depository institution holding

company that is identified as a Category

III banking organization pursuant to 12

CFR 252.5 or 12 CFR 238.10, as

applicable;

(2) A state member bank that is a

subsidiary of a company identified in

paragraph (1) of this definition; or

(3) A state member bank that:

(i) (A) Has total consolidated assets,

calculated based on the average of the

state member bank’s total consolidated

assets for the four most recent calendar

quarters as reported on the Call Report,

equal to $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:

(1) Total consolidated assets,

calculated based on the average of the

state member bank’s total consolidated

assets for the four most recent calendar

quarters as reported on the Call Report,

of $100 billion or more but less than

$250 billion. 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; and

(2) At least one of the following, each

calculated as the average of the four

most recent calendar quarters, or if the

state member bank has not filed each

applicable reporting form for each of the

four most recent calendar quarters, for

the most recent quarter or quarters, as

applicable:

(i) Total nonbank assets, calculated in

accordance with the instructions to the

FR Y–9LP or equivalent reporting form,

equal to $75 billion or more;

(ii) Off-balance sheet exposure equal

to $75 billion or more. Off-balance sheet

exposure is a state member bank’s total

exposure, calculated in accordance with

the instructions to the FR Y–15 or

equivalent reporting form, minus the

total consolidated assets of the state

member bank, as reported on the Call

Report; or

(iii) Weighted short-term wholesale

funding, calculated in accordance with

the instructions to the FR Y–15 or

equivalent reporting form, equal to $75

billion or more.

(ii) After meeting the criteria in

paragraph (3)(i) of this section, a state

member bank continues to be a Category

III Board-regulated institution until the

state member bank:

(A) Has:

(1) Less than $250 billion in total

consolidated assets, as reported on the

Call Report, for each of the four most

recent calendar quarters;

(2) Less than $75 billion in total

nonbank assets, calculated in

accordance with the instructions to the

FR Y–9LP or equivalent reporting form,

for each of the four most recent calendar

quarters;

(3) Less than $75 billion in weighted

short-term wholesale funding,

calculated in accordance with the

instructions to the FR Y–15 or

equivalent reporting form, for each of

the four most recent calendar quarters;

and

(4) Less than $75 billion in off-balance

sheet exposure for each of the four most

recent calendar quarters. Off-balance

sheet exposure is a state member bank’s

total exposure, calculated in accordance

with the instructions to the FR Y–15 or

equivalent reporting form, minus the

total consolidated assets of the state

member bank, as reported on the Call

Report; or

(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.

FR Y–15 means the Banking

Organization Systemic Risk Report.

FR Y–9LP means the Parent Company

Only Financial Statements for Large

Holding Companies.

* * * * *

■14. In § 217.10, revise paragraphs

(a)(5), (c) introductory text, and (c)(4)(i)

introductory text to read as follows:

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§ 217.10 Minimum capital requirements.

(a) * * *

(5) For advanced approaches Board-

regulated institutions or, for Category III

Board-regulated institutions, a

supplementary leverage ratio of 3

percent.

* * * * *

(c) Advanced approaches capital ratio

calculations. An advanced approaches

Board-regulated institution that has

completed the parallel run process and

received notification from the Board

pursuant to § 217.121(d) must determine

its regulatory capital ratios as described

in paragraphs (c)(1) through (3) of this

section. An advanced approaches

Board-regulated institution must

determine its supplementary leverage

ratio in accordance with paragraph

(c)(4) of this section, beginning with the

calendar quarter immediately following

the quarter in which the Board-

regulated institution meets any of the

criteria in § 217.100(b)(1). A Category III

Board-regulated institution must

determine its supplementary leverage

ratio in accordance with paragraph

(c)(4) of this section, beginning with the

calendar quarter immediately following

the quarter in which the Board-

regulated institution is identified as a

Category III Board-regulated institution.

* * * * *

(4) Supplementary leverage ratio. (i)

An advanced approaches Board-

regulated institution’s or a Category III

Board-regulated institution’s

supplementary leverage ratio is the ratio

of its tier 1 capital to total leverage

exposure, the latter which is calculated

as the sum of:

* * * * *

■15. In § 217.11, revise paragraphs

(b)(1) introductory text and (b)(1)(ii) as

follows:

§ 217.11 Capital conservation buffer,

countercyclical capital buffer amount, and

GSIB surcharge.

* * * * *

(b) Countercyclical capital buffer

amount—(1) General. An advanced

approaches Board-regulated institution

or a Category III Board-regulated

institution must calculate a

countercyclical capital buffer amount in

accordance with the following

paragraphs for purposes of determining

its maximum payout ratio under Table

1 to § 217.11.

(i) * * *

(ii) Amount. An advanced approaches

Board-regulated institution or a

Category III Board-regulated institution

has a countercyclical capital buffer

amount determined by calculating the

weighted average of the countercyclical

capital buffer amounts established for

the national jurisdictions where the

Board-regulated institution’s private

sector credit exposures are located, as

specified in paragraphs (b)(2) and (3) of

this section.

* * * * *

■16. In § 217.100, paragraph (b)(1) is

revised to read as follows:

§ 217.100 Purpose, applicability, and

principle of conservatism.

* * * * *

(b) Applicability. (1) This subpart

applies to:

(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:

(1) Is identified as a global

systemically important BHC pursuant to

12 CFR 217.402;

(2) Is identified as a Category II

banking organization pursuant to 12

CFR 252.5 or 12 CFR 238.10; or

(3) Has a subsidiary depository

institution that is required, or has

elected, to use 12 CFR part 3, subpart E

(OCC), 12 CFR part 217, subpart E

(Board), or 12 CFR part 324, subpart E

(FDIC) to calculate its risk-based capital

requirements;

(ii) A state member bank that:

(A) Is a subsidiary of a global

systemically important BHC;

(B) Is a Category II Board-regulated

institution;

(C) Is a subsidiary of a depository

institution that uses 12 CFR part 3,

subpart E (OCC), 12 CFR part 217,

subpart E (Board), or 12 CFR part 324,

subpart E (FDIC) to calculate its risk-

based capital requirements; or

(D) Is a subsidiary of a bank holding

company or savings and loan holding

company that uses 12 CFR part 217,

subpart E, to calculate its risk-based

capital requirements; or

(iii) Any Board-regulated institution

that elects to use this subpart to

calculate its risk-based capital

requirements.

* * * * *

■17. In § 217.406, paragraph (b)(2)

introductory text is revised to read as

follows:

§ 217.406 Short-term wholesale funding

score.

* * * * *

(b) * * *

(2) Short-term wholesale funding

includes the following components:

* * * * *

PART 249—LIQUIDITY RISK

MEASUREMENT STANDARDS

(REGULATION WW)

■18. The authority citation for part 249

continues to read as follows:

Authority: 12 U.S.C. 248(a), 321–338a,

481–486, 1467a(g)(1), 1818, 1828, 1831p–1,

1831o–1, 1844(b), 5365, 5366, 5368.

■19. In § 249.1, revise paragraphs (b)(1)

and (2), and add paragraph (d) to read

as follows:

§ 249.1 Purpose and applicability.

* * * * *

(b) Applicability of Minimum

Liquidity Standards. (1) A Board-

regulated institution is subject to the

minimum liquidity standard and other

requirements of this part if:

(i) It is a global systemically important

BHC, a GSIB depository institution, a

Category II Board-regulated institution,

or a Category III Board-regulated

institution;

(ii) It is a covered intermediate

holding company that:

(A) Has total consolidated assets of

$250 billion or more, as reported on the

most recent year-end (as applicable):

(1) Consolidated Financial Statements

for Holding Companies reporting form

(FR Y–9C), or, if the covered

intermediate holding company is not

required to report on the FR Y–9C, its

estimated total consolidated assets as of

the most recent year-end, calculated in

accordance with the instructions to the

FR Y–9C; or

(2) Call Report; or

(B) Has total consolidated on-balance

sheet foreign exposure at the most

recent year-end equal to $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

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section, and is subject to complying

with the requirements of this part in

accordance with subpart G of this part;

or

(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) Applicability of the minimum

stable funding standard. (1) A Board-

regulated institution is subject to the

minimum stable funding standard and

other requirements of subparts K

through N if:

(i) It is a global systemically important

BHC, a GSIB depository institution, a

Category II Board-regulated institution,

or a Category III Board-regulated

institution with $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):

(1) Consolidated Financial Statements

for Holding Companies reporting form

(FR Y–9C), or, if the covered

intermediate holding company is not

required to report on the FR Y–9C, its

estimated total consolidated assets as of

the most recent year end, calculated in

accordance with the instructions to the

FR Y–9C; or

(2) Call Report;

(B) Has total consolidated on-balance

sheet foreign exposure at the most

recent year-end equal to $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).

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(4) A Board-regulated institution

subject to a minimum stable funding

standard under this part shall remain

subject until the Board determines in

writing that application of this part to

the Board-regulated institution is not

appropriate in light of the Board-

regulated institution’s asset size, level of

complexity, risk profile, scope of

operations, affiliation with foreign or

domestic covered entities, or risk to the

financial system.

(5) In making a determination under

paragraphs (d)(1)(vii) or (d)(4) of this

section, the Board will apply, as

appropriate, notice and response

procedures in the same manner and to

the same extent as the notice and

response procedures set forth in 12 CFR

263.202.

■20. In § 249.3, add the definitions of

Average weighted short-term wholesale

funding, Call Report, Category II Board-

regulated institution, Category III Board-

regulated institution, Covered

intermediate holding company, FR

Y–9LP, FR Y–15, Global systemically

important BHC, and GSIB depository

institution in alphabetical order to read

as follows:

§ 249.3 Definitions.

* * * * *

Average weighted short-term

wholesale funding has the same

meaning as in 12 CFR 252.2.

* * * * *

Call Report means the Consolidated

Reports of Condition and Income.

Category II Board-regulated

institution means:

(1) A covered depository institution

holding company that is identified as a

Category II banking organization

pursuant to 12 CFR 252.5 or 12 CFR

238.10;

(2) A state member bank that is a

consolidated subsidiary of a company

described in paragraphs (1) or (3) and

that has total consolidated assets,

calculated based on the average of the

state member bank’s total consolidated

assets for the four most recent calendar

quarters as reported on the Call Report,

equal to $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:

(1) Total consolidated assets,

calculated based on the average of the

state member bank’s total consolidated

assets for the four most recent calendar

quarters as reported on the Call Report,

of $100 billion or more but less than

$700 billion. 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; and

(2) Cross-jurisdictional activity,

calculated based on the average of its

cross-jurisdictional activity for the four

most recent calendar quarters, of $75

billion or more. Cross-jurisdictional

activity is the sum of cross-

jurisdictional claims and cross-

jurisdictional liabilities, calculated in

accordance with the instructions to the

FR Y–15 or equivalent reporting form.

(ii) After meeting the criteria in

paragraph (3)(i) of this section, a state

member bank continues to be a Category

II Board-regulated institution until the

state member bank:

(A)(1) Has less than $700 billion in

total consolidated assets, as reported on

the Call Report, for each of the four most

recent calendar quarters; and

(2) Has less than $75 billion in cross-

jurisdictional activity for each of the

four most recent calendar quarters.

Cross-jurisdictional activity is the sum

of cross-jurisdictional claims and cross-

jurisdictional liabilities, calculated in

accordance with the instructions to the

FR Y–15 or equivalent reporting form;

(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.

Category III Board-regulated

institution means:

(1) A covered depository institution

holding company that is identified as a

Category III banking organization

pursuant to 12 CFR 252.5 or 12 CFR

238.10, as applicable;

(2) A state member bank that is a

consolidated subsidiary of a company

described in paragraphs (1) or (3) and

that has total consolidated assets,

calculated based on the average of the

state member bank’s total consolidated

assets for the four most recent calendar

quarters as reported on the Call Report,

equal to $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:

(1) Total consolidated assets,

calculated based on the average of the

state member bank’s total consolidated

assets in the four most recent calendar

quarters as reported quarterly on the

most recent Call Report, of $100 billion

or more but less than $250 billion. 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; and

(2) One or more of the following, each

measured as the average of the four most

recent calendar quarters, or if the state

member bank has not filed the FR

Y–9LP or equivalent reporting form,

Call Report, or FR Y–15 or equivalent

reporting form, as applicable, for each of

the four most recent calendar quarters,

for the most recent quarter or quarters,

as applicable:

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(i) Total nonbank assets, calculated in

accordance with instructions to the FR

Y–9LP or equivalent reporting form,

equal to $75 billion or more;

(ii) Off-balance sheet exposure,

calculated in accordance with the

instructions to the FR Y–15 or

equivalent reporting form, minus the

total consolidated assets of the state

member bank, as reported on the Call

Report, equal to $75 billion or more; or

(iii) Weighted short-term wholesale

funding, calculated in accordance with

the instructions to the FR Y–15 or

equivalent reporting form, equal to $75

billion or more.

(ii) After meeting the criteria in

paragraph (3)(i) of this section, a state

member bank continues to be a Category

III Board-regulated institution until the

state member bank:

(A)(1) Has less than $250 billion in

total consolidated assets, as reported on

the Call Report, for each of the four most

recent calendar quarters;

(2) Has less than $75 billion in total

nonbank assets, calculated in

accordance with the instructions to the

FR Y–9LP or equivalent reporting form,

for each of the four most recent calendar

quarters;

(3) Has less than $75 billion in

weighted short-term wholesale funding,

calculated in accordance with the

instructions to the FR Y–15 or

equivalent reporting form, for each of

the four most recent calendar quarters;

and

(4) Has less than $75 billion in off-

balance sheet exposure for each of the

four most recent calendar quarters. Off-

balance sheet exposure is a state

member bank’s total exposure,

calculated in accordance with the

instructions to the FR Y–15 or

equivalent reporting form, minus the

total consolidated assets of the state

member bank, as reported on the Call

Report; or

(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.

* * * * *

Covered intermediate holding

company means a U.S. intermediate

holding company that: (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.

* * * * *

FR Y–15 means the Banking

Organization Systemic Risk Report.

FR Y–9LP means the Parent Company

Only Financial Statements for Large

Holding Companies.

* * * * *

Global systemically important BHC

means a bank holding company

identified as a global systemically

important BHC pursuant to 12 CFR

217.402.

GSIB depository institution means a

depository institution that is a

consolidated subsidiary of a global

systemically important BHC and has

total consolidated assets equal to $10

billion or more, calculated based on the

average of the depository institution’s

total consolidated assets for the four

most recent calendar quarters as

reported on the Call Report. If the

depository 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

calendar quarter or quarters, as

applicable. After meeting the criteria

under this definition, a depository

institution continues to be a GSIB

depository institution until the

depository 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 depository institution is no longer

a consolidated subsidiary of a global

systemically important BHC.

* * * * *

■21. In § 249.30, revise paragraph (a),

and add paragraph (c) to read as follows:

§ 249.30 Total net cash outflow amount.

(a) Calculation of total net cash

outflow amount. As of the calculation

date, a Board-regulated institution’s

total net cash outflow amount equals the

Board-regulated institution’s outflow

adjustment percentage as determined

under paragraph (c) of this section

multiplied by:

(1) The sum of the outflow amounts

calculated under § 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) Outflow adjustment percentage. A

Board-regulated institution’s outflow

adjustment percentage is determined

pursuant to Table 1 to § 249.30.

T

ABLE

1

TO

§ 249.30—O

UTFLOW

A

DJUSTMENT

P

ERCENTAGES

Outflow adjustment

percentage

Global systemically important BHC or GSIB depository institution ......................................................................................... 100

Category II Board-regulated institution .................................................................................................................................... 100

Category III Board-regulated institution with $75 billion or more in average weighted short-term wholesale funding and

any Category III Board-regulated institution that is a consolidated subsidiary of such a Category III Board-regulated in-

stitution ................................................................................................................................................................................. 100

Category III Board-regulated institution with less than $75 billion in average weighted short-term wholesale funding and

any Category III Board-regulated institution that is a consolidated subsidiary of such a Category III Board-regulated in-

stitution ................................................................................................................................................................................. [70 to 85]

Covered intermediate holding company that meets the criteria under § 249.1(b)(1)(ii) and any Board-regulated institution

subject to this part that is a consolidated subsidiary of such a covered intermediate holding company

1

......................... 100

1

Covered intermediate holding companies shall remain subject to this part as in effect on October 3, 2018, until the Board amends the liquidity

risk measurement standards applicable to the subsidiaries of foreign banking organizations in effect on October 31, 2018.

■22. Section 249.60, is revised to read

as follows:

§ 249.60 Applicability.

(a) Scope. This subpart applies to a

covered intermediate holding company

that has total consolidated assets equal

to $50 billion or more, based on the

average of the Board-regulated

institution’s four most recent FR Y–9Cs

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1

Under the proposed rule to implement the net

stable funding ratio (NSFR), the RSF amount of a

Board-regulated institution that is a covered

intermediate holding company subject to this part

would have equaled 70 percent of the RSF amount

calculated in accordance with subpart K of this

part. Upon adoption of the final NSFR rule, covered

intermediate holding companies would remain

subject to this part as proposed in June 1, 2016,

until the Board adopts regulations that directly

relate to the application of liquidity risk

measurement and net stable funding standards to

foreign banking organizations.

and does not meet the applicability

criteria set forth in § 249.1(b)(1)(ii).

(b) Applicable provisions. Except as

otherwise provided in this subpart, the

provisions of subparts A through E of

this part apply to covered intermediate

holding companies that are subject to

this subpart.

(c) Applicability. Subject to the

transition periods set forth in § 249.61,

a Board-regulated institution that first

meets the threshold for applicability of

this subpart under paragraph (a) of this

section after September 30, 2014, must

comply with the requirements of this

subpart one year after the date it meets

the threshold set forth in paragraph (a)

of this section; except that a Board-

regulated institution that met the

applicability criteria in § 249.1(b)

immediately prior to meeting this

threshold must comply with the

requirements of this subpart beginning

on the first day of the first quarter after

which it meets the threshold set forth in

paragraph (a) of this section.

■23. In § 249.90, paragraph (b)(3) is

revised to read as follows:

§ 249.90 Timing, method and retention of

disclosures.

* * * * *

(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).

* * * * *

■24. Add subpart M to part 249 to read

as follows:

Subpart M—Net stable funding ratio for

certain Board-regulated institutions

Sec.

249.120 Applicability.

249.121 Net stable funding ratio

requirement.

Subpart M—Net stable funding ratio for

certain Board-regulated institutions

§ 249.120 Applicability.

(a) Scope. This subpart applies to:

(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) Applicable provisions. Except as

otherwise provided in this subpart, the

provisions of subparts A, K, L, and N of

this part apply to Board-regulated

institutions that are subject to this

subpart.

(c) Applicability.

(1) A Board-regulated institution that

meets the threshold for applicability of

this subpart under paragraphs (a)(1) or

(2) of this section after the effective date

must comply with the requirements of

this subpart beginning on the first day

of the second calendar quarter after

which it meets the thresholds set forth

in paragraph (a) of this section.

(2) A Board-regulated institution that

meets the threshold for applicability of

this subpart under paragraph (a)(3) of

this section after the effective date must

comply with the requirements of this

subpart beginning one year after the

date it meets the threshold set forth in

paragraph (a) of this section.

§ 249.121 Net stable funding ratio

requirement.

(a) Calculation of the net stable

funding ratio. A Board-regulated

institution subject to this subpart must

calculate and maintain a net stable

funding ratio in accordance with

§ 249.100 and this subpart.

(b) Available stable funding amount.

A Board-regulated institution subject to

this subpart must calculate its ASF

amount in accordance with subpart K of

this part.

(c) Required stable funding amount. A

Board-regulated institution subject to

this subpart must calculate its RSF

amount in accordance with subpart K of

this part, provided, however, that the

RSF amount of a Board-regulated

institution subject to this subpart equals

[70 to 85] percent of the RSF amount

calculated in accordance with subpart K

of this part.

1

Federal Deposit Insurance Corporation

12 CFR CHAPTER III

For the reasons set out in the joint

preamble, the FDIC proposes to amend

12 CFR chapter III as follows.

PART 324—CAPITAL ADEQUACY OF

FDIC-SUPERVISED INSTITUTIONS

■25. The authority citation for part 324

continues to read as follows:

Authority: 12 U.S.C. 1815(a), 1815(b),

1816, 1818(a), 1818(b), 1818(c), 1818(t),

1819(Tenth), 1828(c), 1828(d), 1828(i),

1828(n), 1828(o), 1831o, 1835, 3907, 3909,

4808; 5371; 5412; Pub. L. 102–233, 105 Stat.

1761, 1789, 1790 (12 U.S.C. 1831n note); Pub.

L. 102–242, 105 Stat. 2236, 2355, as amended

by Pub. L. 103–325, 108 Stat. 2160, 2233 (12

U.S.C. 1828 note); Pub. L. 102–242, 105 Stat.

2236, 2386, as amended by Pub. L. 102–550,

106 Stat. 3672, 4089 (12 U.S.C. 1828 note);

Pub. L. 111–203, 124 Stat. 1376, 1887 (15

U.S.C. 78o–7 note).

■26. In § 324.2, add the definitions of

Category II FDIC-supervised institution

and Category III FDIC-supervised

institution, FR Y–9LP, and FR Y–15 in

alphabetical order to read as follows:

§ 324.2 Definitions.

* * * * *

Category II FDIC-supervised

institution means:

(1) An FDIC-supervised institution

that is a subsidiary of a depository

institution holding company that is

identified as a Category II banking

organization pursuant to 12 CFR 252.5

or 12 CFR 238.10, as applicable; or

(2) An FDIC-supervised institution

that:

(i)(A) Has total consolidated assets,

calculated based on the average of the

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:

(1) 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, of $100 billion or more

but less than $700 billion. If the FDIC-

supervised institution has not filed the

Call Report for each of the four most

recent quarters, total consolidated assets

means the average of its total

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consolidated assets, as reported on the

Call Report, for the most recent quarter

or quarters, as applicable; and

(2) Cross-jurisdictional activity,

calculated based on the average of its

cross jurisdictional activity for the four

most recent calendar quarters, of $75

billion or more. Cross-jurisdictional

activity is the sum of cross-

jurisdictional claims and cross-

jurisdictional liabilities, calculated in

accordance with the instructions to the

FR Y–15 or equivalent reporting form;

(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:

(1) Less than $700 billion in total

consolidated assets, as reported on the

Call Report, for each of the four most

recent calendar quarters; and

(2) Less than $75 billion in cross-

jurisdictional activity for each of the

four most recent calendar quarters.

Cross-jurisdictional activity is the sum

of cross-jurisdictional claims and cross-

jurisdictional liabilities, calculated in

accordance with the instructions to the

FR Y–15 or equivalent reporting form;

(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.

Category III FDIC-supervised

institution means:

(1) An FDIC-supervised institution

that is a subsidiary of a depository

institution holding company that is

identified as a Category III banking

organization pursuant to 12 CFR 252.5

or 12 CFR 238.10, as applicable; or

(2) An FDIC-supervised institution

that:

(i)(A) Has total consolidated assets,

calculated based on the average of the

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:

(1) 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, of $100 billion or more

but less than $250 billion. 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; and

(2) At least one of the following, each

calculated as the average of the four

most recent calendar quarters, or if the

FDIC-supervised institution has not

filed each applicable reporting form for

each of the four most recent calendar

quarters, for the most recent quarter or

quarters, as applicable:

(i) Total nonbank assets, calculated in

accordance with the instructions to the

FR Y–9LP or equivalent reporting form,

equal to $75 billion or more;

(ii) Off-balance sheet exposure equal

to $75 billion or more. Off-balance sheet

exposure is an FDIC-supervised

institution’s total exposure, calculated

in accordance with the instructions to

the FR Y–15 or equivalent reporting

form, minus the total consolidated

assets of the FDIC-supervised

institution, as reported on the Call

Report; or

(iii) Weighted short-term wholesale

funding, calculated in accordance with

the instructions to the FR Y–15 or

equivalent reporting form, equal to $75

billion or more.

(ii) After meeting the criteria in

paragraph (2)(i) of this section, an FDIC-

supervised institution continues to be a

Category III FDIC-supervised institution

until the FDIC-supervised institution:

(A) Has:

(1) Less than $250 billion in total

consolidated assets, as reported on the

Call Report, for each of the four most

recent calendar quarters;

(2) Less than $75 billion in total

nonbank assets, calculated in

accordance with the instructions to the

FR Y–9LP or equivalent reporting form,

for each of the four most recent calendar

quarters;

(3) Less than $75 billion in weighted

short-term wholesale funding,

calculated in accordance with the

instructions to the FR Y–15 or

equivalent reporting form, for each of

the four most recent calendar quarters;

and

(4) Less than $75 billion in off-balance

sheet exposure for each of the four most

recent calendar quarters. Off-balance

sheet exposure is a FDIC-supervised

institution’s total exposure, calculated

in accordance with the instructions to

the FR Y–15 or equivalent reporting

form, minus the total consolidated

assets of the FDIC-supervised

institution, as reported on the Call

Report; or

(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.

* * * * *

FR Y–15 means the Banking

Organization Systemic Risk Report.

FR Y–9LP means the Parent Company

Only Financial Statements for Large

Holding Companies.

* * * * *

■27. In § 324.10, revise paragraphs

(a)(5), (c), and (c)(4)(i) introductory text

to read as follows:

§ 324.10 Minimum capital requirements.

(a) * * *

(5) For advanced approaches FDIC-

supervised institutions or, for Category

III FDIC-supervised institutions, a

supplementary leverage ratio of 3

percent.

* * * * *

(c) Advanced approaches capital ratio

calculations. An advanced approaches

FDIC-supervised institution that has

completed the parallel run process and

received notification from the FDIC

pursuant to § 324.121(d) must determine

its regulatory capital ratios as described

in paragraphs (c)(1) through (3) of this

section. An advanced approaches FDIC-

supervised institution must determine

its supplementary leverage ratio in

accordance with paragraph (c)(4) of this

section, beginning with the calendar

quarter immediately following the

quarter in which the FDIC-supervised

institution meets any of the criteria in

§ 324.100(b)(1). A Category III FDIC-

supervised institution must determine

its supplementary leverage ratio in

accordance with paragraph (c)(4) of this

section, beginning with the calendar

quarter immediately following the

quarter in which the FDIC-supervised

institution is identified as a Category III

FDIC-supervised institution.

* * * * *

(4) Supplementary leverage ratio. (i)

An advanced approaches FDIC-

supervised institution’s or a Category III

FDIC-supervised institution’s

supplementary leverage ratio is the ratio

of its tier 1 capital to total leverage

exposure, the latter which is calculated

as the sum of:

* * * * *

■28. In § 324.11, revise paragraphs

(b)(1) and (b)(1)(ii) as follows:

§ 324.11 Capital conservation buffer and

countercyclical capital buffer amount.

* * * * *

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(b) Countercyclical capital buffer

amount—(1) General. An advanced

approaches FDIC-supervised institution

or a Category III FDIC-supervised

institution must calculate a

countercyclical capital buffer amount in

accordance with the following

paragraphs for purposes of determining

its maximum payout ratio under Table

1 to § 324.11.

* * * * *

(ii) Amount. An advanced approaches

FDIC-supervised institution or a

Category III FDIC-supervised institution

has a countercyclical capital buffer

amount determined by calculating the

weighted average of the countercyclical

capital buffer amounts established for

the national jurisdictions where the

FDIC-supervised institution’s private

sector credit exposures are located, as

specified in paragraphs (b)(2) and (3) of

this section.

* * * * *

■29. In § 324.100, paragraph (b)(1) is

revised to read as follows:

§ 324.100 Purpose, applicability, and

principle of conservatism.

* * * * *

(b) Applicability. (1) This subpart

applies to an FDIC-supervised

institution that:

(i) Is a subsidiary of a global

systemically important BHC pursuant to

12 CFR 217.402;

(ii) Is a Category II FDIC-supervised

institution;

(iii) Is a subsidiary of a depository

institution that uses 12 CFR part 3,

subpart E (OCC), 12 CFR part 217,

subpart E (Board), or 12 CFR part 324,

subpart E (FDIC) to calculate its risk-

based capital requirements;

(iv) Is a subsidiary of a bank holding

company or savings and loan holding

company that uses 12 CFR part 217,

subpart E, to calculate its risk-based

capital requirements; or

(v) Elects to use this subpart to

calculate its total risk-weighted assets.

* * * * *

PART 329—LIQUIDITY RISK

MEASUREMENT STANDARDS

■30. The authority citation for part 329

continues to read as follows:

Authority: 12 U.S.C. 1815, 1816, 1818,

1819, 1828, 1831p–1, 5412.

■31. In § 329.1, paragraphs (b)(1) and

(2) are revised to read as follows:

§ 329.1 Purpose and applicability.

* * * * *

(b) Applicability of Minimum

Liquidity Standards. (1) An FDIC-

supervised institution is subject to the

minimum liquidity standard and other

requirements of this part if:

(i) It is a GSIB FDIC-supervised

institution, Category II FDIC-supervised

institution or a Category III FDIC-

supervised institution;

(ii) It is an 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):

(1) Consolidated Financial Statements

for Holding Companies reporting form

(FR Y–9C), or, if the covered

intermediate holding company is not

required to report on the FR Y–9C, its

estimated total consolidated assets as of

the most recent year end, calculated in

accordance with the instructions to the

FR Y–9C; or

(2) Call Report; or

(B) Has total consolidated on-balance

sheet foreign exposure at the most

recent year-end equal to $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.

* * * * *

■32. In § 329.3, add the definitions of

Average weighted short-term wholesale

funding, Call Report, Category II Board-

regulated institution, Category III Board-

regulated institution, Covered

intermediate holding company, FR Y–

9LP, FR Y–15, Global systemically

important BHC, and GSIB FDIC-

supervised institution in alphabetical

order to read as follows:

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§ 329.3 Definitions.

* * * * *

Average weighted short-term

wholesale funding has the same

meaning as in 12 CFR 252.2.

* * * * *

Call Report means the Consolidated

Reports of Condition and Income.

Category II FDIC-supervised

institution means:

(1) An FDIC-supervised institution

that is a consolidated subsidiary of a

company that is identified as a Category

II banking organization pursuant to 12

CFR 252.5 or 12 CFR 238.10 and has

total consolidated assets, calculated

based on the average of the 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:

(1) 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, of $100 billion or more

but less than $700 billion. 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; and

(2) Cross-jurisdictional activity,

calculated based on the average of its

cross-jurisdictional activity for the four

most recent calendar quarters, of $75

billion or more. Cross-jurisdictional

activity is the sum of cross-

jurisdictional claims and cross-

jurisdictional liabilities, calculated in

accordance with the instructions to the

FR Y–15 or equivalent reporting form;

(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)(1) Less than $700 billion in total

consolidated assets, as reported on the

Call Report, for each of the four most

recent calendar quarters; and

(2) Less than $75 billion in cross-

jurisdictional activity for each of the

four most recent calendar quarters.

Cross-jurisdictional activity is the sum

of cross-jurisdictional claims and cross-

jurisdictional liabilities, calculated in

accordance with the instructions to the

FR Y–15 or equivalent reporting form;

(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.

Category III FDIC-supervised

institution means:

(1) An FDIC-supervised institution

that is a consolidated subsidiary of a

company that is identified as a Category

III banking organization pursuant to 12

CFR 252.5 or 12 CFR 238.10, as

applicable and has total consolidated

assets, calculated based on the average

of the 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:

(1) Total consolidated assets,

calculated based on the average of the

FDIC-supervised institution’s total

consolidated assets in the four most

recent calendar quarters as reported

quarterly on the most recent Call Report,

of at least $100 billion but less than

$250 billion. 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; and

(2) One or more of the following, each

measured as the average of the four most

recent quarters, or if the FDIC-

supervised institution has not filed each

applicable reporting form for each of the

four most recent calendar quarters, for

the most recent quarter or quarters, as

applicable:

(i) Total nonbank assets, calculated in

accordance with instructions to the FR

Y–9LP or equivalent reporting form,

equal to $75 billion or more;

(ii) Off-balance sheet exposure,

calculated in accordance with the

instructions to the FR Y–15 or

equivalent reporting form, minus the

total consolidated assets of the FDIC-

supervised institution, as reported on

the Call Report, equal to $75 billion or

more; or

(iii) Weighted short-term wholesale

funding, calculated in accordance with

the instructions to the FR Y–15 or

equivalent reporting form, equal to $75

billion or more;

(ii) After meeting the criteria in

paragraph (2)(i) of this section, an FDIC-

supervised institution continues to be a

Category III FDIC-supervised institution

until the FDIC-supervised institution

has:

(A)(1) Less than $250 billion in total

consolidated assets, as reported on the

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Call Report, for each of the four most

recent calendar quarters;

(2) Less than $75 billion in total

nonbank assets, calculated in

accordance with the instructions to the

FR Y–9LP or equivalent reporting form,

for each of the four most recent calendar

quarters;

(3) Less than $75 billion in weighted

short-term wholesale funding,

calculated in accordance with the

instructions to the FR Y–15 or

equivalent reporting form, for each of

the four most recent calendar quarters;

and

(4) Less than $75 billion in off-balance

sheet exposure for each of the four most

recent calendar quarters. Off-balance

sheet exposure is an FDIC-supervised

institution’s total exposure, calculated

in accordance with the instructions to

the FR Y–15 or equivalent reporting

form, minus the total consolidated

assets of the FDIC-supervised

institution, as reported on the Call

Report; or

(B) Less than $100 billion in total

consolidated assets, as reported on the

Call Report, for each of the four most

recent calendar quarters;

(C) Is a Category II FDIC-supervised

institution; or

(D) Is a GSIB FDIC-supervised

institution.

* * * * *

Covered intermediate holding

company means a U.S. intermediate

holding company that: (1) Was

established or designated by a foreign

banking organization pursuant to 12

CFR 252.153; and

(2) Is a bank holding company or

savings and loan holding company.

* * * * *

FR Y–15 means the Banking

Organization Systemic Risk Report.

FR Y–9LP means the Parent Company

Only Financial Statements for Large

Holding Companies.

* * * * *

Global systemically important BHC

means a bank holding company

identified as a global systemically

important BHC pursuant to 12 CFR

217.402.

GSIB FDIC-supervised institution

means an FDIC-supervised institution

that is a consolidated subsidiary of a

global systemically important BHC and

has total consolidated assets equal to

$10 billion or more, calculated based on

the average of the depository

institution’s total consolidated assets for

the four most recent calendar quarters as

reported on the Call Report. 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

calendar quarter or quarters, as

applicable. After meeting the criteria

under this definition, an FDIC-

supervised institution continues to be a

GSIB FDIC-supervised institution until

the depository 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 global systemically

important BHC.

* * * * *

■33. In § 329.30, paragraph (a) is

revised to read as follows:

§ 329.30 Total net cash outflow amount.

(a) Calculation of total net cash

outflow amount. As of the calculation

date, an FDIC-supervised institution’s

total net cash outflow amount equals the

FDIC-supervised institution’s outflow

adjustment percentage as determined

under paragraph (c) of this section

multiplied by:

(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.

* * * * *

■34. In § 329.30, paragraph (c) is added

to read as follows:

(c) Outflow adjustment percentage. A

FDIC-supervised institution’s outflow

adjustment percentage is determined

pursuant to Table 1 to § 329.30.

T

ABLE

1

TO

§ 329.30—O

UTFLOW

A

DJUSTMENT

P

ERCENTAGES

Outflow adjustment

percentage

GSIB FDIC-supervised institution ............................................................................................................................................ 100

Category II FDIC-supervised institution ................................................................................................................................... 100

Category III FDIC-supervised institution that: ......................................................................................................................... 100

(1) Is a consolidated subsidiary of a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10

with $75 billion or more in average weighted short-term wholesale funding; or

(2) Has $75 billion or more in average weighted short-term wholesale funding and is not consolidated under a hold-

ing company

Category III FDIC-supervised institution that: ......................................................................................................................... [70 to 85]

(1) Is a consolidated subsidiary of a Category III banking organization pursuant to 12 CFR 252.5 or 12 CFR 238.10

with less than $75 billion in average weighted short-term wholesale funding; or

(2) Has less than $75 billion in average weighted short-term wholesale funding and is not consolidated under a

holding company

FDIC-supervised institution that is described in § 329.1(b)(1)(ii) ............................................................................................ 100

* * * * *

[Re-Proposal of Net Stable Funding

Ratio’s Applicability]

PART 329—LIQUIDITY RISK

MEASUREMENT STANDARDS

■35. In § 329.1, add paragraph (c) to

read as follows:

§ 329.1 Purpose and applicability.

* * * * *

(c) Applicability of the minimum

stable funding standard. (1) An FDIC-

supervised institution is subject to the

minimum stable funding standard and

other requirements of subparts K

through M if:

(i) It is a GSIB FDIC-supervised

institution, Category II FDIC-supervised

institution, Category III FDIC-supervised

institution that is the consolidated

subsidiary of a Category III banking

organization pursuant to 12 CFR 252.5

or 12 CFR 238.10 with $75 billion or

Published date	21 December 2018
Record Number	2018-27177
Court	Federal Deposit Insurance Corporation,The Comptroller Of The Currency Office

Proposed Changes to Applicability Thresholds for Regulatory Capital and Liquidity Requirements

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