80 FR 75010 - Liquidity Coverage Ratio: Public Disclosure Requirements; Extension of Compliance Period for Certain Companies To Meet the Liquidity Coverage Ratio Requirements

FEDERAL RESERVE SYSTEM

Federal Register Volume 80, Issue 230 (December 1, 2015)

Page Range		75010-75018
FR Document		2015-30095

The Board invites public comment on a proposed rule that would implement public disclosure requirements regarding the liquidity coverage ratio (LCR) of large, internationally active banking organizations and certain smaller, less complex banking organizations. The proposed rule would apply to all depository institution holding companies and covered nonbank companies that are required to calculate the LCR (covered companies). A covered company would be required to publicly disclose on a quarterly basis quantitative information about its LCR calculation, as well as a discussion of certain features of its LCR results. The proposed rule also would amend the LCR Rule to provide a full year for certain companies to come into compliance.

Federal Register, Volume 80 Issue 230 (Tuesday, December 1, 2015)

[Federal Register Volume 80, Number 230 (Tuesday, December 1, 2015)]
[Proposed Rules]
[Pages 75010-75018]
From the Federal Register Online [www.thefederalregister.org]
[FR Doc No: 2015-30095]

=======================================================================
-----------------------------------------------------------------------

FEDERAL RESERVE SYSTEM

12 CFR Part 249

[Regulation WW; Docket No. 1525]
RIN 7100 AE-39

Liquidity Coverage Ratio: Public Disclosure Requirements;
Extension of Compliance Period for Certain Companies To Meet the
Liquidity Coverage Ratio Requirements

AGENCY: Board of Governors of the Federal Reserve System (Board).

ACTION: Notice of proposed rulemaking with request for public comment.

-----------------------------------------------------------------------

SUMMARY: The Board invites public comment on a proposed rule that would
implement public disclosure requirements regarding the liquidity
coverage ratio (LCR) of large, internationally active banking
organizations and certain smaller, less complex banking organizations.
The proposed rule would apply to all depository institution holding
companies and covered nonbank companies that are required to calculate
the LCR (covered companies). A covered company would be required to
publicly disclose on a quarterly basis quantitative information about
its LCR calculation, as well as a discussion of certain features of its
LCR results. The proposed rule also would amend the LCR Rule to provide
a full year for certain companies to come into compliance.

DATES: Comments on this notice of proposed rulemaking must be received
by February 2, 2016.

ADDRESSES: When submitting comments, please consider submitting your
comments by email or fax because paper mail in the Washington, DC area
and at the Board may be subject to delay. You may submit comments,
identified by Docket No. R-1525, RIN 7100 AE 39, by any of the
following methods:
Agency Web site: http://www.federalreserve.gov. Follow the
instructions for submitting comments at http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm.
Federal eRulemaking Portal: http://www.regulations.gov.
Follow the instructions for submitting comments.
Email: regs.comments@federalreserve.gov. Include docket
number in the subject line of the message.
Fax: (202) 452-3819 or (202) 452-3102.
Mail: Robert de V. Frierson, Secretary, Board of Governors
of the Federal Reserve System, 20th Street and Constitution Avenue NW.,
Washington, DC 20551.
All public comments are available from the Board's Web site at
http://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm as
submitted, unless modified for technical reasons. Accordingly, your
comments will not be edited to remove any identifying or contact
information. Public comments may also be viewed electronically or in
paper form in Room 3515, 1801 K Street NW. (between 18th and 19th
Street NW.), Washington, DC 20006 between 9:00 a.m. and 5:00 p.m. on
weekdays.

FOR FURTHER INFORMATION CONTACT: Gwendolyn Collins, Assistant Director,
(202) 912-4311, Peter Clifford, Manager, (202) 785-6057, Adam S. Trost,
Senior Supervisory Financial Analyst, (202) 452-3814, J. Kevin Littler,
Senior Supervisory Financial Analyst, (202) 475-6677, SoRelle Peat,
Financial Analyst, (202) 452-2543, Risk Policy, Division of Banking
Supervision and Regulation; Dafina Stewart, Counsel, (202) 452-3876, or
Adam Cohen, Counsel, (202) 912-4658, 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.

SUPPLEMENTARY INFORMATION:

Table of Contents

I. Overview of Proposed Rule
A. LCR Rule
B. Proposed LCR Disclosure Requirements
II. Quantitative Disclosure Requirements
A. Disclosure of Eligible HQLA
B. Disclosure of Cash Outflows
C. Disclosure of Cash Inflows
D. Disclosure of HQLA Amount, Total Net Cash Outflow Amount,
Maturity Mismatch Add-on, and Liquidity Coverage Ratio
III. Qualitative Disclosure Requirements
IV. Frequency of Disclosure
V. Transition and Timing
VI. Amendment to the Modified LCR
VII. Plain Language
VIII. Regulatory Flexibility Act
IX. Paperwork Reduction Act

I. Overview of Proposed Rule

A. LCR Rule

On September 3, 2014, the Board of Governors of the Federal Reserve
System (Board), the Office of the Comptroller of the Currency, and the
Federal Deposit Insurance Corporation (collectively, the agencies)
adopted a final rule (LCR Rule) to implement a quantitative liquidity
requirement, the liquidity coverage ratio \1\ (LCR), for certain
companies. The LCR is designed to promote the short-term resilience of
the liquidity risk profile of large and internationally active banking
organizations, thereby improving the financial sector's ability to
absorb shocks arising from financial and economic stress, and to
further improve the measurement and management of liquidity risk. The
LCR Rule requires a company subject to the rule to maintain an amount
of high-quality liquid assets (HQLA) (the numerator of the ratio) \2\
that is no less than 100 percent of its total net cash outflows over a

[[Page 75011]]

prospective 30 calendar-day period of stress (the denominator of the
ratio).\3\
---------------------------------------------------------------------------

\1\ 79 FR 61440 (October 10, 2014). The LCR is consistent with
the liquidity coverage ratio standard established by the Basel
Committee on Banking Supervision (Basel III Liquidity Framework).
See Basel Committee on Banking Supervision, ``Basel III: The
Liquidity Coverage Ratio and liquidity risk monitoring tools''
(January 2013), available at http://www.bis.org/publ/bcbs238.htm.
\2\ A company's HQLA amount is calculated according to 12 CFR
249.21.
\3\ A company's total net cash outflows is calculated according
to 12 CFR 249.30 or 249.63.
---------------------------------------------------------------------------

The LCR Rule applies to large and internationally active banking
organizations, generally, (1) bank holding companies, certain savings
and loan holding companies, and depository institutions that, in each
case, have $250 billion or more in total consolidated assets or $10
billion or more in on-balance sheet foreign exposure; (2) depository
institutions with $10 billion or more in total consolidated assets that
are consolidated subsidiaries of such bank holding companies and
savings and loan holding companies; and (3) nonbank financial companies
designated by the Financial Stability Oversight Council for Board
supervision to which the Board has applied the LCR Rule by rule or
order. The LCR Rule also applies, via a final rule adopted by the Board
(modified LCR Rule) that implemented a modified LCR requirement
(modified LCR), to bank holding companies and certain savings and loan
holding companies that, in each case, have $50 billion or more in total
consolidated assets but that do not meet the threshold for large and
internationally active firms (modified LCR holding companies).
Community banking organizations are not subject to the LCR Rule.

B. Proposed LCR Disclosure Requirements

One of the key lessons of the recent financial crisis was that
market participants did not have adequate access to information about
the liquidity risk profiles of large banking organizations. In the
Supplementary Information to the LCR Rule, the agencies indicated their
plans to seek comment on ``instructions pertaining to a covered
company's disclosure of the final rule's LCR.'' \4\ Such public
disclosures would facilitate transparency and help to promote market
discipline by providing investors and other stakeholders with
comparable information about the liquidity risk profiles of those
companies.
---------------------------------------------------------------------------

\4\ 79 FR 61440, 61445 (October 10, 2014).
---------------------------------------------------------------------------

The proposed rule would apply to the following companies subject to
the LCR Rule: (1) All bank holding companies and certain savings and
loan holding companies that, in each case, have $250 billion or more in
total consolidated assets or $10 billion or more in on-balance sheet
foreign exposure; (2) nonbank financial companies designated by the
Financial Stability Oversight Council for Board supervision to which
the Board has applied the LCR Rule by rule or order (covered nonbank
company); \5\ and (3) modified LCR holding companies (collectively,
covered companies). The proposed rule would not apply to depository
institutions.
---------------------------------------------------------------------------

\5\ At this time, General Electric Capital Corporation is the
only nonbank financial company designated by the Financial Stability
Oversight Council for Board supervision to which the Board has
applied the LCR Rule. See 80 FR 4411 (July 24, 2015).
---------------------------------------------------------------------------

The proposed rule would require a covered company to publicly
disclose information about certain components of its LCR calculation in
a standardized tabular format (LCR disclosure template) and discuss
certain features of its LCR results.\6\ Under the proposed rule, a
covered company would be required to provide timely public disclosures,
including the LCR disclosure template, each calendar quarter in a
direct and prominent manner on its public internet site or in a public
financial or other public regulatory report. Such disclosures would
need to remain available to the public for at least five years from the
time of initial disclosure.\7\
---------------------------------------------------------------------------

\6\ The Basel Committee on Banking Supervision (BCBS) published
liquidity coverage ratio disclosure standards in January 2014 and
revised the standards in March 2014 (BCBS disclosure standards).
Basel Committee on Banking Supervision, ``Liquidity coverage ratio
disclosure standards'' (March 2014), available at http://www.bis.org/publ/bcbs272.htm. The BCBS disclosure standards include
a common disclosure template (BCBS common template) intended to
improve the transparency of regulatory liquidity requirements,
enhance market discipline, and reduce uncertainty in the markets.
This proposed rule would implement public disclosure requirements
that are consistent with the BCBS disclosure standards and the BCBS
common template with some modifications to require more granularity
and to reflect ways in which the LCR Rule differs from the BCBS
standard. The differences between the proposed rule and the BCBS
disclosure standards relate primarily to the enhancements
implemented in the LCR Rule. The disclosure requirements contained
in the proposed rule generally will ensure comparability of
components of the liquidity coverage ratio calculations on an
international basis.
\7\ Although the proposed rule would apply only to covered
companies, in the future the Board, along with the other agencies,
may develop a different or modified reporting form that would be
required for both covered companies and depository institutions
subject to the LCR Rule. The Board anticipates that it would solicit
public comment on any such new reporting form.
---------------------------------------------------------------------------

Each of the proposed disclosure requirements is designed to
highlight important aspects of a covered company's liquidity position.
Public disclosure of information about covered company LCR calculations
would help market participants and other parties consistently assess
the liquidity risk profile of covered companies. In designing the
proposed disclosure requirements, the Board has considered the burden
of the proposed disclosures relative to the public interest served by
requiring their disclosure. All the required quantitative disclosures
reflect data that covered companies are already required to compute
under the LCR Rule. Moreover, the disclosure requirements for a
discussion of certain features of covered companies' LCR results
largely reflect information that covered companies already should have
prepared to meet the liquidity risk management standards and practices
required by the agencies through other applicable liquidity regulations
and described in guidance. The Board invites comment on all aspects of
the proposed rule, including what changes, if any, could improve the
clarity and utility of the disclosure.

II. Quantitative Disclosure Requirements

As noted above, under the proposed rule, a covered company would be
required to publicly disclose certain components of its LCR calculation
in a standardized tabular format. The proposed standardized tabular
format will help market participants compare the LCRs of covered
companies across the U.S. banking industry and international
jurisdictions.
The proposed LCR disclosure template is similar to a common
disclosure template developed by the BCBS; however as discussed in more
detail in sections II.A through II.D of this Supplementary Information,
the proposed rule reflects differences between the LCR Rule and the
Basel III Liquidity Framework.
The proposed rule includes a number of requirements designed to
help ensure the comparability of data across companies. Under the
proposed rule, a covered company would be required to calculate all
disclosed amounts as simple averages of the components used to
calculate its daily LCR over a quarterly reporting period, except that
modified LCR holding companies would be required to calculate all
disclosed amounts as simple averages of the components used to
calculate their monthly modified LCR. In addition, a covered company
would be required to calculate all disclosed amounts on a consolidated
basis; express the results in millions of U.S. dollars or as a
percentage, as applicable; and clearly indicate the date range covered
by the disclosure by indicating the beginning and end-date of the
reporting period on the LCR disclosure template. The proposed rule
would require a covered company to disclose both average unweighted
amounts and average

[[Page 75012]]

weighted amounts for the covered company's HQLA, cash outflow amounts,
and cash inflow amounts. The proposed rule includes cross-references to
the applicable sections of the LCR Rule and to each numbered row of the
proposed LCR disclosure template.
1. What, if any, unintended consequences might result from a covered
company publicly disclosing its LCR and the components used to
calculate its LCR, specifically in terms of liquidity risk?

A. Disclosure of Eligible HQLA

The proposed rule, like the BCBS common template, would require a
covered company to disclose its average eligible HQLA.\8\ In addition,
the proposed rule would require disclosure of the average amounts of a
covered company's eligible HQLA that qualify as eligible level 1, level
2A, and level 2B liquid assets to assist market participants and other
parties to assess the quality and composition of a covered company's
HQLA amount.\9\
---------------------------------------------------------------------------

\8\ Eligible HQLA are high-quality liquid assets that meet the
requirements set forth in 12 CFR 249.22.
\9\ See 12 CFR 249.20 and 249.22.
---------------------------------------------------------------------------

The proposed rule would require the disclosure of both average
unweighted amounts and average weighted amounts of eligible HQLA and
each of its component levels of assets (i.e., level 1, level 2A, and
level 2B liquid assets). The average unweighted amounts would be
calculated prior to applying the haircuts required under 12 CFR
249.21(b) to the asset amounts. The average weighted amounts would be
calculated after applying the haircuts required under 12 CFR 249.21(b)
to the asset amounts.

B. Disclosure of Cash Outflows

The proposed rule would require a covered company to disclose its
cash outflows, including both the average unweighted amounts and
average weighted amounts. This information is important to understand
the ongoing funding risks facing a firm, and in particular, potential
sources of strain during a 30 calendar-day period of market volatility.
The average unweighted amounts of cash outflows would be calculated
prior to applying the outflow rates specified in 12 CFR 249.32. The
average weighted amounts of cash outflows would be calculated after the
application of the outflow rates specified in 12 CFR 249.32.
The proposed disclosure requirements for cash outflows are
consistent with the BCBS common template, with a few modifications.
First, the proposed rule adjusts some of the cash outflow category
titles from those in the BCBS common template for consistency with the
terminology used in the LCR Rule. For example, the proposed rule would
have an outflow title that includes ``unconsolidated structured
transactions'' and ``mortgage commitments'' because those items are
separate outflow provisions in the LCR Rule.
Second, in the Supplementary Information section of the LCR Rule,
the agencies explained that certain types of retail brokered deposits
could result in greater liquidity risks and, as a result, the LCR Rule
provides outflow rates tailored to these types of retail brokered
deposits in 12 CFR 249.32(g).\10\ Given the LCR Rule's treatment of
retail brokered deposits, the proposed rule would require the
unweighted and weighted average amounts of cash outflows from retail
brokered deposits to be disclosed separately from other retail
deposits.
---------------------------------------------------------------------------

\10\ See 79 FR 61440, 61490-61494.
---------------------------------------------------------------------------

Third, the proposed rule would require disclosure of both the
average unweighted and average weighted amounts of secured wholesale
funding (e.g., repurchase agreements) and asset exchange outflows as
specified in 12 CFR 249.32(j). Although the BCBS common template
includes only disclosure of the weighted amount of secured wholesale
funding, disclosure of the average unweighted value will allow market
participants and other parties to better understand the composition of
assets supporting these types of transactions.

C. Disclosure of Cash Inflows

The proposed rule would require a covered company to disclose its
cash inflows, including both average unweighted amounts and average
weighted amounts. As with information regarding cash outflows,
information regarding cash inflows is important to understand the
ongoing funding risks facing a firm. Similar to the requirements for
cash outflows, the average unweighted amounts of cash inflows would be
calculated prior to applying the inflow rates specified in 12 CFR
249.33. The average weighted amounts of cash inflows would be
calculated after the application of the inflow rates specified in 12
CFR 249.33.
The proposed disclosure requirements for cash inflows are similar
to the BCBS common template, with a few modifications. As with
outflows, the proposed rule adjusts some of the cash inflow category
titles from those used in the BCBS common template to make the
terminology consistent with the LCR Rule and to disaggregate certain
categories. For instance, the proposed rule would require ``net
derivative cash inflow,'' ``securities cash inflow,'' ``broker-dealer
segregated account inflow,'' and ``other cash inflow'' amounts each to
be disclosed separately. In contrast, these inflow amounts are
aggregated in the BCBS common template.

D. Disclosure of HQLA Amount, Total Net Cash Outflow Amount, Maturity
Mismatch Add-on, and Liquidity Coverage Ratio

The proposed rule would require a covered company to disclose its
average HQLA amount, average total net cash outflow amount, and the
average LCR as measured over the quarterly reporting period. A covered
company's HQLA amount and total net cash outflow amount are the
numerator and the denominator of the LCR, respectively, and thus, are
important to help market participants and other parties understand the
liquidity risk profile of a covered company and compare profiles across
companies.
A covered company is required to calculate its HQLA amount pursuant
to 12 CFR 249.21. The HQLA amount is equal to the covered company's
eligible HQLA, minus the appropriate amount to comply with the caps on
the inclusion of certain assets as specified in the LCR Rule.
A covered company is required to calculate its total net cash
outflow amount pursuant to 12 CFR 249.30. In order to determine a
covered company's total net cash outflow amount, the LCR Rule requires
covered companies, except modified LCR holding companies, to calculate
a maturity mismatch add-on under 12 CFR 249.30(b) to address liquidity
risks posed by maturity mismatches between a covered company's outflows
and inflows during the 30 calendar-day period.\11\ To show the effect
of the maturity mismatch add-on calculation on the total net cash
outflow amount, the proposed rule would require separate disclosure of
this calculation.

[[Page 75013]]

Because a modified LCR holding company is not required to calculate a
maturity mismatch add-on, these companies are not subject to the
requirement to disclose the maturity mismatch add-on calculation.
---------------------------------------------------------------------------

\11\ In order to calculate the maturity mismatch add-on, a
covered company first must identify the largest single-day maturity
mismatch within the 30 calendar-day LCR period by calculating the
daily difference in cumulative outflows and inflows that have set
maturity dates, as specified by 12 CFR 249.31, within the 30
calendar-day period. The day with the largest difference reflects
the net cumulative peak day. The covered company then must calculate
the difference between that peak day amount and the net cumulative
outflow amount on the last day of the 30 calendar-day period for
those same outflow and inflow categories that have maturity dates
within the 30 calendar-day period. This difference equals the
maturity mismatch add-on.
---------------------------------------------------------------------------

Pursuant to Sec. 249.63 of the modified LCR Rule (12 CFR 249.63) a
modified LCR holding company is required to calculate its total net
cash outflow by multiplying its net cash outflow by a factor of 0.7.
Consistent with this calculation of the modified LCR, the proposed rule
would require a modified LCR holding company to disclose its average
cash outflows and inflows before applying the factor of 0.7, but to
disclose its average total net cash outflow after applying the factor
of 0.7.
Under the proposed rule, the average values disclosed for HQLA
amount, total net cash outflow amount, and the LCR (rows 29, 32, and
33) may not equal the calculation of those values using component
values reported in rows 1 through 28. This lack of equivalence is due
to technical factors such as the application of the level 2 liquid
asset caps, the total inflow cap, and for modified LCR holding
companies, the application of the 0.7 factor to total net cash
outflows. The application of the asset and inflow caps and modified LCR
0.7 factor may affect a covered company's LCR calculation in varying
degrees across the calculation dates used to determine the average
values that would be disclosed in rows 29, 32, and 33, and thus, would
affect the averages for the HQLA amount, total net cash outflow amount,
and the LCR. The proposed LCR disclosure template includes a footnote
that would highlight this difference.

III. Qualitative Disclosure Requirements

The proposed rule would require a covered company to provide a
discussion of certain features of its LCR results, which is consistent
with the BCBS disclosure standards. The discussion of a covered
company's LCR results will facilitate an understanding by market
participants and other parties of the covered company's LCR and certain
components used to calculate its LCR. A covered company's discussion of
its LCR results may include, but does not have to be limited to, the
following items: (1) The main drivers of the LCR results; (2) changes
in the LCR results over time; (3) the composition of eligible HQLA; (4)
concentration of funding sources; (5) derivative exposures and
potential collateral calls; (6) currency mismatch in the LCR; (7) the
covered company's centralized liquidity management function and its
interaction with other functional areas of the covered company; and (8)
other inflows and outflows in the LCR that are not specifically
identified by the required quantitative disclosures, but that the
covered company considers to be relevant to facilitate an understanding
of its liquidity risk profile. The proposed rule also would require
that a covered company provide a brief discussion of any significant
changes that occur such that current or previous quantitative
disclosures are no longer reflective of a covered company's current
liquidity risk profile.

IV. Frequency of Disclosure

The proposed rule would require a covered company to provide timely
public disclosures after each calendar quarter. Disclosure on a
quarterly basis is appropriate to meet the objectives of the public
disclosure requirements by providing information that will help market
participants and other parties assess the liquidity risk profiles of
covered companies over the previous quarter while not destabilizing
covered companies, which could occur with more frequent public
disclosure such as daily disclosure. The Board acknowledges that the
timing of disclosures under the federal banking laws may not always
coincide with the timing of disclosures required under other federal
law, including disclosures required under the federal securities laws
and their implementing regulations by the Securities and Exchange
Commission (SEC). For calendar quarters that do not correspond to a
covered company's fiscal year-end, the Board would consider those
disclosures that are made within 45 days of the end of the calendar
quarter (or within 60 days for the limited purpose of the covered
company's first reporting period in which it is subject to the proposed
rule's disclosure requirements) as timely. In general, where a covered
company's fiscal year-end coincides with the end of a calendar quarter,
the Board considers disclosures to be timely if they are made no later
than the applicable SEC disclosure deadline for the corresponding Form
10-K annual report. In cases where a covered company's fiscal year-end
does not coincide with the end of a calendar quarter, the Board would
consider the timeliness of disclosures on a case-by-case basis.
This approach to timely disclosures is consistent with the approach
to public disclosures that the Board has taken in the context of other
regulatory reporting and disclosure requirements. For example, the
Board has used the same indicia of timeliness with respect to the
public disclosures required under its regulatory capital rules.\12\
---------------------------------------------------------------------------

\12\ See 78 FR 62018, 62129 (October 11, 2013).
---------------------------------------------------------------------------

2. Under what circumstances, if any, should the Board require more
frequent or less frequent disclosures of a covered company's LCR and
certain components used to calculate its LCR? What negative effects may
result should the Board require a covered company to disclose
qualitative or quantitative information about its LCR or certain
components used to calculate its LCR with 30 days prior written notice?

V. Transition and Timing

For covered companies that currently are subject to the LCR Rule,
the proposed effective dates for the proposed public disclosure
requirements would differ based on the size, complexity, and potential
systemic impact of those companies. The proposed rule would require
covered companies that have $700 billion or more in total consolidated
assets or $10 trillion or more in assets under custody and that are
subject to the transition period in 12 CFR 249.50(a) to comply with the
proposed public disclosure requirements beginning on July 1, 2016.
Other covered companies (that are subject to the transition period in
12 CFR 249.50(b)) would be required to comply with the proposed public
disclosure requirements on July 1, 2017. These proposed compliance
dates would provide covered companies that are currently subject to the
LCR Rule one year from the date that the covered companies are required
to calculate their LCR on a daily basis to comply with the proposed
public disclosure requirements. In addition, for modified LCR holding
companies, the proposed rule would require the covered companies to
comply with the public disclosure requirements on January 1, 2018. This
proposed compliance date would provide modified LCR holding companies
that are currently subject to the modified LCR Rule one year from the
date that the modified LCR holding companies are required to calculate
and maintain, on a monthly basis, an LCR equal to or greater than 1.0,
to comply with the proposed public disclosure requirements.
For a covered company that becomes subject to the LCR Rule pursuant
to 12 CFR 249.1(b)(2)(ii) after the effective date of the rule, the
covered company would be required to make its first disclosures for the
reporting period that starts on the date the company is required to
begin to comply with the LCR Rule, which would be three months

[[Page 75014]]

after the date that the covered company becomes subject to the LCR Rule
under 12 CFR 249.1(b)(1). During the time such company is required to
calculate the LCR monthly pursuant to 12 CFR 249.1(b)(2)(ii),\13\ the
company would be required to calculate all disclosed amounts as simple
averages of the components used to calculate its monthly LCR over a
quarterly reporting period. For a modified LCR holding company that
becomes subject to the modified LCR Rule pursuant to 12 CFR
249.60(c)(2) \14\ after the effective date of the modified LCR Rule,
the proposed rule would require the company to comply with the public
disclosure requirements 18 months after the date it becomes subject to
the modified LCR Rule. For example, if a modified holding company
becomes subject to the modified LCR Rule beginning in December 2016,
the proposed rule would require that company to comply with public
disclosure requirements beginning July 1, 2018.
---------------------------------------------------------------------------

\13\ Under 12 CFR 249.1(b)(2)(ii), a covered company that
becomes subject to the LCR Rule after the rule's effective date must
calculate the LCR on a monthly basis from April 1 to December 31 of
the year in which the covered company becomes subject to the LCR
Rule, and thereafter the covered company must calculate the LCR on a
daily basis.
\14\ As discussed in section VI below, the proposed rule
provides that modified LCR holding companies that become subject to
the modified LCR Rule after the rule's effective date will have a
full year to comply with the rule.
---------------------------------------------------------------------------

VI. Amendment to the Modified LCR

For a modified LCR holding company that becomes subject to the
modified LCR Rule after the rule's effective date, subpart G of the
rule currently applies on the first day of the first quarter after
which the company's total consolidated assets equal $50 billion or
more. This compliance date may not provide sufficient time for these
companies to build the systems required to calculate the modified LCR.
In light of this operational challenge, the Board proposes to amend the
modified LCR Rule to provide these companies with a full year to come
into compliance with the rule.
3. What, if any, particular operational challenges remain given the
proposed one-year extension to the compliance date for modified LCR
holding companies that become newly subject to the modified LCR Rule?

VII. Plain Language

Section 722 of the Gramm-Leach Bliley Act \15\ requires the Board
to use plain language in all proposed and final rules published after
January 1, 2000. The Board invites your comments on how to make this
proposal easier to understand. For example:
---------------------------------------------------------------------------

\15\ Public Law 106-102, 113 Stat. 1338, 1471, 12 U.S.C. 4809.
---------------------------------------------------------------------------

Has the Board organized the material to suit your needs?
If not, how could this material be better organized?
Are the requirements in the proposed rule clearly stated?
If not, how could the proposed rule be more clearly stated?
Does the proposed rule contain 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 proposed rule easier to
understand? If so, what changes to the format would make the proposed
rule easier to understand?
What else could the Board do to make the regulation easier
to understand?

VIII. Regulatory Flexibility Act

The Regulatory Flexibility Act \16\ (RFA), requires an agency to
either provide an initial regulatory flexibility analysis with a
proposed rule for which a general notice of proposed rulemaking is
required or to certify that the proposed rule will not have a
significant economic impact on a substantial number of small entities
(defined for purposes of the RFA to include banks with assets less than
or equal to $550 million). In accordance with section 3(a) of the RFA,
the Board is publishing an initial regulatory flexibility analysis with
respect to the proposed rule. Based on its analysis and for the reasons
stated below, the Board believes that this proposed rule will not have
a significant economic impact on a substantial number of small
entities. Nevertheless, the Board is publishing an initial regulatory
flexibility analysis. A final regulatory flexibility analysis will be
conducted after comments received during the public comment period have
been considered.
---------------------------------------------------------------------------

\16\ 5 U.S.C. 601 et seq.
---------------------------------------------------------------------------

As discussed above, the proposed rule would establish a public
disclosure requirement for the LCR applicable to all top-tier
depository institution holding companies and nonbank financial
companies required to calculate the LCR. The proposed rule would
require a covered company to publicly disclose on a quarterly basis
quantitative information about certain components of its LCR
calculation in a standardized tabular format and a discussion of
certain features of its LCR results.
Under regulations issued by the Small Business Administration, a
``small entity'' includes a depository institution, bank holding
company, or savings and loan holding company with total assets of $550
million or less (a small banking organization). As of June 30, 2015,
there were approximately 628 small state member banks, 3,676 small bank
holding companies, and 257 small savings and loan holding companies.
The proposed rule would not apply to ``small entities'' and would
apply only to (1) bank holding companies and certain savings and loan
holding companies that, in each case, have $250 billion or more in
total consolidated assets or $10 billion or more in on-balance sheet
foreign exposure and (2) nonbank financial companies designated by the
Financial Stability Oversight Council for Board supervision to which
the Board has applied the LCR Rule by rule or order. The proposed rule
also would apply to bank holding companies and certain savings and loan
holding companies with $50 billion or more in total consolidated
assets, which are subject to the modified LCR Rule. Companies that are
subject to the proposed rule therefore substantially exceed the $550
million asset threshold at which a banking entity is considered a
``small entity'' under SBA regulations.
As noted above, because the proposed rule is not likely to apply to
any company with assets of $550 million or less, if adopted in final
form, it is not expected to apply to any small entity for purposes of
the RFA. The Board is aware of no other Federal rules that duplicate,
overlap, or conflict with 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 supervised and therefore believes that there are no
significant alternatives to the proposed rule that would reduce the
economic impact on small banking organizations supervised by the Board.
The Board welcomes comment on all aspects of its analysis. A final
regulatory flexibility analysis will be conducted after consideration
of comments received during the public comment period.

IX. 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 Board may not conduct or sponsor, and
the respondent is not required to respond to, an information collection
unless it displays a currently valid

[[Page 75015]]

Office of Management and Budget (OMB) control number. The Board's OMB
control number is 7100-0367 and will be extended, with revision. The
Board reviewed the proposed rule under the authority delegated to the
Board by OMB. The proposed rule contains requirements subject to the
PRA. The disclosure requirements are found in Sec. Sec. 249.66,
249.90, and 249.91.
Comments are invited on:
(a) Whether the collections of information are necessary for the
proper performance of the Board's functions, including whether the
information has practical utility;
(b) The accuracy of the estimates 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 start-up costs and costs of operation,
maintenance, and purchase of services to provide information.
All comments will become a matter of public record. Commenters may
submit comments on aspects of this notice that may affect burden
estimates at the addresses listed in the ADDRESSES section. A copy of
the comments may also be submitted to the OMB desk officer by mail to
U.S. Office of Management and Budget, 725 17th Street NW., Room 10235,
Washington, DC 20503; by facsimile to 202-395-6974; or by email to
oira_submission@omb.eop.gov. Attention, Federal Banking Agency Desk
Officer.
Proposed Information Collection
Title of Information Collection: Reporting, Recordkeeping, and
Disclosure Requirements Associated with the Liquidity Risk Measurement
Standards (Regulation WW).
Frequency of Response: Event generated, quarterly.
Affected Public: Insured state member banks, bank holding
companies, savings and loan holding companies, and nonbank financial
companies supervised by the Board, and any subsidiary thereof.
Abstract: The proposed rule would require a depository institution
holding company and nonbank financial company subject to the LCR
(covered company) to publicly disclose information about certain
components of its LCR calculation in a standardized tabular format and
include a discussion of certain features its LCR results. Public
disclosure of information about covered company LCR calculations would
help market participants and other parties consistently assess the
liquidity risk profile of covered companies. Under the proposed rule, a
covered company would be required to provide timely public disclosures
each calendar quarter. A covered company would be required to include
the completed disclosure template on its public internet site or in a
public financial or other public regulatory report and make its
disclosures available to the public for at least five years from the
time of the initial disclosure.
A covered company must publicly disclose the information required
under subpart J beginning on July 1, 2016, if the covered company is
subject to the transition period under Sec. 249.50(a) or July 1, 2017,
if the covered company is subject to the transition period under Sec.
249.50(b). For modified LCR holding companies, the proposed rule would
require them to comply with the public disclosure requirements
beginning on January 1, 2018.
Under the proposed rule, quantitative disclosures will convey
information about a covered company's high-quality liquid assets and
short-term cash flows, thereby providing insight into a covered
company's liquidity risk profile. Consistent with the BCBS common
template, the proposed rule would require a covered company to disclose
both average unweighted amounts and average weighted amounts for the
covered company's HQLA, cash outflow amounts, and cash inflow amounts.
A covered company would also be required to calculate all disclosed
amounts as simple averages of the components used to calculate its
daily LCR over a quarterly reporting period, except that modified LCR
holding companies would be required to calculate all disclosed amounts
as simple averages of the components used to calculate their monthly
modified LCR. A covered company would be required to calculate all
disclosed amounts on a consolidated basis and express the results in
millions of U.S. dollars or as a percentage, as applicable.
In addition, the proposed rule would require a covered company to
provide a discussion of certain features of its LCR results. A covered
company's qualitative discussion may include, but does not have to be
limited to, the following items: (1) The main drivers of the LCR
results; (2) changes in the LCR results over time; (3) the composition
of eligible HQLA; (4) concentration of funding sources; (5) derivative
exposures and potential collateral calls; (6) currency mismatch in the
LCR; (7) the covered company's centralized liquidity management
function and its interaction with other functional areas of the covered
company; and (8) other inflows and outflows in the LCR that are not
specifically identified by the required quantitative disclosures, but
that the covered company considers to be relevant to facilitate an
understanding of its liquidity risk profile. The proposed rule also
would require that a covered company provide a brief discussion of any
significant changes that occur such that current or previous
quantitative disclosures are no longer reflective of a covered
company's current liquidity risk profile.

Estimated Paperwork Burden

Estimated Burden per Response: Reporting--0.25 hours;
recordkeeping--10 hours and 100 hours; disclosure--24 hours.
Frequency: Reporting--monthly, quarterly, and annual;
recordkeeping--annual; disclosure--quarterly.
Estimated Number of Respondents: 42.
Current Total Estimated Annual Burden: Reporting--13 hours;
recordkeeping--1,140 hours.
Proposed Total Estimated Annual Burden: Reporting--13 hours;
recordkeeping--1,140 hours; disclosure--4,032 hours.

List of Subjects in 12 CFR Part 249

Administrative practice and procedure; Banks, banking; Federal
Reserve System; Holding companies; Liquidity; Reporting and
recordkeeping requirements.

Authority and Issuance

For the reasons stated in the preamble, the Board proposes to amend
part 249 of chapter II of title 12 of the Code of Federal Regulations
as follows:

PART 249--LIQUIDITY RISK MEASUREMENT STANDARDS (REGULATION WW)

0
1. 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.

0
2. Amend Sec. 249.60 by revising paragraph (c)(2) to read as follows:

Sec. 249.60 Applicability.

* * * * *
(c) * * *
(2) A Board-regulated institution that first meets the threshold
for applicability of this subpart under

[[Page 75016]]

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).
* * * * *
0
3. Add Sec. 249.64 to subpart G to read as follows:

Sec. 249.64 Disclosures.

(a) Effective January 1, 2018, a covered depository institution
holding company subject to this subpart must publicly disclose the
information required under subpart J of this part each calendar
quarter, except as provided in paragraph (b) of this section.
(b) Effective 18 months after a covered depository institution
holding company first becomes subject to this subpart pursuant to Sec.
249.60(c)(2), the covered depository institution holding company must
provide the disclosures required under subpart J of this part each
calendar quarter.

Subparts H and I [Reserved]

0
4. Add reserved subparts H and I.
0
5. Add subpart J, consisting of Sec. Sec. 249.90 and 249.91, to read
as follows:

Subpart J--Disclosures

Sec.
249.90 Timing, method and retention of disclosures.
249.91 Disclosure requirements.

Sec. 249.90 Timing, method and retention of disclosures.

(a) Applicability. A covered depository institution holding company
or covered nonbank company that is subject to the minimum liquidity
standards and other requirements of this part under Sec. 249.1, must
publicly disclose all the information required under this subpart.
(b) Timing of disclosure. (1) A covered depository institution
holding company or covered nonbank company subject to this subpart must
provide timely public disclosures each calendar quarter of all the
information required under this subpart.
(2) A covered depository institution holding company or covered
nonbank company subject to this subpart must provide the disclosures
required by this subpart for the reporting period beginning on:
(i) July 1, 2016, and thereafter if the covered depository
institution holding company is subject to the transition period under
Sec. 249.50(a); or
(ii) July 1, 2017, and thereafter if the covered depository
institution holding company or covered nonbank holding company is
subject to the transition period under Sec. 249.50(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 Sec. 249.1(b)(2)(ii), must
provide the disclosures required by this subpart for the first
reporting period beginning no later than the date they are first
required comply with the requirements of this part pursuant to Sec.
249.1(b)(2)(ii).
(c) Disclosure method. A covered depository institution holding
company or covered nonbank company subject to this subpart must
publicly disclose, in a direct and prominent manner, the information
required under this subpart on its public internet site or in its
public financial or other public regulatory reports.
(d) Availability. The disclosures provided under this subpart must
remain publicly available for at least five years after the initial
disclosure date.

Sec. 249.91 Disclosure requirements.

(a) General. A covered depository institution holding company or
covered nonbank company subject to this subpart must publicly disclose
the information required by paragraph (b) of this section in the format
provided in the following table.

Table 1 to Sec. 249.91(a)--Disclosure Template
------------------------------------------------------------------------
Average Average
XX/XX/XXXX to YY/YY/YYYY In millions of unweighted weighted
U.S. Dollars amount amount
------------------------------------------------------------------------
HIGH-QUALITY LIQUID ASSETS
------------------------------------------------------------------------
1. Total eligible high-quality liquid
assets (HQLA), of which:
2. Eligible level 1 liquid assets.......
3. Eligible level 2A liquid assets......
4. Eligible level 2B liquid assets......
------------------------------------------------------------------------
CASH OUTFLOW AMOUNTS
------------------------------------------------------------------------
5. Deposit outflow from retail customers
and counterparties, of which:
6. Stable retail deposit outflow........
7. Other retail funding.................
8. Brokered deposit outflow.............
9. Unsecured wholesale funding outflow,
of which:
10. Operational deposit outflow.........
11. Non-operational funding outflow.....
12. Unsecured debt outflow..............
13. Secured wholesale funding and asset
exchange outflow.......................
14. Additional outflow requirements, of
which:
15. Outflow related to derivative
exposures and other collateral
requirements...........................
16. Outflow related to credit and
liquidity facilities including
unconsolidated structured transactions
and mortgage commitments...............
17. Other contractual funding obligation
outflow................................
18. Other contingent funding obligations
outflow................................
19. TOTAL CASH OUTFLOW..................
------------------------------------------------------------------------
CASH INFLOW AMOUNTS
------------------------------------------------------------------------
20. Secured lending and asset exchange
cash inflow............................
21. Retail cash inflow..................
22. Unsecured wholesale cash inflow.....

[[Page 75017]]

23. Other cash inflows, of which:
24. Net derivative cash inflow..........
25. Securities cash inflow..............
26. Broker-dealer segregated account
inflow.................................
27. Other cash inflow...................
28. TOTAL CASH INFLOW...................
------------------------------------------------------------------------
Average amount \1\
------------------------------------------------------------------------
29. HQLA AMOUNT.........................
30. TOTAL NET CASH OUTFLOW AMOUNT
EXCLUDING THE MATURITY MISMATCH ADD-ON.
31. MATURITY MISMATCH ADD-ON............
32. TOTAL NET CASH OUTFLOW AMOUNT.......
33. LIQUIDITY COVERAGE RATIO (%)........
------------------------------------------------------------------------
\1\ The amounts reported in this column may not equal the calculation of
those amounts using component amounts reported in rows 1-28 due to
technical factors such as the application of the level 2 liquid asset
caps, the total inflow cap, and for depository institution holding
companies subject to subpart G of this part, the application of the
modification to total net cash outflows.

(b) Calculation of disclosed average amounts--(1) General. (i) A
covered depository institution holding company or covered nonbank
company subject to this subpart must calculate its disclosed average
amounts:
(A) On a consolidated basis and presented in millions of U.S.
dollars or as a percentage, as applicable; and
(B) With the exception of amounts disclosed pursuant to paragraphs
(c)(1), (5), (9), (14), (19), (23), and (28) of this section, as simple
averages of daily calculations over a quarterly reporting period;
(ii) A covered depository institution holding company that is
required to calculate its liquidity coverage ratio on a monthly basis
pursuant to Sec. 249.61, must calculate its disclosed average amounts
as provided in paragraph (b)(1)(i) of this section, except that those
amounts must be calculated as simple averages of monthly calculations
over a quarterly reporting period;
(iii) A covered depository institution holding company or covered
nonbank company subject to this subpart must disclose the beginning
date and end date for each quarterly reporting period.
(2) Calculation of average unweighted amounts. (i) A covered
depository institution holding company or covered nonbank company
subject to this subpart must calculate the average unweighted amount of
HQLA as the average amount of eligible HQLA that meet the requirements
specified in Sec. Sec. 249.20 and 249.22 and is calculated prior to
applying the haircuts required under Sec. 249.21(b) to the amounts of
eligible HQLA.
(ii) A covered depository institution holding company or covered
nonbank company subject to this subpart must calculate the average
unweighted amount of cash outflows and cash inflows before applying the
outflow and inflow rates specified in Sec. Sec. 249.32 and 249.33,
respectively.
(3) Calculation of average weighted amounts. (i) A covered
depository institution holding company or covered nonbank company
subject to this subpart must calculate the average weighted amount of
high-quality liquid assets after applying the haircuts required under
Sec. 249.21(b) to the amounts of eligible HQLA.
(ii) A covered depository institution holding company or covered
nonbank company subject to this subpart must calculate the average
weighted amount of cash outflows and cash inflows after applying the
outflow and inflow rates specified in Sec. Sec. 249.32 and 249.33,
respectively.
(c) Quantitative disclosures. A covered depository institution
holding company or covered nonbank company subject to this subpart must
disclose all the information required under Table 1 to Sec.
249.91(a)--Disclosure Template, including:
(1) The sum of the average unweighted amounts and average weighted
amounts reported under paragraphs (c)(2) through (4) of this section
(row 1);
(2) The average unweighted amount and average weighted amount of
level 1 liquid assets that are eligible HQLA under Sec. 249.21(b)(1)
(row 2);
(3) The average unweighted amount and average weighted amount of
level 2A liquid assets that are eligible HQLA under Sec. 249.21(b)(2)
(row 3);
(4) The average unweighted amount and average weighted amount of
level 2B liquid assets that are eligible HQLA under Sec. 249.21(b)(3)
(row 4);
(5) The sum of the average unweighted amounts and average weighted
amounts of cash outflows reported under paragraphs (c)(6) through (8)
of this section (row 5);
(6) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(a)(1) (row 6);
(7) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(a)(2) through (5) (row 7);
(8) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(g) (row 8);
(9) The sum of the average unweighted amounts and average weighted
amounts of cash outflows reported under paragraphs (c)(10) through (12)
of this section (row 9);
(10) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(h)(3) and (4) (row 10);
(11) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(h)(1), (2), and (5), excluding
paragraph (h)(2)(ii) (row 11);
(12) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(h)(2)(ii) (row 12);
(13) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(j) and (k) (row 13);
(14) The sum of the average unweighted amounts and average weighted
amounts of cash outflows reported under paragraphs (c)(15) and (16) of
this section (row 14);
(15) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(c) and (f) (row 15);

[[Page 75018]]

(16) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(b), (d), and (e) (row 16);
(17) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(l) (row 17);
(18) The average unweighted amount and average weighted amount of
cash outflows under Sec. 249.32(i) (row 18);
(19) The sum of average unweighted amounts and average weighted
amounts of cash outflows reported under paragraphs (c)(5), (9), (13),
(14), (17), and (18) of this section (row 19);
(20) The average unweighted amount and average weighted amount of
cash inflows under Sec. 249.33(f) (row 20);
(21) The average unweighted amount and average weighted amount of
cash inflows under Sec. 249.33(c) (row 21);
(22) The average unweighted amount and average weighted amount of
cash inflows under Sec. 249.33(d) (row 22);
(23) The sum of average unweighted amounts and average weighted
amounts of cash inflows reported under paragraphs (c)(24) through (27)
of this section (row 23);
(24) The average unweighted amount and average weighted amount of
cash inflows under Sec. 249.33(b) (row 24);
(25) The average unweighted amount and average weighted amount of
cash inflows under Sec. 249.33(e) (row 25);
(26) The average unweighted amount and average weighted amount of
cash inflows under Sec. 249.33(g) (row 26);
(27) The average unweighted amount and average weighted amount of
cash inflows under Sec. 249.33(h) (row 27);
(28) The sum of average unweighted amounts and average weighted
amounts of cash inflows reported under paragraphs (c)(20) through (23)
of this section (row 28);
(29) The average amount of the HQLA amounts as calculated under
Sec. 249.21(a) (row 29);
(30) The average amount of the total net cash outflow amounts
excluding the maturity mismatch add-on as calculated under Sec.
249.30(a)(1) and (2) (row 30);
(31) The average amount of the maturity mismatch add-ons as
calculated under Sec. 249.30(b) (row 31);
(32) The average amount of the total net cash outflow amounts as
calculated under Sec. 249.30 or Sec. 249.63, as applicable (row 32);
(33) The average of the liquidity coverage ratios as calculated
under Sec. 249.10(b) (row 33).
(d) Qualitative disclosures. (1) A covered depository institution
holding company or covered nonbank company subject to this subpart must
provide a qualitative discussion of its liquidity coverage ratio
results. The qualitative discussion may include, but does not have to
be limited to the following items to the extent they are significant to
the liquidity coverage ratio results of the covered depository
institution holding company or covered nonbank company, and facilitate
an understanding of the data provided:
(i) The main drivers of the liquidity coverage ratio results;
(ii) Changes in the liquidity coverage ratio results over time;
(iii) The composition of eligible HQLA;
(iv) Concentration of funding sources;
(v) Derivative exposures and potential collateral calls;
(vi) Currency mismatch in the liquidity coverage ratio;
(vii) The centralized liquidity management function of the covered
depository institution holding company or covered nonbank company and
its interaction with other functional areas of the covered depository
institution holding company or covered nonbank company; or
(viii) Other inflows, outflows, or other factors in the liquidity
coverage ratio calculation that are not captured in the disclosures
required by paragraph (b) of this section, but which the covered
depository institution holding company or covered nonbank company
considers to be relevant to facilitate an understanding of its
liquidity risk profile.
(2) If a significant change occurs such that the disclosed amounts
or previously disclosed amounts are no longer reflective of the current
liquidity profile of the covered depository institution holding company
or covered nonbank company, then the company must provide a brief
discussion of this change and its likely impact.

By order of the Board of Governors of the Federal Reserve
System, November 20, 2015.
Robert deV. Frierson,
Secretary of the Board.
[FR Doc. 2015-30095 Filed 11-30-15; 8:45 am]
BILLING CODE P

75014 Federal Register / Vol. 80, No. 230 / Tuesday, December 1, 2015 / Proposed Rules

after the date that the covered company The Board invites your comments on entity’’ includes a depository
becomes subject to the LCR Rule under how to make this proposal easier to institution, bank holding company, or
12 CFR 249.1(b)(1). During the time understand. For example: savings and loan holding company with
such company is required to calculate • Has the Board organized the total assets of $550 million or less (a
the LCR monthly pursuant to 12 CFR material to suit your needs? If not, how small banking organization). As of June
249.1(b)(2)(ii),13 the company would be could this material be better organized? 30, 2015, there were approximately 628
required to calculate all disclosed • Are the requirements in the small state member banks, 3,676 small
amounts as simple averages of the proposed rule clearly stated? If not, how bank holding companies, and 257 small
components used to calculate its could the proposed rule be more clearly savings and loan holding companies.
monthly LCR over a quarterly reporting stated? The proposed rule would not apply to
period. For a modified LCR holding • Does the proposed rule contain ‘‘small entities’’ and would apply only
company that becomes subject to the language or jargon that is not clear? If to (1) bank holding companies and
modified LCR Rule pursuant to 12 CFR so, which language requires certain savings and loan holding
249.60(c)(2) 14 after the effective date of clarification? companies that, in each case, have $250
the modified LCR Rule, the proposed • Would a different format (grouping billion or more in total consolidated
rule would require the company to and order of sections, use of headings, assets or $10 billion or more in on-
comply with the public disclosure paragraphing) make the proposed rule balance sheet foreign exposure and (2)
requirements 18 months after the date it easier to understand? If so, what nonbank financial companies
becomes subject to the modified LCR changes to the format would make the designated by the Financial Stability
Rule. For example, if a modified holding proposed rule easier to understand? Oversight Council for Board supervision
company becomes subject to the • What else could the Board do to to which the Board has applied the LCR
modified LCR Rule beginning in make the regulation easier to Rule by rule or order. The proposed rule
December 2016, the proposed rule understand? also would apply to bank holding
would require that company to comply VIII. Regulatory Flexibility Act companies and certain savings and loan
with public disclosure requirements holding companies with $50 billion or
beginning July 1, 2018. The Regulatory Flexibility Act 16 more in total consolidated assets, which
(RFA), requires an agency to either are subject to the modified LCR Rule.
VI. Amendment to the Modified LCR provide an initial regulatory flexibility Companies that are subject to the
For a modified LCR holding company analysis with a proposed rule for which proposed rule therefore substantially
that becomes subject to the modified a general notice of proposed rulemaking exceed the $550 million asset threshold
LCR Rule after the rule’s effective date, is required or to certify that the at which a banking entity is considered
subpart G of the rule currently applies proposed rule will not have a significant a ‘‘small entity’’ under SBA regulations.
on the first day of the first quarter after economic impact on a substantial As noted above, because the proposed
which the company’s total consolidated number of small entities (defined for rule is not likely to apply to any
assets equal $50 billion or more. This purposes of the RFA to include banks company with assets of $550 million or
compliance date may not provide with assets less than or equal to $550 less, if adopted in final form, it is not
sufficient time for these companies to million). In accordance with section 3(a) expected to apply to any small entity for
build the systems required to calculate of the RFA, the Board is publishing an purposes of the RFA. The Board is
the modified LCR. In light of this initial regulatory flexibility analysis aware of no other Federal rules that
operational challenge, the Board with respect to the proposed rule. Based duplicate, overlap, or conflict with the
proposes to amend the modified LCR on its analysis and for the reasons stated proposed rule. In light of the foregoing,
Rule to provide these companies with a below, the Board believes that this the Board does not believe that the
full year to come into compliance with proposed rule will not have a significant proposed rule, if adopted in final form,
the rule. economic impact on a substantial would have a significant economic
number of small entities. Nevertheless, impact on a substantial number of small
3. What, if any, particular operational
the Board is publishing an initial entities supervised and therefore
challenges remain given the proposed
regulatory flexibility analysis. A final believes that there are no significant
one-year extension to the compliance
date for modified LCR holding regulatory flexibility analysis will be alternatives to the proposed rule that
companies that become newly subject to conducted after comments received would reduce the economic impact on
the modified LCR Rule? during the public comment period have small banking organizations supervised
been considered. by the Board.
VII. Plain Language As discussed above, the proposed rule The Board welcomes comment on all
Section 722 of the Gramm-Leach would establish a public disclosure aspects of its analysis. A final regulatory
Bliley Act 15 requires the Board to use requirement for the LCR applicable to flexibility analysis will be conducted
plain language in all proposed and final all top-tier depository institution after consideration of comments
rules published after January 1, 2000. holding companies and nonbank received during the public comment
financial companies required to period.
13 Under 12 CFR 249.1(b)(2)(ii), a covered calculate the LCR. The proposed rule
IX. Paperwork Reduction Act
company that becomes subject to the LCR Rule after would require a covered company to
the rule’s effective date must calculate the LCR on publicly disclose on a quarterly basis Certain provisions of the proposed
a monthly basis from April 1 to December 31 of the quantitative information about certain rule contain ‘‘collection of information’’
year in which the covered company becomes
tkelley on DSK3SPTVN1PROD with PROPOSALS

subject to the LCR Rule, and thereafter the covered components of its LCR calculation in a requirements within the meaning of the
company must calculate the LCR on a daily basis. standardized tabular format and a Paperwork Reduction Act (PRA) of 1995
14 As discussed in section VI below, the proposed discussion of certain features of its LCR (44 U.S.C. 3501–3521). In accordance
rule provides that modified LCR holding companies results. with the requirements of the PRA, the
that become subject to the modified LCR Rule after Board may not conduct or sponsor, and
the rule’s effective date will have a full year to
Under regulations issued by the Small
comply with the rule. Business Administration, a ‘‘small the respondent is not required to
15 Public Law 106–102, 113 Stat. 1338, 1471, 12 respond to, an information collection
U.S.C. 4809. 16 5 U.S.C. 601 et seq. unless it displays a currently valid

VerDate Sep<11>2014 19:04 Nov 30, 2015 Jkt 238001 PO 00000 Frm 00006 Fmt 4702 Sfmt 4702 E:\FR\FM\01DEP1.SGM 01DEP1

Federal Register / Vol. 80, No. 230 / Tuesday, December 1, 2015 / Proposed Rules 75017

TABLE 1 TO § 249.91(A)—DISCLOSURE TEMPLATE—Continued
Average Average
XX/XX/XXXX to YY/YY/YYYY unweighted weighted
In millions of U.S. Dollars amount amount

23. Other cash inflows, of which:
24. Net derivative cash inflow.
25. Securities cash inflow.
26. Broker-dealer segregated account inflow.
27. Other cash inflow.
28. TOTAL CASH INFLOW.

Average amount 1

29. HQLA AMOUNT.
30. TOTAL NET CASH OUTFLOW AMOUNT EXCLUDING THE MATURITY MISMATCH ADD-ON.
31. MATURITY MISMATCH ADD-ON.
32. TOTAL NET CASH OUTFLOW AMOUNT.
33. LIQUIDITY COVERAGE RATIO (%).
1 The amounts reported in this column may not equal the calculation of those amounts using component amounts reported in rows 1–28 due to
technical factors such as the application of the level 2 liquid asset caps, the total inflow cap, and for depository institution holding companies
subject to subpart G of this part, the application of the modification to total net cash outflows.

(b) Calculation of disclosed average amount of cash outflows and cash (5) The sum of the average
amounts—(1) General. (i) A covered inflows before applying the outflow and unweighted amounts and average
depository institution holding company inflow rates specified in §§ 249.32 and weighted amounts of cash outflows
or covered nonbank company subject to 249.33, respectively. reported under paragraphs (c)(6)
this subpart must calculate its disclosed (3) Calculation of average weighted through (8) of this section (row 5);
average amounts: amounts. (i) A covered depository (6) The average unweighted amount
(A) On a consolidated basis and institution holding company or covered and average weighted amount of cash
presented in millions of U.S. dollars or nonbank company subject to this outflows under § 249.32(a)(1) (row 6);
as a percentage, as applicable; and subpart must calculate the average (7) The average unweighted amount
(B) With the exception of amounts weighted amount of high-quality liquid and average weighted amount of cash
disclosed pursuant to paragraphs (c)(1), assets after applying the haircuts outflows under § 249.32(a)(2) through
(5), (9), (14), (19), (23), and (28) of this required under § 249.21(b) to the (5) (row 7);
section, as simple averages of daily amounts of eligible HQLA. (8) The average unweighted amount
calculations over a quarterly reporting (ii) A covered depository institution and average weighted amount of cash
period; holding company or covered nonbank outflows under § 249.32(g) (row 8);
(ii) A covered depository institution company subject to this subpart must (9) The sum of the average
holding company that is required to calculate the average weighted amount unweighted amounts and average
calculate its liquidity coverage ratio on of cash outflows and cash inflows after weighted amounts of cash outflows
a monthly basis pursuant to § 249.61, applying the outflow and inflow rates reported under paragraphs (c)(10)
must calculate its disclosed average specified in §§ 249.32 and 249.33, through (12) of this section (row 9);
amounts as provided in paragraph respectively. (10) The average unweighted amount
(b)(1)(i) of this section, except that those and average weighted amount of cash
(c) Quantitative disclosures. A
amounts must be calculated as simple outflows under § 249.32(h)(3) and (4)
covered depository institution holding
averages of monthly calculations over a (row 10);
company or covered nonbank company (11) The average unweighted amount
quarterly reporting period;
(iii) A covered depository institution subject to this subpart must disclose all and average weighted amount of cash
holding company or covered nonbank the information required under Table 1 outflows under § 249.32(h)(1), (2), and
company subject to this subpart must to § 249.91(a)—Disclosure Template, (5), excluding paragraph (h)(2)(ii) (row
disclose the beginning date and end including: 11);
date for each quarterly reporting period. (1) The sum of the average (12) The average unweighted amount
(2) Calculation of average unweighted unweighted amounts and average and average weighted amount of cash
amounts. (i) A covered depository weighted amounts reported under outflows under § 249.32(h)(2)(ii) (row
institution holding company or covered paragraphs (c)(2) through (4) of this 12);
nonbank company subject to this section (row 1); (13) The average unweighted amount
subpart must calculate the average (2) The average unweighted amount and average weighted amount of cash
unweighted amount of HQLA as the and average weighted amount of level 1 outflows under § 249.32(j) and (k) (row
average amount of eligible HQLA that liquid assets that are eligible HQLA 13);
meet the requirements specified in under § 249.21(b)(1) (row 2); (14) The sum of the average
(3) The average unweighted amount
tkelley on DSK3SPTVN1PROD with PROPOSALS

§§ 249.20 and 249.22 and is calculated unweighted amounts and average
prior to applying the haircuts required and average weighted amount of level weighted amounts of cash outflows
under § 249.21(b) to the amounts of 2A liquid assets that are eligible HQLA reported under paragraphs (c)(15) and
eligible HQLA. under § 249.21(b)(2) (row 3); (16) of this section (row 14);
(ii) A covered depository institution (4) The average unweighted amount (15) The average unweighted amount
holding company or covered nonbank and average weighted amount of level and average weighted amount of cash
company subject to this subpart must 2B liquid assets that are eligible HQLA outflows under § 249.32(c) and (f) (row
calculate the average unweighted under § 249.21(b)(3) (row 4); 15);

VerDate Sep<11>2014 19:04 Nov 30, 2015 Jkt 238001 PO 00000 Frm 00009 Fmt 4702 Sfmt 4702 E:\FR\FM\01DEP1.SGM 01DEP1

Document Created: 2018-03-02 09:10:09
Document Modified: 2018-03-02 09:10:09

Category		Regulatory Information
Collection		Federal Register
sudoc Class		AE 2.7: GS 4.107: AE 2.106:
Publisher		Office of the Federal Register, National Archives and Records Administration
Section		Proposed Rules
Action		Notice of proposed rulemaking with request for public comment.
Dates		Comments on this notice of proposed rulemaking must be received by February 2, 2016.
Contact		Gwendolyn Collins, Assistant Director, (202) 912-4311, Peter Clifford, Manager, (202) 785-6057, Adam S. Trost, Senior Supervisory Financial Analyst, (202) 452-3814, J. Kevin Littler, Senior Supervisory Financial Analyst, (202) 475-6677, SoRelle Peat, Financial Analyst, (202) 452-2543, Risk Policy, Division of Banking Supervision and Regulation; Dafina Stewart, Counsel, (202) 452-3876, or Adam Cohen, Counsel, (202) 912-4658, 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.
FR Citation		80 FR 75010
RIN Number		7100 AE39
CFR Associated		Administrative Practice and Procedure; Banks and Banking; Federal Reserve System; Holding Companies; Liquidity; Reporting and Recordkeeping Requirements