Liquidity Coverage Ratio: Public Disclosure Requirements; Extension of Compliance Period for Certain Companies To Meet the Liquidity Coverage Ratio Requirements, 75010-75018 [2015-30095]

Download as PDF 75010 Federal Register / Vol. 80, No. 230 / Tuesday, December 1, 2015 / Proposed Rules measurements of reactor water level and density at all times, irrespective of power level.’’ The petitioner asserts that amending the NRC’s regulations to require ex-vessel instrumentation would be ‘‘[c]onsistent with a more anticipatory defense-in-depth strategy’’ and would enhance strategies to mitigate beyond-design-basis accidents. In addition, the petitioner suggests that requiring ex-vessel instrumentation would ‘‘reduce potential financial risk and public apprehension’’ and that exvessel monitoring could ‘‘supply routine operational nuclear-process information that might enhance fuel-consumption efficiency.’’ Finally, the petitioner notes that ex-vessel instrumentation could be ‘‘designed to be functional and capable of providing data on fuel relocation’’ after a reactor shutdown and could ‘‘monitor post-accident reactor fuel reconcentration over a period of many years.’’ VI. Conclusion The NRC has determined that the petition meets the threshold sufficiency requirements for docketing a petition for rulemaking under 10 CFR 2.802, ‘‘Petition for rulemaking,’’ and the petition has been docketed as PRM–50– 113. The NRC will examine the issues raised in PRM–50–113 to determine whether they should be considered in the rulemaking process. Dated at Rockville, Maryland, this 23rd day of November, 2015. For the Nuclear Regulatory Commission. Annette L. Vietti-Cook, Secretary of the Commission. [FR Doc. 2015–30355 Filed 11–30–15; 8:45 am] BILLING CODE 7590–01–P 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 Board of Governors of the Federal Reserve System (Board). ACTION: Notice of proposed rulemaking with request for public comment. tkelley on DSK3SPTVN1PROD with PROPOSALS AGENCY: 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 SUMMARY: VerDate Sep<11>2014 19:04 Nov 30, 2015 Jkt 238001 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 PO 00000 Frm 00002 Fmt 4702 Sfmt 4702 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 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. E:\FR\FM\01DEP1.SGM 01DEP1 Federal Register / Vol. 80, No. 230 / Tuesday, December 1, 2015 / Proposed Rules tkelley on DSK3SPTVN1PROD with PROPOSALS prospective 30 calendar-day period of stress (the denominator of the ratio).3 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 onbalance 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. 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 onbalance sheet foreign exposure; (2) nonbank financial companies designated by the Financial Stability Oversight Council for Board supervision 3 A company’s total net cash outflows is calculated according to 12 CFR 249.30 or 249.63. 4 79 FR 61440, 61445 (October 10, 2014). VerDate Sep<11>2014 19:04 Nov 30, 2015 Jkt 238001 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. 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 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 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). 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. PO 00000 Frm 00003 Fmt 4702 Sfmt 4702 75011 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 E:\FR\FM\01DEP1.SGM 01DEP1 75012 Federal Register / Vol. 80, No. 230 / Tuesday, December 1, 2015 / Proposed Rules 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? tkelley on DSK3SPTVN1PROD with PROPOSALS 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 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 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. VerDate Sep<11>2014 19:04 Nov 30, 2015 Jkt 238001 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. 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 10 See PO 00000 79 FR 61440, 61490–61494. Frm 00004 Fmt 4702 Sfmt 4702 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. 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 addon. E:\FR\FM\01DEP1.SGM 01DEP1 Federal Register / Vol. 80, No. 230 / Tuesday, December 1, 2015 / Proposed Rules tkelley on DSK3SPTVN1PROD with PROPOSALS 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. Pursuant to § 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 VerDate Sep<11>2014 19:04 Nov 30, 2015 Jkt 238001 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 yearend 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-bycase 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 PO 00000 Frm 00005 Fmt 4702 Sfmt 4702 75013 public disclosures required under its regulatory capital rules.12 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 12 See E:\FR\FM\01DEP1.SGM 78 FR 62018, 62129 (October 11, 2013). 01DEP1 75014 Federal Register / Vol. 80, No. 230 / Tuesday, December 1, 2015 / Proposed Rules 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. 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? tkelley on DSK3SPTVN1PROD with PROPOSALS 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. 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. 15 Public Law 106–102, 113 Stat. 1338, 1471, 12 U.S.C. 4809. VerDate Sep<11>2014 19:04 Nov 30, 2015 Jkt 238001 The Board invites your comments on how to make this proposal easier to understand. For example: • 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. 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 16 5 PO 00000 U.S.C. 601 et seq. Frm 00006 Fmt 4702 Sfmt 4702 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 onbalance 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 E:\FR\FM\01DEP1.SGM 01DEP1 Federal Register / Vol. 80, No. 230 / Tuesday, December 1, 2015 / Proposed Rules tkelley on DSK3SPTVN1PROD with PROPOSALS 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 §§ 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 VerDate Sep<11>2014 19:04 Nov 30, 2015 Jkt 238001 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 § 249.50(a) or July 1, 2017, if the covered company is subject to the transition period under § 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 PO 00000 Frm 00007 Fmt 4702 Sfmt 4702 75015 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) 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. 2. Amend § 249.60 by revising paragraph (c)(2) to read as follows: ■ § 249.60 Applicability. * * * * * (c) * * * (2) A Board-regulated institution that first meets the threshold for applicability of this subpart under E:\FR\FM\01DEP1.SGM 01DEP1 75016 Federal Register / Vol. 80, No. 230 / Tuesday, December 1, 2015 / Proposed Rules 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). * * * * * ■ 3. Add § 249.64 to subpart G to read as follows: § 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 § 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] 4. Add reserved subparts H and I. 5. Add subpart J, consisting of §§ 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. § 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 § 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 § 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 § 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 § 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 § 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. § 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 § 249.91(A)—DISCLOSURE TEMPLATE Average unweighted amount XX/XX/XXXX to YY/YY/YYYY In millions of U.S. Dollars HIGH-QUALITY LIQUID ASSETS 1. 2. 3. 4. Total eligible high-quality liquid assets (HQLA), of which: Eligible level 1 liquid assets. Eligible level 2A liquid assets. Eligible level 2B liquid assets. tkelley on DSK3SPTVN1PROD with PROPOSALS 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. VerDate Sep<11>2014 19:04 Nov 30, 2015 Jkt 238001 PO 00000 Frm 00008 Fmt 4702 Sfmt 4702 E:\FR\FM\01DEP1.SGM 01DEP1 Average weighted amount Federal Register / Vol. 80, No. 230 / Tuesday, December 1, 2015 / Proposed Rules 75017 TABLE 1 TO § 249.91(A)—DISCLOSURE TEMPLATE—Continued Average unweighted amount XX/XX/XXXX to YY/YY/YYYY In millions of U.S. Dollars 23. 24. 25. 26. 27. 28. Average weighted amount Other cash inflows, of which: Net derivative cash inflow. Securities cash inflow. Broker-dealer segregated account inflow. Other cash inflow. TOTAL CASH INFLOW. Average amount 1 29. 30. 31. 32. 33. HQLA AMOUNT. TOTAL NET CASH OUTFLOW AMOUNT EXCLUDING THE MATURITY MISMATCH ADD-ON. MATURITY MISMATCH ADD-ON. TOTAL NET CASH OUTFLOW AMOUNT. LIQUIDITY COVERAGE RATIO (%). tkelley on DSK3SPTVN1PROD with PROPOSALS 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 § 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 §§ 249.20 and 249.22 and is calculated prior to applying the haircuts required under § 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 VerDate Sep<11>2014 19:04 Nov 30, 2015 Jkt 238001 amount of cash outflows and cash inflows before applying the outflow and inflow rates specified in §§ 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 § 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 §§ 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 § 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 § 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 § 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 § 249.21(b)(3) (row 4); PO 00000 Frm 00009 Fmt 4702 Sfmt 4702 (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 § 249.32(a)(1) (row 6); (7) The average unweighted amount and average weighted amount of cash outflows under § 249.32(a)(2) through (5) (row 7); (8) The average unweighted amount and average weighted amount of cash outflows under § 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 § 249.32(h)(3) and (4) (row 10); (11) The average unweighted amount and average weighted amount of cash outflows under § 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 § 249.32(h)(2)(ii) (row 12); (13) The average unweighted amount and average weighted amount of cash outflows under § 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 § 249.32(c) and (f) (row 15); E:\FR\FM\01DEP1.SGM 01DEP1 tkelley on DSK3SPTVN1PROD with PROPOSALS 75018 Federal Register / Vol. 80, No. 230 / Tuesday, December 1, 2015 / Proposed Rules (16) The average unweighted amount and average weighted amount of cash outflows under § 249.32(b), (d), and (e) (row 16); (17) The average unweighted amount and average weighted amount of cash outflows under § 249.32(l) (row 17); (18) The average unweighted amount and average weighted amount of cash outflows under § 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 § 249.33(f) (row 20); (21) The average unweighted amount and average weighted amount of cash inflows under § 249.33(c) (row 21); (22) The average unweighted amount and average weighted amount of cash inflows under § 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 § 249.33(b) (row 24); (25) The average unweighted amount and average weighted amount of cash inflows under § 249.33(e) (row 25); (26) The average unweighted amount and average weighted amount of cash inflows under § 249.33(g) (row 26); (27) The average unweighted amount and average weighted amount of cash inflows under § 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 § 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 § 249.30(a)(1) and (2) (row 30); (31) The average amount of the maturity mismatch add-ons as calculated under § 249.30(b) (row 31); (32) The average amount of the total net cash outflow amounts as calculated under § 249.30 or § 249.63, as applicable (row 32); (33) The average of the liquidity coverage ratios as calculated under § 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 VerDate Sep<11>2014 19:04 Nov 30, 2015 Jkt 238001 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 FEDERAL TRADE COMMISSION 16 CFR Part 433 RIN 3084–AB16 Rules and Regulations Under the Trade Regulation Rule Concerning Preservation of Consumers’ Claims and Defenses Federal Trade Commission. Request for public comments. AGENCY: ACTION: The Federal Trade Commission (‘‘Commission’’) requests public comment on the overall costs and benefits, and regulatory and economic impact, of its Rules and Regulations under the Trade Regulation Rule Concerning Preservation of Consumers’ Claims and Defenses, commonly known as the ‘‘Holder Rule,’’ as part of the agency’s regular review of all its regulations and guides. DATES: Written comments must be received on or before February 12, 2016. ADDRESSES: Interested parties may file a comment online or on paper, by following the instructions in the Request for Comment part of the SUPPLEMENTARY INFORMATION section below. Write ‘‘Holder Rule Review, FTC File No. P164800’’ on your comment. You may file your comment online at https://ftcpublic.commentworks.com/ ftc/holderrule by following the instructions on the Web-based form. If you prefer to file your comment on paper, mail it to the following address: Federal Trade Commission, Office of the Secretary, 600 Pennsylvania Avenue NW., Suite CC–5610 (Annex B), Washington, DC 20580, or deliver your comment to the following address: Federal Trade Commission, Office of the Secretary, Constitution Center, 400 7th Street SW., 5th Floor Suite 5610 (Annex B), Washington, DC 20024. FOR FURTHER INFORMATION CONTACT: Stephanie Rosenthal (202) 326–3332, Bureau of Consumer Protection, Federal Trade Commission, 600 Pennsylvania Ave. NW., Washington, DC 20580. SUPPLEMENTARY INFORMATION: I. Background On November 14, 1975, the Commission promulgated its Trade Regulation Rule concerning the Preservation of Consumers’ Claims and Defenses. The Holder Rule protects consumers who enter into credit contracts with a seller of goods or services by preserving their right to assert claims and defenses against any holder of the contract, even if the original seller subsequently assigns the contract to a third-party creditor or assignee. It requires sellers that arrange for or offer credit to finance consumers’ purchases to include the following Notice in their contracts: ANY HOLDER OF THIS CONSUMER CREDIT CONTRACT IS SUBJECT TO ALL CLAIMS AND DEFENSES WHICH THE DEBTOR COULD ASSERT AGAINST THE SELLER OF GOODS OR SERVICES OBTAINED . . . WITH THE PROCEEDS HEREOF. RECOVERY HEREUNDER BY THE DEBTOR SHALL NOT EXCEED AMOUNTS PAID BY THE DEBTOR HEREUNDER.1 SUMMARY: PO 00000 Frm 00010 Fmt 4702 Sfmt 4702 1 16 E:\FR\FM\01DEP1.SGM CFR 433.2. 01DEP1

Agencies

[Federal Register Volume 80, Number 230 (Tuesday, December 1, 2015)]
[Proposed Rules]
[Pages 75010-75018]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2015-30095]


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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.

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