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: https:// www.federalreserve.gov. Follow the instructions for submitting comments at https://www.federalreserve.gov/ generalinfo/foia/ProposedRegs.cfm. • Federal eRulemaking Portal: https:// 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 https:// 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 https://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 https:// 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 RESERVE SYSTEM

[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: https://www.federalreserve.gov. Follow the
instructions for submitting comments at https://www.federalreserve.gov/generalinfo/foia/ProposedRegs.cfm.
Federal eRulemaking Portal: https://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
https://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 https://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 https://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.
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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.
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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.
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\10\ See 79 FR 61440, 61490-61494.
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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.
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\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.
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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.
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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:
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\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.
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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

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