Liquidity Coverage Ratio: Public Disclosure Requirements; Extension of Compliance Period for Certain Companies To Meet the Liquidity Coverage Ratio Requirements, 94922-94932 [2016-30859]

Agencies

• FEDERAL RESERVE SYSTEM

[Federal Register Volume 81, Number 248 (Tuesday, December 27, 2016)]
[Rules and Regulations]
[Pages 94922-94932]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2016-30859]


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FEDERAL RESERVE SYSTEM

12 CFR Part 249

[Docket No. R-1525; Regulation WW]
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.

ACTION: Final rule.

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SUMMARY: The Board of Governors of the Federal Reserve System (Board) 
is adopting a final rule to implement public disclosure requirements 
for the liquidity coverage ratio (LCR) rule. The final rule applies to 
all depository institution holding companies and

[[Page 94923]]

covered nonbank financial companies that are required to calculate an 
LCR under the Board's LCR rule (covered companies). Under the final 
rule, a covered company will be required to disclose publicly, on a 
quarterly basis, quantitative information about its LCR calculation and 
a discussion of the factors that have a significant effect on its LCR. 
The final rule also provides additional time for companies that become 
subject to the Board's modified LCR requirement in the future to come 
into compliance with the requirement.

DATES: Effective Date: April 1, 2017.

FOR FURTHER INFORMATION CONTACT: Anna Lee Hewko, Associate Director, 
(202) 530-6260, Peter Clifford, Manager, (202) 785-6057, or J. Kevin 
Littler, Senior Supervisory Financial Analyst, (202) 475-6677, Risk 
Policy, Division of Supervision and Regulation; Benjamin W. McDonough, 
Assistant General Counsel, (202) 452-2036, Dafina Stewart, Senior 
Counsel, (202) 452-3876, Adam Cohen, Counsel, (202) 912-4658, or Joshua 
Strazanac, Attorney, (202) 452-2457, Legal Division, Board of Governors 
of the Federal Reserve System, 20th and C Streets, Washington, DC 
20551. For the hearing impaired only, Telecommunication Device for the 
Deaf (TDD), (202) 263-4869.

SUPPLEMENTARY INFORMATION:

Table of Contents

I. Background and Summary of the Proposed Rule
II. LCR Public Disclosure Requirement
    A. Frequency of Disclosure
    B. Quantitative Disclosure Requirements
    C. Qualitative Disclosure Requirements
III. Transition and Timing
IV. Amendment to the Modified LCR Requirement
V. Plain Language
VI. Regulatory Flexibility Act
VII. Paperwork Reduction Act
VIII. Riegle Community Development and Regulatory Improvement Act of 
1994

I. Background and Summary of the Proposed Rule

    On December 1, 2015, the Board of Governors of the Federal Reserve 
System (Board) invited comment on a proposed rule (proposed rule) to 
implement public disclosure requirements for certain companies subject 
to the Board's liquidity coverage ratio (LCR) rule: (1) All bank 
holding companies and certain savings and loan holding companies that, 
in each case, have $50 billion or more in total consolidated assets or 
$10 billion or more in total consolidated 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 separate rule or order (covered 
companies).\1\ The LCR rule \2\ requires a company subject to the rule 
to maintain an amount of high-quality liquid assets (HQLA) (the 
numerator of the ratio) \3\ that is no less than its total net cash 
outflow amount over a forward-looking 30 calendar-day period of 
significant stress (the denominator of the ratio).\4\ A modified LCR 
requirement (modified LCR requirement) applies to certain smaller, less 
complex banking organizations (modified LCR holding companies). 
Community banking organizations are not subject to the Board's LCR 
rule.\5\
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    \1\ 80 FR 75010 (December 1, 2015).
    \2\ The LCR rule was adopted in 2014 by the Board, the Office of 
the Comptroller of the Currency, and the Federal Deposit Insurance 
Corporation. See 79 FR 61440 (October 10, 2014).
    \3\ A company's HQLA amount for purposes of the LCR rule is 
calculated according to 12 CFR 249.21.
    \4\ A company's total net cash outflow amount for purposes of 
the LCR rule is calculated according to 12 CFR 249.30 or 249.63, as 
applicable.
    \5\ The Board's LCR rule does not apply to state member banks 
with less than $10 billion in total consolidated assets and less 
than $10 billion in total consolidated on-balance sheet foreign 
exposure.
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    The purpose of the proposed rule was to promote market discipline 
by providing the public with comparable liquidity information about 
covered companies.\6\ The Board has long supported meaningful public 
disclosure by banking organizations with the objective of improving 
market discipline and encouraging sound risk-management practices.\7\ 
Market discipline can mitigate the risk to financial stability by 
causing a firm to internalize the cost of its liquidity profile and 
encouraging safe and sound banking practices. For instance, a firm that 
consistently and predictably discloses a resilient liquidity profile to 
its investors and counterparties may have access to a lower cost of 
funding. Companies with less-resilient liquidity profiles would be 
incentivized to improve their liquidity positions in order to reduce 
their cost of funding and companies with more resilient liquidity 
profiles would be encouraged to maintain their sound risk management 
practices.
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    \6\ 79 FR 61440, 61445 (October 10, 2014).
    \7\ See 78 FR 62018, 62128-9 (October 11, 2013).
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    To the extent that disclosure can increase investor confidence and 
bolster transparency between counterparties, it increases liquidity in 
the market as a whole, thereby limiting the risk that a liquidity event 
will lead to asset fire sales and contagion effects in the financial 
sector. A funds provider that is uncertain about the liquidity 
conditions of its counterparties may be more likely to withhold funding 
during a liquidity event.
    The Board receives and analyzes liquidity information from covered 
companies through supervisory reporting; market participants bring 
additional perspectives through their assessments of these firms, which 
will in turn help inform the Board's supervision of covered companies. 
In this fashion, market discipline complements the Board's supervisory 
practices and policies.
    The proposed rule would have required a covered company to disclose 
publicly information about (1) certain components of its LCR 
calculation in a standardized tabular format (LCR disclosure template), 
and (2) factors that have a significant effect on its LCR, to 
facilitate an understanding of the company's calculations and 
results.\8\
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    \8\ The Basel Committee on Banking Supervision 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. 
The final rule implements public disclosure requirements 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 LCR standard published 
in January 2013. 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. The differences between the final rule and the BCBS 
disclosure standards relate primarily to the enhancements 
implemented in the LCR rule. The disclosure requirements contained 
in the final rule ensure comparability of components of the LCR 
calculations on an international basis.
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    Under the proposed rule, a covered company would have been required 
to provide timely public disclosures, including a completed 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. A covered company would have been required to 
keep this information available publicly for at least five years from 
the time of initial disclosure, on a rolling basis. For example, the 
proposed rule would have required information that was initially 
disclosed on February 1, 2018, to remain available until at least 
February 1, 2023.
    The Board received five comments from trade organizations, a public 
interest group, and other interested parties on the proposed rule. 
Although some commenters generally supported requiring covered 
companies to disclose

[[Page 94924]]

publicly information about their LCR calculations, commenters objected 
to the frequency of the required disclosures under the proposed rule 
and the granularity of the information required to be disclosed on the 
proposed LCR disclosure template. Two commenters supported the proposed 
scope of application of the proposed rule, which included depository 
institution holding companies and nonbank financial companies but not 
depository institutions. Commenters raised concerns about the 
requirements for qualitative disclosure under the proposed rule. In 
particular, commenters argued that the disclosure requirements should 
include a materiality standard that is consistent with disclosure 
requirements applicable under other public disclosure regimes and a 
clarification that covered companies would not be required to disclose 
confidential or proprietary information. Finally, some commenters 
sought additional time before covered companies would have to comply 
with the proposed disclosure requirements.\9\
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    \9\ One commenter argued that liquidity rules cause banks to 
reduce their investments in community development because such 
investments do not qualify as level 2A liquid assets, and thus do 
not receive beneficial treatment under the LCR rule. Although 
community development investments generally may not be included in a 
firm's HQLA amount, the LCR rule and the final rule do not prevent a 
covered company from making community development investments. 
Covered companies often make community development investments for 
other purposes, such as to comply with the Community Reinvestment 
Act of 1977. See 12 U.S.C. 2901 et seq.
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    The final rule includes the same general requirements as the 
proposed rule with some modifications in response to comments as 
described below.

II. LCR Public Disclosure Requirement

A. Frequency of Disclosure

    The proposed rule would have required a covered company to provide 
timely public disclosures after each calendar quarter. One commenter 
argued that the frequency of the required disclosure should be 
increased to daily because market participants need more timely 
information so they can adequately adjust their risk management and 
business activities based on the liquidity risk of covered companies. 
The commenter also argued that quarterly LCR disclosures could increase 
market instability, relative to more frequent disclosures, because 
large changes in a covered company's LCR between quarters would be more 
disruptive to the market compared to more frequent disclosures that 
revealed smaller incremental changes to a firm's LCR. Another commenter 
supported a monthly or weekly disclosure requirement, which could be 
made more frequent in the event of a market or idiosyncratic stress.
    The final rule maintains the requirement that disclosures be made 
quarterly. Liquidity, by its nature, is subject to rapid changes. As a 
result, it is expected that the LCR of a covered company will exhibit 
some volatility in the short term, which may not be indicative of 
liquidity problems at the firm. Indeed, there are many potential causes 
for short-term fluctuations in a firm's liquidity, such as seasonal 
deposit flows and periodic tax payments. Public disclosure of these 
types of short-term swings in a covered company's LCR could potentially 
negatively affect the firm and may not be indicative of a company's 
medium-term liquidity position, which in most cases is a better 
indication of the overall strengths and weaknesses of a company's 
liquidity position. Disclosure on a quarterly basis should help market 
participants assess the liquidity risk profiles of covered companies 
consistent with other quarterly disclosures of financial information. 
For supervisory purposes, the Board will continue to monitor on a more 
frequent basis any changes to a covered company's liquidity profile 
through the information submitted on the FR 2052a Complex Institution 
Liquidity Monitoring Report (FR 2052a report).\10\
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    \10\ On November 17, 2015, the Board adopted the revised FR 
2052a report to collect quantitative information on selected assets, 
liabilities, funding activities, and contingent liabilities from 
certain large banking organizations.
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    As noted, under the proposed rule, a covered company would have 
been required to provide timely public disclosures, including a 
completed 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. One commenter asserted 
that the ``direct and prominent'' disclosure standard is unnecessary 
because the requirement for a covered company to make the required 
disclosures in its financial statements or on its Web site will cause 
that information to be accessible to the public. The final rule retains 
the direct and prominent standard to ensure that the required 
disclosures are easily accessible to interested market participants. 
Such disclosures must remain available to the public for at least five 
years from the time of initial disclosure.
    As discussed in the Supplementary Information section of the 
proposed rule, 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 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 calendar quarter in which it is subject to the 
final 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 risk-based capital rules.\11\
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    \11\ See 78 FR 62018, 62129 (October 11, 2013).
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B. Quantitative Disclosure Requirements

    The proposed rule would have required a covered company to disclose 
publicly its LCR and certain components of its LCR calculation in a 
standardized tabular format. The standardized format was designed to 
help market participants compare the LCRs of covered companies across 
the U.S. banking industry and international jurisdictions. In this 
regard, the proposed format was similar to a common disclosure template 
developed by the Basel Committee on Banking Supervision (BCBS). 
However, the proposed rule was tailored to reflect differences between 
the LCR rule and the BCBS LCR standard.
    Under the proposed rule, a covered company, other than a modified 
LCR holding company, would have been required to calculate all 
disclosed amounts as simple averages of the components used to 
calculate its daily LCR over the past quarter. A modified LCR holding 
company would have been

[[Page 94925]]

required to calculate all disclosed amounts as simple averages of the 
components used to calculate its monthly LCR over the past quarter. The 
proposed rule would have required a covered company to disclose both 
average unweighted amounts and average weighted amounts, as set forth 
in section 249.91(b)(2) and (3) of the proposed rule, for the covered 
company's HQLA, cash outflow amounts, and cash inflow amounts.
    One commenter asserted that the detailed disclosures required by 
the proposed rule would create new vulnerabilities that could 
exacerbate market stresses. The commenter argued that the public 
disclosure of the granular information required by the proposed LCR 
disclosure template could precipitate or accelerate a significant 
liquidity event rather than promote market discipline as intended. The 
commenter also asserted that detailed disclosure of a covered company's 
liquid assets could constrain the covered company's ability to execute 
its risk management and business strategies in a stressed environment. 
For instance, the commenter argued that a covered company may find it 
difficult to adjust the composition of its HQLA because of a potential 
negative reaction from market participants in response to its LCR 
public disclosures or because other market participants could use the 
information in public disclosures to ``front run'' the covered 
company's planned liquidity management actions.
    The commenter suggested the Board's policy objectives would be 
better achieved by requiring only disclosure of a firms' HQLA amount, 
aggregate outflows, and aggregate inflows, which the commenter argued 
would provide the market with sufficient information on a covered 
company's liquidity profile without resulting in the negative effects 
of overly detailed disclosures. The commenter also recommended that, in 
order to mitigate the impact of short-term fluctuations in a covered 
company's LCR, a covered company should calculate disclosed amounts as 
simple averages of the components used to calculate its daily or 
monthly LCR over a rolling six-month rolling period, rather than over a 
quarter.
    The final rule retains the requirement that a covered company make 
its disclosures using quarterly averages, rather than using six-month 
rolling average calculations. Extending the averaging period from three 
to six months would cause the public disclosures to be inconsistent 
with a covered company's other public regulatory disclosures, such as 
its quarterly reporting on the FR Y-9C Consolidated Financial 
Statements for Holding Companies and its quarterly disclosures under 
federal securities laws.
    The final rule requires a covered company to make public 
disclosures with the same the level of granularity that would have been 
required under the proposal. In determining the appropriate amount of 
detail of the disclosure requirements, the Board weighed the benefits 
that detailed disclosures provide, such as promoting market discipline 
of firms and overall liquidity in the funding market, against the costs 
of such requirements, including the risk that the disclosures could 
potentially contribute to a liquidity event during stress.
    The disclosure requirements are designed to provide market 
participants with information on covered companies' liquidity positions 
in order to enable them to distinguish among covered companies' 
liquidity risk profiles. The disclosure of only a firm's HQLA amount, 
aggregate outflows, and aggregate inflows may be insufficient to enable 
market participants to assess fully the nature of a covered company's 
liquidity risk profile. On the other hand, more granular disclosure 
would provide market participants a more accurate view of the covered 
company's liquidity risk profile and enhance covered companies' 
incentives to maintain a robust liquidity risk profile. For example, 
more detailed disclosure about a covered company that has a high LCR, 
but also exhibits high dependence on a particular funding class or 
counterparty type, would allow market participants to better assess 
potential liquidity vulnerabilities. For a covered company with strong 
liquidity risk management, more granular disclosures would also reduce 
the likelihood that market participants would react overly negatively 
towards the covered company in the event of the public release of 
negative information about the covered company or the banking sector 
more generally. Without such granular disclosure, there is a greater 
likelihood that uncertainty over a covered company's liquidity position 
would cause counterparties to cease funding the covered company 
following the release of negative information. The granular disclosure 
requirements under the proposed and final rules would encourage covered 
companies to engage in safe and sound banking practices and strengthen 
financial stability, without causing firms to bear undue costs.
    Although the final rule requires disclosure of relatively detailed 
liquidity data to enhance market participants' understanding of firm's 
liquidity risk management, several considerations should mitigate the 
potential for the disclosures to negatively impact a covered company or 
precipitate or accelerate a significant liquidity event during times of 
idiosyncratic or market stress. As noted, the disclosures are based on 
quarterly averages. Importantly, the due dates for the disclosures are 
several weeks after the end of the quarter. This means that the 
liquidity disclosures will include a lag that provides market 
participants with a broad understanding of a firm's medium-term 
liquidity position without causing the release of current liquidity 
data that could potentially negatively affect the firm. The final rule 
also does not require firms to disclose specific asset- or transaction-
level details, which will limit the risk that the public disclosures 
will constrain a covered company's ability to execute its risk 
management and business strategies.
    The proposed rule would have required a covered company to disclose 
its average HQLA amount, average total net cash outflow amount, and 
average LCR. 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 
risk profiles across companies.
    At a more granular level, to describe the quality and composition 
of a covered company's HQLA amount, the proposed rule would have 
required a covered company to disclose its average amount of eligible 
HQLA,\12\ as well as the average amounts of eligible level 1, level 2A, 
and level 2B liquid assets to identify the quality and composition of a 
company's HQLA amount.\13\ The proposed rule would have required the 
disclosure of both average unweighted amounts and average weighted 
amounts of eligible HQLA and eligible level 1, level 2A, and level 2B 
liquid assets. The proposed rule also would have required a covered 
company to disclose both the average unweighted amounts and average 
weighted amounts of its cash outflows and inflows. This information 
helps identify the short-term liquidity risks facing a firm and, in 
particular, potential sources of liquidity strains during a period of 
market stress.
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    \12\ Eligible HQLA are high-quality liquid assets that meet the 
requirements set forth in 12 CFR 249.22.
    \13\ See 12 CFR 249.20-249.22.
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    In the Supplementary Information section of the proposed rule, the 
Board clarified three points regarding a

[[Page 94926]]

covered company's required quantitative disclosures. First, the Board 
noted that the average values disclosed for the HQLA amount, total net 
cash outflow amount, and the LCR (rows 29, 32, and 33 of the LCR 
disclosure template) may not equal the calculation of those values 
using component values reported in rows 1 through 28 of the LCR 
disclosure template. 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 requirement's 
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 are required to be disclosed in rows 29, 32, and 33 of the 
LCR disclosure template and, thus, would affect the averages for the 
covered company's HQLA amount, total net cash outflow amount, and the 
LCR. The LCR disclosure template includes a footnote that highlights 
this difference.
    Second, because a modified LCR holding company is not required to 
calculate a maturity mismatch add-on calculation amount under the 
modified LCR requirement,\14\ it would not have been required to 
disclose amounts in row 30 or 31 of the LCR disclosure template, which 
each relate to the maturity mismatch add-on amount calculation.
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    \14\ A covered company, other than a modified LCR holding 
company, is required 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 LCR rule's prospective 30 calendar-day period.
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    Third, while the proposed rule would have required a modified LCR 
holding company to disclose its average total net cash outflow amount 
after applying a factor of 0.7 (which reflects the fact that modified 
LCR holding companies are required to apply a factor of 0.7 to its 
average total net cash outflow amount under section 249.63 of the LCR 
rule), the proposed rule would have required a modified LCR holding 
company to disclose its average cash outflows and cash inflows without 
applying the factor of 0.7.
    The Board did not receive comments, other than those described 
above, on these aspects of the proposal, and the final rule adopts 
these aspects without modification.

C. Qualitative Disclosure Requirements

    Under the proposed rule, a covered company would have been required 
to provide a ``sufficient'' qualitative discussion of its LCR. This 
discussion was intended to complement the quantitative disclosure 
requirements. In this regard, the proposed rule included a list of 
potentially relevant items for the covered company to address in its 
qualitative disclosures: (1) The main drivers of the LCR; (2) changes 
in the LCR 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 have 
required that a covered company provide a brief discussion of any 
significant changes that have occurred since the end of the quarter 
(i.e., during the period following the quarter for which a covered 
company has prepared its LCR disclosures) such that current or previous 
quantitative disclosures were no longer reflective of a covered 
company's current liquidity risk profile.
    Two commenters argued that the qualitative disclosure requirement 
should be better aligned with public disclosures required by other 
regulations. The commenters requested that a covered company only be 
required to provide a qualitative discussion of items that are 
``material'' to the firm's LCR, rather than items that are 
``significant'' or ``relevant'' to a firm's LCR, as would have been 
required under the proposed rule. The commenters argued that adopting a 
materiality standard that is consistent with disclosure requirements 
applicable under other public disclosure regimes, notably federal 
securities laws, would be less confusing and ensure that covered 
companies approach the required disclosures in a consistent manner. In 
addition, one commenter argued that qualitative public disclosures 
should include an exemption, similar to that in the Board's risk-based 
capital rules, for disclosure of certain confidential or proprietary 
financial information.
    In response to the commenters' concerns, the final rule clarifies 
that a covered company is not required to include in its qualitative 
disclosures any information that is proprietary or confidential. 
Rather, the covered company would only be required to disclose general 
information about those subjects and provide a reason why the specific 
information has not been disclosed.
    The final rule continues to use the term ``significant'' to 
describe items affecting a covered company's LCR about which a covered 
company should provide a qualitative discussion. However, in response 
to concerns raised by commenters, the Board agrees with commenters that 
a covered company may assess the relevant qualitative disclosures based 
on their materiality. Information is regarded as material for purposes 
of the disclosure requirements in the final rule if the omission or 
misstatement of the information could change or influence the 
assessment or decision of a user relying on that information for the 
purpose of making investment decisions. This approach is consistent 
with the standards in the Board's risk-based capital rules, which also 
use a concept of materiality to inform the qualitative disclosure 
requirements required under those rules.\15\
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    \15\ See 78 CFR 62018, 62129 (October 11, 2013).
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    The proposed rule's requirement that a covered company provide a 
qualitative discussion of the main drivers of its LCR and any changes 
in its LCR over time, to the extent such changes were significant, was 
intended to include a discussion of the causes of any such changes. 
However, in order to avoid any confusion, the final rule has been 
revised to state explicitly that, in addition to discussing any changes 
in its LCR over time, a covered company should also include a 
discussion of the causes of such changes. Changes in risk management 
strategies or macroeconomic conditions are examples of the type of 
causes that could potentially cause a change to a covered company's LCR 
and that, if significant, would have to be discussed in the firm's 
qualitative disclosures.
    In addition, the final rule eliminates the requirement that a 
covered company provide a brief discussion of any significant changes 
that have occurred since the end of the quarter that would cause its 
quarter-end quantitative disclosures to no longer reflect its liquidity 
profile. Although it was not the intended result, this requirement 
could have been interpreted to require a covered company to disclose 
information about specific and recent developments in its liquidity 
risk profile, which could include short-term

[[Page 94927]]

volatility of a firm's LCR. The disclosure of this information could 
have potentially adverse effects on a covered company, or precipitate 
or accelerate a significant liquidity event during times of 
idiosyncratic or market stress. Moreover, such a requirement would have 
been at odds with the final rule's requirement that all disclosed 
amounts be calculated as quarterly averages and that due dates for the 
disclosures be several weeks after the end of the quarter. For these 
reasons, the final rule does not include this requirement.
    As noted above, the proposed rule would have required a covered 
company to provide a qualitative discussion of its LCR and would have 
included an illustrative list of potentially relevant items that a firm 
could discuss, to the extent relevant to its LCR. Among the 
illustrative list of potentially relevant items was ``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 Board has determined that this item is 
redundant of the proposed rule's general requirement that a firm must 
provide a qualitative discussion of its LCR. For this reason, the final 
rule eliminates this example.

III. Transition and Timing

    The proposed compliance dates for the public disclosure 
requirements would have differed based on the size, complexity, and 
potential systemic impact of the covered companies that currently are 
subject to the LCR rule. The proposed rule would have required covered 
companies that have $700 billion or more in total consolidated assets 
or $10 trillion or more in assets under custody to comply with the 
proposed public disclosure requirements beginning on July 1, 2016. 
Other covered companies, not including modified LCR holding companies, 
would have been required to comply with the proposed public disclosure 
requirements beginning on July 1, 2017. These proposed compliance dates 
would have required covered companies that are currently subject to the 
LCR rule to comply with the proposed public disclosure requirements one 
year after the date that they were required to calculate their LCR on a 
daily basis.\16\ The proposed rule would have required modified LCR 
holding companies to comply with the public disclosure requirements 
beginning on January 1, 2018.
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    \16\ Under section 249.50 of the LCR rule, covered companies 
that have $700 billion or more in total consolidated assets or $10 
trillion or more in assets under custody were required to calculate 
their LCR on a daily basis beginning on July 1, 2015, and other 
covered companies (other than modified LCR holding companies) were 
required to calculate their LCR on a daily basis beginning on July 
1, 2016.
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    One commenter argued that covered companies need additional time to 
comply with the public disclosure requirements in order to align their 
existing liquidity data reporting processes under the FR 2052a report 
with the LCR public disclosure requirements. The commenter also 
asserted that a longer transition period was necessary so that covered 
companies would have sufficient time to clarify certain aspects of 
their LCR calculations with the agencies to ensure that the disclosed 
LCR data is calculated consistently across covered companies.
    In response to the comments, the final rule extends the 
implementation timeline nine months such that a covered company 
currently subject to the LCR rule would be required to make LCR public 
disclosures approximately five calendar quarters after the covered 
company's liquidity information has been required to be submitted on 
the FR 2052a report.\17\ The effect of this extension will be to 
require covered companies that have $700 billion or more in total 
consolidated assets or $10 trillion or more in assets under custody to 
comply with the public disclosure requirements beginning on April 1, 
2017. Other covered companies, other than modified LCR holding 
companies, will be required to comply with the public disclosure 
requirements beginning on April 1, 2018. Modified LCR holding companies 
that are currently subject to the modified LCR rule will be required to 
comply with the public disclosure requirements beginning on October 1, 
2018.
---------------------------------------------------------------------------

    \17\ The compliance dates for the FR 2052a report are based on 
the size of the reporter. Firms with total consolidated assets of 
$700 billion or more or $10 trillion in assets under custody are 
already subject to the FR 2052a report. Other firms will be phased 
in to reporting on this form through January 2018. For a covered 
company that is a subsidiary of a foreign banking organization 
(``FBO''), the covered company would be required to disclose 
publicly its LCR once the parent FBO had been required to submit 
information on the FR2052a report with respect to the covered 
company for a full year.
---------------------------------------------------------------------------

    A covered company that becomes subject to the LCR rule in the 
future will be required to make its first public disclosures for the 
calendar quarter that starts on its LCR rule compliance date (i.e., 
three months after the company becomes subject to the LCR rule). During 
the time such company is required to calculate the LCR monthly pursuant 
to 12 CFR 249.1(b)(2)(ii),\18\ the company would be required to 
calculate all disclosed amounts as simple averages of the components 
used to calculate its monthly LCR over the quarter. A modified LCR 
holding company that becomes subject to the modified LCR requirement in 
the future will be required to make its first public disclosures for 
the calendar quarter that begins eighteen months after the date it 
becomes subject to the modified LCR requirement. For example, if a 
modified LCR holding company becomes subject to the modified LCR 
requirement beginning in January 2018, the final rule would require 
that company to comply with public disclosure requirements beginning 
July 1, 2019.
---------------------------------------------------------------------------

    \18\ Under 12 CFR 249.1(b)(2)(ii), a covered company that 
becomes subject to the LCR rule after September 30, 2014 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.
---------------------------------------------------------------------------

IV. Amendment to the Modified LCR Requirement

    A company that becomes subject to the modified LCR requirement is 
currently required to comply with the requirement on the first day of 
the first quarter after which the company's total consolidated assets 
equal $50 billion or more. As noted in the Supplemental Information 
section in the proposed rule, this compliance date may not provide 
sufficient time for these companies to build the systems required to 
calculate the LCR. In light of this operational challenge, the proposed 
rule would have amended the modified LCR requirement to provide these 
companies with a full year to come into compliance with the LCR 
requirement after becoming subject to the rule. The Board is clarifying 
that a covered company subject to the full LCR requirement that 
subsequently becomes subject to the modified requirement (e.g., 
following a decrease in the covered company's consolidated assets or 
on-balance sheet foreign exposure below the thresholds specified in 
section 249.1(b) of the LCR rule at the most recent year-end) would be 
required to comply with the modified LCR requirement (including the 
disclosure requirement) immediately upon becoming subject to the 
requirement. In this case, the covered company would already have the 
systems in place to calculate the LCR and would not need additional 
time to come into compliance with the modified LCR requirement.
    The Board received no comments on this aspect of the proposed rule. 
The final rule includes this amendment to

[[Page 94928]]

the modified LCR requirement without modification.

V. Plain Language

    Section 722 of the Gramm-Leach Bliley Act \19\ requires the Board 
to use plain language in all proposed and final rules published after 
January 1, 2000. The Board sought to present the proposed rule in a 
simple and straightforward manner and did not receive any comments on 
the use of plain language.
---------------------------------------------------------------------------

    \19\ Public Law 106-102, 113 Stat. 1338, 1471, 12 U.S.C. 4809.
---------------------------------------------------------------------------

VI. Regulatory Flexibility Act

    The Regulatory Flexibility Act, 5 U.S.C. 601 et seq. (RFA), 
generally requires that an agency prepare and make available for public 
comment an initial RFA analysis in connection with a notice of proposed 
rulemaking.\20\ The Board solicited public comment on this rule in a 
notice of proposed rulemaking and has since considered the potential 
impact of this final rule on small entities in accordance with section 
604 of the RFA. The Board received no public comments related to the 
initial RFA analysis in the proposed rule from the Chief Council for 
Advocacy of the Small Business Administration or from the general 
public. Based on the Board's analysis, and for the reasons stated 
below, the Board believes that the final rule will not have a 
significant economic impact on a substantial number of small entities.
---------------------------------------------------------------------------

    \20\ See 5 U.S.C. 603(a).
---------------------------------------------------------------------------

    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, 2016, 
there were approximately 594 small state member banks, 3,203 small bank 
holding companies, and 162 small savings and loan holding companies.
    As discussed above, the final rule requires certain companies that 
are subject to the LCR rule to disclose publicly information about 
components of their LCR. The final rule does not apply to ``small 
entities'' and applies only to the following Board-regulated 
institutions: (1) All bank holding companies and certain savings and 
loan holding companies that, in each case, have $50 billion or more in 
total consolidated assets or $10 billion or more in total consolidated 
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 separate 
rule or order. Companies that are subject to the final rule therefore 
substantially exceed the $550 million asset threshold at which a 
banking entity is considered a ``small entity'' under SBA regulations.
    No small bank holding company, savings and loan holding company, or 
state member bank would be subject to the rule, so there would be no 
additional projected compliance requirements imposed on small bank 
holding companies, small savings and loan holding companies, or small 
state member banks.
    The Board believes that the final rule will not have a significant 
impact on small banking organizations supervised by the Board and 
therefore believes that there are no significant alternatives to the 
rule that would reduce the economic impact on small banking 
organizations supervised by the Board.

VII. Paperwork Reduction Act

    Certain provisions of the final rule contain ``collection of 
information'' requirements within the meaning of the Paperwork 
Reduction Act of 1995, 44 U.S.C. 3501-3521 (PRA). 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 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 final rule 
under the authority delegated to the Board by OMB. The final rule 
contains requirements subject to the PRA. The disclosure requirements 
are found in sections 249.64, 249.90, and 249.91. The Board did not 
receive any public comments on the PRA analysis.
    The Board has a continuing interest in the public's opinions of 
collections of information. At any time, commenters may submit comments 
regarding the burden estimate, or any other aspect of this collection 
of information, including suggestions for reducing the burden, to the 
addresses listed in the ADDRESSES section. A copy of the comments may 
also be submitted to the OMB desk officer (1) by mail to U.S. Office of 
Management and Budget, New Executive Office Building, Room 10235, 725 
17th Street NW., Washington, DC 20503; (2) by fax to 202-395-6974; or 
(3) by email to: oira_submission@omb.eop.gov.

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, monthly, quarterly, 
annually.
    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.
    Current Actions: The final rule requires a depository institution 
holding company and nonbank financial company subject to the LCR 
(covered company) to disclose publicly information about certain 
components of its LCR calculation in a standardized tabular format and 
include a discussion of factors that have a significant effect on its 
LCR. Public disclosure of information about covered company LCR 
calculations will help market participants and other parties 
consistently assess the liquidity risk profile of covered companies. 
Under the final rule, a covered company is required to provide timely 
public disclosures each calendar quarter. A covered company is 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 disclose publicly the information required 
under subpart J beginning on April 1, 2017, if the covered company is 
subject to the transition period under section 249.50(a) or April 1, 
2018, if the covered company is subject to the transition period under 
section 249.50(b). For modified LCR holding companies, the final rule 
would require them to comply with the public disclosure requirements 
beginning on October 1, 2018.
    Under the final rule, quantitative disclosures will convey 
information about a covered company's high-quality liquid assets (HQLA) 
and short-term cash flows, thereby providing insight into a covered 
company's liquidity risk profile. Consistent with the BCBS common 
template, the final rule requires 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 is also required to calculate all disclosed amounts as 
simple averages of the components used to calculate its daily LCR over 
a calendar quarter, except that modified LCR holding companies are 
required to calculate all disclosed amounts as simple averages of the 
components used

[[Page 94929]]

to calculate their monthly LCR. A covered company is 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 final rule requires a covered company to provide a 
discussion of certain features of its LCR. 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; (2) changes in 
the LCR over time and causes of such changes; (3) the composition of 
eligible HQLA; (4) concentration of funding sources; (5) derivative 
exposures and potential collateral calls; (6) currency mismatch in the 
LCR; and (7) the covered company's centralized liquidity management 
function and its interaction with other functional areas of the covered 
company.

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 annually; 
recordkeeping--annually; disclosure--quarterly.
    Estimated Number of Respondents: 39 (only 35 respondents are 
affected by the new disclosure requirements).
    Current Total Estimated Annual Burden: Reporting--13 hours; 
recordkeeping--1,080 hours.
    Proposed Total Estimated Annual Burden: Reporting--13 hours; 
recordkeeping--1,080 hours; disclosure--3,360 hours.

VIII. Riegle Community Development and Regulatory Improvement Act of 
1994

    Section 302 of the Riegle Community Development and Regulatory 
Improvement Act of 1994 (RCDRIA) requires a Federal banking agency, in 
determining the effective date and administrative compliance 
requirements for new regulations that impose additional reporting, 
disclosure, or other requirements on insured depository institutions, 
to consider any administrative burdens that such regulations would 
place on depository institutions, and the benefits of such regulations, 
consistent with the principles of safety and soundness and the public 
interest. In addition, new regulations that impose additional reporting 
disclosures or other new requirements on insured depository 
institutions generally must take effect on the first day of a calendar 
quarter which begins on or after the date on which the regulations are 
published in final form.\21\ Section 302 of the RCDRIA does not apply 
to this final rule because the final rule does not prescribe additional 
reporting, disclosures, or other new requirements on insured depository 
institutions. As discussed above in the Supplementary Information 
section, the final rule only applies to (1) all bank holding companies 
and certain savings and loan holding companies that, in each case, have 
$50 billion or more in total consolidated assets or $10 billion or more 
in total consolidated 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 separate rule or order. Nevertheless, the final rule 
becomes effective on April 1, 2017, the first day of a calendar 
quarter.
---------------------------------------------------------------------------

    \21\ 12 U.S.C. 4802(b).
---------------------------------------------------------------------------

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 amends 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 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); except that a Board-regulated institution that met the 
applicability criteria in Sec.  249.1(b) immediately prior to meeting 
this threshold must comply with the requirements of this subpart 
beginning on the first day of the first quarter after which it meets 
the threshold set forth in paragraph (a) of this section.

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


Sec.  249.64   Disclosures.

    (a) Effective October 1, 2018, a covered depository institution 
holding company subject to this subpart must disclose publicly 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 
disclose publicly 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 calendar quarter beginning on:
    (i) April 1, 2017, and thereafter if the covered depository 
institution holding company is subject to the transition period under 
Sec.  249.50(a); or
    (ii) April 1, 2018, 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

[[Page 94930]]

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 calendar 
quarter beginning no later than the date it is first required to 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 
disclose publicly, 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 disclose publicly 
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 outflow.....
    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.
    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, 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), (c)(5), (c)(9), (c)(14), (c)(19), (c)(23), and (c)(28) of this 
section, as simple averages of daily amounts over the calendar quarter;
    (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), except that those amounts must be 
calculated as simple averages of monthly amounts over a calendar 
quarter;
    (iii) A covered depository institution holding company or covered 
nonbank company subject to this subpart must

[[Page 94931]]

disclose the beginning date and end date for each calendar quarter.
    (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 
HQLA 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 calculated 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 calculated 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 calculated 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 
(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 calculated 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);
    (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 calculated 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 calculated 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 the factors that have a significant 
effect on its liquidity coverage ratio, which may include the 
following:
    (i) The main drivers of the liquidity coverage ratio;
    (ii) Changes in the liquidity coverage ratio over time and causes 
of such changes;
    (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; or
    (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.
    (2) If a covered depository institution holding company or covered 
nonbank company subject to this subpart believes that the qualitative 
discussion required in paragraph (d)(1) of this section would prejudice 
seriously its position by resulting in public disclosure of specific

[[Page 94932]]

commercial or financial information that is either proprietary or 
confidential in nature, the covered depository institution holding 
company or covered nonbank company is not required to include those 
specific items in its qualitative discussion, but must provide more 
general information about the items that had a significant effect on 
its liquidity coverage ratio, together with the fact that, and the 
reason why, more specific information was not discussed.

    By order of the Board of Governors of the Federal Reserve 
System, December 19, 2016.
Robert deV. Frierson,
Secretary of the Board.
[FR Doc. 2016-30859 Filed 12-23-16; 8:45 am]
BILLING CODE P