35124 Federal Register / Vol. 81, No. 105 / Wednesday, June 1, 2016 / Proposed Rules
DEPARTMENT OF THE TREASURY
Office of the Comptroller of the
Currency
12 CFR Part 50
[Docket ID OCC–2014–0029]
RIN 1557–AD97
FEDERAL RESERVE SYSTEM
12 CFR Part 249
[Regulation WW; Docket No. R–1537]
RIN 7100–AE 51
FEDERAL DEPOSIT INSURANCE
CORPORATION
12 CFR Part 329
RIN 3064–AE 44
Net Stable Funding Ratio: Liquidity
Risk Measurement Standards and
Disclosure Requirements
AGENCY: Office of the Comptroller of the
Currency, Department of the Treasury;
Board of Governors of the Federal
Reserve System; and Federal Deposit
Insurance Corporation.
ACTION: Notice of proposed rulemaking
with request for public comment.
SUMMARY: The Office of the Comptroller
of the Currency (OCC), the Board of
Governors of the Federal Reserve
System (Board), and the Federal Deposit
Insurance Corporation (FDIC) are
inviting comment on a proposed rule
that would implement a stable funding
requirement, the net stable funding ratio
(NSFR), for large and internationally
active banking organizations. The
proposed NSFR requirement is designed
to reduce the likelihood that disruptions
to a banking organization’s regular
sources of funding will compromise its
liquidity position, as well as to promote
improvements in the measurement and
management of liquidity risk. The
proposed rule would also amend certain
definitions in the liquidity coverage
ratio rule that are also applicable to the
NSFR. The proposed NSFR requirement
would apply beginning on January 1,
2018, to 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 total on-balance sheet
foreign exposure, and to their
consolidated subsidiaries that are
depository institutions with $10 billion
or more in total consolidated assets.
In addition, the Board is proposing a
modified NSFR requirement for bank
holding companies and certain savings
and loan holding companies that, in
each case, have $50 billion or more, but
less than $250 billion, in total
consolidated assets and less than $10
billion in total on-balance sheet foreign
exposure. Neither the proposed NSFR
requirement nor the proposed modified
NSFR requirement would apply to
banking organizations with consolidated
assets of less than $50 billion and total
on-balance sheet foreign exposure of
less than $10 billion.
A bank holding company or savings
and loan holding company subject to
the proposed NSFR requirement or
modified NSFR requirement would be
required to publicly disclose the
company’s NSFR and the components of
its NSFR each calendar quarter.
DATES: Comments on this notice of
proposed rulemaking must be received
by August 5, 2016.
ADDRESSES: Comments should be
directed to: OCC: Because paper mail in
the Washington, DC area is subject to
delay, commenters are encouraged to
submit comments by the Federal
eRulemaking Portal or email, if possible.
Please use the title ‘‘Net Stable Funding
Ratio: Liquidity Risk Measurement
Standards and Disclosure
Requirements’’ to facilitate the
organization and distribution of the
comments. You may submit comments
by any of the following methods:
• Federal eRulemaking Portal—
‘‘regulations.gov’’: Go to http://
www.regulations.gov. Enter ‘‘Docket ID
OCC–2014–0029’’ in the Search Box and
click ‘‘Search’’. Results can be filtered
using the filtering tools on the left side
of the screen. Click on ‘‘Comment Now’’
to submit public comments. Click on the
‘‘Help’’ tab on the Regulations.gov home
page to get information on using
Regulations.gov, including instructions
for submitting public comments.
• Email: regs.comments@
occ.treas.gov.
• Mail: Legislative and Regulatory
Activities Division, Office of the
Comptroller of the Currency, 400 7th
Street SW., Suite 3E–218, Mail Stop
9W–11, Washington, DC 20219.
• Hand Delivery/Courier: 400 7th
Street SW., Suite 3E–218, Mail Stop
9W–11, Washington, DC 20219.
• Fax: (571) 465–4326.
Instructions: You must include
‘‘OCC’’ as the agency name and ‘‘Docket
ID OCC–2014–0029’’ in your comment.
In general, the OCC will enter all
comments received into the docket and
publish them on the Regulations.gov
Web site without change, including any
business or personal information that
you provide, such as name and address
information, email addresses, or phone
numbers. Comments received, including
attachments and other supporting
materials, are part of the public record
and subject to public disclosure. Do not
enclose any information in your
comment or supporting materials that
you consider confidential or
inappropriate for public disclosure.
You may review comments and other
related materials that pertain to this
rulemaking action by any of the
following methods:
• Viewing Comments Electronically:
Go to http://www.regulations.gov. Enter
‘‘Docket ID OCC–2014–0029’’ in the
Search box and click ‘‘Search’’.
Comments can be filtered by Agency
using the filtering tools on the left side
of the screen. Click on the ‘‘Help’’ tab
on the Regulations.gov home page to get
information on using Regulations.gov,
including instructions for viewing
public comments, viewing other
supporting and related materials, and
viewing the docket after the close of the
comment period.
• Viewing Comments Personally: You
may personally inspect and photocopy
comments at the OCC, 400 7th Street
SW., Washington, DC. For security
reasons, the OCC requires that visitors
make an appointment to inspect
comments. You may do so by calling
(202) 649–6700 or, for persons who are
deaf or hard of hearing, TTY, (202) 649–
5597. Upon arrival, visitors will be
required to present valid government-
issued photo identification and to
submit to security screening in order to
inspect and photocopy comments.
• Docket: You may also view or
request available background
documents and project summaries using
the methods described above.
Board: You may submit comments,
identified by Docket No. R–1537; RIN
7100 AE–51, by any of the following
methods:
• Agency Web site: http://
www.federalreserve.gov. Follow the
instructions for submitting comments at
http://www.federalreserve.gov/
generalinfo/foia/ProposedRegs.cfm.
• Federal eRulemaking Portal: http://
www.regulations.gov. Follow the
instructions for submitting comments.
• Email: regs.comments@
federalreserve.gov. Include docket
number in the subject line of the
message.
• FAX: (202) 452–3819 or (202) 452–
3102.
• Mail: Robert deV. Frierson,
Secretary, Board of Governors of the
Federal Reserve System, 20th Street and
Constitution Avenue NW., Washington,
DC 20551.
VerDate Sep<11>2014 19:02 May 31, 2016 Jkt 238001 PO 00000 Frm 00002 Fmt 4701 Sfmt 4702 E:\FR\FM\01JNP2.SGM 01JNP2
sradovich on DSK3TPTVN1PROD with PROPOSALS2
DEPARTMENT OF THE TREASURY
Office of the Comptroller of the
Currency
12 CFR Part 50
[Docket ID OCC–2014–0029]
RIN 1557–AD97
FEDERAL RESERVE SYSTEM
12 CFR Part 249
[Regulation WW; Docket No. R–1537]
RIN 7100–AE 51
FEDERAL DEPOSIT INSURANCE
CORPORATION
12 CFR Part 329
RIN 3064–AE 44
Net Stable Funding Ratio: Liquidity
Risk Measurement Standards and
Disclosure Requirements
AGENCY: Office of the Comptroller of the
Currency, Department of the Treasury;
Board of Governors of the Federal
Reserve System; and Federal Deposit
Insurance Corporation.
ACTION: Notice of proposed rulemaking
with request for public comment.
SUMMARY: The Office of the Comptroller
of the Currency (OCC), the Board of
Governors of the Federal Reserve
System (Board), and the Federal Deposit
Insurance Corporation (FDIC) are
inviting comment on a proposed rule
that would implement a stable funding
requirement, the net stable funding ratio
(NSFR), for large and internationally
active banking organizations. The
proposed NSFR requirement is designed
to reduce the likelihood that disruptions
to a banking organization’s regular
sources of funding will compromise its
liquidity position, as well as to promote
improvements in the measurement and
management of liquidity risk. The
proposed rule would also amend certain
definitions in the liquidity coverage
ratio rule that are also applicable to the
NSFR. The proposed NSFR requirement
would apply beginning on January 1,
2018, to 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 total on-balance sheet
foreign exposure, and to their
consolidated subsidiaries that are
depository institutions with $10 billion
or more in total consolidated assets.
In addition, the Board is proposing a
modified NSFR requirement for bank
holding companies and certain savings
and loan holding companies that, in
each case, have $50 billion or more, but
less than $250 billion, in total
consolidated assets and less than $10
billion in total on-balance sheet foreign
exposure. Neither the proposed NSFR
requirement nor the proposed modified
NSFR requirement would apply to
banking organizations with consolidated
assets of less than $50 billion and total
on-balance sheet foreign exposure of
less than $10 billion.
A bank holding company or savings
and loan holding company subject to
the proposed NSFR requirement or
modified NSFR requirement would be
required to publicly disclose the
company’s NSFR and the components of
its NSFR each calendar quarter.
DATES: Comments on this notice of
proposed rulemaking must be received
by August 5, 2016.
ADDRESSES: Comments should be
directed to: OCC: Because paper mail in
the Washington, DC area is subject to
delay, commenters are encouraged to
submit comments by the Federal
eRulemaking Portal or email, if possible.
Please use the title ‘‘Net Stable Funding
Ratio: Liquidity Risk Measurement
Standards and Disclosure
Requirements’’ to facilitate the
organization and distribution of the
comments. You may submit comments
by any of the following methods:
• Federal eRulemaking Portal—
‘‘regulations.gov’’: Go to http://
www.regulations.gov. Enter ‘‘Docket ID
OCC–2014–0029’’ in the Search Box and
click ‘‘Search’’. Results can be filtered
using the filtering tools on the left side
of the screen. Click on ‘‘Comment Now’’
to submit public comments. Click on the
‘‘Help’’ tab on the Regulations.gov home
page to get information on using
Regulations.gov, including instructions
for submitting public comments.
• Email: regs.comments@
occ.treas.gov.
• Mail: Legislative and Regulatory
Activities Division, Office of the
Comptroller of the Currency, 400 7th
Street SW., Suite 3E–218, Mail Stop
9W–11, Washington, DC 20219.
• Hand Delivery/Courier: 400 7th
Street SW., Suite 3E–218, Mail Stop
9W–11, Washington, DC 20219.
• Fax: (571) 465–4326.
Instructions: You must include
‘‘OCC’’ as the agency name and ‘‘Docket
ID OCC–2014–0029’’ in your comment.
In general, the OCC will enter all
comments received into the docket and
publish them on the Regulations.gov
Web site without change, including any
business or personal information that
you provide, such as name and address
information, email addresses, or phone
numbers. Comments received, including
attachments and other supporting
materials, are part of the public record
and subject to public disclosure. Do not
enclose any information in your
comment or supporting materials that
you consider confidential or
inappropriate for public disclosure.
You may review comments and other
related materials that pertain to this
rulemaking action by any of the
following methods:
• Viewing Comments Electronically:
Go to http://www.regulations.gov. Enter
‘‘Docket ID OCC–2014–0029’’ in the
Search box and click ‘‘Search’’.
Comments can be filtered by Agency
using the filtering tools on the left side
of the screen. Click on the ‘‘Help’’ tab
on the Regulations.gov home page to get
information on using Regulations.gov,
including instructions for viewing
public comments, viewing other
supporting and related materials, and
viewing the docket after the close of the
comment period.
• Viewing Comments Personally: You
may personally inspect and photocopy
comments at the OCC, 400 7th Street
SW., Washington, DC. For security
reasons, the OCC requires that visitors
make an appointment to inspect
comments. You may do so by calling
(202) 649–6700 or, for persons who are
deaf or hard of hearing, TTY, (202) 649–
5597. Upon arrival, visitors will be
required to present valid government-
issued photo identification and to
submit to security screening in order to
inspect and photocopy comments.
• Docket: You may also view or
request available background
documents and project summaries using
the methods described above.
Board: You may submit comments,
identified by Docket No. R–1537; RIN
7100 AE–51, by any of the following
methods:
• Agency Web site: http://
www.federalreserve.gov. Follow the
instructions for submitting comments at
http://www.federalreserve.gov/
generalinfo/foia/ProposedRegs.cfm.
• Federal eRulemaking Portal: http://
www.regulations.gov. Follow the
instructions for submitting comments.
• Email: regs.comments@
federalreserve.gov. Include docket
number in the subject line of the
message.
• FAX: (202) 452–3819 or (202) 452–
3102.
• Mail: Robert deV. Frierson,
Secretary, Board of Governors of the
Federal Reserve System, 20th Street and
Constitution Avenue NW., Washington,
DC 20551.
VerDate Sep<11>2014 19:02 May 31, 2016 Jkt 238001 PO 00000 Frm 00002 Fmt 4701 Sfmt 4702 E:\FR\FM\01JNP2.SGM 01JNP2
sradovich on DSK3TPTVN1PROD with PROPOSALS2
35125Federal Register / Vol. 81, No. 105 / Wednesday, June 1, 2016 / Proposed Rules
All public comments are available
from the Board’s Web site at http://
www.federalreserve.gov/generalinfo/
foia/ProposedRegs.cfm as submitted,
unless modified for technical reasons.
Accordingly, 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.
FDIC: You may submit comments by
any of the following methods:
• Federal eRulemaking Portal: http://
www.regulations.gov. Follow the
instructions for submitting comments.
• Agency Web site: http://
www.FDIC.gov/regulations/laws/
federal/propose.html.
• Mail: Robert E. Feldman, Executive
Secretary, Attention: Comments/Legal
ESS, Federal Deposit Insurance
Corporation, 550 17th Street NW.,
Washington, DC 20429.
• Hand Delivered/Courier: The guard
station at the rear of the 550 17th Street
Building (located on F Street), on
business days between 7:00 a.m. and
5:00 p.m.
• Email: comments@FDIC.gov.
Instructions: Comments submitted
must include ‘‘FDIC’’ and ‘‘RIN: 3064–
AE44.’’ Comments received will be
posted without change to http://
www.FDIC.gov/regulations/laws/
federal/propose.html, including any
personal information provided.
FOR FURTHER INFORMATION CONTACT:
OCC: Christopher McBride, Group
Leader, (202) 649–6402, James
Weinberger, Technical Expert, (202)
649–5213, or Ang Middleton, Bank
Examiner (Risk Specialist), (202) 649–
7138, Treasury & Market Risk Policy;
Thomas Fursa, Bank Examiner (Capital
Markets Lead Expert), (917) 344–4421;
Patrick T. Tierney, Assistant Director,
Carl Kaminski, Special Counsel, or
Henry Barkhausen, Senior Attorney,
Legislative and Regulatory Activities
Division, (202) 649–5490; or Tena
Alexander, Acting Assistant Director, or
David Stankiewicz, Counsel, Securities
and Corporate Practices Division, (202)
649–5510; for persons who are deaf or
hard of hearing, TTY, (202) 649–5597;
Office of the Comptroller of the
Currency, 400 7th Street SW.,
Washington, DC 20219.
Board: 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, or Peter
Goodrich, Risk Management Specialist,
(202) 872–4997, Risk Policy, Division of
Banking Supervision and Regulation;
Benjamin W. McDonough, Special
Counsel, (202) 452–2036, Dafina
Stewart, Counsel, (202) 452–3876,
Adam Cohen, Counsel, (202) 912–4658,
or Brian Chernoff, Senior Attorney,
(202) 452–2952, Legal Division, Board of
Governors of the Federal Reserve
System, 20th and C Streets NW.,
Washington, DC 20551. For the hearing
impaired only, Telecommunication
Device for the Deaf (TDD), (202) 263–
4869.
FDIC: Bobby R. Bean, Associate
Director, (202) 898–6705, Eric W.
Schatten, Capital Markets Policy
Analyst, (202) 898–7063, Andrew D.
Carayiannis, Capital Markets Policy
Analyst, (202) 898–6692, Nana Ofori-
Ansah, Capital Markets Policy Analyst,
(202) 898–3572, Capital Markets Branch,
Division of Risk Management
Supervision, (202) 898–6888; Gregory S.
Feder, Counsel, (202) 898–8724,
Andrew B. Williams, II, Counsel, (202)
898–3591, or Suzanne J. Dawley, Senior
Attorney, (202) 898–6509, Supervision
and Corporate Operations Branch, Legal
Division, Federal Deposit Insurance
Corporation, 550 17th Street NW.,
Washington, DC 20429. For the hearing
impaired only, Telecommunication
Device for the Deaf (TDD), (800) 925–
4618.
SUPPLEMENTARY INFORMATION:
Table of Contents
I. Introduction
A. Summary of the Proposed Rule
B. Background
C. Overview of the Proposed Rule
1. NSFR Calculation, Shortfall
Remediation, and Disclosure
Requirements
2. Scope of Application of the Proposed
Rule
D. Definitions
1. Revisions to Existing Definitions
2. New Definitions
E. Effective Dates
II. Minimum Net Stable Funding Ratio
A. Rules of Construction
1. Balance-Sheet Metric
2. Netting of Certain Transactions
3. Treatment of Securities Received in an
Asset Exchange by a Securities Lender
B. Determining Maturity
C. Available Stable Funding
1. Calculation of ASF Amount
2. ASF Factor Framework
3. ASF Factors
D. Required Stable Funding
1. Calculation of the RSF Amount
2. RSF Factor Framework
3. RSF Factors
E. Derivative Transactions
1. NSFR Derivatives Asset or Liability
Amount
2. Variation Margin Provided and Received
and Initial Margin Received
3. Customer Cleared Derivative
Transactions
4. Assets Contributed to a CCP’s
Mutualized Loss Sharing Arrangement
and Initial Margin
5. Derivatives Portfolio Potential Valuation
Changes
6. Derivatives RSF Amount
7. Derivatives RSF Amount Numerical
Example
F. NSFR Consolidation Limitations
G. Interdependent Assets and Liabilities
III. Net Stable Funding Ratio Shortfall
IV. Modified Net Stable Funding Ratio
Applicable to Certain Covered
Depository Institution Holding
Companies
A. Overview and Applicability
B. Available Stable Funding
C. Required Stable Funding
V. Disclosure Requirements
A. Proposed NSFR Disclosure
Requirements
B. Quantitative Disclosure Requirements
C. Qualitative Disclosure Requirements
D. Frequency and Timing of Disclosure
VI. Impact Assessment
VII. Solicitation of Comments on Use of Plain
Language
VIII. Regulatory Flexibility Act
IX. Riegle Community Development and
Regulatory Improvement Act of 1994
X. Paperwork Reduction Act
XI. OCC Unfunded Mandates Reform Act of
1995 Determination
I. Introduction
A. Summary of the Proposed Rule
The Office of the Comptroller of the
Currency (OCC), the Board of Governors
of the Federal Reserve System (Board),
and the Federal Deposit Insurance
Corporation (FDIC) (collectively, the
agencies) are inviting comment on a
proposed rule (proposed rule) that
would implement a net stable funding
ratio (NSFR) requirement. The proposed
NSFR requirement is designed to reduce
the likelihood that disruptions to a
banking organization’s regular sources
of funding will compromise its liquidity
position, as well as to promote
improvements in the measurement and
management of liquidity risk. By
requiring banking organizations to
maintain a stable funding profile, the
proposed rule would reduce liquidity
risk in the financial sector and provide
for a safer and more resilient financial
system.
Maturity and liquidity transformation
are important components of the
financial intermediation performed by
banking organizations, which
contributes to efficient resource
allocation and credit creation in the
United States. These activities entail a
certain inherent level of funding
instability, however. Consequently, the
risks of these activities must be well-
managed by banking organizations in
order to help ensure their ongoing
VerDate Sep<11>2014 19:02 May 31, 2016 Jkt 238001 PO 00000 Frm 00003 Fmt 4701 Sfmt 4702 E:\FR\FM\01JNP2.SGM 01JNP2
sradovich on DSK3TPTVN1PROD with PROPOSALS2
All public comments are available
from the Board’s Web site at http://
www.federalreserve.gov/generalinfo/
foia/ProposedRegs.cfm as submitted,
unless modified for technical reasons.
Accordingly, 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.
FDIC: You may submit comments by
any of the following methods:
• Federal eRulemaking Portal: http://
www.regulations.gov. Follow the
instructions for submitting comments.
• Agency Web site: http://
www.FDIC.gov/regulations/laws/
federal/propose.html.
• Mail: Robert E. Feldman, Executive
Secretary, Attention: Comments/Legal
ESS, Federal Deposit Insurance
Corporation, 550 17th Street NW.,
Washington, DC 20429.
• Hand Delivered/Courier: The guard
station at the rear of the 550 17th Street
Building (located on F Street), on
business days between 7:00 a.m. and
5:00 p.m.
• Email: comments@FDIC.gov.
Instructions: Comments submitted
must include ‘‘FDIC’’ and ‘‘RIN: 3064–
AE44.’’ Comments received will be
posted without change to http://
www.FDIC.gov/regulations/laws/
federal/propose.html, including any
personal information provided.
FOR FURTHER INFORMATION CONTACT:
OCC: Christopher McBride, Group
Leader, (202) 649–6402, James
Weinberger, Technical Expert, (202)
649–5213, or Ang Middleton, Bank
Examiner (Risk Specialist), (202) 649–
7138, Treasury & Market Risk Policy;
Thomas Fursa, Bank Examiner (Capital
Markets Lead Expert), (917) 344–4421;
Patrick T. Tierney, Assistant Director,
Carl Kaminski, Special Counsel, or
Henry Barkhausen, Senior Attorney,
Legislative and Regulatory Activities
Division, (202) 649–5490; or Tena
Alexander, Acting Assistant Director, or
David Stankiewicz, Counsel, Securities
and Corporate Practices Division, (202)
649–5510; for persons who are deaf or
hard of hearing, TTY, (202) 649–5597;
Office of the Comptroller of the
Currency, 400 7th Street SW.,
Washington, DC 20219.
Board: 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, or Peter
Goodrich, Risk Management Specialist,
(202) 872–4997, Risk Policy, Division of
Banking Supervision and Regulation;
Benjamin W. McDonough, Special
Counsel, (202) 452–2036, Dafina
Stewart, Counsel, (202) 452–3876,
Adam Cohen, Counsel, (202) 912–4658,
or Brian Chernoff, Senior Attorney,
(202) 452–2952, Legal Division, Board of
Governors of the Federal Reserve
System, 20th and C Streets NW.,
Washington, DC 20551. For the hearing
impaired only, Telecommunication
Device for the Deaf (TDD), (202) 263–
4869.
FDIC: Bobby R. Bean, Associate
Director, (202) 898–6705, Eric W.
Schatten, Capital Markets Policy
Analyst, (202) 898–7063, Andrew D.
Carayiannis, Capital Markets Policy
Analyst, (202) 898–6692, Nana Ofori-
Ansah, Capital Markets Policy Analyst,
(202) 898–3572, Capital Markets Branch,
Division of Risk Management
Supervision, (202) 898–6888; Gregory S.
Feder, Counsel, (202) 898–8724,
Andrew B. Williams, II, Counsel, (202)
898–3591, or Suzanne J. Dawley, Senior
Attorney, (202) 898–6509, Supervision
and Corporate Operations Branch, Legal
Division, Federal Deposit Insurance
Corporation, 550 17th Street NW.,
Washington, DC 20429. For the hearing
impaired only, Telecommunication
Device for the Deaf (TDD), (800) 925–
4618.
SUPPLEMENTARY INFORMATION:
Table of Contents
I. Introduction
A. Summary of the Proposed Rule
B. Background
C. Overview of the Proposed Rule
1. NSFR Calculation, Shortfall
Remediation, and Disclosure
Requirements
2. Scope of Application of the Proposed
Rule
D. Definitions
1. Revisions to Existing Definitions
2. New Definitions
E. Effective Dates
II. Minimum Net Stable Funding Ratio
A. Rules of Construction
1. Balance-Sheet Metric
2. Netting of Certain Transactions
3. Treatment of Securities Received in an
Asset Exchange by a Securities Lender
B. Determining Maturity
C. Available Stable Funding
1. Calculation of ASF Amount
2. ASF Factor Framework
3. ASF Factors
D. Required Stable Funding
1. Calculation of the RSF Amount
2. RSF Factor Framework
3. RSF Factors
E. Derivative Transactions
1. NSFR Derivatives Asset or Liability
Amount
2. Variation Margin Provided and Received
and Initial Margin Received
3. Customer Cleared Derivative
Transactions
4. Assets Contributed to a CCP’s
Mutualized Loss Sharing Arrangement
and Initial Margin
5. Derivatives Portfolio Potential Valuation
Changes
6. Derivatives RSF Amount
7. Derivatives RSF Amount Numerical
Example
F. NSFR Consolidation Limitations
G. Interdependent Assets and Liabilities
III. Net Stable Funding Ratio Shortfall
IV. Modified Net Stable Funding Ratio
Applicable to Certain Covered
Depository Institution Holding
Companies
A. Overview and Applicability
B. Available Stable Funding
C. Required Stable Funding
V. Disclosure Requirements
A. Proposed NSFR Disclosure
Requirements
B. Quantitative Disclosure Requirements
C. Qualitative Disclosure Requirements
D. Frequency and Timing of Disclosure
VI. Impact Assessment
VII. Solicitation of Comments on Use of Plain
Language
VIII. Regulatory Flexibility Act
IX. Riegle Community Development and
Regulatory Improvement Act of 1994
X. Paperwork Reduction Act
XI. OCC Unfunded Mandates Reform Act of
1995 Determination
I. Introduction
A. Summary of the Proposed Rule
The Office of the Comptroller of the
Currency (OCC), the Board of Governors
of the Federal Reserve System (Board),
and the Federal Deposit Insurance
Corporation (FDIC) (collectively, the
agencies) are inviting comment on a
proposed rule (proposed rule) that
would implement a net stable funding
ratio (NSFR) requirement. The proposed
NSFR requirement is designed to reduce
the likelihood that disruptions to a
banking organization’s regular sources
of funding will compromise its liquidity
position, as well as to promote
improvements in the measurement and
management of liquidity risk. By
requiring banking organizations to
maintain a stable funding profile, the
proposed rule would reduce liquidity
risk in the financial sector and provide
for a safer and more resilient financial
system.
Maturity and liquidity transformation
are important components of the
financial intermediation performed by
banking organizations, which
contributes to efficient resource
allocation and credit creation in the
United States. These activities entail a
certain inherent level of funding
instability, however. Consequently, the
risks of these activities must be well-
managed by banking organizations in
order to help ensure their ongoing
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