Home
gpo.gov
govinfo.gov

e-CFR Navigation Aids

Browse

Simple Search

Advanced Search

 — Boolean

 — Proximity

 

Search History

Search Tips

Corrections

Latest Updates

User Info

FAQs

Agency List

Incorporation By Reference

eCFR logo

Related Resources

Electronic Code of Federal Regulations

We invite you to try out our new beta eCFR site at https://ecfr.federalregister.gov. We have made big changes to make the eCFR easier to use. Be sure to leave feedback using the Help button on the bottom right of each page!

e-CFR data is current as of October 21, 2020

Title 12Chapter IIISubchapter BPart 329Subpart D → §329.31


Title 12: Banks and Banking
PART 329—LIQUIDITY RISK MEASUREMENT STANDARDS
Subpart D—Total Net Cash Outflow


§329.31   Determining maturity.

(a) For purposes of calculating its liquidity coverage ratio and the components thereof under this subpart, an FDIC-supervised institution shall assume an asset or transaction matures:

(1) With respect to an instrument or transaction subject to §329.32, on the earliest possible contractual maturity date or the earliest possible date the transaction could occur, taking into account any option that could accelerate the maturity date or the date of the transaction as follows:

(i) If an investor or funds provider has an option that would reduce the maturity, the FDIC-supervised institution must assume that the investor or funds provider will exercise the option at the earliest possible date;

(ii) If an investor or funds provider has an option that would extend the maturity, the FDIC-supervised institution must assume that the investor or funds provider will not exercise the option to extend the maturity;

(iii) If the FDIC-supervised institution has an option that would reduce the maturity of an obligation, the FDIC-supervised institution must assume that the FDIC-supervised institution will exercise the option at the earliest possible date, except if either of the following criteria are satisfied, in which case the maturity of the obligation for purposes of this part will be the original maturity date at issuance:

(A) The original maturity of the obligation is greater than one year and the option does not go into effect for a period of 180 days following the issuance of the instrument; or

(B) The counterparty is a sovereign entity, a U.S. government-sponsored enterprise, or a public sector entity.

(iv) If the FDIC-supervised institution has an option that would extend the maturity of an obligation it issued, the FDIC-supervised institution must assume the FDIC-supervised institution will not exercise that option to extend the maturity; and

(v) If an option is subject to a contractually defined notice period, the FDIC-supervised institution must determine the earliest possible contractual maturity date regardless of the notice period.

(2) With respect to an instrument or transaction subject to §329.33, on the latest possible contractual maturity date or the latest possible date the transaction could occur, taking into account any option that could extend the maturity date or the date of the transaction as follows:

(i) If the borrower has an option that would extend the maturity, the FDIC-supervised institution must assume that the borrower will exercise the option to extend the maturity to the latest possible date;

(ii) If the borrower has an option that would reduce the maturity, the FDIC-supervised institution must assume that the borrower will not exercise the option to reduce the maturity;

(iii) If the FDIC-supervised institution has an option that would reduce the maturity of an instrument or transaction, the FDIC-supervised institution must assume the FDIC-supervised institution will not exercise the option to reduce the maturity;

(iv) If the FDIC-supervised institution has an option that would extend the maturity of an instrument or transaction, the FDIC-supervised institution must assume the FDIC-supervised institution will exercise the option to extend the maturity to the latest possible date; and

(v) If an option is subject to a contractually defined notice period, the FDIC-supervised institution must determine the latest possible contractual maturity date based on the borrower using the entire notice period.

(3) With respect to a transaction subject to §329.33(f)(1)(iii) through (vii) (secured lending transactions) or §329.33(f)(2)(ii) through (x) (asset exchanges), to the extent the transaction is secured by collateral that has been pledged in connection with either a secured funding transaction or asset exchange that has a remaining maturity of 30 calendar days or less as of the calculation date, the maturity date is the later of the maturity date determined under paragraph (a)(2) of this section for the secured lending transaction or asset exchange or the maturity date determined under paragraph (a)(1) of this section for the secured funding transaction or asset exchange for which the collateral has been pledged.

(4) With respect to a transaction that has no maturity date, is not an operational deposit, and is subject to the provisions of §329.32(h)(2), (h)(5), (j), or (k) or §329.33(d) or (f), the maturity date is the first calendar day after the calculation date. Any other transaction that has no maturity date and is subject to the provisions of §329.32 must be considered to mature within 30 calendar days of the calculation date.

(5) With respect to a transaction subject to the provisions of §329.33(g), on the date of the next scheduled calculation of the amount required under applicable legal requirements for the protection of customer assets with respect to each broker-dealer segregated account, in accordance with the FDIC-supervised institution's normal frequency of recalculating such requirements.

(b) [Reserved]

Need assistance?